/// <summary>
/// Sends Market Order on the given Order Execution Provider
/// </summary>
/// <param name="marketOrder">TradeHub MarketOrder</param>
public void SendMarketOrder(MarketOrder marketOrder)
{
try
{
if (Logger.IsInfoEnabled)
{
Logger.Info("Sending Market Order on Blackwood." + marketOrder, _type.FullName, "SendMarketOrder");
}
OrderSide tempSide = BlackwoodTypeConvertor.OrderSideConvertor.GetBlackwoodOrderSide(marketOrder.OrderSide);
TIMEOUT tempTimeout = BlackwoodTypeConvertor.OrderTifConvertor.GetBlackwoodOrderTif(marketOrder.OrderTif);
if (tempSide.Equals(ORDER_SIDE.NONE))
{
Logger.Info("Invalid Order Side", _type.FullName, "SendMarketOrder");
return;
}
// Create Blackwood Order
//BWOrder bwOrder = new BWOrder(_session, marketOrder.Security.Symbol, tempSide,
// (uint)marketOrder.OrderSize, 0, 0,
// ORDER_TYPE.MARKET, (int)tempTimeout, FEED_ID.NONE, false,
// (uint)marketOrder.OrderSize);
BWOrder bwOrder = new BWOrder(_session, marketOrder.Security.Symbol, tempSide,
(uint)marketOrder.OrderSize, 0, OrderType.MARKET, (int)tempTimeout, FeedId.NONE, false,
(uint)marketOrder.OrderSize);
// Set OPG Venue
DetermineAndSetTraderDestinationsMarket(bwOrder, marketOrder.Exchange);
// Send Order to gateway
bwOrder.Send();
// Update Local IDs Map
_localToBlackwoodIdsMap.TryAdd(marketOrder.OrderID, bwOrder.ClientOrderID.ToString());
// Update BW-Orders Map
_bwOrders.TryAdd(bwOrder.ClientOrderID.ToString(), bwOrder);
if (Logger.IsDebugEnabled)
{
Logger.Debug("BW-Order ID: " + bwOrder.OrderID + " | BW-ClientOrder ID: " + bwOrder.ClientOrderID,
_type.FullName, "SendMarketOrder");
}
}
catch (Exception exception)
{
Logger.Error(exception, _type.FullName, "SendMarketOrder");
}
}
/// <summary>
/// Sends Limit Order on the given Order Execution Provider
/// </summary>
/// <param name="limitOrder">TradeHub LimitOrder</param>
public void SendLimitOrder(LimitOrder limitOrder)
{
try
{
if (Logger.IsInfoEnabled)
{
Logger.Info("Sending Limit Order on Blackwood." + limitOrder, _type.FullName, "SendLimitOrder");
}
OrderSide tempSide = BlackwoodTypeConvertor.OrderSideConvertor.GetBlackwoodOrderSide(limitOrder.OrderSide);
TIMEOUT tempTimeout = BlackwoodTypeConvertor.OrderTifConvertor.GetBlackwoodOrderTif(limitOrder.OrderTif);
if (tempSide.Equals(ORDER_SIDE.NONE))
{
Logger.Info("Invalid Order Side", _type.FullName, "SendLimitOrder");
return;
}
// NOTE: FFED_ID is fixed to ARCA according to StockTrader code
// Create Blackwood Order
//BWOrder bwOrder = new BWOrder(_session, limitOrder.Security.Symbol, tempSide,
// (uint)limitOrder.OrderSize, (double)limitOrder.LimitPrice, 0,
// ORDER_TYPE.LIMIT, (int)tempTimeout, FEED_ID.ARCA, false,
// (uint)limitOrder.OrderSize);
BWOrder bwOrder = new BWOrder(_session, limitOrder.Security.Symbol, tempSide,
(uint)limitOrder.OrderSize, (double)limitOrder.LimitPrice, 0, OrderType.LIMIT, (int)tempTimeout,
FeedId.ARCA, false, (uint)limitOrder.OrderSize);
// Send Order to gateway
bwOrder.Send();
// Update Local IDs Map
_localToBlackwoodIdsMap.TryAdd(limitOrder.OrderID, bwOrder.ClientOrderID.ToString());
// Update BW-Orders Map
_bwOrders.TryAdd(bwOrder.ClientOrderID.ToString(), bwOrder);
if (Logger.IsDebugEnabled)
{
Logger.Debug("BW-Order ID: " + bwOrder.OrderID + " | BW-ClientOrder ID: " + bwOrder.ClientOrderID,
_type.FullName, "SendLimitOrder");
}
}
catch (Exception exception)
{
Logger.Error(exception, _type.FullName, "SendLimitOrder");
}
}
long ServerBlackwood_newSendOrderRequest(Order o)
{
v(o.symbol + " received sendorder request for: " + o.ToString());
if ((o.id != 0) && !isunique(o))
{
v(o.symbol + " dropping duplicate order: " + o.ToString());
return((long)MessageTypes.DUPLICATE_ORDERID);
}
if (o.id == 0)
{
o.id = _id.AssignId;
}
int orderCID = (int)o.id;
string sSymbol = o.symbol;
ORDER_SIDE orderSide = (o.side ? ORDER_SIDE.SIDE_BUY : ORDER_SIDE.SIDE_SELL);
BWVenue orderVenue = getVenueFromBW(o);
BWOrderType orderType = (o.isStop ? (o.isLimit ? BWOrderType.STOP_LIMIT : BWOrderType.STOP_MARKET) : (o.isLimit ? BWOrderType.LIMIT : BWOrderType.MARKET));
int orderTIF = (int)getDurationFromBW(o);
uint orderSize = (uint)o.UnsignedSize;
