private void processServiceEvent(Event evt, Session session)
{
System.Console.WriteLine("\nProcessing " + evt.Type);
foreach (Message msg in evt)
{
if (msg.MessageType.Equals(SERVICE_OPENED))
{
System.Console.WriteLine("Service opened...");
Service service = session.GetService(d_service);
Request request = service.CreateRequest("GetBrokerSpecForUuid");
request.Set("uuid", 8049857);
System.Console.WriteLine("Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
else if (msg.MessageType.Equals(SERVICE_OPEN_FAILURE))
{
System.Console.Error.WriteLine("Error: Service failed to open");
}
}
}
public void AddSubscription(Security security)
{
Log.LogMessage(LogLevels.DETAILED, "Adding subscription for security: " + security.GetName());
CorrelationID cID = new CorrelationID(security.GetName());
Subscription newSubscription = new Subscription(security.GetName(), fields.GetFieldList(), "", cID);
Log.LogMessage(LogLevels.DETAILED, "Topic string: " + newSubscription.SubscriptionString);
List <Subscription> newSubList = new List <Subscription>();
newSubList.Add(newSubscription);
messageHandlers.Add(cID, security);
try {
Log.LogMessage(LogLevels.DETAILED, "Subscribing...");
this.session.Subscribe(newSubList);
Log.LogMessage(LogLevels.DETAILED, "Subscription request sent...");
}
catch (Exception ex) {
Log.LogMessage(LogLevels.BASIC, "Failed to subscribe: " + newSubList.ToString());
Console.WriteLine(ex.ToString());
}
}
public void CreateIOISubscription()
{
Log.LogMessage(LogLevels.DETAILED, "Create IOI Subscription");
CorrelationID cID = new CorrelationID();
Subscription newSubscription = new Subscription(IOISUBDATA_SERVICE + "/ioi", cID);
Log.LogMessage(LogLevels.DETAILED, "Topic string: " + newSubscription.SubscriptionString);
List <Subscription> newSubList = new List <Subscription>();
newSubList.Add(newSubscription);
subscriptionMessageHandlers.Add(cID, this.iois);
Log.LogMessage(LogLevels.DETAILED, "Added new IOIs message handler: " + cID.ToString());
try
{
Log.LogMessage(LogLevels.DETAILED, "Subscribing...");
this.session.Subscribe(newSubList);
Log.LogMessage(LogLevels.DETAILED, "Subscription request sent...");
}
catch (Exception ex)
{
Log.LogMessage(LogLevels.BASIC, "Failed to subscribe: " + newSubList.ToString());
Console.WriteLine(ex.ToString());
}
}
private bool sendRequest(ITickDataQuery tickDataQuery)
{
if (!ConnectAndOpenSession())
{
return(false);
}
Request request = getBBRequest(tickDataQuery);
CorrelationID cID = new CorrelationID(tickDataQuery);
Session.Cancel(cID);
Session.SendRequest(request, cID);
var msg = String.Format("Submitted request: {0} ({1} ~ {2}) ...",
tickDataQuery.Security,
tickDataQuery.StartDate.ToString("yy/MM/dd HH:mm:ss"),
tickDataQuery.EndDate.ToString("yy/MM/dd HH:mm:ss"));
OnBBHTDUpdate(new BBHTDEventArgs(EventType.StatusMsg, msg));
if (!Asynchronous)
{
return(synchronousProcessing());
}
return(true);
}
private bool authorizeUsers()
{
bool is_any_user_authorized = false;
// Authorize each of the users
for (int i = 0; i < d_tokens.Count; ++i)
{
bool isRunning = true;
Identity identity = d_session.CreateIdentity();
d_identities.Add(identity);
Request authRequest = d_apiAuthSvc.CreateAuthorizationRequest();
authRequest.Set("token", d_tokens[i]);
CorrelationID correlator = new CorrelationID(i);
EventQueue eventQueue = new EventQueue();
d_session.SendAuthorizationRequest(authRequest, identity,
eventQueue, correlator);
Event eventObj = eventQueue.NextEvent();
while (isRunning)
{
if (eventObj.Type == Event.EventType.RESPONSE ||
eventObj.Type == Event.EventType.REQUEST_STATUS)
{
foreach (Message msg in eventObj)
{
if (msg.MessageType == AUTHORIZATION_SUCCESS)
{
System.Console.WriteLine("Authorization SUCCESS for user:"******"Authorization FAILED for user:" + (i + 1));
System.Console.WriteLine(msg);
isRunning = false;
break;
}
else
{
System.Console.WriteLine(msg);
isRunning = false;
}
}
}
}
}
return(is_any_user_authorized);
}
private void printEvent(Event eventObj)
{
foreach (Message msg in eventObj)
{
CorrelationID correlationId = msg.CorrelationID;
if (correlationId != null)
{
System.Console.WriteLine("Correlator: " + correlationId);
}
System.Console.WriteLine(msg);
}
}
internal void submitRequest(Request request, MessageHandler handler)
{
CorrelationID newCID = new CorrelationID();
Log.LogMessage(LogLevels.BASIC, "EMSXAPI: Submitting request...adding MessageHandler [" + newCID + "]");
requestMessageHandlers.Add(newCID, handler);
try
{
session.SendRequest(request, newCID);
}
catch (Exception e)
{
System.Console.Error.WriteLine(e.StackTrace);
}
}
private bool GenerateApplicationToken(out string token)
{
bool isTokenSuccess = false;
bool isRunning = false;
token = string.Empty;
CorrelationID tokenReqId = new CorrelationID(99);
EventQueue tokenEventQueue = new EventQueue();
System.Console.WriteLine("Application token generation");
d_session.GenerateToken(tokenReqId, tokenEventQueue);
while (!isRunning)
{
Event eventObj = tokenEventQueue.NextEvent();
if (eventObj.Type == Event.EventType.TOKEN_STATUS)
{
System.Console.WriteLine("processTokenEvents");
foreach (Message msg in eventObj)
{
System.Console.WriteLine(msg.ToString());
if (msg.MessageType == TOKEN_SUCCESS)
{
token = msg.GetElementAsString("token");
System.Console.WriteLine("Application token sucess");
isTokenSuccess = true;
isRunning = true;
break;
}
else if (msg.MessageType == TOKEN_FAILURE)
{
System.Console.WriteLine("Application token failure");
isRunning = true;
break;
}
else
{
System.Console.WriteLine("Error while application token generation");
isRunning = true;
break;
}
}
}
}
return(isTokenSuccess);
}
public CorrelationID sendRequest(Request request, MessageHandler handler)
{
CorrelationID newCID = new CorrelationID();
Log.LogMessage(LogLevels.BASIC, "EMSXAPI: Send external refdata request...adding MessageHandler [" + newCID + "]");
requestMessageHandlers.Add(newCID, handler);
try
{
session.SendRequest(request, newCID);
return(newCID);
}
catch (Exception e)
{
System.Console.Error.WriteLine(e.StackTrace);
return(null);
}
}
private void processRequestDataEvent(Event eventObj, Session session)
{
// process message
foreach (Message msg in eventObj)
{
if (msg.MessageType.Equals(Bloomberglp.Blpapi.Name.GetName("IntradayTickResponse")))
{
CorrelationID cID = msg.CorrelationID;
var tickDateQuery = (ITickDataQuery)msg.CorrelationID.Object;
List <string> reponseFields = getReponseFields();
