private void ProcessOrderReplaceMessage(OrderReplaceMessage replaceMsg)
{
var condition = (SterlingOrderCondition)replaceMsg.Condition;
var replaceOrder = new STIOrder
{
Account = replaceMsg.PortfolioName,
Quantity = (int) replaceMsg.Volume,
Display = (int)(replaceMsg.VisibleVolume ?? replaceMsg.Volume),
ClOrderID = replaceMsg.TransactionId.To<string>(),
LmtPrice = (double) replaceMsg.Price,
Symbol = replaceMsg.SecurityId.SecurityCode,
Destination = replaceMsg.SecurityId.BoardCode,
Tif = replaceMsg.TimeInForce.ToSterlingTif(replaceMsg.TillDate),
PriceType = replaceMsg.OrderType.Value.ToSterlingPriceType(condition),
User = replaceMsg.Comment
};
if (replaceMsg.TillDate != null && replaceMsg.TillDate != DateTimeOffset.MaxValue)
replaceOrder.EndTime = replaceMsg.TillDate.Value.ToString("yyyyMMdd");
if (replaceMsg.Currency != null)
replaceOrder.Currency = replaceMsg.Currency.ToString();
replaceOrder.ReplaceOrder(0, replaceMsg.OldTransactionId.To<string>());
}
private void ProcessOrderReplaceMessage(OrderReplaceMessage replaceMsg)
{
var condition = (SterlingOrderCondition)replaceMsg.Condition;
var replaceOrder = new STIOrder
{
Account = replaceMsg.PortfolioName,
Quantity = (int)replaceMsg.Volume,
Display = (int)(replaceMsg.VisibleVolume ?? replaceMsg.Volume),
ClOrderID = replaceMsg.TransactionId.To <string>(),
LmtPrice = (double)replaceMsg.Price,
Symbol = replaceMsg.SecurityId.SecurityCode,
Destination = replaceMsg.SecurityId.BoardCode,
Tif = replaceMsg.TimeInForce.ToSterlingTif(replaceMsg.TillDate),
PriceType = replaceMsg.OrderType.ToSterlingPriceType(condition),
User = replaceMsg.Comment
};
if (replaceMsg.TillDate != null && replaceMsg.TillDate != DateTimeOffset.MaxValue)
{
replaceOrder.EndTime = replaceMsg.TillDate.Value.ToString("yyyyMMdd");
}
if (replaceMsg.Currency != null)
{
replaceOrder.Currency = replaceMsg.Currency.ToString();
}
replaceOrder.ReplaceOrder(0, replaceMsg.OldTransactionId.To <string>());
}
private void ProcessOrderRegisterMessage(OrderRegisterMessage regMsg)
{
var condition = (SterlingOrderCondition)regMsg.Condition;
var orderType = regMsg.OrderType.Value;
var order = new STIOrder
{
Account = regMsg.PortfolioName,
Quantity = (int)regMsg.Volume,
Display = (int)(regMsg.VisibleVolume ?? regMsg.Volume),
ClOrderID = regMsg.TransactionId.To <string>(),
LmtPrice = (double)regMsg.Price,
Symbol = regMsg.SecurityId.SecurityCode,
Destination = regMsg.SecurityId.BoardCode,
Tif = regMsg.TimeInForce.ToSterlingTif(regMsg.TillDate),
PriceType = orderType.ToSterlingPriceType(condition),
User = regMsg.Comment,
Side = regMsg.Side.ToSterlingSide()
};
if (regMsg.TillDate != null && regMsg.TillDate != DateTimeOffset.MaxValue)
{
order.EndTime = regMsg.TillDate.Value.ToString("yyyyMMdd");
}
if (regMsg.Currency != null)
{
order.Currency = regMsg.Currency.ToString();
}
if (orderType == OrderTypes.Conditional)
{
order.Discretion = condition.Discretion.ToDouble();
order.ExecInst = condition.ExecutionInstruction.ToSterling();
order.ExecBroker = condition.ExecutionBroker;
order.ExecPriceLmt = condition.ExecutionPriceLimit.ToDouble();
order.PegDiff = condition.PegDiff.ToDouble();
order.TrailAmt = condition.TrailingVolume.ToDouble();
order.TrailInc = condition.TrailingIncrement.ToDouble();
order.StpPrice = condition.StopPrice.ToDouble();
order.MinQuantity = condition.MinVolume.ToInt();
order.AvgPriceLmt = condition.AveragePriceLimit.ToDouble();
order.Duration = condition.Duration ?? 0;
order.LocateBroker = condition.LocateBroker;
order.LocateQty = condition.LocateVolume.ToInt();
order.LocateTime = condition.LocateTime.ToSterling();
order.OpenClose = condition.Options.IsOpen.ToSterling();
order.Maturity = condition.Options.Maturity.ToSterling();
order.PutCall = condition.Options.Type.ToSterling();
order.Underlying = condition.Options.UnderlyingCode;
order.CoverUncover = condition.Options.IsCover.ToSterling();
order.Instrument = condition.Options.UnderlyingType.ToSterling();
order.StrikePrice = condition.Options.StrikePrice.ToDouble();
