private void UpdateDictUserOpenedOrders(FUTTRADE.orders_log ol)
{
try
{
string isin = m_plaza2Connector.Instruments.GetInstrumentByIsinId(ol.isin_id);
CRawOrdersLogStruct rawOls = new CRawOrdersLogStruct((FUTTRADE.orders_log)ol.Copy());
if (ol.action == (sbyte)EnmOrderAction.Added)
{
DictUsersOpenedOrders[ol.id_ord] = rawOls;
// m_plaza2Connector.GUIBox.UpdateOrders(isin, new CRawOrdersLogStruct(ol));
Log("Update " + ol.id_ord);
string dbgString = "Update " + ol.id_ord;
m_plaza2Connector.GUIBox.ExecuteWindowsUpdate(new Action(() => m_plaza2Connector.GUIBox.UpdateOrders(isin, rawOls)));
Log("End update " + ol.id_ord);
}
else if (ol.action == (sbyte)EnmOrderAction.Deleted || ol.action == (sbyte)EnmOrderAction.Deal)
{
DictUsersOpenedOrders.Remove(ol.id_ord);
//m_plaza2Connector.GUIBox.RemoveOrder(ol.id_ord);
Log("Remove " + ol.id_ord);
string dbgString = "Remove " + ol.id_ord;
m_plaza2Connector.GUIBox.ExecuteWindowsUpdate(new Action(() => m_plaza2Connector.GUIBox.RemoveOrder(rawOls.Id_ord)));
Log("End remove " + ol.id_ord);
}
}
catch (Exception e)
{
Error("UpdateDictUserOpenedOrders", e);
}
}
public OrderInst(string isin, CRawOrdersLogStruct ols)
{
Id = ols.Id_ord;
Isin = isin;
Dir = (ols.Dir == (int)OrderDirection.Buy) ? "Buy" : "Sell";
Price = ols.Price;
Moment = ols.Moment;
Amount = ols.Amount;
Ext_id = ols.Ext_id;
}
public void DBGDeleted(CRawOrdersLogStruct userOrdLogStruct)
{
string msg = "[ORDBOX_DELETED] ";
msg += String.Format("Ext_id={0} Instrument={1} Id_ord={2} ",
userOrdLogStruct.Ext_id,
userOrdLogStruct.Instrument,
userOrdLogStruct.Id_ord);
Log(msg);
}
public void Process(CTableRecrd record)
{
//TODO normal
// if (!_client.IsOnlineUserOrderLog)
// _client.IsOnlineUserOrderLog = true;
_onlineDetector.Update();
//TODO check partial acception!
CRawOrdersLogStruct userOrdLogStruct = new CRawOrdersLogStruct()
{
Id_ord = Convert.ToInt64(record.values["ORDERNO"]),
Ext_id = Convert.ToInt16(record.values["EXTREF"]),
Dir = Convert.ToChar(record.values["BUYSELL"]) == 'B' ?
(sbyte)EnmOrderDir.Buy : (sbyte)EnmOrderDir.Sell,
Price = Convert.ToDecimal(record.values["PRICE"]),
Amount = Convert.ToInt16(record.values["QUANTITY"]),
Instrument = Convert.ToString(record.values["SECCODE"]),
Action = (sbyte)CASTSConv.ASTSActionToEnmOrderAction(Convert.ToChar(record.values["STATUS"])),
Moment = CASTSConv.ASTSTimeToDateTime(record.values["ORDERTIME"].ToString())
};
EnmBotEventCode evnt = EnmBotEventCode.OnEmptyEvent;
if (userOrdLogStruct.Action == (sbyte)EnmOrderAction.Added)
{
evnt = EnmBotEventCode.OnOrderAccepted;
}
else if (userOrdLogStruct.Action == (sbyte)EnmOrderAction.Deleted)
{
evnt = EnmBotEventCode.OnOrderCancel;
}
else if (userOrdLogStruct.Action == (sbyte)EnmOrderAction.Deal)
{
evnt = EnmBotEventCode.OnOrderDeal;
}
_client.TriggerRecalculateBot(userOrdLogStruct.Ext_id,
userOrdLogStruct.Instrument,
evnt, userOrdLogStruct);
//foreach(CBotBase bb in
}
/*+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
*
* INHERITED METHODS
+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++*/
/// <summary>
/// Extends CBotBase Method.