if (msg.HasElement(RESPONSE_ERROR))
{
// process error
Element error = msg.GetElement(RESPONSE_ERROR);
if (msg.NumElements == 1)
{
string errorMsg = tickDateQuery.Security + " " + error.GetElementAsString(MESSAGE);
OnBBHTDUpdate(new BBHTDEventArgs(EventType.StatusMsg, errorMsg));
return;
}
}
Element tickDataArray = msg.GetElement("tickData");
var tickData = new List <TickData>();
foreach (Element blmbTickDataElement in tickDataArray.Elements)
{
if (blmbTickDataElement.Name.ToString() == "tickData")
{
if (blmbTickDataElement.NumValues > 0)
{
for (int pointIndex = 0; pointIndex < blmbTickDataElement.NumValues; pointIndex++)
{
TickData tick = BBEventToTickData(blmbTickDataElement.GetValueAsElement(pointIndex), tickDateQuery);
tickData.Add(tick);
//Console.WriteLine(tick.ToString());
}
}
}
}
DataHandler.ParseTickDataList(tickDateQuery.CorrelationIdObj, tickData);
}
}
}
private void processSubscriptionDataEvent(Event evt, Session session)
{
Log.LogMessage(LogLevels.DETAILED, "Processing SUBSCRIPTION_DATA event");
foreach (Message msg in evt)
{
CorrelationID cID = msg.CorrelationID;
if (subscriptionMessageHandlers.ContainsKey(cID))
{
MessageHandler mh = subscriptionMessageHandlers[cID];
mh.processMessage(msg);
}
else
{
Log.LogMessage(LogLevels.BASIC, "Unexpected SUBSCRIPTION_DATA event recieved (CID=" + cID.ToString() + "): " + msg.ToString());
}
}
}
private void processServiceEvent(Event evt, Session session)
{
System.Console.WriteLine("\nProcessing " + evt.Type);
foreach (Message msg in evt)
{
if (msg.MessageType.Equals(SERVICE_OPENED))
{
System.Console.WriteLine("Service opened...");
Service service = session.GetService(d_service);
Request request = service.CreateRequest("CreateBasket");
// define the basket name
request.Set("EMSX_BASKET_NAME", "TestBasket");
// add any number of orders
request.Append("EMSX_SEQUENCE", 4313227);
request.Append("EMSX_SEQUENCE", 4313228);
//request.Append("EMSX_SEQUENCE", 1234567)
System.Console.WriteLine("Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
else if (msg.MessageType.Equals(SERVICE_OPEN_FAILURE))
{
System.Console.Error.WriteLine("Error: Service failed to open");
}
}
}
private bool GenerateToken()
{
bool isTokenSuccess = false;
bool isRunning = false;
CorrelationID tokenReqId = new CorrelationID(99);
EventQueue tokenEventQueue = new EventQueue();
session.GenerateToken(tokenReqId, tokenEventQueue);
while (!isRunning)
{
Event eventObj = tokenEventQueue.NextEvent();
if (eventObj.Type == Event.EventType.TOKEN_STATUS)
{
System.Console.WriteLine("processTokenEvents");
foreach (Message msg in eventObj)
{
System.Console.WriteLine(msg.ToString());
if (msg.MessageType == TOKEN_SUCCESS)
{
isTokenSuccess = true;
isRunning = true;
break;
}
else if (msg.MessageType == TOKEN_FAILURE)
{
Console.WriteLine("Received : " + TOKEN_FAILURE.ToString());
isRunning = true;
break;
}
else
{
Console.WriteLine("Error while Token Generation");
isRunning = true;
break;
}
}
}
}
return(isTokenSuccess);
}
private void processServiceEvent(Event evt, Session session)
{
System.Console.WriteLine("\nProcessing " + evt.Type);
foreach (Message msg in evt)
{
if (msg.MessageType.Equals(SERVICE_OPENED))
{
System.Console.WriteLine("Service opened...");
Service service = session.GetService(d_service);
Request request = service.CreateRequest("CancelRoute");
//request.set("EMSX_REQUEST_SEQ", 1);
//request.set("EMSX_TRADER_UUID", 1234567);
Element routes = request.GetElement("ROUTES"); //Note, the case is important.
Element route = routes.AppendElement(); // Multiple routes can be cancelled in a single request
route.GetElement("EMSX_SEQUENCE").SetValue(3657996);
route.GetElement("EMSX_ROUTE_ID").SetValue(1);
System.Console.WriteLine("Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
else if (msg.MessageType.Equals(SERVICE_OPEN_FAILURE))
{
System.Console.Error.WriteLine("Error: Service failed to open");
}
}
}
private void processServiceEvent(Event evt, Session session)
{
System.Console.WriteLine("\nProcessing " + evt.Type);
foreach (Message msg in evt)
{
if (msg.MessageType.Equals(SERVICE_OPENED))
{
System.Console.WriteLine("Service opened...");
Service service = session.GetService(d_service);
Request request = service.CreateRequest("SellSideAck");
//request.set("EMSX_REQUEST_SEQ", 1);
// Append is used as any number of orders can be ack'ed in a single request
request.Append("EMSX_SEQUENCE", 3852531);
// If performing the ack on an order owned by another team member, provide owner's UUID
//request.Set("EMSX_TRADER_UUID", 7654321);
System.Console.WriteLine("Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
else if (msg.MessageType.Equals(SERVICE_OPEN_FAILURE))
{
System.Console.Error.WriteLine("Error: Service failed to open");
}
}
}
private void processResponse(Event evt, Session session)
{
Log.LogMessage(LogLevels.DETAILED, "Processing RESPONSE event");
foreach (Message msg in evt)
{
CorrelationID cID = msg.CorrelationID;
if (requestMessageHandlers.ContainsKey(cID))
{
MessageHandler mh = requestMessageHandlers[cID];
mh.processMessage(msg);
requestMessageHandlers.Remove(cID);
Log.LogMessage(LogLevels.BASIC, "EMSXAPI: MessageHandler removed [" + cID + "]");
}
else
{
Log.LogMessage(LogLevels.BASIC, "Unexpected RESPONSE event recieved: " + msg.ToString());
}
}
}
private void processServiceEvent(Event evt, Session session)
{
System.Console.WriteLine("\nProcessing " + evt.Type);
foreach (Message msg in evt)
{
if (msg.MessageType.Equals(SERVICE_OPENED))
{
System.Console.WriteLine("Service opened...");
Service service = session.GetService(d_service);
Request request = service.CreateRequest("AssignTrader");
//request.Set("EMSX_REQUEST_SEQ", 1);
request.Append("EMSX_SEQUENCE", 3657359);
request.Append("EMSX_SEQUENCE", 3657360);
request.Set("EMSX_ASSIGNEE_TRADER_UUID", 12109783);
System.Console.WriteLine("Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
else if (msg.MessageType.Equals(SERVICE_OPEN_FAILURE))
{
System.Console.Error.WriteLine("Error: Service failed to open");
}
}
}
private void processServiceEvent(Event evt, Session session)
{
System.Console.WriteLine("\nProcessing " + evt.Type);
foreach (Message msg in evt)
{
if (msg.MessageType.Equals(SERVICE_OPENED))
{
System.Console.WriteLine("Service opened...");
Service service = session.GetService(d_service);
Request request = service.CreateRequest("GetBrokerStrategyInfoWithAssetClass");
//request.set("EMSX_REQUEST_SEQ", 1);
