void CreateAutoSpreader(object sender, InstrumentLookupSubscriptionEventArgs e)
{
if (e.Instrument != null && e.Error == null)
{
// Instrument was found
Console.WriteLine("Found: {0}", e.Instrument.Name);
InstrumentDictionary.Add(e.Instrument.Key, e.Instrument);
// Update the dictionary to indicate that the instrument was found.
InstrumentLookupSubscription instrLookupSub = sender as InstrumentLookupSubscription;
if (SpreadLegKeys.ContainsKey((int)instrLookupSub.Tag))
{
SpreadLegKeys[(int)instrLookupSub.Tag] = e.Instrument;
}
}
else if (e.IsFinal)
{
// Instrument was not found and TT API has given up looking for it
Console.WriteLine("Cannot find instrument: {0}", e.Error.Message);
Subs.Dispose();
}
// If we have found all of the leg instruments, proceed with the creation of the spread.
if (HaveWeFoundAllLegs())
{
Console.WriteLine("All leg instruments have been found. Creating the spread...");
// SpreadDetails related properties
SpreadDetails spreadDetails = new SpreadDetails();
spreadDetails.Name = AutoSpreaderName;
for (int i = 0; i < DbTickerList.Count; i++)
{
Instrument instrument = SpreadLegKeys[i + 1];
var ValidOrderFeeds = instrument.GetValidOrderFeeds();
while (ValidOrderFeeds.Count == 0)
{
ValidOrderFeeds = instrument.GetValidOrderFeeds();
Console.WriteLine("Attempting to get valid forder feed for: " + DbTickerList[i]);
}
SpreadLegDetails spreadlegDetails = new SpreadLegDetails(instrument, ValidOrderFeeds[0].ConnectionKey);
spreadlegDetails.SpreadRatio = (int)RatioAndMultiplier["Ratio"][i];
spreadlegDetails.PriceMultiplier = RatioAndMultiplier["Multiplier"][i];
spreadlegDetails.CustomerName = "<DEFAULT>";
spreadlegDetails.PayupTicks = PayUpTicks;
spreadDetails.Legs.Append(spreadlegDetails);
}
// Create an AutospreaderInstrument corresponding to the synthetic spread
Air = new CreateAutospreaderInstrumentRequest(m_apiInstance.Session, Dispatcher.Current, spreadDetails);
Air.Completed += new EventHandler <CreateAutospreaderInstrumentRequestEventArgs>(m_casReq_Completed);
Air.Submit();
}
}
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);
}
public static void 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.");
}
}
public void Dispose()
{
TTAPISubs.Dispose();
}
/// <summary>
/// Shuts down the TT API
/// </summary>
public void Dispose()
{
ttapiSubs.Dispose();
}
/// <summary>
/// Event notification for price update
/// </summary>
void BreakoutAlgo(object sender, FieldsUpdatedEventArgs e)
{
if (e.Error == null)
{
dateTimeNow = DateTime.Now;
if ((dateTimeNow - DateTimePastPnlDisplay).Minutes > 10)
{
DisplayPnl();
DateTimePastPnlDisplay = dateTimeNow;
}
if (string.IsNullOrEmpty(e.Fields.GetDirectBidPriceField().FormattedValue))
{
return;
}
else
{
bidPrice = Convert.ToDouble(e.Fields.GetDirectBidPriceField().FormattedValue);
}
if (string.IsNullOrEmpty(e.Fields.GetDirectAskPriceField().FormattedValue))
{
return;
}
else
{
askPrice = Convert.ToDouble(e.Fields.GetDirectAskPriceField().FormattedValue);
}
midPrice = (bidPrice + askPrice) / 2;
spreadPrice = askPrice - bidPrice;
