public static void GetCurrentTrades(string traderName, string companyName, DateTime fromDate, DateTime toDate)
{
XmlDocument query = XmlQueryGenerator.CurrentTrades(traderName, companyName, fromDate, toDate);
string ret = ExcecuteQuery(query, "CurrentTrades");
CurrentTrades = (GV8APIDATA)XmlHandler.DeSerializeItem(ret, typeof(GV8APIDATA));
}
public static void GetHistTrades(string traderName, string companyName, string brokerName, DateTime fromDate, DateTime toDate)
{
// @@@ cannot be used with GV 8.8 only GV 8.12; we use RWE web service (TradeService)
XmlDocument query = XmlQueryGenerator.HistTrades(traderName, companyName, brokerName, fromDate, toDate);
string ret = ExcecuteQuery(query, "HistTrades");
HistTrades = (GV8APIDATA)XmlHandler.DeSerializeItem(ret, typeof(GV8APIDATA));
}
public static void LoadHistTradesFromFile()
{
CurrentTrades = (GV8APIDATA)XmlHandler.DeSerializeItem(Settings.Instance.FilePath.DataFilePath, "CurrentTrades" + ".data", typeof(GV8APIDATA));
}
public static void HistTradeRequest(string traderName, string companyName, string brokerName,
string instrumentName, string commodityName, string firstSeqName,
DateTime fromDate, DateTime toDate)
{
int nrFilter = 0;
MarketDataRequest request;
request = new MarketDataRequest();
// @@@ filter inputs for reasonable values, i.e. warning for many days etc...
request.DataType = MarketDataTypeEnum.Deals;
request.FilterRules = new FilterRule[
(traderName == "All"? 0 : 1) +
(companyName == "All"? 0 : 1) +
(brokerName == "All"? 1 : 1) +
(instrumentName == "All" && commodityName == "All"? 0 : 1) +
(firstSeqName == "All" ? 0 : 1) +
+ 1]; // +1 Dates// @@@ how to filter for gas as commodity
// Date Filter
DateFilterRule dateFilter = new DateFilterRule();
dateFilter.StartDate = fromDate;
dateFilter.EndDate = toDate;
request.FilterRules[nrFilter] = dateFilter; nrFilter+=1;
// Trader Filter
if(traderName != "All")
{
TraderNameFilterRule traderFilter = new TraderNameFilterRule();
traderFilter.Action = FilterRuleActionEnum.Add;
traderFilter.TraderName = traderName;
request.FilterRules[nrFilter] = traderFilter; nrFilter += 1;
}
// Instrument Filter == Product, e.g. NBP, not tenor!
// We introduced Commodity which is a collection of intruments; setting an Instrument Type will supersede the Commodity
if (instrumentName != "All")
{
InstrumentsFilterRule instrumentsFilter = new InstrumentsFilterRule();
InstrumentFilterRule[] iGroup = new InstrumentFilterRule[1]; // @@@ extend >1 later
InstrumentFilterRule iRule = new InstrumentFilterRule();
iRule.Action = FilterRuleActionEnum.Add;
iRule.InstrumentName = instrumentName;
iGroup[0] = iRule;
instrumentsFilter.InstrumentRules = iGroup;
request.FilterRules[nrFilter] = instrumentsFilter; nrFilter += 1;
}
else if (commodityName != "All")
{
List<string> _instNames;
if (CommodityGrouper.CommodityClassList.Contains(commodityName))
{
_instNames = TP_SetupData.Commodities.Values.Where(k => k.CommodityClass == commodityName).Select(k => k.InstName).ToList();
}
else if (CommodityGrouper.CommodityList.Contains(commodityName))
{
_instNames = TP_SetupData.Commodities.Values.Where(k => k.Commodity == commodityName).Select(k => k.InstName).ToList();
}
else
{
throw new ArgumentOutOfRangeException("Commodity = " + commodityName + " unknown.");
}
InstrumentsFilterRule instrumentsFilter = new InstrumentsFilterRule();
InstrumentFilterRule[] iGroup = new InstrumentFilterRule[_instNames.Count];
InstrumentFilterRule iRule;
for (int i = 0; i < _instNames.Count; i++)
{
iRule = new InstrumentFilterRule();
iRule.Action = FilterRuleActionEnum.Add;
iRule.InstrumentName = _instNames[i];
iGroup[i] = iRule;
}
instrumentsFilter.InstrumentRules = iGroup;
request.FilterRules[nrFilter] = instrumentsFilter; nrFilter += 1;
}
// FirstSqeuenceName Filter, e.g. Sep-16, Win 16-17, ...
if (firstSeqName != "All")
{
SequenceFilterRule iRule = new SequenceFilterRule(); // multiple not possible
iRule.Action = FilterRuleActionEnum.Add;
iRule.SequenceItemName = firstSeqName;
request.FilterRules[nrFilter] = iRule; nrFilter += 1;
}
// Company Filter
if (companyName != "All")
{
CompaniesFilterRule companiesFilter = new CompaniesFilterRule();
CompanyFilterRule[] cGroup = new CompanyFilterRule[1]; // @@@ extend >1 later (possible?)