request.Set("EMSX_ASSET_CLASS", "EQTY"); //one of EQTY, OPT, FUT or MULTILEG_OPT
request.Set("EMSX_BROKER", "BMTB");
request.Set("EMSX_STRATEGY", "VWAP");
System.Console.WriteLine("Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
else if (msg.MessageType.Equals(SERVICE_OPEN_FAILURE))
{
System.Console.Error.WriteLine("Error: Service failed to open");
}
}
}
private void processEvent(Event eventObj, Session session)
{
switch (eventObj.Type)
{
case Event.EventType.RESPONSE: // final respose
OnBBHTDUpdate(new BBHTDEventArgs(EventType.StatusMsg,
String.Format("Response ({0} of {1}) received", requestPointer.ToString(), TickDataQueries.Count.ToString())));
processRequestDataEvent(eventObj, session);
foreach (Message msg in eventObj)
{
if (msg.MessageType.Equals(Bloomberglp.Blpapi.Name.GetName("IntradayTickResponse")))
{
CorrelationID cID = msg.CorrelationID;
var tickDateQuery = (ITickDataQuery)msg.CorrelationID.Object;
OnBBHTDUpdate(new BBHTDEventArgs(EventType.DataMsg,
String.Format("Completed ({0} of {1})", requestPointer.ToString(), TickDataQueries.Count.ToString()), tickDateQuery));
}
}
if (AutoChainQueries)
{
SendNextRequest();
}
break;
case Event.EventType.PARTIAL_RESPONSE:
partialResponseCnt++;
OnBBHTDUpdate(new BBHTDEventArgs(EventType.StatusMsg, "Pratial Response #" + partialResponseCnt.ToString()));
processRequestDataEvent(eventObj, session);
break;
default:
// processMiscEvents(eventObj, session);
break;
}
}
private void processServiceEvent(Event evt, Session session)
{
System.Console.WriteLine("\nProcessing " + evt.Type);
foreach (Message msg in evt)
{
if (msg.MessageType.Equals(SERVICE_OPENED))
{
System.Console.WriteLine("Service opened...");
Service service = session.GetService(d_service);
Request request = service.CreateRequest("DeleteOrder");
//request.set("EMSX_REQUEST_SEQ", 1);
request.GetElement("EMSX_SEQUENCE").AppendValue(4116556);
request.GetElement("EMSX_SEQUENCE").AppendValue(4116561);
System.Console.WriteLine("Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
else if (msg.MessageType.Equals(SERVICE_OPEN_FAILURE))
{
System.Console.Error.WriteLine("Error: Service failed to open");
}
}
}
internal void subscribe(String topic, MessageHandler handler)
{
CorrelationID newCID = new CorrelationID();
subscriptionMessageHandlers.Add(newCID, handler);
Log.LogMessage(LogLevels.BASIC, "Added Subscription message handler: " + newCID.ToString());
try
{
Subscription sub = new Subscription(topic, newCID);
List <Subscription> subs = new List <Subscription>();
subs.Add(sub);
session.Subscribe(subs);
}
catch (Exception e)
{
System.Console.Error.WriteLine(e.StackTrace);
}
}
private void sendUpdateIOI(Session session, String ioiSvc)
{
Service service = session.GetService(ioiSvc);
Request request = service.CreateRequest("updateIoi");
Element handle = request.GetElement("handle");
handle.SetElement("value", "832f0c5f-8330-4c50-8cf7-95c1c6f240db");
Element ioi = request.GetElement("ioi");
// Set the good-until time of this option to 15 minutes from now
ioi.SetElement("goodUntil", new Bloomberglp.Blpapi.Datetime(DateTime.Now.AddSeconds(900)));
// Create the option
Element option = ioi.GetElement("instrument").SetChoice("option");
option.SetElement("structure", "CallSpread");
// This option has two legs. Create the first leg
Element leg1 = option.GetElement("legs").AppendElement();
leg1.SetElement("type", "Call");
leg1.SetElement("strike", 230);
leg1.SetElement("expiry", "2017-11-08T00:00:00.000+00:00");
leg1.SetElement("style", "European");
leg1.SetElement("ratio", +1.00);
leg1.SetElement("exchange", "LN");
leg1.GetElement("underlying").SetChoice("ticker");
leg1.GetElement("underlying").SetElement("ticker", "VOD LN Equity");
// Create the second leg
Element leg2 = option.GetElement("legs").AppendElement();
leg1.SetElement("type", "Call");
leg2.SetElement("strike", 240);
leg2.SetElement("expiry", "2017-11-08T00:00:00.000+00:00");
leg2.SetElement("style", "European");
leg2.SetElement("ratio", -1.25);
leg2.SetElement("exchange", "LN");
leg2.GetElement("underlying").SetChoice("ticker");
leg2.GetElement("underlying").SetElement("ticker", "VOD LN Equity");
// Create a quote consisting of a bid and an offer
Element bid = ioi.GetElement("bid");
bid.GetElement("price").SetChoice("fixed");
bid.GetElement("price").GetElement("fixed").GetElement("price").SetValue(83.643);
bid.GetElement("size").SetChoice("quantity");
bid.GetElement("size").GetElement("quantity").SetValue(2000);
bid.GetElement("referencePrice").SetElement("price", 202.155);
bid.GetElement("referencePrice").SetElement("currency", "GBP");
bid.SetElement("notes", "offer notes");
// Set the offer
Element offer = ioi.GetElement("offer");
offer.GetElement("price").SetChoice("fixed");
offer.GetElement("price").GetElement("fixed").GetElement("price").SetValue(83.64);
offer.GetElement("size").SetChoice("quantity");
offer.GetElement("size").GetElement("quantity").SetValue(2000);
offer.GetElement("referencePrice").SetElement("price", 202.15);
offer.GetElement("referencePrice").SetElement("currency", "GBP");
offer.SetElement("notes", "offer notes");
// Set targets
Element includes = ioi.GetElement("targets").GetElement("includes");
Element t1 = includes.AppendElement();
t1.SetChoice("acronym");
t1.SetElement("acronym", "BLPA");
Element t2 = includes.AppendElement();
t2.SetChoice("acronym");
t2.SetElement("acronym", "BLPB");
System.Console.WriteLine("Sending Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
System.Console.WriteLine("Request Sent.");
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
private int checkOneFill(int key)
{
Request request = service.CreateRequest("OrderInfo");
request.Set("EMSX_SEQUENCE", key);
CorrelationID requestID = new CorrelationID(1);
session.SendRequest(request, requestID);
int timeoutInMilliSeconds = 5000;
Event evt = session.NextEvent(timeoutInMilliSeconds);
do
{
System.Console.WriteLine("Received Event: " + evt.Type);
foreach (Bloomberglp.Blpapi.Message msg in evt.GetMessages())
{
System.Console.WriteLine(msg.ToString());
if (evt.Type == Event.EventType.RESPONSE && msg.CorrelationID == requestID)
{
System.Console.WriteLine("Message Type: " + msg.MessageType);
if (msg.MessageType.Equals(ERROR_INFO))
{
int errorCode = msg.GetElementAsInt32("ERROR_CODE");
string errorMessage = msg.GetElementAsString("ERROR_MESSAGE");
System.Console.WriteLine("ERROR CODE: " + errorCode + "\tERROR MESSAGE: " + errorMessage);