}
order.SubmitOrder();
}
public override int SubmitOrder()
{
int rs;
stiOrder = typeMapper.Map<Order, STIOrderClass>(this);
rs = stiOrder.SubmitOrder();
return rs;
}
private void ProcessOrderRegisterMessage(OrderRegisterMessage regMsg)
{
var condition = (SterlingOrderCondition)regMsg.Condition;
var orderType = regMsg.OrderType.Value;
var order = new STIOrder
{
Account = regMsg.PortfolioName,
Quantity = (int)regMsg.Volume,
Display = (int)(regMsg.VisibleVolume ?? regMsg.Volume),
ClOrderID = regMsg.TransactionId.To<string>(),
LmtPrice = (double)regMsg.Price,
Symbol = regMsg.SecurityId.SecurityCode,
Destination = regMsg.SecurityId.BoardCode,
Tif = regMsg.TimeInForce.ToSterlingTif(regMsg.TillDate),
PriceType = orderType.ToSterlingPriceType(condition),
User = regMsg.Comment,
Side = regMsg.Side.ToSterlingSide()
};
if (regMsg.TillDate != null && regMsg.TillDate != DateTimeOffset.MaxValue)
order.EndTime = regMsg.TillDate.Value.ToString("yyyyMMdd");
if (regMsg.Currency != null)
order.Currency = regMsg.Currency.ToString();
if (orderType == OrderTypes.Conditional)
{
order.Discretion = condition.Discretion.ToDouble();
order.ExecInst = condition.ExecutionInstruction.ToSterling();
order.ExecBroker = condition.ExecutionBroker;
order.ExecPriceLmt = condition.ExecutionPriceLimit.ToDouble();
order.PegDiff = condition.PegDiff.ToDouble();
order.TrailAmt = condition.TrailingVolume.ToDouble();
order.TrailInc = condition.TrailingIncrement.ToDouble();
order.StpPrice = condition.StopPrice.ToDouble();
order.MinQuantity = condition.MinVolume.ToInt();
order.AvgPriceLmt = condition.AveragePriceLimit.ToDouble();
order.Duration = condition.Duration ?? 0;
order.LocateBroker = condition.LocateBroker;
order.LocateQty = condition.LocateVolume.ToInt();
order.LocateTime = condition.LocateTime.ToSterling();
order.OpenClose = condition.Options.IsOpen.ToSterling();
order.Maturity = condition.Options.Maturity.ToSterling();
order.PutCall = condition.Options.Type.ToSterling();
order.Underlying = condition.Options.UnderlyingCode;
order.CoverUncover = condition.Options.IsCover.ToSterling();
order.Instrument = condition.Options.UnderlyingType.ToSterling();
order.StrikePrice = condition.Options.StrikePrice.ToDouble();
}
order.SubmitOrder();
}
public override int SubmitOrder(ref OrderModel orderM)
{
int rs;
stiOrder = typeMapper.Map<Order, STIOrderClass>(this);
var sctSTIOrder = typeMapper.Map<OrderModel, structSTIOrder>(orderM);
rs = stiOrder.SubmitOrderStruct(ref sctSTIOrder);
orderM = typeMapper.Map<structSTIOrder, OrderModel>(sctSTIOrder);
return rs;
}
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);
}
}
void tt_Tick(object sender, EventArgs e)
{
// orders
while (or < oc)
{
STIOrder order = new STIOrder();
if (or == oq.Length)
{
or = 0;
}
Order o = oq[or++];
order.LmtPrice = (double)o.price;
order.StpPrice = (double)o.stopp;
order.Destination = o.Exchange;
order.Side = o.side ? "B" : "S";
order.Symbol = o.symbol;
order.Quantity = o.UnsignedSize;
string acct = accts.Count > 0 ? accts[0] : "";
order.Account = o.Account != "" ? o.Account : acct;
order.Destination = o.Exchange != "" ? o.ex : "NYSE";
order.Tif = o.TIF;
order.PriceType = o.isMarket ? STIPriceTypes.ptSTIMkt : (o.isLimit ? STIPriceTypes.ptSTILmt : STIPriceTypes.ptSTISvrStp);
order.ClOrderID = o.id.ToString();
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.");
}
}
// quotes
if (qc > qr)
{
foreach (string sym in symquotes.Split(','))
{
stiQuote.RegisterQuote(sym, "*");
}
qr = qc;
}
// cancels
if (ic > ir)
{
if (ir == idq.Length)
{
ir = 0;
}
uint number = idq[ir++];
string acct = "";
if (idacct.TryGetValue(number, out acct))
{
stiOrder.CancelOrder(acct, 0, number.ToString(), DateTime.Now.Ticks.ToString() + acct);
tl.newOrderCancel(number);
}
else
{
debug("No record of id: " + number.ToString());
}
}
}
void background(object param)
{
while (_runbg)
{
try
{
// new quotes
if (!_symsq.isEmpty)
{
_symsq.Read();
// clear index
ssym2longsymidx.Clear();
for (int i = 0; i<syms.Length; i++)
{
