//
#endregion//Constructors
#region no Properties
// *****************************************************************
// **** Properties ****
// *****************************************************************
//
//
#endregion//Properties
#region Public Methods
// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
//
/// <summary>
/// This is the update method for this specialized stop book.
/// The currently volatility must be passed in each time it is called.
/// This is used for calculating the initial stop price from which we evolve towards
/// the current price.
/// </summary>
/// <param name="currentVolatility"></param>
public override void Update(double currentVolatility)
{ // do not call base class - this handles all needed functionality.
base.StopBase = currentVolatility;
if (m_StopSign != 0)
{ // We are stopped.
//
// Check blocking timeout.
//
if (m_IsBlockingTimeOut)
{
m_BlockingTimeOutRemaining -= 1; // decrease countdown to timeout.
if (m_BlockingTimeOutRemaining <= 0)
{
if (IsLogWrite)
{
Log.NewEntry(LogLevel.Major, "StopRule: Blocking timed out. StopLoss for {1} returning to normal trading on {0} side."
, QTMath.MktSignToString(m_StopSign), m_Name);
}
m_StopSign = 0; // return to normal trading.
this.IsUpdateRequired = true;
base.BroadcastParameters();
}
}
}
}
//
// *************************************************************
// **** Quote() *****
// *************************************************************
//
/// <summary>
/// This sets the inner market price and qty for the trade.
/// For now it assumes the strategy has only one OrderInstrument, which is always
/// the case when we have an "ExecutionStrategy" deployed; eg, an autospreader.
///
/// qty must be signed, negative for sell qty's
///
/// This will validate all prices prior to setting them.
/// </summary>
/// <param name="tradeSide"></param>
/// <param name="price"></param>
/// <param name="qty">Signed qty</param>
public void Quote(int tradeSide, double price, int qty)
{
if (qty != 0 && tradeSide != QTMath.MktSignToMktSide(qty))
{ // mismatch qty and sides
Log.NewEntry(LogLevel.Warning, "Quote: tradeSide and side implied by qty sign do not match, rejecting quote update");
return;
}
if (!m_IsLegSetUpComplete)
{ // we cant't even validate prices yet.
Log.NewEntry(LogLevel.Major, "Quote: Market has not been intialized yet. Order's will not be sent until market is intialized");
return;
}
price = price / m_PriceLeg.PriceMultiplier; // convert from strat price to instrument price
qty = (int)(qty * Math.Abs(m_PriceLeg.Weight)); // convert from strat qty to instrument qty
if (!QTMath.IsPriceEqual(m_StrategyWorkingPrice[tradeSide], price, m_InstrumentDetails.TickSize) || m_TotalDesiredQty[tradeSide] != qty)
{ // price is different.
if (m_RiskManager.ValidatePrices(price, tradeSide, m_PriceLeg.InstrumentName) || qty == 0)
{ // our prices are valid so we can save variables
m_StrategyWorkingPrice[tradeSide] = price;
m_TotalDesiredQty[tradeSide] = qty;
Log.NewEntry(LogLevel.Major, "Quote:{4} Working {1} {0} @ {2} in {3}", // while this may be silly to log first, it is here for readability
m_OpenSyntheticOrders[tradeSide].TradeReason, // 0
qty, // 1
price, // 2
m_InstrumentDetails.InstrumentName, //3
m_ExecutionContainer.EngineContainerID); //4
Quote(); // go ahead an update our orders
}
}
}//Quote()
}// CopyTo()
//
//
//
public override string ToString()
{
StringBuilder msg = new StringBuilder();
msg.AppendFormat("#{0}: {1} {2} @ {3} ExecQty = {4}", this.OrderId, QTMath.MktSideToString(this.Side), this.Qty, this.Price, this.ExecutedQty);
return(msg.ToString());
}
// *****************************************************************
// **** Members ****
// *****************************************************************
//
#endregion// members
#region Constructors
// *****************************************************************
// **** Constructors ****
// *****************************************************************
//
//
//
#endregion//Constructors
#region no Properties
// *****************************************************************
// **** Properties ****
// *****************************************************************
//
//
#endregion//Properties
#region Public Methods
// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
//
/// <summary>
/// Caller would like to check if a quote has been filled. This implementation simply looks to see if
/// we are on the market or have bettered it. If so, we then create a fill.
/// </summary>
/// <param name="quote"></param>
/// <param name="fill"></param>
/// <param name="tickRounding"></param>
/// <returns></returns>
public static bool TryFill(Quote quote, out Fill fill, double tickRounding = 0.0001)
{
fill = null;
int tradeSign = QTMath.MktSideToMktSign(quote.Side);
double sameSidePrice = quote.PricingEngine.ImpliedMarket.Price[quote.Side][0];
double otherSidePrice = quote.PricingEngine.ImpliedMarket.Price[QTMath.MktSideToOtherSide(quote.Side)][0];
double orderPrice = tickRounding * Math.Round(quote.RawPrice / tickRounding);
if (tradeSign * (sameSidePrice - orderPrice) > 0)
{ // We are outside market
return(false);
}
else if (orderPrice >= otherSidePrice)
{ // order has crossed market. Fill it at market.
fill = new Fill();
fill.LocalTime = DateTime.Now;
fill.ExchangeTime = DateTime.Now;
fill.Price = otherSidePrice;
fill.Qty = quote.Qty;
return(true);
}
else
{ // we are inside the market.
fill = new Fill();
fill.LocalTime = DateTime.Now;
fill.ExchangeTime = DateTime.Now;
fill.Price = orderPrice;
fill.Qty = quote.Qty;
return(true);
}
}
// *****************************************************************
// **** Private Methods ****
// *****************************************************************
//
//
//
//**********************************************************
//**** Update Market Prices() ****
//**********************************************************
/// <summary>
/// Called whenever the mkt changes. Updates m_Prices[][] and m_Qtys[][].
/// returns True if inside market has changed prices
/// </summary>
/// TODO: THIS NEEDS TO BE FIXED
private bool UpdateMarketPrices(UV.Lib.BookHubs.Market market, List <int>[] MarketDepthChangedList)
{
bool isChanged = false;
for (int side = 0; side < 2; ++side)
{
if (MarketDepthChangedList[side].Count == 0 || MarketDepthChangedList[side][0] > m_LeanableDepth[side] || MarketDepthChangedList[side][0] > m_OrderBookDepthMax)
{ // if no change on this side || top change is past our leanable depth || top change is past the depth we care about
//nothing to do here!
