/// <summary>
/// This function sets up the OrderProfile and submits
/// the order using the InstrumentTradeSubscription SendOrder method.
/// </summary>
/// <param name="buySell">The side of the market to place the order on.</param>
private void SendOrder(BuySell buySell)
{
try
{
OrderFeed orderFeed = comboBoxOrderFeed.SelectedItem as OrderFeed;
CustomerDefaultEntry customer = cboCustomer.SelectedItem as CustomerDefaultEntry;
OrderProfile orderProfile = new OrderProfile(orderFeed, m_instrumentTradeSubscription.Instrument, customer.Customer);
// Set for Buy or Sell.
orderProfile.BuySell = buySell;
// Set the quantity.
orderProfile.QuantityToWork = Quantity.FromString(m_instrumentTradeSubscription.Instrument, txtQuantity.Text);
// Set the order type to "Limit" for a limit order.
orderProfile.OrderType = OrderType.Limit;
// Set the limit order price.
orderProfile.LimitPrice = Price.FromString(m_instrumentTradeSubscription.Instrument, txtPrice.Text);
// Send the order.
m_instrumentTradeSubscription.SendOrder(orderProfile);
m_LastOrderSiteOrderKey = orderProfile.SiteOrderKey;
}
catch (Exception err)
{
MessageBox.Show(err.Message);
}
}
////////////////////////////////////////////////////////////////////////////////////////////////////
/// <summary> Event notification for price update. </summary>
/// <param name="sender"> Source of the event. </param>
/// <param name="e"> Fields updated event information. </param>
////////////////////////////////////////////////////////////////////////////////////////////////////
void m_priceSubscription_FieldsUpdated(object sender, FieldsUpdatedEventArgs e)
{
if (e.Error == null)
{
// Make sure that there is a valid bid
if (e.Fields.GetBestBidPriceField().Value != null && m_isOrderBookDownloaded)
{
if (m_orderKey == "")
{
// If there is no order working, submit one .
OrderProfile op = new OrderProfile(e.Fields.Instrument);
op.BuySell = BuySell.Buy;
op.Account = m_accounts.ElementAt(0);
op.OrderQuantity = Quantity.FromDecimal(e.Fields.Instrument, 10);
op.OrderType = OrderType.Limit;
op.LimitPrice = e.Fields.GetBestBidPriceField().Value - 1;
if (!m_instrumentTradeSubscription.SendOrder(op))
{
Console.WriteLine("Send new order Failed.!!");
Dispose();
}
else
{
m_orderKey = op.SiteOrderKey;
Console.WriteLine("\nSent new order: " + e.Fields.Instrument.Name + " " + op.BuySell + " " + op.OrderQuantity.ToString() + "@" + op.LimitPrice.ToString() + " SOK=" + op.SiteOrderKey);
}
}
else if (m_instrumentTradeSubscription.Orders.ContainsKey(m_orderKey) &&
m_instrumentTradeSubscription.Orders[m_orderKey].LimitPrice != (e.Fields.GetBestBidPriceField().Value - 1))
{
// If there is a working order, reprice it
OrderProfile op = m_instrumentTradeSubscription.Orders[m_orderKey].GetOrderProfile();
op.LimitPrice = e.Fields.GetBestBidPriceField().Value - 1;
op.Action = OrderAction.Change;
Console.WriteLine("Change price from {0} to {1}", m_instrumentTradeSubscription.Orders[m_orderKey].LimitPrice, op.LimitPrice);
if (!m_instrumentTradeSubscription.SendOrder(op))
{
Console.WriteLine("Sent order update: " + e.Fields.Instrument.Name + " " + op.OrderQuantity.ToString() + "@" + op.LimitPrice.ToString() + " SOK=" + op.SiteOrderKey);
}
else
{
Console.WriteLine("Send change order succeeded.");
}
}
}
}
else
{
if (e.Error != null)
{
Console.WriteLine("Unrecoverable price subscription error: {0}", e.Error.Message);
Dispose();
}
}
}
/// <summary>
/// Event notification for price update
/// </summary>
void m_ps_FieldsUpdated(object sender, FieldsUpdatedEventArgs e)
{
if (e.Error == null)
{
// Make sure that there is a valid bid
if (e.Fields.GetBestBidPriceField().HasValidValue)
{
if (m_orderKey == "")
{
// If there is no order working, submit one through the first valid order feed.
// You should use the order feed that is valid for your purposes.