/// - Sends data to traders
/// - Updates subbot's datra
/// </summary>
protected override void ProcessRawOrdLogStruct(CRawOrdersLogStruct rols)
{
base.ProcessRawOrdLogStruct(rols);
BindTradersDispatcher();
if (_tradersDispatcher != null)
//if (m_plaza2Connector.IsOnlineUserOrderLog)
{
//TODO enqueue
_tradersDispatcher.EnqueueUserOrdersUpdate(BotId, this);
}
UpdateSubBotOrdersMonitorInstr(rols);
}
public void UpdateOrders(string isin, CRawOrdersLogStruct rols)
{
if (m_plaza2Connector.IsOnlineUserOrderLog &&
!m_plaza2Connector.GUIBox.IsOnlineUserOrderLogDelayed)
{
m_plaza2Connector.GUIBox.ExecuteWindowsUpdate(new Action(() =>
{
m_plaza2Connector.GUIBox.IsOnlineUserOrderLogDelayed = true;
}
));
}
m_plaza2Connector.GUIBox.ExecuteWindowsUpdate(new Action(() =>
Orders.UpdateWithId(new OrderInst(isin, rols))
));
}
/// <summary>
/// Call from ProcessRawOrdLogStruct
/// </summary>
/// <param name="rols"></param>
private void UpdateSubBotOrdersMonitorInstr(CRawOrdersLogStruct rols)
{
if (rols.Ext_id != BotId)
{
return;
}
string instrument = "unknown";
//update 2017-08-10 for ASTS
if (rols.Instrument != null && rols.Instrument != "") //for ASTS
{
instrument = rols.Instrument;
}
else //for Plaza 2
{
if (_dealingServer.Instruments.IsContainsIsinId(rols.Isin_Id))
{
instrument = _dealingServer.Instruments.DictIsinId_Instrument[rols.Isin_Id];
}
else
{
Log("Error ! Unknown isin");
}
}
if (!_subBots.ContainsKey(instrument))
{
return;
}
//2017-07-18 check _monitorOrdersAllTotal
if (_monitorOrdersAllTotal.ContainsKey(instrument))
{
_subBots[instrument].UpdateOrdersMonitorInstr(_monitorOrdersAllTotal[instrument]);
}
//_monitorOrdersAllTotal[instrument]
}
public void Recalc(CRawOrdersLogStruct ol, CLogger logger)
{
decimal oldAmount = Amount;
Amount = (ol.Dir == (sbyte)OrderDirection.Buy) ? Amount + ol.Amount : Amount - ol.Amount;
if (Amount != 0)
{
//new del has same dir as pos
if ((oldAmount >= 0 && ol.Dir == (sbyte)OrderDirection.Buy) || (oldAmount <= 0 && ol.Dir == (sbyte)OrderDirection.Sell))
{
AvPos = (AvPos * Math.Abs(oldAmount) + ol.Deal_Price * ol.Amount) / (Math.Abs(oldAmount) + ol.Amount);
}
else //new dir has another direction and more than pos
if ((Math.Abs(ol.Amount) > Math.Abs(oldAmount)))
{
AvPos = ol.Deal_Price;
}
}
else
{
AvPos = 0;
}
logger.Log("Amount=" + Amount + " AvPos=" + AvPos.ToString("0.0") + " | oldAmount=" + oldAmount + " | ol.Price=" + ol.Deal_Price + " ol.Amount=" + ol.Amount + " ol.Dir=" + ol.Dir + " ol.Id_ord=" + ol.Id_ord);
}
public void UpdateOrders(string isin, CRawOrdersLogStruct rols)
{
ExecuteWindowsUpdate(new Action(() =>
Orders.UpdateWithId(new OrderInst(isin, rols))
));
}
public void RemoveOrders(string isin, CRawOrdersLogStruct rols)
{
m_plaza2Connector.GUIBox.ExecuteWindowsUpdate(new Action(() =>
Orders.RemoveWithId(rols.Id_ord)
));
}
public void Update(FUTTRADE.orders_log ol)
{
int i;
UpdateDictUserOpenedOrders((FUTTRADE.orders_log)ol.Copy());
mxListRawOrders.WaitOne();
{
try
{
//Here we fill "Raw Orders struct list based on replRev/replId
for (i = 0; i < m_listRawOrdersStruct.Count; i++)
{
if (m_listRawOrdersStruct[i].ReplId == ol.replID)
{
//Seems like this will never happened
m_listRawOrdersStruct[i] = new CRawOrdersLogStruct(ol);
}
}
if (i == m_listRawOrdersStruct.Count)
{
m_listRawOrdersStruct.Add(new CRawOrdersLogStruct(ol));
if (ol.action == (sbyte)EnmOrderAction.Deal)
{
}
//TO DO put trigger new log here ?