}
else
{ // this is a price or qty change that we need to consider
if (MarketDepthChangedList[side][0] == 0 && !QTMath.IsPriceEqual(m_Market.Price[side][MarketDepthChangedList[side][0]], market.Price[side][0], InstrumentDetails.TickSize))
{ // if this is a top of book price change!
isChanged = true;
}
foreach (int level in MarketDepthChangedList[side])
{ // Set new internal market from the depth changed back
if (level < m_OrderBookDepthMax)
{ // we care about updates at this level
m_Market.Price[side][level] = market.Price[side][level];
m_Market.Qty[side][level] = market.Qty[side][level];
}
}
}
}
return(isChanged);
}
//
//
//
//
#endregion//Public Methods
#region Private Methods
// *****************************************************************
// **** Private Methods ****
// *****************************************************************
//
//
// *****************************************************************
// **** RunHedgeLogic() ****
// *****************************************************************
/// <summary>
/// Called after Instrument_TickChanged to update hedge prices of
/// orders under active management by the HedgeRuleManager.
/// </summary>
private void RunHedgeLogic()
{
double endingPrice; // price we end up with after our rules are applied.
double userDefinedWorstPrice; // price the user has defined as the worst possible price
if (m_OrderBook.Count() == 0)
{ // we have no orders to manage
m_isManagerActive = false;
m_QuoterLeg.m_Market.MarketChanged -= new EventHandler(Market_MarketChanged); // subscribe to orders state changes for this leg.
m_Log.NewEntry(LogLevel.Minor, "HedgeRuleManager : {0} has no orders to manage, Unsunbscribing from market", m_QuoterLeg.InstrumentDetails.InstrumentName);
return;
}
else // we have orders and need to manage them
{
for (int mktSide = 0; mktSide < 2; ++mktSide)
{ // each side of market
if (m_OrderBook.Count(mktSide) != 0)
{ //we have orders on this side of the market
m_ActiveOrders.Clear(); // these can not be recycled since the hedger could still be holding an order.
m_OrderBook.GetOrdersBySide(mktSide, ref m_ActiveOrders); // populate all orders for this side of the market
foreach (int id in m_ActiveOrders.Keys)
{
if (m_ActiveOrders.TryGetValue(id, out tmpOrder))
{ // we can find the order
int orderSign = QTMath.MktSideToMktSign(tmpOrder.Side);
if (!m_OrderIdToUserDefinedWorstPrice.ContainsKey(id))
{
userDefinedWorstPrice = tmpOrder.PricePending + (orderSign * tmpOrder.TickSize * m_MaxPayUpTicks);
m_OrderIdToUserDefinedWorstPrice.Add(id, userDefinedWorstPrice);
}
else
{
userDefinedWorstPrice = m_OrderIdToUserDefinedWorstPrice[tmpOrder.Id];
}
endingPrice = tmpOrder.PricePending; // assume we have no change to start.
foreach (IHedgeRule rule in m_HedgeRules)
{ // apply our hedge rules
bool isContinue = rule.ApplyHedgeRule(endingPrice, tmpOrder.Side, out endingPrice); // hand the function the ending price and let it update it
if (!isContinue) // we want to execute our rule immediately
{
break;
}
}
if ((endingPrice * orderSign) > userDefinedWorstPrice * orderSign) // if our ending price is worse than worse price, reassing it.
{
endingPrice = userDefinedWorstPrice;
}
if (!QTMath.IsPriceEqual(endingPrice, tmpOrder.PricePending, tmpOrder.TickSize))
{ // our price has been changed
m_Hedger.UpdateHedgerOrderPrice(tmpOrder, endingPrice); // call the hedger to change the order
}
}
} // end foreach
} // end if
} // end mktside
} // end else
} // RunHedgeLogic()
}// AddBook()
//
//
// *************************************************************
// **** Quote() ****
// *************************************************************
//
//
/// <summary>
/// This sets the inner market price and qty for the trade.
/// For now it assumes the strategy has only one OrderInstrument, which is always
/// the case when we have an "ExecutionStrategy" deployed; eg, an autospreader.
///
/// qty must be signed, negative for sell qty's
///
/// This will validate all prices prior to setting them.
/// </summary>
/// <param name="tradeSide"></param>
/// <param name="price"></param>
/// <param name="qty">Signed qty</param>
/// <param name="aBook"></param>
public void Quote(int tradeSide, double price, int qty, UV.Lib.BookHubs.Book aBook)
{
if (qty != 0 && tradeSide != QTMath.MktSignToMktSide(qty))
{ // mismatch qty and sides
Log.NewEntry(LogLevel.Warning, "Quote: tradeSide and side implied by qty sign do not match, rejecting quote update");
return;
}
if (!m_IsMarketReady)
{ // we cant't even validate prices yet.
Log.NewEntry(LogLevel.Major, "Quote: Market has not been intialized yet. Order's will not be sent until market is intialized");
return;
}
if (!QTMath.IsPriceEqual(m_StrategyWorkingPrice[tradeSide], price, m_InstrumentDetails.TickSize))
{ // price is different.
if (m_RiskManager.ValidatePrices(price, tradeSide, m_Instrument, aBook))
{ // our prices are valid so we can save variables
m_StrategyWorkingPrice[tradeSide] = price;
m_TotalDesiredQty[tradeSide] = qty;
}
}
else
{ // price hasn't changed so if it was already set
m_TotalDesiredQty[tradeSide] = qty;
}
Quote(); // go ahead an update our orders
}//Quote()
}//RemoveQuoteFromListing()
//
//
//
// *************************************************
// **** ValidateQuoteTables() ****
// *************************************************
/// <summary>
///
/// </summary>
protected void ValidateQuoteTables()
{
if (m_QuoteTickSize == ParentStrategy.m_OrderEngine.QuoteTickSize)
{
return;
}
// Accept new QuoteTickSize
Log.NewEntry(LogLevel.Minor, "QuoteTickSize change detected for {0} {1} -> {2}. Rebuilding tables.", ParentStrategy.Name, m_QuoteTickSize, ParentStrategy.m_OrderEngine.QuoteTickSize);
m_QuoteTickSize = ParentStrategy.m_OrderEngine.QuoteTickSize;
// Rebuild the pricing Tables.
for (int tradeSide = 0; tradeSide < 2; tradeSide++)
{
List <Quote> masterQuoteList = m_QuoteListRecycling.Get(); // get a list for all quotes!
masterQuoteList.Clear();
// Empty all quotes into our masterList.
