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();
}
}
/// <summary>
/// Constructor for a new SpreadDetailsForm.
/// </summary>
/// <param name="session">Session</param>
/// <param name="dispatcher">Dispatcher</param>
public SpreadDetailsForm(Session session, Dispatcher dispatcher)
{
InitializeComponent();
m_isNewSpread = true;
m_session = session;
m_dispatcher = dispatcher;
m_spreadDetails = new SpreadDetails();
initFields();
}
/// <summary>
/// Constructor for a new SpreadDetailsForm.
/// </summary>
/// <param name="session">Session</param>
/// <param name="dispatcher">Dispatcher</param>
public SpreadDetailsForm(Session session, Dispatcher dispatcher)
{
InitializeComponent();
m_isNewSpread = true;
m_session = session;
m_dispatcher = dispatcher;
m_spreadDetails = new SpreadDetails();
initFields();
}
/// <summary>
/// Constructor for a SpreadDetailsForm from an existing SpreadDetails definition.
/// </summary>
/// <param name="session">Session</param>
/// <param name="dispatcher">Dispatcher</param>
/// <param name="spreadDetails">SpreadDetails</param>
public SpreadDetailsForm(Session session, Dispatcher dispatcher, SpreadDetails spreadDetails)
{
InitializeComponent();
m_isNewSpread = false;
m_session = session;
m_dispatcher = dispatcher;
m_spreadDetails = spreadDetails;
initFields();
}
/// <summary>
/// Constructor for a SpreadDetailsForm from an existing SpreadDetails definition.
/// </summary>
/// <param name="session">Session</param>
/// <param name="dispatcher">Dispatcher</param>
/// <param name="spreadDetails">SpreadDetails</param>
public SpreadDetailsForm(Session session, Dispatcher dispatcher, SpreadDetails spreadDetails)
{
InitializeComponent();
m_isNewSpread = false;
m_session = session;
m_dispatcher = dispatcher;
m_spreadDetails = spreadDetails;
initFields();
}
/// <summary>
/// Event notification for instrument lookup
/// </summary>
void m_req_Update(object sender, InstrumentLookupSubscriptionEventArgs e)
{
if (e.Instrument != null && e.Error == null)
{
// Instrument was found
Console.WriteLine("Found: {0}", e.Instrument.Name);
// Update the dictionary to indicate that the instrument was found.
InstrumentLookupSubscription instrLookupSub = sender as InstrumentLookupSubscription;
if (m_spreadLegKeys.ContainsKey((int)instrLookupSub.Tag))
{
m_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);
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 = "My Spread";
int i = 0;
// Add the legs to the SpreadDetails
foreach (Instrument instrument in m_spreadLegKeys.Values)
{
// In this example, the order is routed to the first order feed in the list of valid order feeds.
// You should use the order feed that is appropriate for your purposes.
SpreadLegDetails spreadlegDetails = new SpreadLegDetails(instrument, instrument.GetValidOrderFeeds()[0].ConnectionKey);
spreadlegDetails.SpreadRatio = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.PriceMultiplier = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.CustomerName = "<Default>";
spreadDetails.Legs.Append(spreadlegDetails);
i++;
}
// Create an AutospreaderInstrument corresponding to the synthetic spread
m_casReq = new CreateAutospreaderInstrumentRequest(m_apiInstance.Session, Dispatcher.Current, spreadDetails);
m_casReq.Completed += new EventHandler <CreateAutospreaderInstrumentRequestEventArgs>(m_casReq_Completed);
m_casReq.Submit();
}
}
/// <summary>
/// Launch an autospreader instrument to a selected order server.
/// First find the instrument then launch it to the selected order feed.
/// </summary>
private void buttonLaunch_Click(object sender, EventArgs e)
{
DataGridViewSelectedCellCollection selectedCells = dataGridViewSpreadView.SelectedCells;
if (selectedCells.Count > 0)
{
SpreadDetails currentSpreadDetails = ((MutableSpreadDetails)selectedCells[0].OwningRow.DataBoundItem).SpreadDetails;
InstrumentLookupSubscription instrumentLookupSubscription = new InstrumentLookupSubscription(m_TTAPI.Session, Dispatcher.Current, currentSpreadDetails.InstrumentKey);
instrumentLookupSubscription.Update += new EventHandler <InstrumentLookupSubscriptionEventArgs>(instrumentLookupSubscription_Update);
instrumentLookupSubscription.Start();
}
}
void DeleteSpread(Instrument instrument)
{
// delete
ASReturnCodes rtnCode;
Console.WriteLine("Delete the SPREAD");
SpreadDetails spread = instrument.GetSpreadDetails();
// Delete the spread from TT system.
// Parameter spreadReq: SpreadDetails object representing the spread to delete
// Return rtnCode: ASReturnCodes enum indicating the status of the request
rtnCode = AutospreaderManager.DeleteSpreadDetails(spread);
System.Diagnostics.Debug.Assert(rtnCode == ASReturnCodes.Success);
}
/// <summary>
/// Delete an existing spread.
