public static IBfxOrder Trailing(BfTradeSide side, decimal trailingOffset, decimal size)
{
var request = BfParentOrderRequest.Trail(BfProductCode.Unknown, side, trailingOffset, size, 0, BfTimeInForce.NotSpecified);
var order = new BfxParentOrder(request);
return(order);
}
public static IBfxOrder StopLimit(BfTradeSide side, decimal triggerPrice, decimal orderPrice, decimal size)
{
var request = BfParentOrderRequest.StopLimit(BfProductCode.Unknown, side, triggerPrice, orderPrice, size, 0, BfTimeInForce.NotSpecified);
var order = new BfxParentOrder(request);
return(order);
}
//======================================================================
// From element of parent order
//
public DbChildOrder(BfParentOrderRequest req, BfParentOrderResponse resp, int childOrderIndex)
{
ProductCode = req.Parameters[childOrderIndex].ProductCode;
Side = req.Parameters[childOrderIndex].Side;
OrderType = req.Parameters[childOrderIndex].ConditionType;
OrderSize = req.Parameters[childOrderIndex].Size;
MinuteToExpire = req.MinuteToExpire;
TimeInForce = req.TimeInForce;
if (OrderType is BfOrderType.Limit or BfOrderType.StopLimit)
{
OrderPrice = req.Parameters[childOrderIndex].Price;
}
if (OrderType is BfOrderType.Stop or BfOrderType.StopLimit)
{
TriggerPrice = req.Parameters[childOrderIndex].TriggerPrice;
}
if (OrderType == BfOrderType.Trail)
{
Offset = req.Parameters[childOrderIndex].Offset;
}
ParentOrderAcceptanceId = resp.ParentOrderAcceptanceId;
ChildOrderIndex = childOrderIndex;
}
public static BfParentOrderRequestParameter ToParameter(this BfParentOrderRequest parent)
{
if (parent.Paremters.Count != 1)
{
throw new ArgumentException();
}
return(parent.Paremters[0]);
}
// Parent orders
public void Insert(BfProductCode productCode, BfParentOrderRequest req, BfParentOrderResponse resp)
{
ParentOrders.Add(new DbParentOrder(productCode, req, resp));
for (int childOrderIndex = 0; childOrderIndex < req.Parameters.Count; childOrderIndex++)
{
ChildOrders.Add(new DbChildOrder(req, resp, childOrderIndex));
}
}
public void SendParentOrder()
{
EnableSendOrder(false);
var order = BfParentOrderRequest.Stop(_productCode, BfTradeSide.Sell, 100000m, 0.1m);
var resp = _client.SendParentOrder(order);
Assert.IsTrue(resp.IsOk);
Console.WriteLine(GetRequestJson());
}
public static IBfxOrder IFD(IBfxOrder ifOrder, IBfxOrder doneOrder)
{
var request = BfParentOrderRequest.IFD(
GetParentOrderRequestParameter(ifOrder),
GetParentOrderRequestParameter(doneOrder),
0, BfTimeInForce.NotSpecified
);
return(new BfxParentOrder(request));
}
public static IBfxOrder OCO(IBfxOrder firstOrder, IBfxOrder secondOrder)
{
var request = BfParentOrderRequest.OCO(
GetParentOrderRequestParameter(firstOrder),
GetParentOrderRequestParameter(secondOrder),
0, BfTimeInForce.NotSpecified
);
return(new BfxParentOrder(request));
}
public BfxParentOrder(BfParentOrderRequest request)
{
Request = request;
ProductCode = request.Paremters[0].ProductCode;
foreach (var childRequest in request.Paremters)
{
ChildOrders.Add(new BfxChildOrder(childRequest));
}
}
public DbParentOrder(BfProductCode productCode, BfParentOrderRequest req, BfParentOrderResponse resp)
{
ProductCode = productCode;
OrderType = req.OrderMethod;
TimeInForce = req.TimeInForce;
if (TimeInForce == BfTimeInForce.NotSpecified)
{
TimeInForce = BfTimeInForce.GTC;
}
AcceptanceId = resp.ParentOrderAcceptanceId;
}
public void SendParentOrder()
{
var order = new BfParentOrderRequest();
var resp = _client.SendParentOrder(order);
if (CheckUnauthorized(resp))
{
return;
}
Assert.IsFalse(resp.IsError);
DumpJson(resp);
}
public void CheckParentOrderRequestValid(BfParentOrderRequest request)
{
foreach (var childRequest in request.Paremters)
{