List <int> keyList = new List <int>();
keyList.AddRange(m_QuotesByPrice[tradeSide].Keys);
foreach (int priceKey in keyList)
{
List <Quote> quoteList;
if (m_QuotesByPrice[tradeSide].TryGetValue(priceKey, out quoteList))
{
foreach (Quote quote in quoteList)
{
if (!masterQuoteList.Contains(quote))
{
masterQuoteList.Add(quote);
}
}
m_QuotesByPrice[tradeSide].Remove(priceKey);
quoteList.Clear();
m_QuoteListRecycling.Recycle(quoteList);
}
}// next priceKey
// Resort all the quotes in the masterList.
int tradeSign = QTMath.MktSideToMktSign(tradeSide);
foreach (Quote quote in masterQuoteList)
{
quote.IPrice = tradeSign * (int)System.Math.Floor(tradeSign * quote.RawPrice / m_QuoteTickSize);
List <Quote> quoteList;
if (!m_QuotesByPrice[tradeSide].TryGetValue(quote.IPrice, out quoteList))
{
quoteList = m_QuoteListRecycling.Get();
quoteList.Clear();
m_QuotesByPrice[tradeSide].Add(quote.IPrice, quoteList);
}
if (quote.Reason == QuoteReason.Stop || quote.Reason == QuoteReason.Exit)
{
quoteList.Insert(0, quote);
}
else
{
quoteList.Add(quote);
}
}
}
}// ValidateQuoteTables()
}//Quote()
//
//
//
//
//
#endregion//private Methods
#region IOrderEngine Implementation
//
//
// *************************************************************
// **** Filled() ****
// *************************************************************
//
/// <summary>
/// Called by the StrategyHub when it received a fillEventArg from an OrderBook
/// that this engine subscribed to.
/// </summary>
/// <param name="fillEventArgs"></param>
/// <returns>null is no fill is generated.</returns>
public Fill Filled(FillEventArgs fillEventArgs)
{
m_FillBook.TryAdd(fillEventArgs.Fill);
int fillSide = QTMath.MktSignToMktSide(fillEventArgs.Fill.Qty);
m_StrategyPosition[fillSide] += fillEventArgs.Fill.Qty;
fillEventArgs.Fill.Price = fillEventArgs.Fill.Price * m_PriceLeg.PriceMultiplier;
return(fillEventArgs.Fill); // pass fill through to other engines.
}//Filled()
}//Quote()
//
//
//
//
//
#endregion//private Methods
#region IOrderEngine Implementation
//
//
// *************************************************************
// **** Filled() ****
// *************************************************************
//
/// <summary>
/// Called by the StrategyHub when it received a fillEventArg from an OrderBook
/// that this engine subscribed to.
/// </summary>
/// <param name="fillEventArgs"></param>
/// <returns>null is no fill is generated.</returns>
public Fill Filled(FillEventArgs fillEventArgs)
{
m_FillBook.TryAdd(fillEventArgs.Fill);
int fillSide = QTMath.MktSignToMktSide(fillEventArgs.Fill.Qty);
m_StrategyPosition[fillSide] += fillEventArgs.Fill.Qty;
m_RiskManager.Filled(fillEventArgs); // make sure our risk manager knows
return(fillEventArgs.Fill); // pass fill through to other engines.
}//Filled()
//
// ******************************************
// **** Get IPrice By Rank() ****
// ******************************************
/// <summary>
/// For a given "rank" of orders, try and get the corresponding iPrice
/// for those orders.
/// </summary>
/// <param name="side"></param>
/// <param name="rank"></param>
/// <param name="iPrice"></param>
/// <returns></returns>
public bool TryGetIPriceByRank(int side, int rank, out int iPrice)
{
if (m_LiveOrders[side].TryGetIPriceByRank(rank, out iPrice))
{
iPrice = -QTMath.MktSideToMktSign(side) * iPrice;
return(true);
}
return(false);
}
//
// *************************************************
// **** Simulate Fills() ****
// *************************************************
private void SimulateFills(List <int> marketInstrList)
{
Book aBook;
if (m_Market.TryEnterReadBook(out aBook))
{
foreach (int instrId in marketInstrList)
{
Market market = null;
if (!aBook.Instruments.TryGetValue(instrId, out market))
{
Log.NewEntry(LogLevel.Minor, "SimulateFills: Failed to obtain market for mkt instr ID {0}", instrId);
continue;
}
InstrumentName instrName = market.Name;
List <OrderBook> orderBooks = null;
if (m_SimOrderBooks.TryGetValue(instrName, out orderBooks))
{
double tickSize = m_ExecContainer.m_OrderInstruments[instrName].Details.TickSize;
foreach (OrderBook orderBook in orderBooks)
{ //
// Try to fill this order book.
//
for (int orderSide = 0; orderSide < 2; orderSide++)
{
int orderSign = QTMath.MktSideToMktSign(orderSide);
int otherSide = (orderSide + 1) % 2;
int ourMarketPrice = (int)Math.Round(market.Price[orderSide][0] / tickSize);
int oppMarketPrice = (int)Math.Round(market.Price[otherSide][0] / tickSize);
int orderRank = 0; // only fill top for now
int orderPrice;
if (orderBook.TryGetIPriceByRank(orderSide, orderRank, out orderPrice))
{
if ((oppMarketPrice - orderPrice) * orderSign <= 0)
{ // filled by crossing market.
m_OrdersWorkspace.Clear();
orderBook.GetOrdersByRank(orderSide, orderRank, ref m_OrdersWorkspace);
FillTheseOrders(ref m_OrdersWorkspace);
}
else if ((ourMarketPrice - orderPrice) * orderSign > 0)
{ // We are below other orders in market
}
else
{ // We are in the middle of the market (or on the top of book).
//m_OrdersWorkspace.Clear();
//orderBook.GetOrdersByRank(orderSide, orderRank, ref m_OrdersWorkspace);
//FillTheseOrders( ref m_OrdersWorkspace );
}
}
}
}
}
}
m_Market.ExitReadBook(aBook);
} // if MarketBook obtained.
} // SimulateFills()
//
//
#endregion//Constructors
#region no Properties
// *****************************************************************
// **** Properties ****
// *****************************************************************
//
//
#endregion//Properties
#region no Public Methods
// *****************************************************************
// **** Public Methods ****
// *****************************************************************
/// <summary>
/// This overloading creates an true implied market involving multiple instruments.
/// </summary>
///
public void SetMarket(Book marketBook, List <PriceLeg> legs)
{
//
// Inner market
//
for (int spreadSide = 0; spreadSide < 2; ++spreadSide) // spread side, bid/ask
{ // bid = where we can sell the spread, ask = where we can buy it
int spreadSign = QTMath.MktSideToMktSign(spreadSide); // bidside = +1, here!
