long tl_newSendOrderRequest(Order o)
{
if (isPaperTradeEnabled)
{
ptt.sendorder(o);
}
else
{
debug("paper trade disabled, ignoring: " + o);
}
return(0);
}
public void TestBidAsk()
{
ptt = new PapertradeTracker();
pt = new PositionTracker();
fills = 0;
const string SYM = "TST";
ptt.SendDebugEvent += new DebugDelegate(debug);
ptt.GotFillEvent += new FillDelegate(ptt_GotFillEvent);
ptt.GotOrderEvent += new OrderDelegate(ptt_GotOrderEvent);
// enable bid ask fills
ptt.UseBidAskFills = true;
// send an order
ptt.sendorder(new BuyMarket(SYM, 1000));
// verify it did not fill
Assert.AreEqual(0, pt[SYM].Size);
// send a tick
ptt.newTick(TickImpl.NewTrade(SYM, 10, 100));
// verify it did not fill
Assert.AreEqual(0, pt[SYM].Size);
// send bid
ptt.newTick(TickImpl.NewBid(SYM, 10, 100));
// verify it did not fill
Assert.AreEqual(0, pt[SYM].Size);
// send ask
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
// verify it fills
Assert.AreEqual(100, pt[SYM].Size);
Assert.AreEqual(1, fills);
// fill rest of the order
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
Assert.AreEqual(10, fills);
Assert.AreEqual(1000, pt[SYM].Size);
// send a bunch more ticks and ensure nothing else is filled
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
Assert.AreEqual(0, ptt.QueuedOrders.Length);
Assert.AreEqual(10, fills);
Assert.AreEqual(1000, pt[SYM].Size);
}
public void TestTradeFill()
{
ptt = new PapertradeTracker();
ptt.SendDebugEvent += new DebugDelegate(debug);
ptt.UseBidAskFills = false;
fills = 0;
pt = new PositionTracker();
const string SYM = "TST";
ptt.GotFillEvent += new FillDelegate(ptt_GotFillEvent);
ptt.GotOrderEvent += new OrderDelegate(ptt_GotOrderEvent);
// send an order
ptt.sendorder(new BuyMarket(SYM, 1000));
// verify it did not fill
Assert.AreEqual(0, pt[SYM].Size);
// send a tick
ptt.newTick(TickImpl.NewTrade(SYM, 10, 100));
// verify it fills
Assert.AreEqual(100, pt[SYM].Size);
}
public void FillBidAskPartial()
{
PapertradeTracker ptt = new PapertradeTracker();
PositionTracker pt = new PositionTracker();
ptt.UseBidAskFills = true;
ptt.GotFillEvent += new FillDelegate(pt.GotFill);
foreach (bool side in new bool[] { true, false })
{
pt.Clear();
Order o = new MarketOrder("IBM", side, 1000);
int size = o.size;
o.id = 1;
ptt.sendorder(o);
Tick k = TickImpl.NewQuote("IBM", 100, 101, 400, 400, "", "");
ptt.newTick(k); // partial fill
ptt.newTick(k); // partial fill
ptt.newTick(k); // partial fill, completed
Expect(pt["IBM"].Size, Is.EqualTo(size));
}
}
void doqueues(object obj)
{
while (_bwgo)
{
bool newsym = false;
while (!_newsyms.isEmpty)
{
_newsyms.Read();
newsym = true;
}
if (newsym)
{
// get symbols
Basket b = BasketImpl.FromString(_newsymlist);
object err = null;
foreach (Security s in b)
{
try
{
string se = string.Empty;
if (vret == null)
{
vret = _cc.VBRediCache.Submit("L1", "true", ref err);
checkerror(ref err, "submit");
}
_cc.VBRediCache.AddWatch(0, s.Symbol, string.Empty, ref err);
checkerror(ref err, "watch");
}
catch (Exception ex)
{
debug(s.Symbol + " error subscribing: " + ex.Message + ex.StackTrace);
}
}
debug("registered: " + _newsymlist);
}
while (!_neworders.isEmpty)
{
Order o = _neworders.Read();
v("received order: " + o.ToString());
if (o.Account == string.Empty)
{
o.Account = Account;
}
if (isPaperTradeEnabled)
{
ptt.sendorder(o);
}
else
{
RediLib.ORDER rediOrder = new RediLib.ORDERClass();
// get any current position in symbol
Position p = pt[o.symbol];