}
else if (msg.MessageType.Equals("ORDER_INFO"))
{
int emsx_amount = msg.GetElementAsInt32("EMSX_AMOUNT");
double emsx_avg_price = msg.GetElementAsFloat64("EMSX_AVG_PRICE");
string emsx_basket_name = msg.GetElementAsString("EMSX_BASKET_NAME");
string emsx_broker = msg.GetElementAsString("EMSX_BROKER");
string emsx_exchange = msg.GetElementAsString("EMSX_EXCHANGE");
int emsx_filled = msg.GetElementAsInt32("EMSX_FILLED");
int emsx_flag = msg.GetElementAsInt32("EMSX_FLAG");
int emsx_idle_amount = msg.GetElementAsInt32("EMSX_IDLE_AMOUNT");
double emsx_limit_price = msg.GetElementAsFloat64("EMSX_LIMIT_PRICE");
string emsx_notes = msg.GetElementAsString("EMSX_NOTES");
string emsx_order_create_date = msg.GetElementAsString("EMSX_ORDER_CREATE_DATE");
string emsx_order_create_time = msg.GetElementAsString("EMSX_ORDER_CREATE_TIME");
string emsx_order_type = msg.GetElementAsString("EMSX_ORDER_TYPE");
string emsx_port_mgr = msg.GetElementAsString("EMSX_PORT_MGR");
string emsx_position = msg.GetElementAsString("EMSX_POSITION");
string emsx_side = msg.GetElementAsString("EMSX_SIDE");
string emsx_step_out_broker = msg.GetElementAsString("EMSX_STEP_OUT_BROKER");
int emsx_sub_flag = msg.GetElementAsInt32("EMSX_SUB_FLAG");
string emsx_ticker = msg.GetElementAsString("EMSX_TICKER");
string emsx_tif = msg.GetElementAsString("EMSX_TIF");
string emsx_trader = msg.GetElementAsString("EMSX_TRADER");
long emsx_trader_uuid = msg.GetElementAsInt64("EMSX_TRADER_UUID");
long emsx_ts_ordnum = msg.GetElementAsInt64("EMSX_TS_ORDNUM");
int emsx_working = msg.GetElementAsInt32("EMSX_WORKING");
string emsx_yellow_key = msg.GetElementAsString("EMSX_YELLOW_KEY");
System.Console.WriteLine("EMSX_AMOUNT: " + emsx_amount);
System.Console.WriteLine("EMSX_AVG_PRICE: " + emsx_avg_price);
System.Console.WriteLine("EMSX_BASKET_NAME: " + emsx_basket_name);
System.Console.WriteLine("EMSX_BROKER: " + emsx_broker);
System.Console.WriteLine("EMSX_EXCHANGE: " + emsx_exchange);
System.Console.WriteLine("EMSX_FILLED: " + emsx_filled);
System.Console.WriteLine("EMSX_FLAG: " + emsx_flag);
System.Console.WriteLine("EMSX_IDLE_AMOUNT: " + emsx_idle_amount);
System.Console.WriteLine("EMSX_LIMIT_PRICE: " + emsx_limit_price);
System.Console.WriteLine("EMSX_NOTES: " + emsx_notes);
System.Console.WriteLine("EMSX_ORDER_CREATE_DATE: " + emsx_order_create_date);
System.Console.WriteLine("EMSX_ORDER_CREATE_TIME: " + emsx_order_create_time);
System.Console.WriteLine("EMSX_ORDER_TYPE: " + emsx_order_type);
System.Console.WriteLine("EMSX_PORT_MGR: " + emsx_port_mgr);
System.Console.WriteLine("EMSX_POSITION: " + emsx_position);
System.Console.WriteLine("EMSX_SIDE: " + emsx_side);
System.Console.WriteLine("EMSX_STEP_OUT_BROKER: " + emsx_step_out_broker);
System.Console.WriteLine("EMSX_SUB_FLAG: " + emsx_sub_flag);
System.Console.WriteLine("EMSX_TICKER: " + emsx_ticker);
System.Console.WriteLine("EMSX_TIF: " + emsx_tif);
System.Console.WriteLine("EMSX_TRADER: " + emsx_trader);
System.Console.WriteLine("EMSX_TRADER_UUID: " + emsx_trader_uuid);
System.Console.WriteLine("EMSX_TS_ORDNUM: " + emsx_ts_ordnum);
System.Console.WriteLine("EMSX_WORKING: " + emsx_working);
System.Console.WriteLine("EMSX_YELLOW_KEY: " + emsx_yellow_key);
return emsx_amount - emsx_filled; // FIXME: No idea how we should deal with partial fill
}
}
}
evt = session.NextEvent(timeoutInMilliSeconds);
}
while (evt.Type != Event.EventType.TIMEOUT);
return 1;
}
private void processServiceEvent(Event evt, Session session)
{
System.Console.WriteLine("\nProcessing " + evt.Type);
foreach (Message msg in evt)
{
if (msg.MessageType.Equals(SERVICE_OPENED))
{
System.Console.WriteLine("Service opened...");
Service service = session.GetService(d_service);
Request request = service.CreateRequest("CreateOrderAndRouteManually");
// The fields below are mandatory
request.Set("EMSX_TICKER", "IBM US Equity");
request.Set("EMSX_AMOUNT", 1000);
request.Set("EMSX_ORDER_TYPE", "MKT");
request.Set("EMSX_TIF", "DAY");
request.Set("EMSX_HAND_INSTRUCTION", "ANY");
request.Set("EMSX_SIDE", "BUY");
request.Set("EMSX_BROKER", "BB");
// The fields below are optional
//request.Set("EMSX_ACCOUNT","TestAccount");
//request.Set("EMSX_CFD_FLAG", "1");
//request.Set("EMSX_CLEARING_ACCOUNT", "ClrAccName");
//request.Set("EMSX_CLEARING_FIRM", "FirmName");
//request.Set("EMSX_EXCHANGE_DESTINATION", "ExchDest");
//request.Set("EMSX_EXEC_INSTRUCTION", "Drop down values from EMSX Ticket");
//request.Set("EMSX_GET_WARNINGS", "0");
//request.Set("EMSX_GTD_DATE", "20170105");
//request.Set("EMSX_INVESTOR_ID", "InvID");
//request.Set("EMSX_LIMIT_PRICE", 123.45);
//request.Set("EMSX_LOCATE_BROKER", "BMTB");
//request.Set("EMSX_LOCATE_ID", "SomeID");
//request.Set("EMSX_LOCATE_REQ", "Y");
//request.Set("EMSX_NOTES", "Some notes");
//request.Set("EMSX_ODD_LOT", "0");
//request.Set("EMSX_ORDER_ORIGIN", "");
//request.Set("EMSX_ORDER_REF_ID", "UniqueID");
//request.Set("EMSX_P_A", "P");
//request.Set("EMSX_RELEASE_TIME", 34341);
//request.Set("EMSX_REQUEST_SEQ", 1001);
//request.Set("EMSX_SETTLE_DATE", 20170106);
//request.Set("EMSX_STOP_PRICE", 123.5);
System.Console.WriteLine("Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
else if (msg.MessageType.Equals(SERVICE_OPEN_FAILURE))
{
System.Console.Error.WriteLine("Error: Service failed to open");
}
}
}
public void get_BBG(string sec, string field, string over, string ovrVal, string xmlFilePathIn, string xmlfileNameIn, string dtNameIn)
{
clearData();
initUI();
addSecurities(sec);
addFields(field);
xmlFilePath = xmlFilePathIn;
xmlFileName = xmlfileNameIn;
dtName = dtNameIn;
if (over != null)
{
addOverrides(over, ovrVal);
}
// create session
if (!createSession())
{
return;
}
// open reference data service
if (!d_session.OpenService("//blp/refdata"))
{
return;
}
Service refDataService = d_session.GetService("//blp/refdata");
// create reference data request
Request request = refDataService.CreateRequest("ReferenceDataRequest");
// set request parameters
Element securities = request.GetElement("securities");
Element fields = request.GetElement("fields");
Element requestOverrides = request.GetElement("overrides");
request.Set("returnEids", true);
// populate security
foreach (DataRow secRow in d_data.Rows)
{
securities.AppendValue(secRow["security"].ToString());
}
// populate fields
for (int fieldIndex = 1; fieldIndex < d_data.Columns.Count; fieldIndex++)