//
// *** Inner market ****
//
int spreadLevel = 0; // inner market for spread
int leg = 0; // First leg
Market instr = marketBook.Instruments[legs[leg].MarketID];
int legSide = QTMath.MktSignToMktSide(legs[leg].Weight * spreadSign); // pos --> bidSide, neg --> askSide
double spreadPrice = legs[leg].PriceMultiplier * instr.Price[legSide][spreadLevel];
int spreadQty = Convert.ToInt32(Math.Floor(instr.Qty[legSide][spreadLevel] / Math.Abs(legs[leg].Weight)));
leg++;
// Remaining legs > 0
while (leg < legs.Count)
{
instr = marketBook.Instruments[legs[leg].MarketID];
legSide = QTMath.MktSignToMktSide(legs[leg].Weight * spreadSign);
spreadPrice += legs[leg].PriceMultiplier * instr.Price[legSide][spreadLevel];
spreadQty = Math.Min(spreadQty, Convert.ToInt32(Math.Floor(instr.Qty[legSide][spreadLevel] / Math.Abs(legs[leg].Weight))));
//spreadQtyImp = Math.Min(spreadQtyImp, Convert.ToInt32(Math.Floor(instr.QtyImp[legSide][spreadLevel] / Math.Abs(legs[leg].Weight))));
leg++;
}//next leg
// Set inner-market prices.
this.Price[spreadSide][spreadLevel] = spreadPrice;
this.Qty[spreadSide][spreadLevel] = Math.Max(1, Math.Abs(spreadQty)) * Math.Sign(spreadQty); // todo: this could be zero.
//this.QtyImp[spreadSide][spreadLevel] = spreadQtyImp;
//this.QtyImp[spreadSide][spreadLevel] = Math.Max(1, Math.Abs(spreadQtyImp)) * Math.Sign(spreadQtyImp);
//this.QtyImp[spreadSide][spreadLevel] = Math.Max(1, Math.Abs(spreadQtyImp));// *spreadSign;
//
// **** Outer market ****
//
if (legs.Count == 1)
{
spreadLevel++;
leg = 0; // First leg
instr = marketBook.Instruments[legs[leg].MarketID];
while (spreadLevel < instr.DeepestLevelKnown)
{
this.Price[spreadSide][spreadLevel] = instr.Price[spreadSide][spreadLevel] * legs[leg].PriceMultiplier;
this.Qty[spreadSide][spreadLevel] = instr.Qty[spreadSide][spreadLevel]; // todo: fix.
spreadLevel++;
}//next spreadLevel
}
if (spreadLevel > this.DeepestLevelKnown)
{
DeepestLevelKnown = spreadLevel;
}
} //next side
} //SetMarket().
//
protected string GetQueryForData(DatabaseInfo dataBase)
{
TableInfo.InstrumentsTableInfo instrumentTable = dataBase.Instruments;
TableInfo.ExchangesTableInfo exchangeTable = dataBase.Exchanges;
TableInfo.BarsTableInfo barsTable = dataBase.Bars;
// Create a instrument expiry code.
string expiryCode;
if (!UV.Lib.Utilities.QTMath.TryConvertMonthYearToCodeY(InstrumentName.SeriesName, out expiryCode))
{
return(string.Empty);
}
// Create sub selection string to get instr ID from InstrumentName.
StringBuilder subQuery = new StringBuilder();
int instrSqlId = m_InstrumentQuery.Results[0].InstrumentId;
subQuery.AppendFormat("{0}", instrSqlId);
// Create the final query.
string desiredFields = "*";
StringBuilder query = new StringBuilder();
query.AppendFormat("SELECT {0} FROM {1}", desiredFields, barsTable.TableNameFull);
query.AppendFormat(" WHERE {0} = ({1})", barsTable.InstrumentID, subQuery);
if (this.StartDate > DateTime.MinValue)
{
int timestamp = (int)QTMath.DateTimeToEpoch(this.StartDate);
string s = timestamp.ToString();
query.AppendFormat(" AND {0} >= {1}", barsTable.TimeStamp, s);
}
if (this.EndDate < DateTime.MaxValue)
{
int timestamp = (int)QTMath.DateTimeToEpoch(this.EndDate);
string s = timestamp.ToString();
query.AppendFormat(" AND {0} <= {1}", barsTable.TimeStamp, s);
}
query.AppendFormat(" AND {0} = 1", barsTable.SessionCode); // currently we only want sessionCode = 1 for when products are trading
query.AppendFormat(" ORDER BY {0}", barsTable.TimeStamp);
if (this.StartDate == DateTime.MinValue)
{ // since our date time is unnasigned, lets reverse the order of our timestamps for this query so we get the proper number of rows
query.AppendFormat(" DESC");
m_IsReverseOrder = true;
}
if (this.MaxRows > 0)
{
query.AppendFormat(" LIMIT {0}", this.MaxRows);
}
query.Append(";");
// Exit
return(query.ToString());
}// GetQuery();
}//Quote()
//
//
//
//
// *****************************************
// **** UpdateQuotes ****
// *****************************************
/// <summary>
/// Called regularly by the StrategyHub after it has allowed PricingEngines to update
/// and possibly change their quotes. This method checks for quote changes, and
/// sends them to the OrderEngine.
/// Whenever the QuoteEngine's parameters are changed (and it would affect how we quote)
/// we should call this method fith forceUpdate=true!
/// <param name="forceUpdate">set to to force updating each side of quotes, as is done after fills.</param>
/// </summary>
public virtual void UpdateQuotes(bool forceUpdate = false)
{
if (m_IsQuoteEnabled == false)
{ // TODO: We could check to exit undistributed fills.
return;
}
ValidateQuoteTables(); // Check whether QuoteTickSize has changed.
if (ValidatePosition() == false)
{
this.IsQuoteEnabled = false;
return;
}
DateTime now = ParentStrategy.StrategyHub.GetLocalTime();
for (int tradeSide = 0; tradeSide < 2; tradeSide++)
{
if (m_IsQuoteSideUpdateRequired[tradeSide] == false && forceUpdate == false)
{
continue;
}
//
// Collect most aggressive non-zero quoters
//
int tradeSign = QTMath.MktSideToMktSign(tradeSide);
int rawIPrice = 0;
int totalQty = 0;
foreach (KeyValuePair <int, List <Quote> > kv in m_QuotesByPrice[tradeSide])
{
foreach (Quote quote in kv.Value)
{
totalQty = totalQty + quote.Qty;
}
rawIPrice = -tradeSign * kv.Key; // price at this level
if (totalQty != 0)
{
break;
}
}
//
// Send quotes.