{
foreach (CBotBase bt in m_plaza2Connector.ListBots)
{
if (bt.BotId == ol.ext_id)
{
EnmBotEventCode evCode = EnmBotEventCode.OnEmptyEvent;
if (ol.action == (sbyte)EnmOrderAction.Added)
{
evCode = EnmBotEventCode.OnOrderAccepted;
//TEMPO ! comment it
/* CRawOrdersLogStruct rlstr = new CRawOrdersLogStruct(ol);
* string instr = m_plaza2Connector.Instruments.GetInstrumentByIsinId(ol.isin_id);
* bt.Recalc(instr, EnmBotEventCode.OnOrderAccepted, rlstr);
*/
}
else if (ol.action == (sbyte)EnmOrderAction.Deleted)
{
/* CRawOrdersLogStruct rls = new CRawOrdersLogStruct(ol);
* string isin = m_plaza2Connector.Instruments.GetInstrumentByIsinId(ol.isin_id);
* bt.Recalc(isin, EnmBotEventCode.OnOrderCancel, rls);*/
evCode = EnmBotEventCode.OnOrderCancel;
}
else if (ol.action == (sbyte)EnmOrderAction.Deal)
{
/* CRawOrdersLogStruct rls = new CRawOrdersLogStruct(ol);
* string isin = m_plaza2Connector.Instruments.GetInstrumentByIsinId(ol.isin_id);
* bt.Recalc(isin, EnmBotEventCode.OnOrderDeal, rls);
*/
evCode = EnmBotEventCode.OnOrderDeal;
}
CRawOrdersLogStruct rls = new CRawOrdersLogStruct(ol);
string isin = m_plaza2Connector.Instruments.GetInstrumentByIsinId(ol.isin_id);
bt.Recalc(isin, evCode, rls);
}
}
}
}
mxListRawOrders.ReleaseMutex();
}
catch (Exception e)
{
Error("CUserOrderBox.Update", e);
}
}
//
// TODO gen here orderslist for each obot
//
}
/// <summary>
///
///
/// Algorithm is described here:
/// https://github.com/bitfinexcom/bitfinex-api-node/issues/153
/// </summary>
/// <param name="respOrders"></param>
/// <param name="orderAction"></param>
public void ProcessOrder(ResponseOrders respOrders, EnmOrderAction orderAction)
{
//TODO normal
string instrument = respOrders.Symbol.Remove(0, 1);
int decimalsOfVolume = _client.GetDecimalVolume(instrument);
//int iAmount = (int)Math.Abs(CUtilConv.GetIntVolume((decimal)respOrders.Amount, decimalsOfVolume));
//int iAmountOrig = (int)Math.Abs(CUtilConv.GetIntVolume((decimal)respOrders.AmountOrig, decimalsOfVolume));
decimal amount = Convert.ToDecimal(Math.Abs((double)respOrders.Amount));
decimal amountOrig = Convert.ToDecimal(Math.Abs((double)respOrders.AmountOrig));
//int iAmountRest = (int) CBfxUtils.GetIntVolume( Math.Abs((decimal)respOrders.AmountOrig) - Math.Abs((decimal)respOrders.Amount),decimalsOfVolume);
DateTime momentOrderCreate = CUtilTime.DateTimeFromUnixTimestampMillis((long)respOrders.MtsCreate);
DateTime momentOrderUpdate = CUtilTime.DateTimeFromUnixTimestampMillis((long)respOrders.MtsUpdate);
//check advance data in status field
//Could by like "Cancelled" or more complex "EXECUTED @ 10908.0(-0.0)
EnmBfxOrderStatus orderStatus = CBfxUtils.GetOrderStatus(respOrders.OrderStatus);
//common parametters same for all order update type
CRawOrdersLogStruct userOrdLogStruct = new CRawOrdersLogStruct
{
Id_ord = respOrders.Id,
Ext_id = (int)respOrders.Gid,
Price = Math.Abs((decimal)respOrders.Price),
// Amount = (int)iAmount,
// Amount_rest = iAmountRest,
Instrument = instrument,
Action = (sbyte)BfxOrdStatusToEnmOrderAction(orderStatus),
// Moment = momentOrderCreate
};
//case of add order
if (orderAction == EnmOrderAction.Added)
{
//2018-04-04 NOTE. Added order could be two cases:
//1) Jast Added limit order - we do use amount
//2) Put limit order by market and it is partialy filled - we alse do
// use amount as we initial order in bot with rest of order.