int orderReserve = o.UnsignedSize;
float orderPrice = (float)o.price;
float orderStopPrice = (float)o.stopp;
// create a new BWOrder with these parameters
BWOrder bwOrder = new BWOrder(m_Session, sSymbol, orderSide, orderSize, orderPrice, orderType, orderTIF, orderVenue, false, orderSize);
bwOrder.CustomID = orderCID;
bwOrder.SmartID = orderCID;
// subscribe to this order's events
bwOrder.BWOrderUpdateEvent += new BWOrder.BWOrderUpdateHandler(bwOrder_BWOrderUpdateEvent);
// add a BWStock object for this symbol to the list of stocks that have had orders placed
// so that it can be referred to for position management
try
{
// GetStock throws an exception if not connected to Market Data
BWStock stock = m_Session.GetStock(bwOrder.Symbol);
}
catch (ClientPortalConnectionException e)
{
debug(e.Message);
}
// send the order
bwOrder.Send();
_bwOrdIds.Add(o.id, 0);
v(o.symbol + " sent order: " + o.ToString());
return((long)MessageTypes.OK);
}
long ServerBlackwood_newSendOrderRequest(Order o)
{
v(o.symbol + " received sendorder request for: " + o.ToString());
if ((o.id != 0) && !isunique(o))
{
v(o.symbol + " dropping duplicate order: " + o.ToString());
return (long)MessageTypes.DUPLICATE_ORDERID;
}
if (o.id == 0)
o.id = _id.AssignId;
int orderCID = (int)o.id;
string sSymbol = o.symbol;
ORDER_SIDE orderSide = (o.side ? ORDER_SIDE.SIDE_BUY : ORDER_SIDE.SIDE_SELL);
BWVenue orderVenue = getVenueFromBW(o);
BWOrderType orderType = (o.isStop ? (o.isLimit ? BWOrderType.STOP_LIMIT : BWOrderType.STOP_MARKET) : (o.isLimit ? BWOrderType.LIMIT : BWOrderType.MARKET));
int orderTIF = (int)getDurationFromBW(o);
uint orderSize = (uint)o.UnsignedSize;
int orderReserve = o.UnsignedSize;
float orderPrice = (float)o.price;
float orderStopPrice = (float)o.stopp;
// create a new BWOrder with these parameters
BWOrder bwOrder = new BWOrder(m_Session, sSymbol, orderSide, orderSize, orderPrice, orderType, orderTIF, orderVenue, false, orderSize);
bwOrder.CustomID = orderCID;
bwOrder.SmartID = orderCID;
// subscribe to this order's events
bwOrder.BWOrderUpdateEvent += new BWOrder.BWOrderUpdateHandler(bwOrder_BWOrderUpdateEvent);
// add a BWStock object for this symbol to the list of stocks that have had orders placed
// so that it can be referred to for position management
try
{
// GetStock throws an exception if not connected to Market Data
BWStock stock = m_Session.GetStock(bwOrder.Symbol);
}
catch (ClientPortalConnectionException e)
{
debug(e.Message);
}
// send the order
bwOrder.Send();
_bwOrdIds.Add(o.id, 0);
v(o.symbol + " sent order: " + o.ToString());
return (long)MessageTypes.OK;
}
long ServerBlackwood_newSendOrderRequest(Order o)
{
v(String.Format("{0} received sendorder request for: {1}",o.symbol, o.ToString()));
if ((o.id != 0) && !isunique(o))
{
v(String.Format("{0} dropping duplicate order: {1}",o.symbol, o.ToString()));
return (long)MessageTypes.DUPLICATE_ORDERID;
}
if (o.id == 0)
{
o.id = _id.AssignId;
v(String.Format("No order id for {0}...assigning [{1}]", o.symbol, o.id));
}
string sSymbol = o.symbol;
ORDER_SIDE orderSide = (o.side ? ORDER_SIDE.BUY : ORDER_SIDE.SELL);
FEED_ID orderVenue = getVenueFromBW(o); // need to add pegged order types
ORDER_TYPE orderType = (o.isStop ? (o.isLimit ? ORDER_TYPE.STOP_LIMIT : ORDER_TYPE.STOP_MARKET) : (o.isLimit ? ORDER_TYPE.LIMIT : ORDER_TYPE.MARKET));
int orderTIF = (int)getDurationFromBW(o);
uint orderSize = (uint)o.UnsignedSize;
int orderReserve = o.UnsignedSize;
double orderPrice = System.Convert.ToDouble(o.price);
double orderStopPrice = System.Convert.ToDouble(o.stopp);
// create a new BWOrder with these parameters
BWOrder bwOrder = new BWOrder(m_Session, sSymbol, orderSide, orderSize, orderPrice, orderType, orderTIF, orderVenue, false, orderSize);
SENDORDERUPDATE(bwOrder, o);
// check market connection
try
{
// GetStock throws an exception if not connected to Market Data
BWStock stock = m_Session.GetStock(bwOrder.Symbol);
}
catch (ClientPortalConnectionException e)
{
debug(e.Message);
}
// send the order
bwOrder.Send();
debug(String.Format("{0} sent order @ ${1}", bwOrder.Symbol, orderPrice));
return (long)MessageTypes.OK;
}