if (request.Paremters[0].ProductCode != childRequest.ProductCode)
{
throw new ArgumentException("Different product code is set to child order");
}
CheckChildOrderRequestValid(childRequest);
switch (request.OrderMethod)
{
case BfOrderType.Simple:
switch (childRequest.ConditionType)
{
case BfOrderType.Stop:
case BfOrderType.StopLimit:
case BfOrderType.Trail:
break;
default:
throw new ArgumentException("Illegal child order type");
}
break;
case BfOrderType.IFD:
case BfOrderType.OCO:
case BfOrderType.IFDOCO:
switch (childRequest.ConditionType)
{
case BfOrderType.Limit:
case BfOrderType.Market:
case BfOrderType.Stop:
case BfOrderType.StopLimit:
case BfOrderType.Trail:
break;
default:
throw new ArgumentException("Illegal child order type");
}
break;
default:
throw new ArgumentException("Illegal parent order type");
}
}
}
public BfParentOrderRequest CreateStopLimitOrder(BfTradeSide side, decimal size, decimal price, decimal stopTriggerPrice)
{
if (size > price || size > stopTriggerPrice)
{
throw new ArgumentException();
}
var request = new BfParentOrderRequest {
OrderMethod = BfOrderType.Simple
};
request.Paremters.Add(new BfParentOrderRequestParameter {
ProductCode = _market.ProductCode, ConditionType = BfOrderType.StopLimit, Side = side, Size = size, Price = price, TriggerPrice = stopTriggerPrice
});
CheckParentOrderRequestValid(request);
return(request);
}
public BfParentOrderRequest CreateTrailOrder(BfTradeSide side, decimal size, decimal trailingStopPriceOffset)
{
if (size > trailingStopPriceOffset)
{
throw new ArgumentException();
}
var request = new BfParentOrderRequest {
OrderMethod = BfOrderType.Simple
};
request.Paremters.Add(new BfParentOrderRequestParameter {
ProductCode = _market.ProductCode, ConditionType = BfOrderType.Trail, Side = side, Size = size, Offset = trailingStopPriceOffset
});
CheckParentOrderRequestValid(request);
return(request);
}
public BfParentOrderRequest CreateOCO(BfParentOrderRequestParameter first, BfParentOrderRequestParameter second, TimeSpan?minuteToExpire = null, BfTimeInForce timeInForce = BfTimeInForce.NotSpecified)
{
var request = new BfParentOrderRequest {
OrderMethod = BfOrderType.OCO
};
if (minuteToExpire.HasValue)
{
request.MinuteToExpire = (int)minuteToExpire.Value.TotalMinutes;
}
request.TimeInForce = timeInForce;
request.Paremters.Add(first);
request.Paremters.Add(second);
CheckParentOrderRequestValid(request);
return(request);
}
public BfxParentOrder(BfParentOrderRequest request)
: this(request.OrderMethod)
{
Request = request;
_orderMethod = request.OrderMethod;
_childOrders = request.Parameters.Select(e => new BfxChildOrder(e)).ToArray();
ProductCode = _childOrders[0].ProductCode;
if (request.OrderMethod == BfOrderType.Simple)
{
var childOrder = _childOrders[0];
OrderType = childOrder.OrderType;
Side = childOrder.Side;
OrderSize = childOrder.OrderSize;
OrderPrice = childOrder.OrderPrice;
TriggerPrice = childOrder.TriggerPrice;
TrailOffset = childOrder.TrailOffset;
}
else
{
OrderType = request.OrderMethod;
}
}
public Task <BfxParentOrderTransaction> PlaceOrder(BfParentOrderRequest request, object tag = null)
{
DebugEx.Trace();
return(Task.Run(() =>
{
DebugEx.Trace();
var trans = new BfxParentOrderTransaction(this, request);
trans.ChildOrderChanged += OnChildOrderChanged;
trans.ParentOrderStateChanged += OnParentOrderTransactionStateChanged;
trans.ParentOrderChanged += OnParentOrderChanged;
trans.Tag = tag;
for (var retry = 0; retry <= Config.OrderRetryMax; retry++)
{
DebugEx.Trace();
if (!trans.IsOrderable())
{
DebugEx.Trace();
trans.Dispose();
return null; // order is unacceptable
}
if (trans.SendOrder())
{
DebugEx.Trace();
return trans;
}
DebugEx.Trace("Trying retry...");
Thread.Sleep(Config.OrderRetryInterval);