{
fields.AppendValue(d_data.Columns[fieldIndex].ColumnName);
}
if (d_overRides.Rows.Count > 0)
{
// populate overrides
foreach (DataRow row in d_overRides.Rows)
{
Element ovr = requestOverrides.AppendElement();
ovr.SetElement(FIELD_ID, row["override"].ToString());
ovr.SetElement("value", row["value"].ToString());
}
}
// create correlation id
CorrelationID cID = new CorrelationID(1);
d_session.Cancel(cID);
// send request
d_session.SendRequest(request, cID);
}
private void processServiceEvent(Event evt, Session session)
{
System.Console.WriteLine("\nProcessing " + evt.Type);
foreach (Message msg in evt)
{
if (msg.MessageType.Equals(SERVICE_OPENED))
{
System.Console.WriteLine("Service opened...");
Service service = session.GetService(d_service);
Request request = service.CreateRequest("GetFills");
// The Date/Time values from and to may contain a timezone element
request.Set("FromDateTime", "2017-11-06T00:00:00.000+00:00");
request.Set("ToDateTime", "2017-11-06T23:59:00.000+00:00");
Element scope = request.GetElement("Scope");
// The name of the user team
//scope.SetChoice("Team");
//scope.SetElement("Team", "RCAM_API");
// Use the Trading System view - boolean
//scope.SetChoice("TradingSystem");
//scope.SetElement("TradingSystem",False);
// One or more specified UUIDs
scope.SetChoice("Uuids");
scope.GetElement("Uuids").AppendValue(1234567);
//filterBy = request.GetElement("FilterBy");
// The backet name, as created in the terminal
//filterBy.SetChoice("Basket");
//filterBy.GetElement("Basket").AppendValue("TESTRJC");
// The Multileg ID, can append multiple values
//filterBy.SetChoice("Multileg");
//filterBy.GetElement("Multileg").AppendValue("12345");
//filterBy.GetElement("Multileg").AppendValue("56478");
// Specific order numbers and route IDs
//filterBy.SetChoice("OrdersAndRoutes");
//newOrder = filterBy.GetElement("OrdersAndRoutes").AppendElement();
//newOrder.SetElement("OrderId",2744093);
//newOrder.SetElement("RouteId",1);
System.Console.WriteLine("Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
else if (msg.MessageType.Equals(SERVICE_OPEN_FAILURE))
{
System.Console.Error.WriteLine("Error: Service failed to open");
}
}
}
public static DatedDataCollectionGen<BarDataPoint> Get(DateTime startDate_, DateTime endDate_, int interval_, string security_)
{
Request request = BbgTalk.Core.Instance.SyncRefService.CreateRequest("IntradayBarRequest");
request.Set("eventType", "TRADE");
request.Set("security", security_);
request.Set("startDateTime", new BDateTime(startDate_.Year, startDate_.Month, startDate_.Day, startDate_.Hour, startDate_.Minute, startDate_.Second, 0));
request.Set("endDateTime", new BDateTime(endDate_.Year, endDate_.Month, endDate_.Day, endDate_.Hour, endDate_.Minute, endDate_.Second, 0));
request.Set("gapFillInitialBar", true);
request.Set("interval", interval_);
CorrelationID cID = new CorrelationID(BbgTalk.Core.NextID());
BbgTalk.Core.Instance.SyncSession.SendRequest(request, cID);
DatedDataCollectionGen<BarDataPoint> ret = null;
while (true && ret == null)
{
Event eventObj = BbgTalk.Core.Instance.SyncSession.NextEvent();
foreach (Message msg in eventObj.GetMessages())
{
if ((msg.CorrelationID != null && msg.CorrelationID.Value == cID.Value) || msg.MessageType.Equals(Name.GetName("IntradayBarResponse")))
{
if (msg.HasElement("responseError"))
{
// process error
Element error = msg.GetElement("responseError");
if (msg.NumElements == 1)
{
string errorMsg = error.GetElementAsString("message");
Console.WriteLine(errorMsg);
ret = null;
break;
}
}
List<DateTime> dates = new List<DateTime>();
List<BarDataPoint> points = new List<BarDataPoint>();
Element barDataArray = msg.GetElement("barData");
int numberOfBars = barDataArray.NumValues;
foreach (Element barData in barDataArray.Elements)
{
if (barData.Name.ToString() == "barTickData")
{
for (int pointIndex = 0; pointIndex < barData.NumValues; ++pointIndex)
{
Element fields = barData.GetValueAsElement(pointIndex);
DateTime time = fields.GetElement("time").GetValueAsDatetime().ToSystemDateTime();
double high = Convert.ToDouble(fields.GetElement("high").GetValueAsFloat64());
double low = Convert.ToDouble(fields.GetElement("low").GetValueAsFloat64());
double open = Convert.ToDouble(fields.GetElement("open").GetValueAsFloat64());
double close = Convert.ToDouble(fields.GetElement("close").GetValueAsFloat64());
int numEvent = fields.GetElement("numEvents").GetValueAsInt32();
dates.Add(time);
points.Add(new BarDataPoint(open, close, high, low, numEvent));
}
}
}
ret = new DatedDataCollectionGen<BarDataPoint>(dates.ToArray(), points.ToArray());
break;
}
}
}
return ret;
}
/// <summary>
/// Send reference data request
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void buttonSendRequest_Click(object sender, EventArgs e)
{
clearData();
// create session
if (!createSession())
{
toolStripStatusLabel1.Text = "Failed to start session.";
return;
}
// open reference data service
if (!d_session.OpenService("//blp/refdata"))
{
toolStripStatusLabel1.Text = "Failed to open //blp/refdata";
return;
}
toolStripStatusLabel1.Text = "Connected sucessfully";
Service refDataService = d_session.GetService("//blp/refdata");
// create reference data request
Request request = refDataService.CreateRequest("ReferenceDataRequest");
// set request parameters
Element securities = request.GetElement("securities");
Element fields = request.GetElement("fields");
Element requestOverrides = request.GetElement("overrides");
request.Set("returnEids", true);
// populate security
foreach (DataRow secRow in d_data.Rows)
{
securities.AppendValue(secRow["security"].ToString());
}
// populate fields
for (int fieldIndex = 1; fieldIndex < d_data.Columns.Count; fieldIndex++)
{
fields.AppendValue(d_data.Columns[fieldIndex].ColumnName);
}
if (listViewOverrides.Items.Count > 0)
{
// populate overrides
foreach (ListViewItem item in listViewOverrides.Items)
{
Element ovr = requestOverrides.AppendElement();
ovr.SetElement(FIELD_ID, item.Text);
ovr.SetElement("value", item.SubItems[1].Text);
}
}
// create correlation id
CorrelationID cID = new CorrelationID(1);
d_session.Cancel(cID);
// send request
d_session.SendRequest(request, cID);
toolStripStatusLabel1.Text = "Submitted request. Waiting for response...";
if (radioButtonSynch.Checked)
{
// Allow UI to update
Application.DoEvents();
// Synchronous mode. Wait for reply before proceeding.