OrderProfile op = new OrderProfile(e.Fields.Instrument.GetValidOrderFeeds()[0], e.Fields.Instrument);
op.BuySell = BuySell.Buy;
op.AccountName = "12345678";
op.AccountType = AccountType.A1;
op.OrderQuantity = Quantity.FromInt(e.Fields.Instrument, 10);
op.OrderType = OrderType.Limit;
op.LimitPrice = e.Fields.GetBestBidPriceField().Value;
if (!m_ts.SendOrder(op))
{
Console.WriteLine("Send new order failed. {0}", op.RoutingStatus.Message);
Dispose();
}
else
{
m_orderKey = op.SiteOrderKey;
Console.WriteLine("Send new order succeeded.");
}
}
else if (m_ts.Orders.ContainsKey(m_orderKey) &&
m_ts.Orders[m_orderKey].LimitPrice != e.Fields.GetBestBidPriceField().Value)
{
// If there is a working order, reprice it if its price is not the same as the bid
OrderProfileBase op = m_ts.Orders[m_orderKey].GetOrderProfile();
op.LimitPrice = e.Fields.GetBestBidPriceField().Value;
op.Action = OrderAction.Change;
if (!m_ts.SendOrder(op))
{
Console.WriteLine("Send change order failed. {0}", op.RoutingStatus.Message);
}
else
{
Console.WriteLine("Send change order succeeded.");
}
}
}
}
else
{
if (e.Error.IsRecoverableError == false)
{
Console.WriteLine("Unrecoverable price subscription error: {0}", e.Error.Message);
Dispose();
}
}
}
/// <summary>
/// Event notification for price update
/// </summary>
void m_ps_FieldsUpdated(object sender, FieldsUpdatedEventArgs e)
{
if (e.Error == null)
{
// Make sure that there is a valid bid
if (e.Fields.GetBestBidPriceField().HasValidValue)
{
if (m_orderKey == "")
{
// If there is no order working, submit one through the first valid order feed.
// You should use the order feed that is valid for your purposes.
OrderProfile op = new OrderProfile(e.Fields.Instrument.GetValidOrderFeeds()[0], e.Fields.Instrument);
op.BuySell = BuySell.Buy;
op.AccountName = "12345678";
op.AccountType = AccountType.A1;
op.OrderQuantity = Quantity.FromInt(e.Fields.Instrument, 100);
op.OrderType = OrderType.Limit;
op.LimitPrice = e.Fields.GetBestBidPriceField().Value;
op.SlicerType = SlicerType.TimeSliced;
op.DisclosedQuantity = Quantity.FromInt(e.Fields.Instrument, 10);
op.DisclosedQuantityMode = QuantityMode.Quantity;
op.InterSliceDelay = 10;
op.InterSliceDelayTimeUnits = TimeUnits.Sec;
op.LeftoverAction = LeftoverAction.Leave;
op.LeftoverActionTime = LeftoverActionTime.AtEnd;
op.PriceMode = PriceMode.Absolute;
if (!m_ts.SendOrder(op))
{
Console.WriteLine("Send new order failed. {0}", op.RoutingStatus.Message);
Dispose();
}
else
{
m_orderKey = op.SiteOrderKey;
Console.WriteLine("Send new order succeeded.");
}
}
}
}
else
{
if (e.Error.IsRecoverableError == false)
{
Console.WriteLine("Unrecoverable price subscription error: {0}", e.Error.Message);
Dispose();
}
}
}
public static bool ChangeLimitOrder(string orderKey, TradingTechnologies.TTAPI.Instrument instrument, Subscription ttapisubs, double price, Logger logger)
{
InstrumentTradeSubscription TS = ttapisubs.TsDictionary[instrument.Key];
bool Status = true;
OrderProfileBase Op = TS.Orders[orderKey].GetOrderProfile();
Price LimitPrice = Price.FromDouble(instrument.InstrumentDetails, price);
if (Op.LimitPrice != LimitPrice)
{
Op.LimitPrice = LimitPrice;
Op.Action = OrderAction.Change;
if (!TS.SendOrder(Op))
{
logger.Log("Send change order failed. {0}" + Op.RoutingStatus.Message);
Status = false;
}
else
{
logger.Log("Send change order succeeded.");
}
}
return(Status);
}
public static string SendLimitOrder(TradingTechnologies.TTAPI.Instrument instrument,
TradingTechnologies.TTAPI.Price price, int qty, Subscription ttapisubs, string orderTag = "")
{
BuySell Direction = BuySell.Buy;
string AccountName = "H1KOC";
if (qty < 0)
{
Direction = BuySell.Sell;
qty = -qty;
}
string tickerDB = TA.TickerConverters.ConvertFromTTAPIFields2DB(instrument.Product.ToString(), instrument.Name.ToString());
string[] TickerList = tickerDB.Split('-');
string TickerHead = ContractUtilities.ContractMetaInfo.GetContractSpecs(TickerList[0]).tickerHead;
string ExchangeName = ContractUtilities.ContractMetaInfo.GetExchange4Tickerhead(TickerHead);
AccountType AccType = AccountType.P2;
OrderProfile op = new OrderProfile(instrument.GetValidOrderFeeds()[0], instrument);
op.BuySell = Direction;
op.AccountName = AccountName;
if (ExchangeName == "ICE")
{
AccType = AccountType.G2;
op.GiveUp = "5283";
}
op.AccountType = AccType;
op.OrderQuantity = Quantity.FromInt(instrument, qty);
op.OrderType = OrderType.Limit;
if (orderTag.Count() > 0)
{
op.OrderTag = orderTag;
}
op.LimitPrice = price;
InstrumentTradeSubscription TS = ttapisubs.TsDictionary[instrument.Key];
if (!TS.SendOrder(op))
{
Console.WriteLine("Send new order failed. {0}", op.RoutingStatus.Message);
ttapisubs.Dispose();
}
else
{
Console.WriteLine("Send new order succeeded.");
}
return(op.SiteOrderKey);
}
/// <summary>
/// This function sets up the OrderProfile and submits
/// the order using the InstrumentTradeSubscription SendOrder method.