// One important thing - we do override Action from "Partialy filled" to "OrderAccepted"
userOrdLogStruct.Amount = amount;
userOrdLogStruct.Dir = respOrders.Amount > 0 ? (sbyte)EnmOrderDir.Buy : (sbyte)EnmOrderDir.Sell;
//Override to "OrderAccepted" for "partially filled" case
if (orderStatus == EnmBfxOrderStatus.PartiallyFilled)
{
userOrdLogStruct.Action = (sbyte)EnmOrderAction.Added;
}
_client.TriggerRecalculateBot(userOrdLogStruct.Ext_id,
userOrdLogStruct.Instrument,
EnmBotEventCode.OnOrderAccepted,
userOrdLogStruct);
//added 2018-06-06
//first process deal if exist
//old place of CheckForDealsWithNoBotId before 2018-08-03
CUserOrder userOrder = new CUserOrder
{
Amount = amount,
BotId = userOrdLogStruct.Ext_id,
Instrument = userOrdLogStruct.Instrument,
OrderActionLast = EnmOrderAction.Added,
OrderId = userOrdLogStruct.Id_ord,
Status = respOrders.OrderStatus
};
_userOrderLog.Update(userOrder);
//2018-06-03 move AFTER adding order (as is _userOrderLog later)
_client.CheckForDealsWithNoBotId(userOrdLogStruct.Id_ord, userOrdLogStruct.Ext_id);
_dbg.DBGProcessOrderAdded(userOrder);
}
//case of fully deleted order
else if (orderAction == EnmOrderAction.Deleted && orderStatus == EnmBfxOrderStatus.Canceled)
{
//just tell bot to cancell order
_client.TriggerRecalculateBot(userOrdLogStruct.Ext_id,
userOrdLogStruct.Instrument,
EnmBotEventCode.OnOrderCancel,
userOrdLogStruct);
//added 2018-05-13
//first process deal if exist
//old place of CheckForDealsWithNoBotId before 2018-08-03
//no order is not need even for "very late" update.
//2018-05-31 removed (user cancel before "te" and "tu"- having a problem)
//_userOrderLog.Delete(userOrdLogStruct.Ext_id,
// userOrdLogStruct.Instrument,
// userOrdLogStruct.Id_ord);
//2018-05-31 set order deleted
CUserOrder userOrder = new CUserOrder
{
Amount = amount,
BotId = userOrdLogStruct.Ext_id,
Instrument = userOrdLogStruct.Instrument,
OrderActionLast = EnmOrderAction.Deleted,
OrderId = userOrdLogStruct.Id_ord,
Status = respOrders.OrderStatus
};
_userOrderLog.Update(userOrder);
//2018-06-03 move AFTER adding order (as is _userOrderLog later)
_client.CheckForDealsWithNoBotId(userOrdLogStruct.Id_ord, userOrdLogStruct.Ext_id);
_dbg.DBGDeleted(userOrdLogStruct);
//TODO check not processed deals
}
//case of full or partial executed order
else if ((orderAction == EnmOrderAction.Deleted && orderStatus == EnmBfxOrderStatus.Executed) ||
//case of partial filled
(orderAction == EnmOrderAction.Update && orderStatus == EnmBfxOrderStatus.PartiallyFilled))
{
decimal amountUse = amountOrig - amount;
//check for partially filled
userOrdLogStruct.Dir = respOrders.AmountOrig > 0 ? (sbyte)EnmOrderDir.Buy : (sbyte)EnmOrderDir.Sell;
//2018-04-04 possible cases:
//1) Deleted and executed order by market when limit order was not set yet, on that case amount=0
// but as no order exist in BotBase.MonitorOrders - nothing happens
//2) Deal for order that exists, we do encrease amounts of orders on that case -NOT TESTED-
userOrdLogStruct.Amount = amount;
//first tell bot order deal
_client.TriggerRecalculateBot(userOrdLogStruct.Ext_id,
userOrdLogStruct.Instrument,
EnmBotEventCode.OnOrderDeal,
userOrdLogStruct);
//_userOrderTracker.Update(userOrdLogStruct.Ext_id, userOrdLogStruct.Id_ord, respOrders.OrderStatus);
//2018-06-13 the same as in all two other conditions
//old place of CheckForDealsWithNoBotId before 2018-08-03
EnmOrderAction ordActUse = EnmOrderAction.Unknown;
if (orderStatus == EnmBfxOrderStatus.Executed)
{
ordActUse = EnmOrderAction.Deal;
}
else if (orderStatus == EnmBfxOrderStatus.PartiallyFilled)
{
ordActUse = EnmOrderAction.PartialFilled;
}
CUserOrder userOrder = new CUserOrder
{
Amount = amount,
BotId = userOrdLogStruct.Ext_id,
Instrument = userOrdLogStruct.Instrument,
OrderActionLast = ordActUse,
OrderId = userOrdLogStruct.Id_ord,
Status = respOrders.OrderStatus
};
_userOrderLog.Update(userOrder);
_client.CheckForDealsWithNoBotId(userOrdLogStruct.Id_ord, userOrdLogStruct.Ext_id);
_dbg.DBGExecPartFilled(ordActUse, userOrder);
}
}