while (true)
{
Event eventObj = d_session.NextEvent();
toolStripStatusLabel1.Text = "Processing data...";
// process data
processEvent(eventObj, d_session);
if (eventObj.Type == Event.EventType.RESPONSE)
{
break;
}
}
setControlStates();
toolStripStatusLabel1.Text = "Completed";
}
}
private void sendSellTransaction(
Transaction t
)
{
double sellVal = (t.amountSell * t.priceSell);
Request requestSell = service.CreateRequest("CreateOrderAndRouteEx");
//Request requestSell = service.CreateRequest("CreateOrder");
requestSell.Set("EMSX_LIMIT_PRICE", (t.priceSell).ToString());
//requestSell.Set("EMSX_LIMIT_PRICE", 1.0);
//requestSell.Set("EMSX_AMOUNT", t.amountSell);
requestSell.Set("EMSX_AMOUNT", 1);
requestSell.Set("EMSX_BROKER", "NORS"); // BMTB
requestSell.Set("EMSX_HAND_INSTRUCTION", "DMA");
requestSell.Set("EMSX_ORDER_TYPE", "LMT");
requestSell.Set("EMSX_SIDE", "SELL");
requestSell.Set("EMSX_TICKER", t.securitySell);
requestSell.Set("EMSX_TIF", "DAY");
requestSell.Set("EMSX_ACCOUNT", "LAGOTRAD");
int sellStamp = GetTimestamp(DateTime.Now);
requestSell.Set("EMSX_SEQUENCE", sellStamp);
this.unfilledOrders[sellStamp] = requestSell;
this.unfilledTransactions[sellStamp] = t;
CorrelationID requestID = new CorrelationID("-2222");
session.SendRequest(requestSell, requestID);
Lgr.WriteTrade(sellVal, " ..... SELL: " + t.securitySell +
" ..... amount " + t.amountSell + " price " + t.priceSell + " EUR" +
" curr rate " + t.currencyRateSell.ToString());
}
private void processServiceEvent(Event evt, Session session)
{
System.Console.WriteLine("\nProcessing " + evt.Type);
foreach (Message msg in evt)
{
if (msg.MessageType.Equals(SERVICE_OPENED))
{
System.Console.WriteLine("Service opened...");
Service service = session.GetService(d_service);
Request request = service.CreateRequest("RouteEx");
// The fields below are mandatory
request.Set("EMSX_SEQUENCE", 3664532); // Order number
request.Set("EMSX_AMOUNT", 500);
request.Set("EMSX_BROKER", "BMTB");
request.Set("EMSX_HAND_INSTRUCTION", "ANY");
request.Set("EMSX_ORDER_TYPE", "MKT");
request.Set("EMSX_TICKER", "IBM US Equity");
request.Set("EMSX_TIF", "DAY");
// The fields below are optional
//request.Set("EMSX_ACCOUNT","TestAccount");
//request.Set("EMSX_BOOKNAME","BookName");
//request.Set("EMSX_CFD_FLAG", "1");
//request.Set("EMSX_CLEARING_ACCOUNT", "ClrAccName");
//request.Set("EMSX_CLEARING_FIRM", "FirmName");
//request.Set("EMSX_EXEC_INSTRUCTION", "Drop down values from EMSX Ticket");
//request.Set("EMSX_GET_WARNINGS", "0");
//request.Set("EMSX_GTD_DATE", "20170105");
//request.Set("EMSX_LIMIT_PRICE", 123.45);
//request.Set("EMSX_LOCATE_BROKER", "BMTB");
//request.Set("EMSX_LOCATE_ID", "SomeID");
//request.Set("EMSX_LOCATE_REQ", "Y");
//request.Set("EMSX_NOTES", "Some notes");
//request.Set("EMSX_ODD_LOT", "0");
//request.Set("EMSX_P_A", "P");
//request.Set("EMSX_RELEASE_TIME", 34341);
//request.Set("EMSX_REQUEST_SEQ", 1001);
//request.Set("EMSX_ROUTE_REF_ID", "UniqueRef");
//request.Set("EMSX_STOP_PRICE", 123.5);
//request.Set("EMSX_TRADER_UUID", 1234567);
// Below we establish the strategy details
Element strategy = request.GetElement("EMSX_STRATEGY_PARAMS");
strategy.SetElement("EMSX_STRATEGY_NAME", "VWAP");
Element indicator = strategy.GetElement("EMSX_STRATEGY_FIELD_INDICATORS");
Element data = strategy.GetElement("EMSX_STRATEGY_FIELDS");
// Strategy parameters must be appended in the correct order. See the output
// of GetBrokerStrategyInfo request for the order. The indicator value is 0 for
// a field that carries a value, and 1 where the field should be ignored
data.AppendElement().SetElement("EMSX_FIELD_DATA", "09:30:00"); // StartTime
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 0);
data.AppendElement().SetElement("EMSX_FIELD_DATA", "10:30:00"); // EndTime
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 0);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // Max%Volume
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // %AMSession
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // OPG
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // MOC
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // CompletePX
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // TriggerPX
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // DarkComplete
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // DarkCompPX
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // RefIndex
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // Discretion
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
System.Console.WriteLine("Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
else if (msg.MessageType.Equals(SERVICE_OPEN_FAILURE))
{
System.Console.Error.WriteLine("Error: Service failed to open");
}
}
}
/// <summary>
/// Submit Intraday Bar Request
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void buttonSendRequest_Click(object sender, EventArgs e)
{
// clear security data if requested before
string security = textBoxSecurity.Text.Trim();
d_requestSecurity = security + " [" + checkedListBoxEventTypes.CheckedItems[0].ToString() + "]";
clearSecurityData(d_requestSecurity);
// create session
if (!createSession())
{
toolStripStatusLabel1.Text = "Failed to start session.";
return;
}
// open reference data services
if (!d_session.OpenService("//blp/refdata"))
{
toolStripStatusLabel1.Text = "Failed to open //blp/refdata";
return;
}
toolStripStatusLabel1.Text = "Connected sucessfully";
Service refDataService = d_session.GetService("//blp/refdata");
// create intraday bar request
Request request = refDataService.CreateRequest("IntradayBarRequest");
// set request parameters
request.Set("eventType", checkedListBoxEventTypes.CheckedItems[0].ToString());
request.Set("security", security);
DateTime startDate = dateTimePickerStartDate.Value;
DateTime endDate = dateTimePickerEndDate.Value;
request.Set("startDateTime", new BDateTime(startDate.Year, startDate.Month, startDate.Day,
startDate.Hour, startDate.Minute, startDate.Second, 0));
request.Set("endDateTime", new BDateTime(endDate.Year, endDate.Month, endDate.Day,
endDate.Hour, endDate.Minute, endDate.Second, 0));
request.Set("gapFillInitialBar", checkBoxGapFill.Checked);
request.Set("interval", int.Parse(numericUpDownInterval.Value.ToString()));
// create correlation id
CorrelationID cID = new CorrelationID(1);
d_session.Cancel(cID);
// send request
d_session.SendRequest(request, cID);
toolStripStatusLabel1.Text = "Submitted request. Waiting for response...";
if (radioButtonSynch.Checked)
{
// allow UI to update
Application.DoEvents();
// synchronous mode. Wait for reply before proceeding.