//
int tradeId;
int quoteQtyAllowed = Math.Max(0, m_MaxPosition - tradeSign * m_Position[tradeSide]);//always positive
totalQty = tradeSign * Math.Min(quoteQtyAllowed, Math.Abs(totalQty));
int orderQty = totalQty + m_BuySellQty[tradeSide];
tradeId = ParentStrategy.m_OrderEngine.Quote(tradeSide, rawIPrice * m_QuoteTickSize, orderQty, string.Empty);
}
}//UpdateQuotes().
}//SetupBegin().
//
// *************************************************************
// **** SetupComplete() ****
// *************************************************************
public override void SetupComplete()
{
base.SetupComplete();
// if we create order books here we know risk is already listening for the events.
if (!QTMath.IsNearEqual(m_PriceLeg.Weight, 1, .01))
{
Log.NewEntry(LogLevel.Error, "SingleLegExecutor: Does not have functionality for legs with weight greater than 1 implemented yet");
}
m_OrderBook = m_ExecutionListener.CreateOrderBook(m_PriceLeg.InstrumentName, m_DefaultAccount);
m_OrderBook.OrderFilled += new EventHandler(OrderBook_OrderFilled);
m_OrderBook.OrderStateChanged += new EventHandler(OrderBook_OrderStateChanged);
}
// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
//
//
//
// *********************************************************
// **** Market_MarketChanged ****
// *********************************************************
/// <summary>
/// Called on every tick from the market. Attempt was made to optimize this
/// by filtering out times when we don't have a position to manage. Additionally
/// all calls that are not top of book are ignored. Checks are created to watch for when market
/// quantity crosses thresholds as this is what triggers the scratch event.
/// </summary>
/// <param name="sender"></param>
/// <param name="eventArgs"></param>
public void Market_MarketChanged(object sender, EventArgs eventArgs)
{
if (m_IPriceToPosition.Count == 0)
{ // we are not actively managing a position, we dont care about market updates
return;
}
if (m_Market.IsLastTickBestPriceChange)
{ // this update was a best price change! we need to check everything to see if we need to scratch
m_IPriceWorkSpaceList.Clear(); // use this list since TryScratchPosition removes keys from m_IPricePosition, we cannot iterate on it!
foreach (KeyValuePair <int, int> kvPair in m_IPriceToPosition)
{ // check each price we have a position at, if we need to scratch, then add it to our list of prices to scratch
if (IsScratchNeededAtIPrice(kvPair.Key))
{
m_IPriceWorkSpaceList.Add(kvPair.Key);
}
}
for (int i = 0; i < m_IPriceWorkSpaceList.Count; i++)
{ // for every price we need to scratch
TryScratchPosition(m_IPriceWorkSpaceList[i], true);
}
// update our state variables with new market quantities!
for (int side = 0; side < 2; ++side)
{
m_WasInsideMarketQtyAboveThreshold[side] = m_Market.Qty[side][0] > m_ScratchThreshold;
}
}
else
{ // this could be a top of book qty change, lets check
bool isMarketQtyOverThreshold;
for (int side = 0; side < 2; ++side)
{
if (m_Market.BestDepthUpdated[side] == 0)
{ // the last update on this side was top of market!
isMarketQtyOverThreshold = m_Market.Qty[side][0] > m_ScratchThreshold;
if ((m_IsActive & !isMarketQtyOverThreshold & m_WasInsideMarketQtyAboveThreshold[side]) |
(!m_IsActive & isMarketQtyOverThreshold & !m_WasInsideMarketQtyAboveThreshold[side]))
{ // we are actively scratching, the market is now under our threshold and it was previously above!
// OR we are passively scratching the market is now over our threshold and it was previously below!
int iPrice = QTMath.RoundToSafeIPrice(m_Market.Price[side][0], side, m_InstrumentDetails.TickSize);
if (IsScratchNeededAtIPrice(iPrice))
{ // this call will complete the checks and if returns true we actually need to scratch
TryScratchPosition(iPrice, true);
}
}
m_WasInsideMarketQtyAboveThreshold[side] = isMarketQtyOverThreshold; // save new threshold state
}
}
}
}
//
//
//
//
#endregion//Public Methods
#region Private Methods
// *****************************************************************
// **** Private Methods ****
// *****************************************************************
//
/// <summary>
/// Override to allow us to set our "Theta" or multiplier of the volatility for our
/// initial stop
/// </summary>
/// <param name="signedQty"></param>
/// <param name="fillPrice"></param>
/// <param name="preFillPosition"></param>
protected override void UpdateNewFill(int signedQty, double fillPrice, int preFillPosition)
{
//
// Initial stop price:
// StopPrice[0] = FillPrice - StopSign*Theta*Vol[0]
//
base.StopBaseMultiplier = m_TrailingStopTheta[QTMath.MktSignToMktSide(signedQty)]; // set our multiplier for this side to theta for this fill!
base.UpdateNewFill(signedQty, fillPrice, preFillPosition);
if (Position != 0 && m_GraphEngine != null)
{
m_GraphEngine.AddPoint(m_GraphId, m_StopCurvveName, NearestStopPrice);
m_PlotUpdateCount = 0;
}
}
}// ProcessUnwantedFills()
//
//
// *************************************************
// **** RemoveQuoteFromListing() ****
// *************************************************
protected void RemoveQuoteFromListing(int tradeSide, Quote quoteToRemove)
{
int tradeSign = QTMath.MktSideToMktSign(tradeSide);
int priceKey = -tradeSign * quoteToRemove.IPrice;
List <Quote> quoteList;
if (m_QuotesByPrice[tradeSide].TryGetValue(priceKey, out quoteList) && quoteList.Contains(quoteToRemove))
{
quoteList.Remove(quoteToRemove);
quoteToRemove.IsPriceListed = false;
if (quoteList.Count == 0)
{ // There are no remaining quotes at this price level, so clear out the list.
m_QuotesByPrice[tradeSide].Remove(priceKey);
m_QuoteListRecycling.Recycle(quoteList);
}
}
else
{
ParentStrategy.StrategyHub.Log.BeginEntry(LogLevel.Major, "Quote: {0} could not find quote {1}. Searching for it...", ParentStrategy.Name, quoteToRemove);
bool isFound = false;
foreach (KeyValuePair <int, List <Quote> > kv in m_QuotesByPrice[tradeSide])
{
if (kv.Value.Contains(quoteToRemove))
{
isFound = true;
Log.AppendEntry(" Found! Removed from list at priceKey={0} not QuotePriceKey={1}.", priceKey, quoteToRemove.IPrice);
Log.EndEntry();
priceKey = kv.Key;
kv.Value.Remove(quoteToRemove);
quoteToRemove.IsPriceListed = false;
break;
}
}
if (isFound)
{
if (m_QuotesByPrice[tradeSide].TryGetValue(priceKey, out quoteList) && quoteList.Count == 0)
{
m_QuotesByPrice[tradeSide].Remove(priceKey);
m_QuoteListRecycling.Recycle(quoteList);
}
}
else
{
Log.AppendEntry(" Not Found! Marking it as such.");
Log.EndEntry();
quoteToRemove.IsPriceListed = false;
}
}
}//RemoveQuoteFromListing()
//
protected string GetQueryForEconomicTickers(DatabaseInfo dataBase)
{
TableInfo.EconomicDataTableInfo economicTable = dataBase.EconomicEvents;
TableInfo.EconomicTickersTableInfo economicTickers = dataBase.EconomicTickers;
// Create a instrument expiry code.
string expiryCode;
if (!UV.Lib.Utilities.QTMath.TryConvertMonthYearToCodeY(InstrumentName.SeriesName, out expiryCode))
{
return(string.Empty);
}
// Create sub selection string to get instr ID from InstrumentName.