}
DebugEx.Trace();
trans.Dispose();
return null; // Retried out
}));
}
void IBfOrderSource.OpenParentOrder(BfParentOrderRequest req, BfParentOrderResponse resp)
{
}
public BfxParentOrderTransaction(BfTradingMarket market, BfParentOrderRequest request)
{
DebugEx.EnterMethod();
_market = market;
State = new BfxParentOrderTransactionState(_market, request);
}
public BfxParentOrderTransactionState(BfTradingMarket market, BfParentOrderRequest request)
: base(request)
{
_market = market;
}
static void ParentOrderMain()
{
while (true)
{
Console.WriteLine("======== Parent order operations");
Console.WriteLine("S)top Stop L)imit T)rail");
Console.WriteLine("I)FD O)CO IFD)OCO");
Console.WriteLine("");
Console.WriteLine("Time in F)orce");
Console.WriteLine("M)inutes to expire");
Console.WriteLine("");
Console.WriteLine("C) Cancel parent order");
Console.WriteLine("G)et parent orders");
Console.WriteLine("");
Console.WriteLine("R) Return to main");
try
{
switch (GetCh())
{
case 'S':
{
var request = BfParentOrderRequest.Stop(ProductCode, BfTradeSide.Buy, _ticker.BestAsk + UnexecuteGap, OrderSize);
var content = _client.SendParentOrder(request).GetContent();
_parentOrderAcceptanceIds.Enqueue(content.ParentOrderAcceptanceId);
}
break;
case 'L':
{
var request = BfParentOrderRequest.StopLimit(ProductCode, BfTradeSide.Buy, _ticker.BestAsk + UnexecuteGap, _ticker.BestAsk + UnexecuteGap, OrderSize);
var content = _client.SendParentOrder(request).GetContent();
_parentOrderAcceptanceIds.Enqueue(content.ParentOrderAcceptanceId);
}
break;
case 'T':
{
var request = BfParentOrderRequest.Trail(ProductCode, BfTradeSide.Buy, UnexecuteGap, OrderSize);
var content = _client.SendParentOrder(request).GetContent();
_parentOrderAcceptanceIds.Enqueue(content.ParentOrderAcceptanceId);
}
break;
case 'I':
{
var request = BfParentOrderRequest.IFD(
BfParentOrderRequestParameter.Limit(ProductCode, BfTradeSide.Sell, _ticker.BestAsk + UnexecuteGap, OrderSize),
BfParentOrderRequestParameter.Limit(ProductCode, BfTradeSide.Buy, _ticker.BestBid - UnexecuteGap, OrderSize)
);
var content = _client.SendParentOrder(request).GetContent();
_parentOrderAcceptanceIds.Enqueue(content.ParentOrderAcceptanceId);
}
break;
case 'O':
{
var request = BfParentOrderRequest.OCO(
BfParentOrderRequestParameter.Limit(ProductCode, BfTradeSide.Sell, _ticker.BestAsk + UnexecuteGap, OrderSize),
BfParentOrderRequestParameter.Limit(ProductCode, BfTradeSide.Buy, _ticker.BestBid - UnexecuteGap, OrderSize)
);
var content = _client.SendParentOrder(request).GetContent();
_parentOrderAcceptanceIds.Enqueue(content.ParentOrderAcceptanceId);
}
break;
case 'D':
{
var request = BfParentOrderRequest.IFDOCO(
BfParentOrderRequestParameter.Limit(ProductCode, BfTradeSide.Sell, _ticker.BestAsk + UnexecuteGap, OrderSize),
BfParentOrderRequestParameter.Limit(ProductCode, BfTradeSide.Sell, _ticker.BestAsk + UnexecuteGap, OrderSize),
BfParentOrderRequestParameter.Limit(ProductCode, BfTradeSide.Buy, _ticker.BestBid - UnexecuteGap, OrderSize)
);
var content = _client.SendParentOrder(request).GetContent();
_parentOrderAcceptanceIds.Enqueue(content.ParentOrderAcceptanceId);
}
break;
case 'F':
break;
case 'M':
break;
case 'C':
{
var resp = _client.CancelParentOrder(ProductCode, parentOrderAcceptanceId: _parentOrderAcceptanceIds.Dequeue());
if (!resp.IsErrorOrEmpty)
{
// Cancel order sent
}
}
break;
case 'G':
{
var resp = _client.GetParentOrders(ProductCode);
if (resp.IsOk)
{
var jobj = JsonConvert.DeserializeObject(resp.Json);
var json = JsonConvert.SerializeObject(jobj, Formatting.Indented);
Console.WriteLine(json);
}
}
break;
case 'R':
return;
}
}
catch (Exception ex)
{
Console.WriteLine($"{ex.Message}");
}
}
}