while (true)
{
// process data
Event eventObj = d_session.NextEvent();
toolStripStatusLabel1.Text = "Processing data...";
processEvent(eventObj, d_session);
if (eventObj.Type == Event.EventType.RESPONSE)
{
break;
}
}
// select requested security in listbox to disply data
setControlStates();
int itemIndex = -1;
if (!listBoxSecurities.Items.Contains(d_requestSecurity))
{
itemIndex = listBoxSecurities.Items.Add(d_requestSecurity);
}
else
{
listBoxSecurities.SelectedIndex = -1;
itemIndex = listBoxSecurities.Items.IndexOf(d_requestSecurity);
}
listBoxSecurities.SelectedIndex = itemIndex;
toolStripStatusLabel1.Text = "Completed";
}
}
private void processServiceEvent(Event evt, Session session)
{
System.Console.WriteLine("\nProcessing " + evt.Type);
foreach (Message msg in evt)
{
if (msg.MessageType.Equals(SERVICE_OPENED))
{
System.Console.WriteLine("Service opened...");
Service service = session.GetService(d_service);
Request request = service.CreateRequest("ModifyRouteEx");
// The fields below are mandatory
request.Set("EMSX_SEQUENCE", 3867744);
request.Set("EMSX_ROUTE_ID", 1);
request.Set("EMSX_AMOUNT", 500);
request.Set("EMSX_ORDER_TYPE", "MKT");
request.Set("EMSX_TIF", "DAY");
// The fields below are optional
//request.Set("EMSX_ACCOUNT","TestAccount");
//request.Set("EMSX_CLEARING_ACCOUNT", "ClearingAcnt");
//request.Set("EMSX_CLEARING_FIRM", "ClearingFirm");
//request.Set("EMSX_COMM_TYPE", "Absolute");
//request.Set("EMSX_EXCHANGE_DESTINATION", "DEST");
//request.Set("EMSX_GET_WARNINGS", "0");
//request.Set("EMSX_GTD_DATE", "20170105");
//request.Set("EMSX_LIMIT_PRICE", 123.45);
//request.Set("EMSX_LOC_BROKER", "ABCD");
//request.Set("EMSX_LOC_ID", "1234567");
//request.Set("EMSX_LOC_REQ", "Y");
//request.Set("EMSX_NOTES", "Some notes");
//request.Set("EMSX_ODD_LOT", "" );
//request.Set("EMSX_P_A", "P");
//request.Set("EMSX_REQUEST_SEQ", 1001);
//request.Set("EMSX_STOP_PRICE", 123.5);
//request.Set("EMSX_TRADER_NOTES", "Trader notes");
//request.Set("EMSX_USER_COMM_RATE", 0.02);
//request.Set("EMSX_USER_FEES", "1.5");
// Note: When changing order type to a LMT order, you will need to provide the EMSX_LIMIT_PRICE value.
// When changing order type away from LMT order, you will need to reset the EMSX_LIMIT_PRICE value
// by setting the content to -99999
// Note: To clear down the stop price, set the content to -1
// Set the strategy parameters, if required
/*
* Element strategy = request.GetElement("EMSX_STRATEGY_PARAMS");
* strategy.SetElement("EMSX_STRATEGY_NAME", "VWAP");
*
* Element indicator = strategy.GetElement("EMSX_STRATEGY_FIELD_INDICATORS");
* Element data = strategy.GetElement("EMSX_STRATEGY_FIELDS");
*
* // Strategy parameters must be appended in the correct order. See the output
* // of GetBrokerStrategyInfo request for the order. The indicator value is 0 for
* // a field that carries a value, and 1 where the field should be ignored
*
* data.AppendElement().SetElement("EMSX_FIELD_DATA", "09:30:00"); // StartTime
* indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 0);
*
* data.AppendElement().SetElement("EMSX_FIELD_DATA", "10:30:00"); // EndTime
* indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 0);
*
* data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // Max%Volume
* indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
*
* data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // %AMSession
* indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
*
* data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // OPG
* indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
*
* data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // MOC
* indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
*
* data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // CompletePX
* indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
*
* data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // TriggerPX
* indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
*
* data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // DarkComplete
* indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
*
* data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // DarkCompPX
* indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
*
* data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // RefIndex
* indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
*
* data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // Discretion
* indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
*/
// If modifying on behalf of another trader, set the order owner's UUID
//request.Set("EMSX_TRADER_UUID", 1234567);
// If modifying a multi-leg route, indicate the Multileg ID
//request.GetElement("EMSX_REQUEST_TYPE").SetChoice("Multileg").SetElement("EMSX_ML_ID", "123456");
System.Console.WriteLine("Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
else if (msg.MessageType.Equals(SERVICE_OPEN_FAILURE))
{
System.Console.Error.WriteLine("Error: Service failed to open");
}
}
}
private void processServiceEvent(Event evt, Session session)
{
System.Console.WriteLine("\nProcessing " + evt.Type);
foreach (Message msg in evt)
{
if (msg.MessageType.Equals(SERVICE_OPENED))
{
System.Console.WriteLine("Service opened...");
Service service = session.GetService(d_service);
Request request = service.CreateRequest("GroupRouteEx");
// Multiple order numbers can be added
request.Append("EMSX_SEQUENCE", 3663923);
request.Append("EMSX_SEQUENCE", 3663924);
request.Append("EMSX_SEQUENCE", 3663925);
// The fields below are mandatory
request.Set("EMSX_AMOUNT_PERCENT", 100); // Note the amount here is %age of order amount
request.Set("EMSX_BROKER", "BMTB");
// For GroupRoute, the below values need to be added, but are taken
// from the original order when the route is created.