StringBuilder subQuery = new StringBuilder();
int prodFamilyId = m_InstrumentQuery.Results[0].ProdFamilyId;
subQuery.AppendFormat("{0}", prodFamilyId);
// Create the final query.
//select * from bbg.economicData where unixT>=%d and unixT<=%d and tickerId in (select tickerId from bbg.productTickers where prodFamilyId in (-1,33)) order by unixT asc
string desiredFields = "*";
StringBuilder query = new StringBuilder();
query.AppendFormat("SELECT {0} FROM {1}", desiredFields, economicTable.TableNameFull);
if (this.StartDate > DateTime.MinValue)
{
int timestamp = (int)QTMath.DateTimeToEpoch(this.StartDate);
string s = timestamp.ToString();
query.AppendFormat(" WHERE {0} >= {1}", economicTable.UnixTime, s);
}
if (this.EndDate < DateTime.MaxValue)
{
int timestamp = (int)QTMath.DateTimeToEpoch(this.EndDate);
string s = timestamp.ToString();
query.AppendFormat(" AND {0} <= {1}", economicTable.UnixTime, s);
}
query.AppendFormat(" AND {0} IN", economicTable.TickerId);
query.AppendFormat(" (SELECT {0} FROM {1} where {2}", economicTable.TickerId, economicTickers.TableNameFull, economicTickers.ProdFamilyId);
query.AppendFormat(" IN (-1,{0})) ORDER BY {1} ASC", prodFamilyId, economicTable.UnixTime);
if (this.MaxRows > 0)
{
query.AppendFormat(" LIMIT {0}", this.MaxRows);
}
query.Append(";");
// Exit
return(query.ToString());
}// GetQuery();
//
//
//
//
#endregion//Properties
#region Public Methods
// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
//
// *****************************************
// **** Quote() ****
// *****************************************
/// <summary>
/// Method to request that an order be sent to the Execution hub at
/// a particular price and qty.
/// </summary>
/// <param name="orderSide"></param>
/// <param name="price"></param>
/// <param name="qty"></param>
/// <param name="quoteReason"></param>
/// <returns>TradeId</returns>
public int Quote(int orderSide, double price, int qty, string quoteReason)
{
m_EngineEventArgsForOrders[orderSide].DataObjectList.Clear(); //clear before each use!
// Locate TradeEventArg to update.
SyntheticOrder syntheticOrder = null;
if (m_ActiveOrders[orderSide] == null)
{ // There is currently no active trade, so create one.
syntheticOrder = SyntheticOrder.RequestNewOrder(++m_LastOrderId);
syntheticOrder.Side = orderSide;
syntheticOrder.TradeReason = quoteReason;
m_ActiveOrders[orderSide] = syntheticOrder; // store it as active trade
}
else
{ // There is already an active trade, grab it.
syntheticOrder = m_ActiveOrders[orderSide];
}
// Update quatities if they have changed.
// TODO: implement various round-off schemes.
int tradeSign = QTMath.MktSideToMktSign(orderSide);
int iPrice = tradeSign * (int)System.Math.Floor(tradeSign * price / m_QuoteTickSize); // integerized price!
bool isChangedFromPrev = qty != m_QuoteQtyPrev[orderSide] || (iPrice != m_QuoteIPricePrev[orderSide]) || quoteReason != m_QuoteReasonPrev[orderSide];
if (isChangedFromPrev)
{
m_QuoteQtyPrev[orderSide] = qty;
m_QuoteIPricePrev[orderSide] = iPrice;
m_QuoteReasonPrev[orderSide] = quoteReason;
syntheticOrder.Price = iPrice * m_QuoteTickSize;
syntheticOrder.Qty = qty;
syntheticOrder.TradeReason = quoteReason;
m_EngineEventArgsForOrders[orderSide].DataObjectList.Add(syntheticOrder); // add to event arg that is already set up.
m_ExecutionHub.HubEventEnqueue(m_EngineEventArgsForOrders[orderSide].Copy()); // send off to remote exeuction
m_StrategyHub.Log.NewEntry(Lib.Hubs.LogLevel.Major, "TradeEngine: {0} sent {1} ", m_Strategy.Name, syntheticOrder);
}
// Exit
if (syntheticOrder == null)
{
return(-1);
}
else
{
return(syntheticOrder.OrderId);
}
}// Quote()
}//SetupBegin().
//
// *************************************************************
// **** SetupComplete() ****
// *************************************************************
public override void SetupComplete()
{
base.SetupComplete();
if (!QTMath.IsNearEqual(m_PriceLeg.Weight, 1, .01))
{
Log.NewEntry(LogLevel.Error, "OrderEngine: Does not have functionality for legs with weight greater than 1 implemented yet");
}
m_OrderBook = m_OrderHub.CreateOrderBook(m_PriceLeg.InstrumentName);
List <InstrumentName> instrList = new List <InstrumentName> {
m_PriceLeg.InstrumentName
};
m_StrategyHub.SubscribeToMarketInstruments(instrList, m_Strategy);
m_StrategyHub.SubscribeToFills(m_Strategy, m_OrderBook);
m_StrategyHub.SubscribeToMajorOrderStatusEvents(m_Strategy, m_OrderBook);
m_StrategyHub.SubscribeToOrderSubmitted(m_Strategy, m_OrderBook);
}
//
//
//
#endregion//Constructors
#region no Properties
// *****************************************************************
// **** Properties ****
// *****************************************************************
//
//
#endregion//Properties
#region Public Methods
// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
// *************************************************
// **** Try Add() ****
// *************************************************
//
/// <summary>
/// Add new Fill to the fill book
/// </summary>
/// <param name="aFill"></param>
/// <returns>false if add failed</returns>
public bool TryAdd(Fill aFill)
{
int remainingQty = aFill.Qty; // variable to subtract fills from
bool isAddOkay = m_FillPages[QTMath.MktSignToMktSide(aFill.Qty)].TryAdd(aFill); // Store the Fill
m_Volume += Math.Abs(aFill.Qty); // updated total volume
// Allocate Fills against our open position/
if (m_FillsOpen.Count == 0 || remainingQty * m_FillsOpen[0].Qty >= 0)
{ // we have no opens fill OR the fill is on the same side so we adding to our position, or new position.