string sym = syms[i];
// get security
Security sec = SecurityImpl.Parse(sym);
if (sec.hasDest)
stiQuote.RegisterQuote(sec.Symbol_Spaces,sec.DestEx);
else if (sec.Type== SecurityType.OPT)
stiQuote.RegisterQuote(sec.Symbol_Spaces, "O");
else
stiQuote.RegisterQuote(sec.Symbol_Spaces, "*");
// save relationship
if (!ssym2longsymidx.ContainsKey(sec.Symbol_Spaces))
ssym2longsymidx.Add(sec.Symbol_Spaces, i);
else
{
v(sec.Symbol_Spaces + " replacing index: " + ssym2longsymidx[sec.Symbol_Spaces] + " with: " + i);
ssym2longsymidx[sec.Symbol_Spaces] = i;
}
}
// wait moment for quotes to load
Thread.Sleep(PostSymSubscribeWait);
}
// 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);
Security sec = SecurityImpl.Parse(o.symbol);
order.Instrument = getinstrument(sec);
order.Symbol = sec.Symbol_Spaces;
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)
{
if (UseServerStops)
order.PriceType = STIPriceTypes.ptSTISvrStpLmt;
else
order.PriceType = STIPriceTypes.ptSTILmtStp;
}
else if (o.isLimit)
order.PriceType = STIPriceTypes.ptSTILmt;
else if (o.isStop)
{
if (UseServerStops)
order.PriceType = STIPriceTypes.ptSTISvrStp;
else
{
order.PriceType = STIPriceTypes.ptSTILmtStp;
}
}
else if (o.isTrail)
order.PriceType = STIPriceTypes.ptSTITrailStp;
// sterling options need some information provided twice
if (sec.Type == SecurityType.OPT)
{
if (SecurityImpl.ParseOptionOSI(sec.Symbol_Spaces, ref sec, v))
{
order.Maturity = sec.Date.ToString();
order.PutCall = sec.isCall ? "C" : "P";
order.StrikePrice = (double)sec.Strike;
order.Underlying = sec.Symbol;
string symbol = order.Symbol;
// if we're flat or going with our side, it's an open
if (pt[symbol, o.Account].isFlat || (pt[symbol, o.Account].isLong == o.side))
{
v(o.symbol + " marking option order as open: " + o.ToString() + " from pos: " + pt[symbol, o.Account]);
order.OpenClose = "O";
}
// if going against our side, it's a close
else if (!pt[symbol, o.Account].isFlat && (pt[symbol, o.Account].isLong == o.side))
{
v(o.symbol + " marking option order as close: " + o.ToString() + " from pos: " + pt[symbol, o.Account]);
order.OpenClose = "C";
}
}
else
debug("error parsing option osi: " + o.symbol + " on order: " + o.ToString());
}
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 order was sent and we're following short regulations, start tracking this order
if ((err == 0) && RegSHOShorts)
{
// keep track that we sent the order
sho.GotOrder(o);
}
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.");
if (SendCancelOnError)
{
v("sending cancel ack for error on order id: " + o.id);
newcancel(o.id);
}
}
}
}
// 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 = _idt.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(order.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);
}
}
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);
}
}
}
void tt_Tick(object sender, EventArgs e)
{
// orders
while (or < oc)
{
STIOrder order = new STIOrder();
if (or == oq.Length) or = 0;
Order o = oq[or++];
order.LmtPrice = (double)o.price;
order.StpPrice = (double)o.stopp;
order.Destination = o.Exchange;
order.Side = o.side ? "B" : "S";
order.Symbol = o.symbol;
order.Quantity = o.UnsignedSize;
string acct = accts.Count>0 ? accts[0] : "";
order.Account = o.Account != "" ? o.Account : acct;
order.Destination = o.Exchange != "" ? o.ex : "NYSE";
order.Tif = o.TIF;
order.PriceType = o.isMarket ? STIPriceTypes.ptSTIMkt : (o.isLimit ? STIPriceTypes.ptSTILmt : STIPriceTypes.ptSTISvrStp);
order.ClOrderID = o.id.ToString();
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.");
}
// quotes
if (qc > qr)
{
foreach (string sym in symquotes.Split(','))
stiQuote.RegisterQuote(sym, "*");
qr = qc;
}
// cancels
if (ic > ir)
{
if (ir == idq.Length) ir = 0;
uint number = idq[ir++];
string acct = "";
if (idacct.TryGetValue(number, out acct))
{
stiOrder.CancelOrder(acct, 0, number.ToString(), DateTime.Now.Ticks.ToString() + acct);
tl.newOrderCancel(number);
}
else
debug("No record of id: " + number.ToString());
}
}
