private void checkSpreadLevel( SpreadOrder so )
{
double[] mktprices = findPrices(so.buySell);
double mktlevel = mktprices[2];
Order[] o = so.getLegs();
double[] wkprices = so.workPrices();
//the sell leg is off mkt
if (so.buySell == "Buy" && o[1].Price > market.ask(o[1].IPROC.Product) )
{
if (log.IsDebugEnabled)
log.Debug("BUY: sell leg is off mkt shift spread lower");
//lower sell leg
CancelReplace( o[1].buySell
,o[1].SOK
,o[1].IPROC
,o[1].WkQty
,1 );
//lower the buy leg
CancelReplace( o[0].buySell
,o[0].SOK
,o[0].IPROC
,o[0].WkQty
,-1 );
o[1].Price = market.ask(o[1].IPROC.Product) - o[1].IPROC.TickPrice;
o[0].Price = market.bid(o[0].IPROC.Product) - o[0].IPROC.TickPrice;
}
//the buy leg is off mkt
else if (so.buySell == "Buy" && o[0].Price < market.bid(o[0].IPROC.Product))
{
if (log.IsDebugEnabled)
log.Debug("BUY: buy leg is off mkt shift spread higher");
//higher sell leg
CancelReplace(o[1].buySell
, o[1].SOK
, o[1].IPROC
, o[1].WkQty
, -1);
//higher the buy leg
CancelReplace(o[0].buySell
, o[0].SOK
, o[0].IPROC
, o[0].WkQty
, 1);
o[1].Price = market.ask(o[1].IPROC.Product) + o[1].IPROC.TickPrice;
o[0].Price = market.bid(o[0].IPROC.Product) + o[0].IPROC.TickPrice;
}
//the sell leg is off mkt
else if (so.buySell == "Sell" && o[0].Price > market.ask(o[0].IPROC.Product))
{
if (log.IsDebugEnabled)
log.Debug("SELL: sell leg is off mkt shift spread lower");
//lower sell leg
CancelReplace( o[0].buySell
, o[0].SOK
, o[0].IPROC
, o[0].WkQty
, 1);
//lower the buy leg
CancelReplace( o[1].buySell
, o[1].SOK
, o[1].IPROC
, o[1].WkQty
, -1);
o[0].Price = market.ask(o[0].IPROC.Product) - o[0].IPROC.TickPrice;
o[1].Price = market.bid(o[1].IPROC.Product) - o[1].IPROC.TickPrice;
}
//the buy leg is off mkt
else if (so.buySell == "Sell" && o[1].Price < market.bid(o[1].IPROC.Product))
{
if (log.IsDebugEnabled)
log.Debug("SELL: buy leg is off mkt shift spread higher");
//higher sell leg
CancelReplace( o[0].buySell
,o[0].SOK
,o[0].IPROC
,o[0].WkQty
,-1);
//higher the buy leg
CancelReplace(o[1].buySell
, o[1].SOK
, o[1].IPROC
, o[1].WkQty
, 1);
o[0].Price = market.ask(o[0].IPROC.Product) + o[0].IPROC.TickPrice;
o[1].Price = market.bid(o[1].IPROC.Product) + o[1].IPROC.TickPrice;
}
}
private void checkSpreadLevel(SpreadOrder so)
{
double[] mktprices = findPrices(so.buySell);
double mktlevel = mktprices[2];
Order[] o = so.getLegs();
double[] wkprices = so.workPrices();
//the sell leg is off mkt
if (so.buySell == "Buy" && o[1].Price > market.ask(o[1].IPROC.Product))
{
if (log.IsDebugEnabled)
{
log.Debug("BUY: sell leg is off mkt shift spread lower");
}
//lower sell leg
CancelReplace(o[1].buySell
, o[1].SOK
, o[1].IPROC
, o[1].WkQty
, 1);
//lower the buy leg
CancelReplace(o[0].buySell
, o[0].SOK
, o[0].IPROC
, o[0].WkQty
, -1);
o[1].Price = market.ask(o[1].IPROC.Product) - o[1].IPROC.TickPrice;
o[0].Price = market.bid(o[0].IPROC.Product) - o[0].IPROC.TickPrice;
}
//the buy leg is off mkt
else if (so.buySell == "Buy" && o[0].Price < market.bid(o[0].IPROC.Product))
{
if (log.IsDebugEnabled)
{
log.Debug("BUY: buy leg is off mkt shift spread higher");
}
//higher sell leg
CancelReplace(o[1].buySell
, o[1].SOK
, o[1].IPROC
, o[1].WkQty
, -1);
//higher the buy leg
CancelReplace(o[0].buySell
, o[0].SOK
, o[0].IPROC
, o[0].WkQty
, 1);
o[1].Price = market.ask(o[1].IPROC.Product) + o[1].IPROC.TickPrice;
o[0].Price = market.bid(o[0].IPROC.Product) + o[0].IPROC.TickPrice;
}
//the sell leg is off mkt
else if (so.buySell == "Sell" && o[0].Price > market.ask(o[0].IPROC.Product))
{
if (log.IsDebugEnabled)
{
log.Debug("SELL: sell leg is off mkt shift spread lower");
}
//lower sell leg
CancelReplace(o[0].buySell
, o[0].SOK
, o[0].IPROC
, o[0].WkQty
, 1);
//lower the buy leg
CancelReplace(o[1].buySell
, o[1].SOK
, o[1].IPROC
, o[1].WkQty
, -1);
o[0].Price = market.ask(o[0].IPROC.Product) - o[0].IPROC.TickPrice;
o[1].Price = market.bid(o[1].IPROC.Product) - o[1].IPROC.TickPrice;
}
//the buy leg is off mkt
else if (so.buySell == "Sell" && o[1].Price < market.bid(o[1].IPROC.Product))
{
if (log.IsDebugEnabled)
{
log.Debug("SELL: buy leg is off mkt shift spread higher");
}
//higher sell leg
CancelReplace(o[0].buySell
, o[0].SOK
, o[0].IPROC
, o[0].WkQty
, -1);
//higher the buy leg
CancelReplace(o[1].buySell
, o[1].SOK
, o[1].IPROC
, o[1].WkQty
, 1);
o[0].Price = market.ask(o[0].IPROC.Product) + o[0].IPROC.TickPrice;
o[1].Price = market.bid(o[1].IPROC.Product) + o[1].IPROC.TickPrice;
}
}