// determine if a sell order should be a long exit or a short entry
string side = !o.side && !p.isLong ? "Sell Short" : (o.side ? "Buy" : "Sell");
rediOrder.Account = o.Account;
rediOrder.UserID = _userid;
rediOrder.Password = _pwd;
rediOrder.TIF = gettiftype(o);
rediOrder.Side = side;
rediOrder.Symbol = o.symbol;
if (o.ex == string.Empty)
{
o.ex = o.symbol.Length > 3 ? "ARCA" : "NYSE";
}
rediOrder.Exchange = o.ex;
rediOrder.Quantity = o.UnsignedSize;
rediOrder.Price = o.price.ToString();
rediOrder.PriceType = getpricetype(o);
rediOrder.StopPrice = o.stopp;
rediOrder.Memo = o.comment;
rediOrder.Warning = false;
object err = null;
object transId = null;
bool IsSuccessful = rediOrder.Submit2(ref transId, ref err);
if (IsSuccessful)
{
v("successfully sent order: " + o.ToString());
object err1 = null;
_messageCache.VBRediCache.AddWatch(1, o.symbol, "", ref err1);
if (!(err1 == null))
{
debug("FAILED open of Table! Table : Message Error:" + err1.ToString());
}
else
{
v("successfully watching symbol: " + o.symbol);
}
}
else
{
v("error sending order: " + o.ToString());
if (!(err == null))
{
debug("order submission was not successful: " + err.ToString());
}
}
}
}
while (!_newcancel.isEmpty)
{
long id = _newcancel.Read();
v("received cancel request: " + id);
if (isPaperTradeEnabled)
{
ptt.sendcancel(id);
}
else
{
object err = null;
_messageCache.VBRediCache.Cancel(id, ref err);
if (err != null)
{
v("error canceling id: " + id);
}
else
{
v("cancel request sent for: " + id);
}
}
}
if (_newcancel.isEmpty && _neworders.isEmpty && _newsyms.isEmpty)
{
Thread.Sleep(_SLEEP);
}
}
}
void background(object param)
{
while (_runbg)
{
try
{
// orders
while (!_orderq.isEmpty)
{
STIOrder order = new STIOrder();
Order o = _orderq.Read();
if (VerboseDebugging)
{
debug("client order received: " + o.ToString());
}
if ((o.id == 0) && AutosetUnsetId)
{
o.id = _idt.AssignId;
}
if (isPaperTradeEnabled)
{
ptt.sendorder(o);
}
else
{
o.price = Math.Round(o.price, FixOrderDecimalPlace);
o.stopp = Math.Round(o.stopp, FixOrderDecimalPlace);
if (o.ex == string.Empty)
{
o.ex = o.symbol.Length > 3 ? "NSDQ" : "NYSE";
}
order.Destination = o.Exchange;
order.Side = getside(o.symbol, o.side);
order.Symbol = o.symbol;
order.Quantity = o.UnsignedSize;
string acct = Account != string.Empty ? Account : string.Empty;
order.Account = o.Account != string.Empty ? o.Account : acct;
order.Destination = o.Exchange != "" ? o.ex : "NYSE";
bool close = o.ValidInstruct == OrderInstructionType.MOC;
bool pegged = (o.ValidInstruct >= OrderInstructionType.PEG2MID) && (o.ValidInstruct <= OrderInstructionType.PEG2BST);
order.Tif = tif2tif(o.TIF);
if (!pegged)
{
order.LmtPrice = (double)o.price;
order.StpPrice = (double)o.stopp;
}
if (close)
{
if (o.isMarket)
{
order.PriceType = STIPriceTypes.ptSTIMktClo;
}
else if (o.isLimit)
{
order.PriceType = STIPriceTypes.ptSTILmtClo;
}
else
{
order.PriceType = STIPriceTypes.ptSTIClo;
}
}
else if (pegged)
{
order.PriceType = STIPriceTypes.ptSTIPegged;
if (o.price <= 0)
{
order.PegDiff = (double)o.price;
}
else
{
order.LmtPrice = (double)o.price;
}
if (o.ValidInstruct == OrderInstructionType.PEG2BST)
{
order.ExecInst = "T";
}
else if (o.ValidInstruct == OrderInstructionType.PEG2MID)
{
order.ExecInst = "M";
}
else if (o.ValidInstruct == OrderInstructionType.PEG2MKT)
{
order.ExecInst = "P";
}
else if (o.ValidInstruct == OrderInstructionType.PEG2PRI)
{
order.ExecInst = "R";
}
}
else if (o.isMarket)
{