tickerDB = TA.TickerConverters.ConvertFromTTAPIFields2DB(e.Fields.Instrument.Product.ToString(), e.Fields.Instrument.Name.ToString());
string TickerHead = ContractUtilities.ContractMetaInfo.GetContractSpecs(tickerDB).tickerHead;
string ExchangeName = ContractUtilities.ContractMetaInfo.GetExchange4Tickerhead(TickerHead);
FilledPosition = BreakoutPosition.GetFilledPosition4Ticker(tickerDB);
WorkingPosition = BreakoutPosition.GetWorkingPosition4Ticker(tickerDB);
TotalPosition = FilledPosition + WorkingPosition;
Std4Ticker = StdDict[tickerDB];
Qty4Ticker = QtyDict[tickerDB];
TotalOrders = BreakoutPosition.PositionWithAllOrders.Select("Qty<>0").Length;
int tickerIndex = Enumerable.Range(0, dbTickerList.Count).Where(i => dbTickerList[i] == tickerDB).ToList()[0];
ts = ttapiSubs.TsDictionary[e.Fields.Instrument.Key];
if ((midPrice < rangeMinList[tickerIndex]) &&
(FilledPosition == 0) && (WorkingPosition == 0) &&
(dateTimeNow < LastTradeEntryTime))
{
if (Std4Ticker > StdPerBet)
{
BreakoutLogger.Log(tickerDB + " has std " + Std4Ticker + " too large for current risk limits! ");
return;
}
PortfolioVarChange = Risk.PorfolioRisk.GetChangeInRiskAfterTickerInclusion(BreakoutPosition.PositionWithAllOrders, CovMatrix,
tickerDB, -Qty4Ticker);
PortfolioStdAfter = Math.Sqrt(Math.Pow(PortfolioStd, 2) + PortfolioVarChange);
if (double.IsNaN(PortfolioStdAfter))
{
BreakoutLogger.Log("After trading " + tickerDB + " portfolio std would be: " + PortfolioStdAfter);
BreakoutLogger.Log("PortfolioStd: " + PortfolioStd);
BreakoutLogger.Log("PortfolioVarChange: " + PortfolioVarChange);
return;
}
if (PortfolioStdAfter > PortfolioStdLimit)
{
BreakoutLogger.Log("After trading " + tickerDB + " portfolio std would be: " + PortfolioStdAfter + " too large!");
return;
}
else
{
BreakoutLogger.Log(tickerDB + " trade satisfies risk limit with target portfolio risk: " + PortfolioStdAfter);
}
BreakoutLogger.Log("Bearish Breakout in " + tickerDB);
BreakoutLogger.Log("Range Min: " + rangeMinList[tickerIndex]);
BreakoutLogger.Log("Current Price: " + midPrice);
BreakoutLogger.Log("Std 4 Ticker: " + Std4Ticker);
if (TotalOrders >= MaxOrdersSent)
{
BreakoutLogger.Log("Total orders sent : " + TotalOrders + " is not smaller than " + MaxOrdersSent);
return;
}
if (LiveTradingQ)
{
ttapiUtils.Trade.SendLimitOrder(e.Fields.Instrument, e.Fields.GetBestAskPriceField().Value, -Qty4Ticker, ttapiSubs);
BreakoutPosition.OrderSend(tickerDB, -Qty4Ticker);
}
else
{
BreakoutPosition.OrderSend(tickerDB, -Qty4Ticker);
BreakoutPosition.OrderFill(tickerDB, -Qty4Ticker);
}
PortfolioStd = Risk.PorfolioRisk.GetPortfolioRiskFromCovMatrix(BreakoutPosition.PositionWithAllOrders, CovMatrix);
BreakoutLogger.Log("Portfolio Std After Fill: " + PortfolioStd);
}
else if ((midPrice > rangeMaxList[tickerIndex]) &&
(FilledPosition == 0) && (WorkingPosition == 0) &&
(dateTimeNow < LastTradeEntryTime))
{
if (Std4Ticker > StdPerBet)
{
BreakoutLogger.Log(tickerDB + " has std " + Std4Ticker + " too large for current risk limits! ");
return;
}
PortfolioVarChange = Risk.PorfolioRisk.GetChangeInRiskAfterTickerInclusion(BreakoutPosition.PositionWithAllOrders, CovMatrix,