/// </summary>
/// <param name="buySell">The side of the market to place the order on.</param>
private void SendOrder(TTInstrument ttinstr, ZS.ZOrder o)
{
var orderSide = o.Side;
var qtyStr = o.Qty.ToString();
var priceStr = o.Price.ToString();
var orderType = o.Type;
var stopPriceStr = o.StopPrice.ToString(); // TODO: WE NEED TO DEAL WITH STOP ORDERS!!!
try
{
TT.OrderProfile orderProfile = new TT.OrderProfile(ttinstr.DefaultOrderFeed, ttinstr.Instrument, m_defaultCustomer.Customer);
orderProfile.BuySell = TranslateSide(orderSide); // Set for Buy or Sell.
orderProfile.QuantityToWork = TT.Quantity.FromString(ttinstr.Instrument, qtyStr); // Set the quantity.
if (orderType == ZS.ZOrderType.Market) // Market Order
{
orderProfile.OrderType = TT.OrderType.Market;
}
else if (orderType == ZS.ZOrderType.Limit) // Limit Order
{
// Set the limit order price.
orderProfile.LimitPrice = TT.Price.FromString(ttinstr.Instrument, priceStr);
}
else if (orderType == ZS.ZOrderType.StopMarket) // Stop Market Order
{
orderProfile.OrderType = TT.OrderType.Market; // Set the order type to "Market" for a market order.
orderProfile.Modifiers = TT.OrderModifiers.Stop; // Set the order modifiers to "Stop" for a stop order.
orderProfile.StopPrice = TT.Price.FromString(ttinstr.Instrument, stopPriceStr); // Set the stop price.
}
else if (orderType == ZS.ZOrderType.StopLimit) // Stop Limit Order
{
orderProfile.OrderType = TT.OrderType.Limit; // Set the order type to "Limit" for a limit order.
orderProfile.Modifiers = TT.OrderModifiers.Stop; // Set the order modifiers to "Stop" for a stop order.
orderProfile.LimitPrice = TT.Price.FromString(ttinstr.Instrument, priceStr); // Set the limit order price.
orderProfile.StopPrice = TT.Price.FromString(ttinstr.Instrument, stopPriceStr); // Set the stop price.
}
m_instrumentTradeSubscription.SendOrder(orderProfile); // Send the order.
cout("TT Order Send {0} {1}|{2}@{3}", orderProfile.SiteOrderKey, orderProfile.BuySell.ToString(), orderProfile.QuantityToWork.ToString(), LimitOrMarketPrice(orderProfile));
/*// Update the GUI.
* txtOrderBook.Text += String.Format("Send {0} {1}|{2}@{3}{4}",
* orderProfile.SiteOrderKey,
* orderProfile.BuySell.ToString(),
* orderProfile.QuantityToWork.ToString(),
* orderProfile.OrderType == OrderType.Limit ? orderProfile.LimitPrice.ToString() : "Market Price",
* System.Environment.NewLine);*/
}
catch (Exception err)
{
ErrorMessage(err.Message);
}
}
public static bool CancelLimitOrder(string orderKey, TradingTechnologies.TTAPI.Instrument instrument, Subscription ttapisubs, Logger logger)
{
InstrumentTradeSubscription TS = ttapisubs.TsDictionary[instrument.Key];
bool Status = true;
OrderProfileBase Op = TS.Orders[orderKey].GetOrderProfile();
Op.Action = OrderAction.Delete;
if (!TS.SendOrder(Op))
{
logger.Log("Cancal order failed. {0}" + Op.RoutingStatus.Message);
Status = false;
}
else
{
logger.Log("Cancel order succeeded.");
}
return(Status);
}
/// <summary>
/// This function sets up the OrderProfile and submits
/// the order using the InstrumentTradeSubscription SendOrder method.