CompanyFilterRule cRule = new CompanyFilterRule();
cRule.Action = FilterRuleActionEnum.Add;
cRule.CompanyName = companyName;
cGroup[0] = cRule;
companiesFilter.CompanyRules = cGroup;
request.FilterRules[nrFilter] = companiesFilter; nrFilter += 1;
}
// Broker Filter
BrokersFilterRule brokersFilter= new BrokersFilterRule();
BrokerFilterRule[] bGroup;
BrokerFilterRule bRule;
if (brokerName == "All")
{
//char[] firstLetters = "SPI".ToCharArray();
//bGroup = new BrokerFilterRule[firstLetters.Length];
//for (int i = 0; i < firstLetters.Length; i++)
//{
// bRule = new BrokerFilterRule();
// bRule.Action = FilterRuleActionEnum.Add;
// bRule.CombineBrokers = true;
// bRule.BrokerName = firstLetters[i].ToString();
// bGroup[i] = bRule;
//}
bGroup = new BrokerFilterRule[1];
bRule = new BrokerFilterRule();
bRule.Action = FilterRuleActionEnum.Add;
bRule.CombineBrokers = true;
bRule.BrokerName = "";
bGroup[0] = bRule;
}
else
{
bGroup = new BrokerFilterRule[1];
bRule = new BrokerFilterRule();
bRule.Action = FilterRuleActionEnum.Add;
bRule.CombineBrokers = true;
bRule.BrokerName = brokerName;
bGroup[0] = bRule;
}
brokersFilter.BrokerRules = bGroup;
request.FilterRules[nrFilter] = brokersFilter; nrFilter += 1;
DealsServiceSoapClient api = new DealsServiceSoapClient();
MarketDataResponse response = api.GetDeals(request);
Debugger.AddDebugLine("Query executed.");
// convert data into our structure
Deal[] deals = response.Deals.Deals;
GV8APIDATA data = new GV8APIDATA();
data.TRADE = new TradeData[deals.Length];
for(int i = 0; i < deals.Length; i++)
{
TradeData tpDeal = new TradeData();
TrayportDeal srcDeal = (TrayportDeal)deals[i];
tpDeal.TradeID = srcDeal.DealId;
tpDeal.DateTime = srcDeal.DealDate; tpDeal._DateTime = tpDeal.DateTime.ToString("s", System.Globalization.CultureInfo.InvariantCulture);
tpDeal.Price = srcDeal.Price;
tpDeal.Volume = srcDeal.Quantity;
tpDeal.INSTSPECIFIER = new InstspecifierData();
tpDeal.INSTSPECIFIER.InstID = srcDeal.InstrumentId;
tpDeal.INSTSPECIFIER.InstName = srcDeal.InstrumentName;
tpDeal.INSTSPECIFIER.FirstSequenceID = srcDeal.FirstSequenceId;
tpDeal.INSTSPECIFIER.FirstSequenceItemName = srcDeal.FirstSequenceItemName;
tpDeal.INSTSPECIFIER.SecondSequenceItemName = srcDeal.SecondSequenceItemName;
tpDeal.InitiatorCompany = srcDeal.InitiatorCompany; //@@@ name or ID? check
tpDeal.InitiatorBroker = srcDeal.InitiatorBroker; // @@@
tpDeal.InitiatorTrader= srcDeal.InitiatorTrader; // @@@
tpDeal.InitiatorAction = srcDeal.InitiatorAction; // @@@
tpDeal.AggressorCompany = srcDeal.AggressorCompany; //@@@
tpDeal.AggressorBroker = srcDeal.AggressorBroker; // @@@
tpDeal.AggressorTrader = srcDeal.AggressorTrader; // @@@
tpDeal.AggressorAction = srcDeal.AggressorAction; // @@@
tpDeal.LastUpdate = srcDeal.LastUpdate; tpDeal._LastUpdate = tpDeal.LastUpdate.ToString("s", System.Globalization.CultureInfo.InvariantCulture);
tpDeal.InitiatorUser = srcDeal.InitiatorUser; //@@@
tpDeal.AggressorUser = srcDeal.AggressorUser; //@@@
tpDeal.ManualDeal = srcDeal.ManualDeal.HasValue? srcDeal.ManualDeal.Value : false;
tpDeal._ManualDeal = srcDeal.ManualDeal.HasValue ? srcDeal.ManualDeal.Value.ToString() : null;
tpDeal.VoiceDeal = srcDeal.VoiceDeal.HasValue ? srcDeal.VoiceDeal.Value : false;
tpDeal._VoiceDeal = srcDeal.VoiceDeal.HasValue ? srcDeal.VoiceDeal.Value.ToString() : null;
tpDeal.InitSleeve = srcDeal.InitSleeve.HasValue ? srcDeal.InitSleeve.Value : false;
tpDeal._InitSleeve = srcDeal.InitSleeve.HasValue ? srcDeal.InitSleeve.Value.ToString() : null;
tpDeal.AggSleeve = srcDeal.AggSleeve.HasValue ? srcDeal.AggSleeve.Value : false;
tpDeal._AggSleeve = srcDeal.AggSleeve.HasValue ? srcDeal.AggSleeve.Value.ToString() : null;
tpDeal.PNC = srcDeal.PNC.HasValue ? srcDeal.PNC.Value : false;
tpDeal._PNC = srcDeal.PNC.HasValue ? srcDeal.PNC.Value.ToString() : null;
/* 3 more I cannot find in the normal TP responses for current trades:
* tpDeal.INSTSPECIFIER.e = srcDeal.ExchangeDealId.HasValue ? srcDeal.ExchangeDealId.Value : 0;
* private string sCoTAOriginField;
* private string sCoTADeliveryPointField;
*/
data.TRADE[i] = tpDeal;
}
Adaptor.HistTrades = data;
string name = "HistTrades";
Trayport_API.XmlHandler.Save2Data(XmlHandler.SerializeToXml(request).OuterXml, name + ".query");
// @@@skip writing? excessive ....
//Trayport_API.XmlHandler.Save2Data(XmlHandler.SerializeToXml(data).OuterXml, name + ".data");
}