tickerDB, Qty4Ticker);
PortfolioStdAfter = Math.Sqrt(Math.Pow(PortfolioStd, 2) + PortfolioVarChange);
if (double.IsNaN(PortfolioStdAfter))
{
BreakoutLogger.Log("After trading " + tickerDB + " portfolio std would be: " + PortfolioStdAfter);
BreakoutLogger.Log("PortfolioStd: " + PortfolioStd);
BreakoutLogger.Log("PortfolioVarChange: " + PortfolioVarChange);
return;
}
if (PortfolioStdAfter > PortfolioStdLimit)
{
BreakoutLogger.Log("After trading " + tickerDB + " portfolio std would be: " + PortfolioStdAfter + " too large!");
return;
}
else
{
BreakoutLogger.Log(tickerDB + " trade satisfies risk limit with target portfolio risk: " + PortfolioStdAfter);
}
BreakoutLogger.Log("Bullish Breakout in " + tickerDB);
BreakoutLogger.Log("Range Max: " + rangeMaxList[tickerIndex]);
BreakoutLogger.Log("Current Price: " + midPrice);
BreakoutLogger.Log("Std 4 Ticker: " + Std4Ticker);
if (TotalOrders >= MaxOrdersSent)
{
BreakoutLogger.Log("Total orders sent : " + TotalOrders + " is not smaller than " + MaxOrdersSent);
return;
}
if (LiveTradingQ)
{
ttapiUtils.Trade.SendLimitOrder(e.Fields.Instrument, e.Fields.GetBestAskPriceField().Value, Qty4Ticker, ttapiSubs);
BreakoutPosition.OrderSend(tickerDB, Qty4Ticker);
}
else
{
BreakoutPosition.OrderSend(tickerDB, Qty4Ticker);
BreakoutPosition.OrderFill(tickerDB, Qty4Ticker);
}
PortfolioStd = Risk.PorfolioRisk.GetPortfolioRiskFromCovMatrix(BreakoutPosition.PositionWithAllOrders, CovMatrix);
BreakoutLogger.Log("Portfolio Std After Fill: " + PortfolioStd);
}
else if ((FilledPosition > 0) && (WorkingPosition == 0) && (midPrice < rangeMinList[tickerIndex]))
{
BreakoutLogger.Log("Pnl in " + tickerDB + ": " + (midPrice - rangeMaxList[tickerIndex]).ToString());
if (LiveTradingQ)
{
ttapiUtils.Trade.SendLimitOrder(e.Fields.Instrument, e.Fields.GetBestAskPriceField().Value, -(int)FilledPosition, ttapiSubs);
BreakoutPosition.OrderSend(tickerDB, -FilledPosition);
}
else
{
BreakoutPosition.OrderSend(tickerDB, -FilledPosition);
BreakoutPosition.OrderFill(tickerDB, -FilledPosition);
}
PortfolioStd = Risk.PorfolioRisk.GetPortfolioRiskFromCovMatrix(BreakoutPosition.PositionWithAllOrders, CovMatrix);
BreakoutLogger.Log("Portfolio Std After Fill: " + PortfolioStd);
}
else if ((FilledPosition < 0) && (WorkingPosition == 0) && (midPrice > rangeMaxList[tickerIndex]))
{
BreakoutLogger.Log("Pnl in " + tickerDB + ": " + (rangeMinList[tickerIndex] - midPrice).ToString());
if (LiveTradingQ)
{
ttapiUtils.Trade.SendLimitOrder(e.Fields.Instrument, e.Fields.GetBestAskPriceField().Value, -(int)FilledPosition, ttapiSubs);
BreakoutPosition.OrderSend(tickerDB, -FilledPosition);
}
else
{
BreakoutPosition.OrderSend(tickerDB, -FilledPosition);
BreakoutPosition.OrderFill(tickerDB, -FilledPosition);
}
PortfolioStd = Risk.PorfolioRisk.GetPortfolioRiskFromCovMatrix(BreakoutPosition.PositionWithAllOrders, CovMatrix);
BreakoutLogger.Log("Portfolio Std After Fill: " + PortfolioStd);
}
}
else
{
if (e.Error.IsRecoverableError == false)
{
Console.WriteLine("Unrecoverable price subscription error: {0}", e.Error.Message);
ttapiSubs.Dispose();
}
}
}