order.PriceType = STIPriceTypes.ptSTIMkt;
}
else if (o.isLimit && o.isStop)
{
order.PriceType = STIPriceTypes.ptSTISvrStpLmt;
}
else if (o.isLimit)
{
order.PriceType = STIPriceTypes.ptSTILmt;
}
else if (o.isStop)
{
order.PriceType = STIPriceTypes.ptSTISvrStp;
}
else if (o.isTrail)
{
order.PriceType = STIPriceTypes.ptSTITrailStp;
}
order.ClOrderID = o.id.ToString();
int err = order.SubmitOrder();
if (VerboseDebugging)
{
debug("client order sent: " + order.ClOrderID);
}
string tmp = "";
if ((err == 0) && (!idacct.TryGetValue(o.id, out tmp)))
{
// save account/id relationship for canceling
idacct.Add(o.id, order.Account);
// wait briefly between orders
Thread.Sleep(_ORDERSLEEP);
}
if (err < 0)
{
debug("Error sending order: " + Util.PrettyError(tl.newProviderName, err) + o.ToString());
}
if (err == -1)
{
debug("Make sure you have set the account in sending program.");
}
}
}
// new quotes
if (!_symsq.isEmpty)
{
_symsq.Read();
foreach (string sym in symquotes.Split(','))
{
stiQuote.RegisterQuote(sym, "*");
}
}
// old quotes
while (removesym.hasItems)
{
string rem = removesym.Read();
stiQuote.DeRegisterQuote(rem, "*");
}
// cancels
if (!_cancelq.isEmpty)
{
long number = _cancelq.Read();
if (isPaperTradeEnabled)
{
ptt.sendcancel(number);
}
else
{
string acct = "";
if (idacct.TryGetValue(number, out acct))
{
// get unique cancel id
long cancelid = _canceltracker.AssignId;
// save cancel to order id relationship
_cancel2order.Add(cancelid, number);
bool isman;
// see if it's a manual order
if (!ismanorder.TryGetValue(number, out isman))
{
isman = false;
}
// send cancel
if (isman) // manual orders use nOrderRercordId
{
stiOrder.CancelOrder(acct, (int)number, null, cancelid.ToString());
}
else
{
stiOrder.CancelOrder(acct, 0, number.ToString(), cancelid.ToString());
}
if (VerboseDebugging)
{
debug("client cancel requested: " + number.ToString() + " " + cancelid.ToString());
}
}
else
{
debug("No record of order id: " + number.ToString());
}
// see if empty yet
if (_cancelq.hasItems)
{
Thread.Sleep(_CANCELWAIT);
}
}
}
// messages
if (_msgq.hasItems)
{
GenericMessage gm = _msgq.Read();
switch (gm.Type)
{
case MessageTypes.SENDORDERPEGMIDPOINT:
{
// create order
STIOrder order = new STIOrder();
// pegged 2 midmarket
order.ExecInst = "M";
// get order
Peg2Midpoint o = Peg2Midpoint.Deserialize(gm.Request);
if (!o.isValid)
{
break;
}
if (VerboseDebugging)
{
debug("client P2M order: " + o.ToString());
}
order.Symbol = o.symbol;
order.PegDiff = (double)o.pegdiff;
order.PriceType = STIPriceTypes.ptSTIPegged;
bool side = o.size > 0;
order.Side = getside(o.symbol, side);
order.Quantity = Math.Abs(o.size);
order.Destination = o.ex;
order.ClOrderID = o.id.ToString();
order.Tif = "D";
string acct = Account != string.Empty ? Account : string.Empty;
order.Account = o.Account != string.Empty ? o.Account : acct;
int err = order.SubmitOrder();
string tmp = "";
if ((err == 0) && (!idacct.TryGetValue(o.id, out tmp)))
{
idacct.Add(o.id, order.Account);
}
if (err < 0)
{
debug("Error sending order: " + Util.PrettyError(tl.newProviderName, err) + o.ToString());
}
if (err == -1)
{
debug("Make sure you have set the account in sending program.");
}
}
break;
}
}
if (_lastimbalance != _imbalance)
{
_lastimbalance = _imbalance;
// register for imbalance data
stiQuote.RegisterForAllMdx(true);
}
}
catch (Exception ex)
{
debug(ex.Message + ex.StackTrace);
}
if (_symsq.isEmpty && _orderq.isEmpty && _cancelq.isEmpty)
{
Thread.Sleep(_SLEEP);
}
}
}
