/// <summary>
/// Sends Market Data request to the provider
/// </summary>
public bool SubscribeTickData(Subscribe request)
{
try
{
// Get BW Stock Instance from the requested Symbol
BWStock bwStock = _session.GetStock(request.Security.Symbol);
// Register Quote Data
//bwStock.OnLevel1Update2 += OnLevelOneUpdate;
bwStock.OnLevel1Update3 += OnLevelOneUpdate;
// Register Trade Data
//bwStock.OnTrade2 += OnTradeUpdate;
bwStock.OnTrade3 += OnTradeUpdate;
// Send Subscription Request
bwStock.Subscribe();
if (Logger.IsInfoEnabled)
{
Logger.Info("Sending market data request for: " + request.Security.Symbol, _type.FullName,
"SubscribeTickData");
}
return(true);
}
catch (Exception exception)
{
Logger.Error(exception, _type.FullName, "SubscribeTickData");
return(false);
}
}
void tl_newRegisterSymbols(string client, string symbols)
{
Basket b = BasketImpl.FromString(symbols);
foreach (Security s in b)
{
// make sure we don't already have a subscription for this
if (_symstk.Contains(s.symbol))
{
continue;
}
BWStock stk = m_Session.GetStock(s.symbol);
stk.Subscribe();
stk.OnTrade += new BWStock.TradeHandler(stk_OnTrade);
//stk.OnLevel2Update += new BWStock.Level2UpdateHandler(stk_OnLevel2Update);
stk.OnLevel1Update += new BWStock.Level1UpdateHandler(stk_OnLevel1Update);
_stocks.Add(stk);
_symstk.Add(s.symbol);
v("added level1 subscription for: " + s.symbol);
}
// get existing list
Basket list = tl.AllClientBasket;
// remove old subscriptions
for (int i = 0; i < _symstk.Count; i++)
{
if (!list.ToString().Contains(_symstk[i]) && (_stocks[i] != null))
{
debug(_symstk[i] + " not needed, removing...");
try
{
_stocks[i].Unsubscribe();
_stocks[i] = null;
_symstk[i] = string.Empty;
}
catch { }
}
}
}
/// <summary>
/// Called when Order Reject is received from Blackwood
/// </summary>
private void OnOrderReject(object sender, MsgReject rejectmsg)
{
try
{
if (Logger.IsInfoEnabled)
{
Logger.Info("Order rejected by Blackwood: " + rejectmsg.ToString(), _type.FullName, "OnOrderReject");
}
BWOrder rejectedOrder;
// Get corresponding Local Order ID
string localId = (from id in _localToBlackwoodIdsMap
where id.Value.Equals(rejectmsg.ClientOrderID.Value.ToString())
select id.Key).FirstOrDefault();
if (localId == null)
{
return;
}
// Remove from Ids Map
string tempId;
_localToBlackwoodIdsMap.TryRemove(localId, out tempId);
// Remove Rejected Order from the List
_bwOrders.TryRemove(rejectmsg.ClientOrderID.Value.ToString(), out rejectedOrder);
Rejection rejection = new Rejection(new Security {
Symbol = rejectmsg.Symbol.Value
}, _orderExecutionProviderName)
{
OrderId = localId,
RejectioReason = rejectmsg.Reason.Value,
};
// Raise Rejection reason
if (OrderRejectionArrived != null)
{
OrderRejectionArrived(rejection);
}
if (rejectmsg.Reason.Value.Equals("Not Shortable - Hard To Borrow"))
{
// Get BW Stock Instance from the requested Symbol
BWStock bwStock = _session.GetStock(rejectmsg.Symbol.Value);
// Locate Stock
bwStock.LocateStock(rejectedOrder.Size);
if (Logger.IsDebugEnabled)
{
Logger.Debug(
"Locating " + rejectmsg.Symbol.Value + " sharess of" + rejectmsg.Symbol.Value,
_type.FullName, "OnOrderReject");
}
//_htbRejectID = orderReject.ClientOrderID;
}
}
catch (Exception exception)
{
Logger.Error(exception, _type.FullName, "OnOrderReject");
}
}
