//
// *************************************************************
// **** AddBook() ****
// *************************************************************
//
/// <summary>
/// Strategy wants to get a book for a single instrument. This method is usually called by the Strategy
/// or pricing model during SetupComplete().
/// </summary>
/// <param name="instrumentName"></param>
public void AddBook(InstrumentName instrumentName)
{
if (m_Instrument != null)
{ // a new instrument we should get a book for.
m_Instrument = instrumentName;
m_OrderBook = m_OrderHub.CreateOrderBook(instrumentName);
m_StrategyHub.SubscribeToFills(m_Strategy, m_OrderBook); // tell StrategyHub what events i want, and who they belong to.
m_StrategyHub.SubscribeToMajorOrderStatusEvents(m_Strategy, m_OrderBook);
m_StrategyHub.SubscribeToOrderSubmitted(m_Strategy, m_OrderBook);
if (m_IsMarketReady && m_StrategyHub.m_Market.TryGetInstrumentDetails(instrumentName, out m_InstrumentDetails))
{
m_FillBook = new FillBook(instrumentName.ToString(), m_InstrumentDetails.Multiplier);
}
}
}// AddBook()
//
//
// *****************************************************************
// **** ExecutionListener_InstrumentsFound() ****
// *****************************************************************
/// <summary>
/// Called when our execution listener has found a new instrument. This means that it has also created
/// a market for this instrument which we can now have a pointer to in the quoter leg, as well as subscribe
/// to the MarketChanged events.
/// </summary>
/// <param name="sender"></param>
/// <param name="eventArgs"></param>
private void ExecutionListener_InstrumentsFound(object sender, EventArgs eventArgs)
{
//
// Gather and save pertinent information about the Instrument found.
//
InstrumentsFoundEventArgs instrEventArgs = (InstrumentsFoundEventArgs)eventArgs;
m_InstrumentDetails = instrEventArgs.InstrumentDetails;
m_FillBook = new FillBook(m_PriceLeg.InstrumentName.ToString(), m_InstrumentDetails.Multiplier);
if (double.IsNaN(m_QuoteTickSize)) // if our user hasn't defined this yet
{
m_QuoteTickSize = m_InstrumentDetails.TickSize; // set it to the default tick size here
}
m_IsLegSetUpComplete = true;
m_RiskManager.Start();
m_ExecutionContainer.ConfirmStrategyLaunched(); // confirm we are "launched"
}
//
#endregion//Properties
#region Public Methods
// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
//
// *************************************************************
// **** MarketInstrumentInitialized() ****
// *************************************************************
//
/// <summary>
/// called once the market for all instruments is subscribed to and we have instrument
/// details
/// </summary>
public override void MarketInstrumentInitialized(Lib.BookHubs.Book marketBook)
{
if (m_IsMarketReady)
{
return;
}
m_IsMarketReady = true;
if (m_StrategyHub.m_Market.TryGetInstrumentDetails(m_Instrument, out m_InstrumentDetails))
{
if (m_FillBook == null)
{
m_FillBook = new FillBook(m_Instrument.ToString(), m_InstrumentDetails.Multiplier);
}
if (double.IsNaN(m_QuoteTickSize)) // if our user hasn't defined this yet
{
m_QuoteTickSize = m_InstrumentDetails.TickSize; // set it to the default tick size here
}
}
else
{
Log.NewEntry(LogLevel.Error,
"OrderEngine:MarketInstrumentInitialized failed to get instrument details and create order book for {0}", m_Instrument);
}
}