/// </summary>
private void buttonDelete_Click(object sender, EventArgs e)
{
DataGridViewSelectedCellCollection selectedCells = dataGridViewSpreadView.SelectedCells;
if (selectedCells.Count > 0)
{
SpreadDetails currentSpreadDetails = ((MutableSpreadDetails)selectedCells[0].OwningRow.DataBoundItem).SpreadDetails;
ASReturnCodes returnCode = m_autospreaderManager.DeleteSpreadDetails(currentSpreadDetails);
if (returnCode != ASReturnCodes.Success)
{
MessageBox.Show("Delete spread definition failed: " + returnCode.ToString());
}
}
}
/// <summary>
/// Edit an existing spread.
/// </summary>
private void buttonEdit_Click(object sender, EventArgs e)
{
DataGridViewSelectedCellCollection selectedCells = dataGridViewSpreadView.SelectedCells;
if (selectedCells.Count > 1)
{
// First get the current spread details.
SpreadDetails currentSpreadDetails = ((MutableSpreadDetails)selectedCells[0].OwningRow.DataBoundItem).SpreadDetails;
// Make a copy of the spread details so that it can be reverted if necessary.
SpreadDetails copyOfSpreadDetails = m_autospreaderManager.GetSpreadDetails(currentSpreadDetails.InstrumentKey);
// Create a new spread details form with the spread details copy.
SpreadDetailsForm spreadDetailsForm = new SpreadDetailsForm(m_TTAPI.Session, Dispatcher.Current, copyOfSpreadDetails);
spreadDetailsForm.ShowDialog();
}
}
Instrument CreateSpread()
{
string aseName = "ASE.Test." + DateTime.Now.ToString("yyyyMMddhhmmss");
Console.WriteLine("Create a new SPREAD " + aseName);
var spreadReq = new SpreadDetails(aseName)
{
Color = Color.GreenYellow,
PricingModel = PricingModel.NetChange
};
// first leg
var inst1 = FindInstrument(m_product, m_alias1);
var leg1 = new SpreadLegDetails(inst1, 5, 8.5M)
{
ActiveQuoting = true,
IsLeanIndicative = false,
MinLeanQty = "ThisLeg.DisclosedRemainingQuantity"
};
spreadReq.AppendLeg(leg1);
// second leg
var inst2 = FindInstrument(m_product, m_alias2);
var leg2 = new SpreadLegDetails(inst2, -1, -2)
{
ActiveQuoting = true,
IsLeanIndicative = true,
MinLeanQty = "ThisLeg.DisclosedRemainingQuantity"
};
spreadReq.AppendLeg(leg2);
// Add a spread to the spread manager and Save the ASE instrument in TT system.
// Parameter spreadReq: SpreadDetails object representing the spread to add
// Parameter rtnCode: ASReturnCodes enum indicating the status of the request
ASReturnCodes rtnCode;
Instrument newInst = AutospreaderManager.AddSpreadDetails(spreadReq, out rtnCode);
System.Diagnostics.Debug.Assert(rtnCode == ASReturnCodes.Success);
Console.WriteLine($" New ASE instrument is created {newInst.InstrumentDetails.Name}: {newInst.InstrumentDetails.Id}/{newInst.InstrumentDetails.Version}");
return(newInst);
}
/// <summary>
/// Rename an existing spread.
/// </summary>
private void buttonRename_Click(object sender, EventArgs e)
{
DataGridViewSelectedCellCollection selectedCells = dataGridViewSpreadView.SelectedCells;
if (selectedCells.Count > 0)
{
SpreadDetails currentSpreadDetails = ((MutableSpreadDetails)selectedCells[0].OwningRow.DataBoundItem).SpreadDetails;
string newName = currentSpreadDetails.Name;
if (InputDialog.InputDialogBox("Rename", "Please enter a new spread name.", ref newName) == System.Windows.Forms.DialogResult.OK)
{
ASReturnCodes returnCode = m_autospreaderManager.RenameSpreadDetails(currentSpreadDetails, newName);
if (returnCode != ASReturnCodes.Success)
{
MessageBox.Show("Rename spread definition failed: " + returnCode.ToString());
}
}
}
}
//
//
#endregion//Constructors
#region no Properties
// *****************************************************************
// **** Properties ****
// *****************************************************************
//
//
#endregion//Properties
#region Public Methods
// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
//
//
public bool TryCreateAutoSpreader(List <UVSpreaderLeg> quoteLegsList)
{
SpreadDetails spreadDetails = new SpreadDetails();
StringBuilder spreadName = new StringBuilder();
m_UVSpreaderLegs = quoteLegsList;
foreach (UVSpreaderLeg spreadLeg in quoteLegsList)
{
UVInstrName instrName = spreadLeg.InstrumentDetails.InstrumentName;
spreadName.AppendFormat("{0}x{1}.", instrName, spreadLeg.m_PriceLeg.Weight);
InstrumentKey instrKey;
FeedConnectionKey feedConnectionKey;
if (!m_InstrumentNameToTTKey.TryGetValue(instrName, out instrKey))
{
return(false); // we can't find the instrumentKey
}
if (!m_DefaultFeedKey.TryGetValue(instrKey, out feedConnectionKey))
{
return(false); // we can't find the instrumentKey
}
// This needs to be fixed due to the newer API 7.17
//SpreadLegDetails spreadLegDetails = new SpreadLegDetails(instrKey, feedConnectionKey);