/// </summary>
/// <param name="buySell">The side of the market to place the order on.</param>
private void SendOrder(BuySell buySell)
{
// make sure the user has dragged a contract before we continue
if (m_instrumentTradeSubscription == null)
{
return;
}
try
{
OrderFeed orderFeed = this.cboOrderFeed.SelectedItem as OrderFeed;
CustomerDefaultEntry customer = this.cboCustomer.SelectedItem as CustomerDefaultEntry;
OrderProfile orderProfile = new OrderProfile(orderFeed, m_instrumentTradeSubscription.Instrument, customer.Customer);
// Set for Buy or Sell.
orderProfile.BuySell = buySell;
// Set the quantity.
orderProfile.QuantityToWork = Quantity.FromString(m_instrumentTradeSubscription.Instrument, txtQuantity.Text);
// Set the order type to "Limit" for a limit order.
orderProfile.OrderType = OrderType.Limit;
// Set the limit order price.
orderProfile.LimitPrice = Price.FromString(m_instrumentTradeSubscription.Instrument, txtPrice.Text);
// Send the order.
if (m_instrumentTradeSubscription.SendOrder(orderProfile))
{
// log the order send
Console.WriteLine("Order Sent");
}
}
catch (Exception err)
{
MessageBox.Show(err.Message);
}
}
/// <summary>
/// This function sets up the OrderProfile and submits
/// the order using the InstrumentTradeSubscription SendOrder method.
/// </summary>
/// <param name="buySell">The side of the market to place the order on.</param>
private void SendOrder(BuySell buySell)
{
try
{
OrderFeed orderFeed = comboBoxOrderFeed.SelectedItem as OrderFeed;
CustomerDefaultEntry customer = cboCustomer.SelectedItem as CustomerDefaultEntry;
OrderProfile orderProfile = new OrderProfile(orderFeed, m_instrumentTradeSubscription.Instrument, customer.Customer);
// Set for Buy or Sell.
orderProfile.BuySell = buySell;
// Set the quantity.
orderProfile.QuantityToWork = Quantity.FromString(m_instrumentTradeSubscription.Instrument, txtQuantity.Text);
// Determine which Order Type is selected.
if (cboOrderType.SelectedIndex == 0) // Market Order
{
// Set the order type to "Market" for a market order.
orderProfile.OrderType = OrderType.Market;
}
else if (cboOrderType.SelectedIndex == 1) // Limit Order
{
// Set the order type to "Limit" for a limit order.
orderProfile.OrderType = OrderType.Limit;
// Set the limit order price.
orderProfile.LimitPrice = Price.FromString(m_instrumentTradeSubscription.Instrument, txtPrice.Text);
}
else if (cboOrderType.SelectedIndex == 2) // Stop Market Order
{
// Set the order type to "Market" for a market order.
orderProfile.OrderType = OrderType.Market;
// Set the order modifiers to "Stop" for a stop order.
orderProfile.Modifiers = OrderModifiers.Stop;
// Set the stop price.
orderProfile.StopPrice = Price.FromString(m_instrumentTradeSubscription.Instrument, txtStopPrice.Text);
}
else if (cboOrderType.SelectedIndex == 3) // Stop Limit Order
{
// Set the order type to "Limit" for a limit order.
orderProfile.OrderType = OrderType.Limit;
// Set the order modifiers to "Stop" for a stop order.
orderProfile.Modifiers = OrderModifiers.Stop;
// Set the limit order price.
orderProfile.LimitPrice = Price.FromString(m_instrumentTradeSubscription.Instrument, txtPrice.Text);
// Set the stop price.
orderProfile.StopPrice = Price.FromString(m_instrumentTradeSubscription.Instrument, txtStopPrice.Text);
}
// Send the order.
m_instrumentTradeSubscription.SendOrder(orderProfile);
// Update the GUI.
txtOrderBook.Text += String.Format("Send {0} {1}|{2}@{3}{4}",
orderProfile.SiteOrderKey,
orderProfile.BuySell.ToString(),
orderProfile.QuantityToWork.ToString(),
orderProfile.OrderType == OrderType.Limit ? orderProfile.LimitPrice.ToString() : "Market Price",
System.Environment.NewLine);
}
catch (Exception err)
{
MessageBox.Show(err.Message);
}
}
