private OrderConfirmation PlaceSpreadOrder(string token, enumOrderType orderType, decimal?price, decimal?stop, int refid)
{
Order order = InitOrder();
order.UnderlyingSymbol = "AA";
OrderLeg leg = new OrderLeg()
{
AssetType = enumAssetType.Equity,
Symbol = "AA",
Action = enumOrderAction.Sell,
SpreadRatio = 100,
PositionEffect = enumPositionEffect.Close
};
order.Legs.Add(leg);
leg = new OrderLeg()
{
AssetType = enumAssetType.Option,
Symbol = "AA 180817C50000",
Action = enumOrderAction.Buy,
SpreadRatio = 1,
PositionEffect = enumPositionEffect.Close
};
order.Legs.Add(leg);
leg = new OrderLeg()
{
AssetType = enumAssetType.Option,
Symbol = "AA 180817P48000",
Action = enumOrderAction.Sell,
SpreadRatio = 1,
PositionEffect = enumPositionEffect.Close
};
order.Legs.Add(leg);
order.ClientRefId = refid;
order.OrderClass = enumOrderClass.Multileg;
order.Quantity = 1; //this is spread quantity
order.DebitCredit = enumDebitCredit.Debit;
order.OrderType = orderType;
order.Price = price;
order.Stop = stop;
order.AllOrNone = false;
order.Duration = enumOrderDuration.Day;
var confirm = PlaceNewOrder(token, order);
return(confirm);
}
public Order(string symbol, int volume, double price, string userId, enumOrderType orderType, enumSide orderSide)
: this()
{
Symbol = symbol;
Volume = volume;
if (orderSide.Equals(enumSide.Buy))
{
Price = Math.Abs(price);
}
if (orderSide.Equals(enumSide.Sell))
{
Price = -Math.Abs(price);
}
UserID = userId;
OrderType = orderType;
OrderSide = orderSide;
OrderStatus = enumStatus.Initial;
//OrderType = enumOrderType.Market;
//OrderSide = enumSide.Buy;
}
private OrderConfirmation ModifyOrder(string token, int orderId, enumOrderType orderType, decimal?price, decimal?stop, int referenceId)
{
Order order = InitOrder();
if (AccountId > 0)
{
order.AccountId = AccountId; // THIS FIELD IS OPTIONAL. ONLY REQUIRED IF YOU HAVE MORE THAN ONE ACCOUNT
}
if (SubaccountId.HasValue && SubaccountId.Value > 0)
{
order.SubaccountId = SubaccountId.Value; // THIS FIELD IS OPTIONAL. ONLY REQUIRED IF YOU HAVE MORE THAN ONE SUBACCOUNT
}
order.OrderId = orderId;
order.ClientRefId = referenceId;
order.OrderType = orderType;
order.Price = price;
order.Stop = stop;
return(PlaceChangeOrder(token, order));
}
/// <summary>
/// Calculate the VWAP price
/// </summary>
/// <returns></returns>
private double GetVWAP(string Symbol, enumOrderType orderType, enumSide side)
{
double VWAP = 0;
if (orderType.Equals(enumOrderType.Market))
{
VWAP = Convert.ToDouble(Int16.MinValue); // For a market type, return a -32768
}
else
{
List <ExchangeOrder> liveOrders = null;
int qty = 0;
if (side.Equals(enumSide.Buy) && Sells.ContainsKey(Symbol))
{
liveOrders = Sells[Symbol];
}
if (side.Equals(enumSide.Sell) && Buys.ContainsKey(Symbol))
{
liveOrders = Buys[Symbol];
}
if (liveOrders == null)
{
VWAP = Convert.ToDouble(Int16.MaxValue);
}
foreach (ExchangeOrder eo in liveOrders)
{
VWAP += eo.Offer * eo.Volume;
qty += eo.Volume;
}
if (!qty.Equals(0.0))
{
VWAP /= qty;
}
else
{
throw new DivideByZeroException(string.Format("Quantity becomes ZERO in GetVWAP, how come! Sybmol {0}, Side {1}", Symbol, side));
}
}
return(VWAP);
}
public string PlaceAnOrder(string UserName, string UserId, string Symbol, string Volume, string Price, string OrderType, string OrderSide)
{
User user = null;
string message = string.Empty;
string userId = MatchMeDB.Instance.UserTable[Config.AdminUser].Id;
enumStatus status = enumStatus.Unknown;
enumSide orderside = enumSide.Invalid;
enumOrderType ordertype = enumOrderType.Invalid;
double price = 0.0;
int volume = 0;
bool exist = false;
double requiredbalance = 0.0;
double remainbalance = 0.0;
string symbol = Symbol.ToUpper();
try
{
Symbol = Symbol.ToUpper();
if (!int.TryParse(Volume, out volume))
{
message = string.Format("Error: Invalid Volume: {0}", volume);
status = enumStatus.OrderPlaceError;
}
if (!status.Equals(enumStatus.OrderPlaceError) && !string.IsNullOrEmpty(symbol))
{
List <Order> companies = MatchMeDB.Instance.OrderTable.ContainsKey(userId) ? MatchMeDB.Instance.OrderTable[userId] : new List <Order>();