//spreadLegDetails.SpreadRatio = (int)spreadLeg.m_PriceLeg.Weight;
//spreadLegDetails.PriceMultiplier = spreadLeg.m_PriceLeg.PriceMultiplier;
//spreadLegDetails.CustomerName = instrName.ToString();
//spreadDetails.Legs.Append(spreadLegDetails);
}
spreadDetails.Name = spreadName.ToString();
CreateAutospreaderInstrumentRequest autoSpreaderRequest = new CreateAutospreaderInstrumentRequest(m_TTService.session, Dispatcher.Current, spreadDetails);
autoSpreaderRequest.Completed += new EventHandler <CreateAutospreaderInstrumentRequestEventArgs>(AutoSpreaderInstrumentRequest_Completed);
autoSpreaderRequest.Submit();
return(true);
}
Instrument UpdateSpread(Instrument instrument)
{
// update
ASReturnCodes rtnCode;
Console.WriteLine("Update the new created SPREAD");
SpreadDetails spreadReq = instrument.GetSpreadDetails();
spreadReq.UserDefinedDenominator = 20;
spreadReq.UserDefinedNumerator = 1;
var legChange = spreadReq.GetLeg(1);
legChange.PriceMultiplier = -3;
spreadReq.Updateleg(1, legChange);
// Update the spread to the spread manager and Save the ASE instrument in TT system.
// Parameter spreadReq: SpreadDetails object representing the spread to update
// Parameter rtnCode: ASReturnCodes enum indicating the status of the request
var updatedInst = AutospreaderManager.UpdateSpreadDetails(spreadReq, out rtnCode);
System.Diagnostics.Debug.Assert(rtnCode == ASReturnCodes.Success);
return(updatedInst);
}
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];
SpreadLegDetails spreadlegDetails = new SpreadLegDetails(instrument, instrument.GetValidOrderFeeds()[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();
}
}
private void CreateSpreadDetails()
{
Console.WriteLine("Creating the spread...");
// SpreadDetails related properties
SpreadDetails spreadDetails = new SpreadDetails();
spreadDetails.Name = "My Spread";
int i = 0;
// Add the legs to the SpreadDetails
foreach (Instrument instrument in spreadLegKeys.Values)
{
// In this example, the order is routed to the first order feed in the list of valid order feeds.
// You should use the order feed that is appropriate for your purposes.
SpreadLegDetails spreadlegDetails = new SpreadLegDetails(instrument.Key, instrument.GetValidOrderFeeds()[0].ConnectionKey);
spreadlegDetails.SpreadRatio = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.PriceMultiplier = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.CustomerName = "<Default>";
spreadDetails.Legs.Append(spreadlegDetails);
i++;
}
// Create an Instrument corresponding to the synthetic spread
casReq = new CreateAutospreaderInstrumentRequest(apiInstance.Session, Dispatcher.Current, spreadDetails);
casReq.Completed += new EventHandler<CreateAutospreaderInstrumentRequestEventArgs>(casReq_Completed);
casReq.Submit();
}
/// <summary>
/// Event notification for instrument lookup
/// </summary>
void m_req_Update(object sender, InstrumentLookupSubscriptionEventArgs e)
{
if (e.Instrument != null && e.Error == null)
{
// Instrument was found
Console.WriteLine("Found: {0}", e.Instrument.Name);
// Update the dictionary to indicate that the instrument was found.
InstrumentLookupSubscription instrLookupSub = sender as InstrumentLookupSubscription;
if (m_spreadLegKeys.ContainsKey((int)instrLookupSub.Tag))
{
m_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);
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 = "My Spread";
int i = 0;
// Add the legs to the SpreadDetails
foreach (Instrument instrument in m_spreadLegKeys.Values)
{
// In this example, the order is routed to the first order feed in the list of valid order feeds.
// You should use the order feed that is appropriate for your purposes.
SpreadLegDetails spreadlegDetails = new SpreadLegDetails(instrument, instrument.GetValidOrderFeeds()[0].ConnectionKey);
spreadlegDetails.SpreadRatio = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.PriceMultiplier = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.CustomerName = "<Default>";
spreadDetails.Legs.Append(spreadlegDetails);
i++;
}
// Create an AutospreaderInstrument corresponding to the synthetic spread
m_casReq = new CreateAutospreaderInstrumentRequest(m_apiInstance.Session, Dispatcher.Current, spreadDetails);
m_casReq.Completed += new EventHandler<CreateAutospreaderInstrumentRequestEventArgs>(m_casReq_Completed);
m_casReq.Submit();
}
}
public MutableSpreadDetails(SpreadDetails details)
{
SpreadDetails = details;
Name = SpreadDetails.Name;
}
public MutableSpreadDetails(SpreadDetails details)
{
SpreadDetails = details;
Name = SpreadDetails.Name;
}