Fill newFill = aFill.Clone(); // clone the fill so we can edit it
m_FillsOpen.Add(newFill); // add the fill to the "open" list
}
else
{ // we have an opposing position so we need to cancel positions.
double realPnL = 0.0;
while (remainingQty != 0 && m_FillsOpen.Count > 0)
{
Fill oldFill = m_FillsOpen[m_FillsOpen.Count - 1];
if ((oldFill.Qty + remainingQty) * remainingQty >= 0)
{ // Incoming qty kills old fill qty "Q0" entirely; so the transacting amount is Q0
realPnL += -oldFill.Qty * oldFill.Price + oldFill.Qty * aFill.Price; // -Q0*P0 - (-Q0)*P
remainingQty += m_FillsOpen[m_FillsOpen.Count - 1].Qty; // Q = Q + Q0
m_FillsOpen.RemoveAt(m_FillsOpen.Count - 1); // remove entire old fill [P0,Q0]
}
else
{ // Old fill completely absorbs new fill qty "Q"; transacting amount is Q
realPnL += remainingQty * oldFill.Price - remainingQty * aFill.Price; // -pnl = -(-Q)*P1 - Q*P
oldFill.Qty += remainingQty; // reduce oldQty by amount transacted.
remainingQty = 0; // there is no quantity left.
}
}
if (remainingQty != 0)
{ // After cancelling out all levels of old fills, we still have some left!
Fill newFill = aFill.Clone();
newFill.Qty = remainingQty; // overwrite the quantity with remaining qty.
m_FillsOpen.Add(newFill);
}
m_RealizedGain += realPnL * m_ContractMultiplier;
}
UpdatePositionInfo();
return(isAddOkay);
}
// *****************************************************************
// **** Constructors ****
// *****************************************************************
//
//
//
#endregion//Constructors
#region no Properties
// *****************************************************************
// **** Properties ****
// *****************************************************************
//
//
#endregion//Properties
#region Public Methods
// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
//
//
// *************************************************************
// **** TryFindLegIDWithBestQtyRatio ****
// *************************************************************
/// <summary>
/// Caller would like to find the leg with the current best qty ratio for a given
/// side of the market. If side == Order.BidSide then we are looking for the leg
/// with the highest BidQty / AskQty Ratio (lowest AskQty/BidQty Ratio). If we are
/// looking at side == Order.AskSide then we are looking for the leg with the highest
/// AskQty / BidQty ratio (lower BidQty / AskQty) ratio.
/// </summary>
/// <param name="legIDs"></param>
/// <param name="side"></param>
/// <param name="bestLegID"></param>
/// <returns>False if a "best" leg id is not found. This has to be a problem with our markets</returns>
public bool TryFindLegIDWithBestQtyRatio(List <int> legIDs, int side, out int bestLegID)
{
bestLegID = -1;
int bestQtyRatio = -1;
int qtyRatio;
int oppSide = QTMath.MktSideToOtherSide(side);
for (int leg = 0; leg < legIDs.Count; leg++)
{
qtyRatio = m_CurveLegs[leg].m_Market.Qty[side][0] / m_CurveLegs[leg].m_Market.Qty[oppSide][0];
if (qtyRatio > bestQtyRatio)
{ // this leg is our current best qty ratio!
bestQtyRatio = qtyRatio;
bestLegID = leg;
}
}
return(bestLegID != -1);
}
public double MinimumPriceTick = 1.0; // smallest price between two adjacent tick prices for orders.
#endregion// members
#region Constructors
// *****************************************************************
// **** Constructors ****
// *****************************************************************
public OrderBook(OrderHub parentOrderHub, InstrumentName instrumentName)
{
this.m_InstrumentName = instrumentName; // store required vars
this.m_ParentHub = parentOrderHub;
// Create Order tag format
DateTime dt = DateTime.Now;
string s1 = string.Format("{0:yy}{1}{2}{3}{4}{5}_", dt, QTMath.GetMonthCode(dt), QTMath.GetBaseSixtyCode(dt.Day),
QTMath.GetBaseSixtyCode(dt.Hour), QTMath.GetBaseSixtyCode(dt.Minute), QTMath.GetBaseSixtyCode(dt.Second));
m_TagFormat = s1 + "{0}"; // Make certain this is unique.
// Create books.
m_ByPrice = new SortedDictionary <int, List <string> > [2]; // TODO: I think, for speed, use List<Order>?
for (int side = 0; side < m_ByPrice.Length; ++side)
{
m_ByPrice[side] = new SortedDictionary <int, List <string> >();
}
}//constructor
}//IsStopTriggered()
//
//
//
/// <summary>
/// This must be called periodically to update things like volatility, blocking timeouts,
/// etc.
/// </summary>
/// <param name="excessValue">The strategy excess value: (P - FairValue)</param>
public virtual void Update(double excessValue)
{
if (m_StopSign != 0)
{ // We are stopped.
//
// Check blocking timeout.
//
if (m_IsBlockingTimeOut)
{
m_BlockingTimeOutRemaining -= 1; // decrease countdown to timeout.
if (m_BlockingTimeOutRemaining <= 0)
{
if (IsLogWrite)
{
Log.NewEntry(LogLevel.Major, "StopRule: Blocking timed out. StopLoss for {1} returning to normal trading on {0} side."
, QTMath.MktSignToString(m_StopSign), m_Name);
}
m_StopSign = 0; // return to normal trading.
this.IsUpdateRequired = true;
BroadcastParameters();
}
}
//
// Crossing fair value can also reset blocking.
//
// Example: Consider the price trending is upward and that we stopped out on a short
// position, so m_StopSign = -1. As the we continue to trend, the expectedReturn < 0.
if (m_IsBlockingResetOnCrossing)
{
if (excessValue * m_StopSign > 0) // occurs when we cross to other side of fair value.
{
if (IsLogWrite)
{
Log.NewEntry(LogLevel.Major, "StopRule: Blocking halted because fair value crosssed. StopLoss for {1} returning to normal trading on {0} side."