exist = companies.Where(a => a.Symbol.Equals(symbol)).Count() > 0;
if (!exist)
{
message = string.Format("Error: The Company does not exist {0}", symbol);
status = enumStatus.OrderPlaceError;
}
}
else
{
message = string.Format("Error: The Company does not exist {0}", symbol);
status = enumStatus.OrderPlaceError;
}
if (!status.Equals(enumStatus.OrderPlaceError) && !Enum.TryParse(OrderSide, true, out orderside))
{
message = string.Format("Error: Invalid Order Side: {0}", OrderSide);
status = enumStatus.OrderPlaceError;
}
if (!status.Equals(enumStatus.OrderPlaceError) && !Enum.TryParse(OrderType, true, out ordertype))
{
message = string.Format("Error: Invalid Order Type: {0}", OrderType);
status = enumStatus.OrderPlaceError;
}
if (!status.Equals(enumStatus.OrderPlaceError) && ordertype.Equals(enumOrderType.Market))
{
price = Exchange.Instance.GetMarketPrice(orderside, symbol, volume);
}
if (!status.Equals(enumStatus.OrderPlaceError) && ordertype.Equals(enumOrderType.Limit))
{
if (!double.TryParse(Price, out price))
{
message = string.Format("Error: Invalid Price: {0}", Price);
status = enumStatus.OrderPlaceError;
}
if (!status.Equals(enumStatus.OrderPlaceError) && orderside.Equals(enumSide.Sell))
{
price = (-1) * Math.Abs(price);
}
}
if (!status.Equals(enumStatus.OrderPlaceError) && !string.IsNullOrEmpty(UserName))
{
MatchMeDB.Instance.UserTable.TryGetValue(UserName, out user);
if (user == null)
{
message = string.Format("Error: Can't retrieve the User from the db via the keys. UserName{0}, UserId{1}", UserName, UserId);
status = enumStatus.OrderPlaceError;
}
}
if (!status.Equals(enumStatus.OrderPlaceError) && string.IsNullOrEmpty(message) && exist)
{
if (price > 0)
{
//price larger than zero means that it's a buy limit order or an order with valid market price
requiredbalance = price * volume + Config.Commission;
}
if (requiredbalance > user.Balance)
{
//check if balance is enough
remainbalance = requiredbalance - user.Balance;
message = string.Format("Error: No Enough Balance: Remain balance {0}, Requires {1} to place the order", user.Balance, remainbalance);
status = enumStatus.Rejected;
}
else
{
Order newOrder = new Order(symbol, volume, price, user.Id, ordertype, orderside);
if (orderside.Equals(enumSide.Sell))
{
status = Exchange.Instance.PlaceSell(newOrder);
if (status.Equals(enumStatus.Rejected))
{
message = string.Format("Error: Short Sell is not allowed. {0}", newOrder);
}
}
else if (orderside.Equals(enumSide.Buy))
{
status = Exchange.Instance.PlaceBuy(newOrder);
}
if (!status.Equals(enumStatus.OrderPlaceError) && string.IsNullOrEmpty(message))
{
message = "New Order Placed:" + MatchMeDB.Instance.Orders[newOrder.Id];
status = enumStatus.OrderPlaced;
}
}
}
}
catch (Exception ex)
{
ServerLog.LogException(ex, string.Format("Place Order Failed, User {0}, Symbol {1}", user.ToString(), Symbol));
message = ex.Message;
status = enumStatus.OrderPlaceError;
}
var result = new Dictionary <string, string> {
{ "status", status.ToString() }, { "message", message }
};
return(JsonConvert.SerializeObject(result));
}
internal OrderConfirmation PlaceSimpleOrder(string token, string symbol, string underlying,
enumAssetType assetType, enumPositionEffect positionEffect, enumOrderAction action, enumOrderType orderType,
decimal?price, decimal?stop, int referenceId)
{
Order order = InitOrder();
order.UnderlyingSymbol = underlying;
if (AccountId > 0)
{
order.AccountId = AccountId; // THIS FIELD IS OPTIONAL. ONLY REQUIRED IF YOU HAVE MORE THAN ONE ACCOUNT
}
if (SubaccountId.HasValue && SubaccountId.Value > 0)
{
order.SubaccountId = SubaccountId.Value; // THIS FIELD IS OPTIONAL. ONLY REQUIRED IF YOU HAVE MORE THAN ONE SUBACCOUNT
}
OrderLeg leg = new OrderLeg()
{
AssetType = assetType,
Symbol = symbol,
Action = action,
PositionEffect = positionEffect
};
order.Legs.Add(leg);
order.ClientRefId = referenceId;
order.OrderClass = enumOrderClass.Single;
order.Quantity = 10;
order.OrderType = orderType;
order.Price = price;
order.Stop = stop;
order.AllOrNone = false;
order.Duration = enumOrderDuration.Day;
return(PlaceNewOrder(token, order));
}
