/// <summary>
/// This function sets up the OrderProfile and submits
/// the order using the InstrumentTradeSubscription SendOrder method.
/// </summary>
/// <param name="buySell">The side of the market to place the order on.</param>
private void SendOrder(TTOrder tto, ZOrder o)
{
ZOrderSide orderSide = o.Side;
string qtyStr = o.Qty.ToString();
string priceStr = GetPriceString(o);
ZOrderType orderType = o.Type;
string stopPriceStr = o.StopPrice.ToString(); // TODO: WE NEED TO DEAL WITH STOP ORDERS!!!
TTInstrument ttinstr = _instruments[o.Iid];
cout("TengineTT::SendOrder: {0}", o.ToString());
try
{
//OrderProfile op = new OrderProfile(ttinstr.DefaultOrderFeed, ttinstr.Instrument, this.DefaultCustomer);
OrderProfile op = tto.Profile;
op.BuySell = TranslateSide(orderSide); // Set for Buy or Sell.
op.QuantityToWork = Quantity.FromString(ttinstr.Instrument, qtyStr); // Set the quantity.
if (orderType == ZOrderType.Market) // Market Order
{
op.OrderType = OrderType.Market;
}
else if (orderType == ZOrderType.Limit) // Limit Order
{
// Set the limit order price.
op.LimitPrice = Price.FromString(ttinstr.Instrument, priceStr);
}
else if (orderType == ZOrderType.StopMarket) // Stop Market Order
{
op.OrderType = OrderType.Market; // Set the order type to "Market" for a market order.
op.Modifiers = OrderModifiers.Stop; // Set the order modifiers to "Stop" for a stop order.
op.StopPrice = Price.FromString(ttinstr.Instrument, stopPriceStr); // Set the stop price.
}
else if (orderType == ZOrderType.StopLimit) // Stop Limit Order
{
op.OrderType = OrderType.Limit; // Set the order type to "Limit" for a limit order.
op.Modifiers = OrderModifiers.Stop; // Set the order modifiers to "Stop" for a stop order.
op.LimitPrice = Price.FromString(ttinstr.Instrument, priceStr); // Set the limit order price.
op.StopPrice = Price.FromString(ttinstr.Instrument, stopPriceStr); // Set the stop price.
}
//_orders[op.SiteOrderKey]
m_dtrd[ttinstr.InstrumentKey].SendOrder(op); // Send the order.
cout("TengineTT::SendOrder: TT Order Send {0} {1}|{2}@{3}", op.SiteOrderKey, op.BuySell.ToString(), op.QuantityToWork.ToString(), LimitOrMarketPrice(op));
/*// Update the GUI.
* txtOrderBook.Text += String.Format("Send {0} {1}|{2}@{3}{4}",
* orderProfile.SiteOrderKey,
* orderProfile.BuySell.ToString(),
* orderProfile.QuantityToWork.ToString(),
* orderProfile.OrderType == OrderType.Limit ? orderProfile.LimitPrice.ToString() : "Market Price",
* System.Environment.NewLine);*/
}
catch (Exception err)
{
ErrorMessage(err.Message);
}
}
public override void DeleteOrder(uint oid)
{
ZOrder o = orders[oid];
TTOrder tto = _orders[oid];
tto.Order.Delete();
o.SetState(ZOrderState.Cancelled); // TODO: set the state when we receive "order deleted" callback
}
public override void SubmitOrder(uint oid)
{
ZOrder o = orders[oid];
var order = _orders[oid];
GetBook(o).Insert(order);
o.SetState(ZOrderState.Working);
}
public override void DeleteOrder(uint oid)
{
ZOrder o = orders[oid];
//var order = _orders[oid];
//GetBook(o).Remove(order);
o.SetState(ZOrderState.Cancelled);
}
/// <summary>
/// This function sets up the OrderProfile and submits
/// the order using the InstrumentTradeSubscription SendOrder method.
/// </summary>
/// <param name="buySell">The side of the market to place the order on.</param>
private void SendOrder(TTInstrument ttinstr, ZOrder o)
{
var orderSide = o.Side;
var qtyStr = o.Qty.ToString();
var priceStr = o.Price.ToString();
var orderType = o.Type;
var stopPriceStr = o.StopPrice.ToString(); // TODO: WE NEED TO DEAL WITH STOP ORDERS!!!
cout("TeTTApi::SendOrder: {0}", o.ToString());
try
{
CustomerDefaultEntry m_defaultCustomer = null;
OrderProfile orderProfile = new OrderProfile(ttinstr.DefaultOrderFeed, ttinstr.Instrument, m_defaultCustomer.Customer);
orderProfile.BuySell = TranslateSide(orderSide); // Set for Buy or Sell.