request.Set("EMSX_HAND_INSTRUCTION", "ANY");
request.Set("EMSX_ORDER_TYPE", "MKT");
request.Set("EMSX_TICKER", "IBM US Equity");
request.Set("EMSX_TIF", "DAY");
// The fields below are optional
//request.Set("EMSX_ACCOUNT","TestAccount");
//request.Set("EMSX_BOOKNAME","BookName");
//request.Set("EMSX_CFD_FLAG", "1");
//request.Set("EMSX_CLEARING_ACCOUNT", "ClrAccName");
//request.Set("EMSX_CLEARING_FIRM", "FirmName");
//request.Set("EMSX_EXEC_INSTRUCTION", "Drop down values from EMSX Ticket");
//request.Set("EMSX_GET_WARNINGS", "0");
//request.Set("EMSX_GTD_DATE", "20170105");
//request.Set("EMSX_LIMIT_PRICE", 123.45);
//request.Set("EMSX_LOCATE_BROKER", "BMTB");
//request.Set("EMSX_LOCATE_ID", "SomeID");
//request.Set("EMSX_LOCATE_REQ", "Y");
//request.Set("EMSX_NOTES", "Some notes");
//request.Set("EMSX_ODD_LOT", "0");
//request.Set("EMSX_P_A", "P");
//request.Set("EMSX_RELEASE_TIME", 34341);
//request.Set("EMSX_REQUEST_SEQ", 1001);
//request.Set("EMSX_STOP_PRICE", 123.5);
//request.Set("EMSX_TRADER_UUID", 1234567);
// Set the Request Type if this is for multi-leg orders
// only valid for options
/*
* Element requestType = request.GetElement("EMSX_REQUEST_TYPE");
* requestType.SetChoice("Multileg");
* Element multileg = requestType.GetElement("Multileg");
* multileg.SetElement("EMSX_AMOUNT",10);
* multileg.GetElement("EMSX_ML_RATIO").AppendValue(2);
* multileg.GetElement("EMSX_ML_RATIO").AppendValue(3);
*/
// Add the Route Ref ID values
Element routeRefIDPairs = request.GetElement("EMSX_ROUTE_REF_ID_PAIRS");
Element route1 = routeRefIDPairs.AppendElement();
route1.SetElement("EMSX_ROUTE_REF_ID", "MyRouteRef1");
route1.SetElement("EMSX_SEQUENCE", 3663923);
Element route2 = routeRefIDPairs.AppendElement();
route2.SetElement("EMSX_ROUTE_REF_ID", "MyRouteRef2");
route2.SetElement("EMSX_SEQUENCE", 3663924);
Element route3 = routeRefIDPairs.AppendElement();
route3.SetElement("EMSX_ROUTE_REF_ID", "MyRouteRef3");
route3.SetElement("EMSX_SEQUENCE", 3663925);
// Below we establish the strategy details. Strategy details
// are common across all orders in a GroupRoute operation.
// The following segment can be removed if no broker strategies are used
Element strategy = request.GetElement("EMSX_STRATEGY_PARAMS");
strategy.SetElement("EMSX_STRATEGY_NAME", "VWAP");
Element indicator = strategy.GetElement("EMSX_STRATEGY_FIELD_INDICATORS");
Element data = strategy.GetElement("EMSX_STRATEGY_FIELDS");
// Strategy parameters must be appended in the correct order. See the output
// of GetBrokerStrategyInfo request for the order. The indicator value is 0 for
// a field that carries a value, and 1 where the field should be ignored
data.AppendElement().SetElement("EMSX_FIELD_DATA", "09:30:00"); // StartTime
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 0);
data.AppendElement().SetElement("EMSX_FIELD_DATA", "10:30:00"); // EndTime
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 0);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // Max%Volume
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // %AMSession
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // OPG
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // MOC
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // CompletePX
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // TriggerPX
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // DarkComplete
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // DarkCompPX
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // RefIndex
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // Discretion
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
System.Console.WriteLine("Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
else if (msg.MessageType.Equals(SERVICE_OPEN_FAILURE))
{
System.Console.Error.WriteLine("Error: Service failed to open");
}
}
}
public string sendBuyTransaction(
Transaction t
)
{
double tradeValToday = Lgr.GetTradeValToday();
double maxEurPerDay = Convert.ToDouble(ConfigurationManager.AppSettings["maxEurPerDay"]);
double maxEurPerTrade = Convert.ToDouble(ConfigurationManager.AppSettings["maxEurPerTrade"]);
double buyVal = (t.amountBuy * t.priceBuy);
double sellVal = (t.amountSell * t.priceSell);
if (tradeValToday + (t.amountBuy * t.priceBuy) + (t.amountSell * t.priceSell) > maxEurPerDay)
{
Lgr.Log("INFO", "Trades value today " + tradeValToday.ToString() +
" + Sell value " + sellVal.ToString() +
" + Buy value " + buyVal.ToString() +
" > maxEurPerDay " + maxEurPerDay.ToString() +
" NOT SENDING TRANSACTION");
return "";
}
if ((t.amountBuy * t.priceBuy) + (t.amountSell * t.priceSell) > maxEurPerTrade)
{
Lgr.Log("INFO", "Sell value " + sellVal.ToString() +
" + Buy value " + buyVal.ToString() +
" > maxEurPerTrade " + maxEurPerTrade.ToString() +
" NOT SENDING TRANSACTION");
return "";
}
string retstr = "";
//Request requestBuy = service.CreateRequest("CreateOrderAndRouteEx");
Request requestBuy = service.CreateRequest("CreateOrder");
requestBuy.Set("EMSX_AMOUNT", t.amountBuy);
//double price = t.priceBuy * t.currencyRateBuy;
requestBuy.Set("EMSX_LIMIT_PRICE", (t.priceBuy).ToString());
//requestBuy.Set("EMSX_LIMIT_PRICE", 1.0);
//requestBuy.Set("EMSX_AMOUNT", 1);
requestBuy.Set("EMSX_BROKER", "NORS"); // BMTB
requestBuy.Set("EMSX_HAND_INSTRUCTION", "DMA");
requestBuy.Set("EMSX_ORDER_TYPE", "LMT");
requestBuy.Set("EMSX_SIDE", "BUY");
requestBuy.Set("EMSX_TICKER", t.securityBuy);
requestBuy.Set("EMSX_TIF", "DAY");
requestBuy.Set("EMSX_ACCOUNT", "LAGOTRAD");
int buyStamp = GetTimestamp(DateTime.Now);
requestBuy.Set("EMSX_SEQUENCE", buyStamp);
this.unfilledOrders[buyStamp] = requestBuy;
CorrelationID requestID = new CorrelationID("-1111");
session.SendRequest(requestBuy, requestID);
//Request requestInfo = service.CreateRequest("OrderInfo");
//requestInfo.Set("EMSX_SEQUENCE", requestBuy.EMSX_SEQUENCE);
//CorrelationID infoID = new CorrelationID("-3333");
//session.SendRequest(requestInfo, infoID);
//use this to get buy order info and if order status == FILLED -> sell
int timeoutInMilliSeconds = 5000;
Event evt = session.NextEvent(timeoutInMilliSeconds);
do
{
retstr += "Received Event: " + evt.Type + "\n";
foreach (Message msg in evt)
{
retstr += "MESSAGE: " + msg.ToString() + "\n";
retstr += "CORRELATION ID: " + msg.CorrelationID + "\n";
if (evt.Type == Event.EventType.RESPONSE && msg.CorrelationID == requestID)
{
}
}
evt = session.NextEvent(timeoutInMilliSeconds);
} while (evt.Type != Event.EventType.TIMEOUT);
Lgr.Log("DEBUG", retstr);
Lgr.WriteTrade(buyVal, " ..... BUY: " + t.securityBuy +
" ..... amount " + t.amountBuy + " price " + t.priceBuy + " EUR" +
" curr rate " + t.currencyRateBuy.ToString());
return "\nSUCCESFULLY SENT: " + t.toString() + "\n" + retstr;
}