, QTMath.MktSignToString(m_StopSign), m_Name);
}
m_StopSign = 0; // return to normal trading.
this.IsUpdateRequired = true;
BroadcastParameters();
}
}
} // if stopped.
} // Update().
//
#endregion //IOrderEngine Implementation
#region Event Handlers
// *****************************************************************
// **** Event Handlers ****
// *****************************************************************
//
//
//
// *****************************************************************
// **** OrderBook_OrderFilled() ****
// *****************************************************************
private void OrderBook_OrderFilled(object sender, EventArgs eventArgs)
{
FillEventArgs fillEventArgs = (FillEventArgs)eventArgs;
m_FillBook.TryAdd(fillEventArgs.Fill);
int fillSide = QTMath.MktSignToMktSide(fillEventArgs.Fill.Qty);
m_StrategyPosition[fillSide] += fillEventArgs.Fill.Qty;
fillEventArgs.Fill.Price = fillEventArgs.Fill.Price * m_PriceLeg.PriceMultiplier;
Quote(); // this will update our orders now that we got filled, and resubmit if we are dripping etc..
//
// Create a synthetic fill to pass back to the strategy.
//
if (m_OpenSyntheticOrders[fillSide] != null)
{
SyntheticFill newSyntheticFill = SyntheticFill.CreateSyntheticFillFromFill(fillEventArgs.Fill);
m_OpenSyntheticOrders[fillSide].m_SyntheticFills.Add(newSyntheticFill);
m_ExecutionContainer.SendSyntheticOrderToRemote(m_OpenSyntheticOrders[fillSide]);
}
}
//
/// <summary>
/// This override provides the implementation for the specialized EMA trailing
/// stops.
/// </summary>
/// <param name="mktPrice"></param>
protected override void UpdateTrailingStops(double mktPrice)
{
int posSign = Math.Sign(base.Position);
int posSide = QTMath.MktSignToMktSide(posSign);
m_PriceToDelete.Clear(); // place to store old stop price.
m_PriceToAdd.Clear(); // place to store new stop price.
// Check state of each stop price.
for (int i = 0; i < m_StopPriceList.Count; ++i) // loop thru each stop-price in list.
{
// Compute the new stop price for this level.
// Stop price evolution:
// StopPrice[Time1] = Alpha*StopPrice[Time0] + (1-Alpha)*MidPrice[Time1]
//
double alpha = m_TrailingStopAlpha[posSide];
double newStopPrice = m_StopPriceList[i] * alpha + (1 - alpha) * mktPrice;
m_PriceToDelete.Add(m_StopPriceList[i]);
m_PriceToAdd.Add(newStopPrice);
}//next stop level i
// Update our stop lists.
for (int i = 0; i < m_PriceToAdd.Count; ++i)
{
double newStopPrice = m_PriceToAdd[i];
if (!m_StopPriceList.Contains(newStopPrice))
{
m_StopPriceList.Add(newStopPrice);
m_StopPriceQty.Add(newStopPrice, 0); // put a zero qty space holder.
}
double oldStopPrice = m_PriceToDelete[i]; // original price to remove now.
m_StopPriceList.Remove(oldStopPrice);
m_StopPriceQty[newStopPrice] += m_StopPriceQty[oldStopPrice];
m_StopPriceQty.Remove(oldStopPrice);
}
m_PlotUpdateCount++;
if (Position != 0 && m_GraphEngine != null && m_PlotUpdateCount % m_PlotUpdateFrequency == 0)
{
m_GraphEngine.AddPoint(m_GraphId, m_StopCurvveName, NearestStopPrice);
}
}
//
//
//
//
#endregion//Constructors
#region Public Methods
// *************************************
// **** AddItemToWrite() ****
// *************************************
/// <summary>
/// User calls this function to add a new signal item for later writing.
/// TODO:
/// 1) this is written like this so in future, we can recycle signal items
/// without the user having access to them.
/// </summary>
public void AddItemToWrite(int strategyId, int instrId, DateTime localTime, UV.Lib.Application.UserInfo user, string pricingEngineName, string attributeString, int qty = 0, double price = 0)
{
FillsQueryItem newItem = new FillsQueryItem();
newItem.StrategyId = strategyId;
newItem.InstrumentId = instrId;
newItem.RunType = user.RunType.ToString().ToLower();
newItem.UserName = user.UserName;
newItem.PricingEngineName = pricingEngineName;
newItem.TimeStamp = localTime;
double utc = QTMath.DateTimeToEpoch(localTime.ToUniversalTime());
newItem.UnixUTC = (int)Math.Floor(utc);
newItem.UnixMicroSec = (int)((utc - newItem.UnixUTC) * 1000000);
newItem.Qty = qty;
newItem.Price = price;
newItem.AttributeString = attributeString;
this.m_ItemsToWrite.Add(newItem);
}//AddItemToWrite()
// *****************************************************************
// **** Private Methods ****
// *****************************************************************
//
//
// *********************************************************
// **** IsScratchNeededAtIPrice ****
// *********************************************************
/// <summary>
/// Caller would like to check if a position from a specific level needs to
/// be scratched based on the parameters and our current market state.
/// Notes : This could be optimized a bit for speed up purposes!
/// </summary>
/// <param name="iPrice"></param>
/// <returns></returns>
private bool IsScratchNeededAtIPrice(int iPrice)
{
int currentPos;
if (!m_IPriceToPosition.TryGetValue(iPrice, out currentPos)) // we have no position to manage here!
{
return(false);
}
int posSide = QTMath.MktSignToMktSide(currentPos); // find out which side our position is from
int marketIPrice;
if (m_IsActive)
{ // if we are actively scratching
// If i am long from the bid, i only care when the bid changes
int posSign = QTMath.MktSideToMktSign(posSide);
marketIPrice = (int)(m_Market.Price[posSide][0] / m_InstrumentDetails.TickSize);
if (iPrice * posSign > marketIPrice * posSign | (marketIPrice == iPrice & m_Market.Qty[posSide][0] < m_ScratchThreshold))
{ // market has gone through us, or quantity is now less than our threshold
return(true);
}
}
else
{ // we are passively scratching
// if i am long from the bid, i only care when the ask price changes ( i am going to join when price goes sellers)
int oppSide = QTMath.MktSideToOtherSide(posSide);
int oppSign = QTMath.MktSideToMktSign(oppSide);
marketIPrice = (int)(m_Market.Price[oppSide][0] / m_InstrumentDetails.TickSize);
if (marketIPrice * oppSign > iPrice * oppSign | (marketIPrice == iPrice & m_Market.Qty[oppSide][0] > m_ScratchThreshold))
{ // market has gone through us, or quantity is now less greater than our threshold
return(true);
}
}
return(false);
}