orderProfile.QuantityToWork = Quantity.FromString(ttinstr.Instrument, qtyStr); // Set the quantity.
if (orderType == ZOrderType.Market) // Market Order
{
orderProfile.OrderType = OrderType.Market;
}
else if (orderType == ZOrderType.Limit) // Limit Order
{
// Set the limit order price.
orderProfile.LimitPrice = Price.FromString(ttinstr.Instrument, priceStr);
}
else if (orderType == ZOrderType.StopMarket) // Stop Market Order
{
orderProfile.OrderType = OrderType.Market; // Set the order type to "Market" for a market order.
orderProfile.Modifiers = OrderModifiers.Stop; // Set the order modifiers to "Stop" for a stop order.
orderProfile.StopPrice = Price.FromString(ttinstr.Instrument, stopPriceStr); // Set the stop price.
}
else if (orderType == ZOrderType.StopLimit) // Stop Limit Order
{
orderProfile.OrderType = OrderType.Limit; // Set the order type to "Limit" for a limit order.
orderProfile.Modifiers = OrderModifiers.Stop; // Set the order modifiers to "Stop" for a stop order.
orderProfile.LimitPrice = Price.FromString(ttinstr.Instrument, priceStr); // Set the limit order price.
orderProfile.StopPrice = Price.FromString(ttinstr.Instrument, stopPriceStr); // Set the stop price.
}
//m_instrumentTradeSubscription.SendOrder(orderProfile); // Send the order.
cout("TT Order Send {0} {1}|{2}@{3}", orderProfile.SiteOrderKey, orderProfile.BuySell.ToString(), orderProfile.QuantityToWork.ToString(), LimitOrMarketPrice(orderProfile));
/*// Update the GUI.
* txtOrderBook.Text += String.Format("Send {0} {1}|{2}@{3}{4}",
* orderProfile.SiteOrderKey,
* orderProfile.BuySell.ToString(),
* orderProfile.QuantityToWork.ToString(),
* orderProfile.OrderType == OrderType.Limit ? orderProfile.LimitPrice.ToString() : "Market Price",
* System.Environment.NewLine);*/
}
catch (Exception err)
{
ErrorMessage(err.Message);
}
}
public override void SubmitOrder(uint oid)
{
ZOrder o = orders[oid];
//var order = _orders[oid];
//GetBook(o).Insert(order);
var ttinstr = _instruments[o.Iid];
SendOrder(ttinstr, o);
o.SetState(ZOrderState.Working);
}
public override uint CreateOrder(uint iid, ZOrderSide side, int price, uint qty, ZOrderType type, ZOrderTimeInForce tif)
{
uint oid = GenerateOrderId();
var o = new ZOrder(oid, iid, side, price, qty, type, tif);
orders[oid] = o;
//_orders[o.Oid] = new OME.EquityOrder(_instruments[o.Iid], OME.Order.OrderTypes.GoodUntilCancelled, GetSide(o), o.Price, o.Qty);
return(oid);
}
private OME.Orders GetBook(ZOrder o)
{
if (o.IsBuy)
{
return(_buyOrderBook[o.Iid]);
}
else
{
return(_sellOrderBook[o.Iid]);
}
}
public override void SubmitOrder(uint oid)
{
ZOrder o = orders[oid];
TTOrder tto = _orders[oid];
//var order = _orders[oid];
//GetBook(o).Insert(order);
/*var ttinstr = _instruments[o.Iid];
* SendOrder(ttinstr, o);*/
SendOrder(tto, o);
o.SetState(ZOrderState.Working); // TODO: set the state when we receive "order added" callback
}
public override uint CreateOrder(uint iid, ZOrderSide side, int price, uint qty, ZOrderType type, ZOrderTimeInForce tif)
{
uint oid = GenerateOrderId();
var o = new ZOrder(oid, iid, side, price, qty, type, tif);
orders[oid] = o;
// Add this to the OrderMap which will allow us to convert to/from TTAPI orders
var ttinstr = _instruments[iid];
OrderProfile op = new OrderProfile(ttinstr.DefaultOrderFeed, ttinstr.Instrument, this.DefaultCustomer);
var tto = new TTOrder(op);
_orders.Add(tto.Key, tto, oid);
return(oid);
}
// Get the integer price from a ZOrder object and divide it by the proper power of 10 to get the converted decimal price (as a string)
private string GetPriceString(ZOrder o)
{
return(_instruments[o.Iid].ConvertPrice(o.Price).ToString());
}
private OME.Order.BuyOrSell GetSide(ZOrder o)
{
return((o.Side == ZOrderSide.Buy) ? OME.Order.BuyOrSell.Buy : OME.Order.BuyOrSell.Sell);
}
