void CreateAutoSpreader(object sender, InstrumentLookupSubscriptionEventArgs e)
{
if (e.Instrument != null && e.Error == null)
{
// Instrument was found
Console.WriteLine("Found: {0}", e.Instrument.Name);
InstrumentDictionary.Add(e.Instrument.Key, e.Instrument);
// Update the dictionary to indicate that the instrument was found.
InstrumentLookupSubscription instrLookupSub = sender as InstrumentLookupSubscription;
if (SpreadLegKeys.ContainsKey((int)instrLookupSub.Tag))
{
SpreadLegKeys[(int)instrLookupSub.Tag] = e.Instrument;
}
}
else if (e.IsFinal)
{
// Instrument was not found and TT API has given up looking for it
Console.WriteLine("Cannot find instrument: {0}", e.Error.Message);
Subs.Dispose();
}
// If we have found all of the leg instruments, proceed with the creation of the spread.
if (HaveWeFoundAllLegs())
{
Console.WriteLine("All leg instruments have been found. Creating the spread...");
// SpreadDetails related properties
SpreadDetails spreadDetails = new SpreadDetails();
spreadDetails.Name = AutoSpreaderName;
for (int i = 0; i < DbTickerList.Count; i++)
{
Instrument instrument = SpreadLegKeys[i + 1];
var ValidOrderFeeds = instrument.GetValidOrderFeeds();
while (ValidOrderFeeds.Count == 0)
{
ValidOrderFeeds = instrument.GetValidOrderFeeds();
Console.WriteLine("Attempting to get valid forder feed for: " + DbTickerList[i]);
}
SpreadLegDetails spreadlegDetails = new SpreadLegDetails(instrument, ValidOrderFeeds[0].ConnectionKey);
spreadlegDetails.SpreadRatio = (int)RatioAndMultiplier["Ratio"][i];
spreadlegDetails.PriceMultiplier = RatioAndMultiplier["Multiplier"][i];
spreadlegDetails.CustomerName = "<DEFAULT>";
spreadlegDetails.PayupTicks = PayUpTicks;
spreadDetails.Legs.Append(spreadlegDetails);
}
// Create an AutospreaderInstrument corresponding to the synthetic spread
Air = new CreateAutospreaderInstrumentRequest(m_apiInstance.Session, Dispatcher.Current, spreadDetails);
Air.Completed += new EventHandler <CreateAutospreaderInstrumentRequestEventArgs>(m_casReq_Completed);
Air.Submit();
}
}
/// <summary>
/// Event notification for instrument lookup
/// </summary>
void m_req_Update(object sender, InstrumentLookupSubscriptionEventArgs e)
{
if (e.Instrument != null && e.Error == null)
{
// Instrument was found
Console.WriteLine("Found: {0}", e.Instrument.Name);
// Update the dictionary to indicate that the instrument was found.
InstrumentLookupSubscription instrLookupSub = sender as InstrumentLookupSubscription;
if (m_spreadLegKeys.ContainsKey((int)instrLookupSub.Tag))
{
m_spreadLegKeys[(int)instrLookupSub.Tag] = e.Instrument;
}
}
else if (e.IsFinal)
{
// Instrument was not found and TT API has given up looking for it
Console.WriteLine("Cannot find instrument: {0}", e.Error.Message);
Dispose();
}
// If we have found all of the leg instruments, proceed with the creation of the spread.
if (HaveWeFoundAllLegs())
{
Console.WriteLine("All leg instruments have been found. Creating the spread...");
// SpreadDetails related properties
SpreadDetails spreadDetails = new SpreadDetails();
spreadDetails.Name = "My Spread";
int i = 0;
// Add the legs to the SpreadDetails
foreach (Instrument instrument in m_spreadLegKeys.Values)
{
// In this example, the order is routed to the first order feed in the list of valid order feeds.
// You should use the order feed that is appropriate for your purposes.
SpreadLegDetails spreadlegDetails = new SpreadLegDetails(instrument, instrument.GetValidOrderFeeds()[0].ConnectionKey);
spreadlegDetails.SpreadRatio = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.PriceMultiplier = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.CustomerName = "<Default>";
spreadDetails.Legs.Append(spreadlegDetails);
i++;
}
// Create an AutospreaderInstrument corresponding to the synthetic spread
m_casReq = new CreateAutospreaderInstrumentRequest(m_apiInstance.Session, Dispatcher.Current, spreadDetails);
m_casReq.Completed += new EventHandler <CreateAutospreaderInstrumentRequestEventArgs>(m_casReq_Completed);
m_casReq.Submit();
}
}
Instrument CreateSpread()
{
string aseName = "ASE.Test." + DateTime.Now.ToString("yyyyMMddhhmmss");
Console.WriteLine("Create a new SPREAD " + aseName);
var spreadReq = new SpreadDetails(aseName)
{
Color = Color.GreenYellow,
PricingModel = PricingModel.NetChange
};
// first leg
var inst1 = FindInstrument(m_product, m_alias1);
var leg1 = new SpreadLegDetails(inst1, 5, 8.5M)
{
ActiveQuoting = true,
IsLeanIndicative = false,
MinLeanQty = "ThisLeg.DisclosedRemainingQuantity"
};
spreadReq.AppendLeg(leg1);
// second leg
var inst2 = FindInstrument(m_product, m_alias2);
var leg2 = new SpreadLegDetails(inst2, -1, -2)
{
ActiveQuoting = true,
IsLeanIndicative = true,
MinLeanQty = "ThisLeg.DisclosedRemainingQuantity"
};
spreadReq.AppendLeg(leg2);
// Add a spread to the spread manager and Save the ASE instrument in TT system.
// Parameter spreadReq: SpreadDetails object representing the spread to add
// Parameter rtnCode: ASReturnCodes enum indicating the status of the request
ASReturnCodes rtnCode;
Instrument newInst = AutospreaderManager.AddSpreadDetails(spreadReq, out rtnCode);
System.Diagnostics.Debug.Assert(rtnCode == ASReturnCodes.Success);
Console.WriteLine($" New ASE instrument is created {newInst.InstrumentDetails.Name}: {newInst.InstrumentDetails.Id}/{newInst.InstrumentDetails.Version}");
return(newInst);
}
//
//
#endregion//Constructors
#region no Properties
// *****************************************************************
// **** Properties ****
// *****************************************************************
//
//
#endregion//Properties
#region Public Methods
// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
//
//
public bool TryCreateAutoSpreader(List <UVSpreaderLeg> quoteLegsList)
{
SpreadDetails spreadDetails = new SpreadDetails();
StringBuilder spreadName = new StringBuilder();
m_UVSpreaderLegs = quoteLegsList;
foreach (UVSpreaderLeg spreadLeg in quoteLegsList)
{
UVInstrName instrName = spreadLeg.InstrumentDetails.InstrumentName;
spreadName.AppendFormat("{0}x{1}.", instrName, spreadLeg.m_PriceLeg.Weight);
InstrumentKey instrKey;
FeedConnectionKey feedConnectionKey;
if (!m_InstrumentNameToTTKey.TryGetValue(instrName, out instrKey))
{
return(false); // we can't find the instrumentKey
}
if (!m_DefaultFeedKey.TryGetValue(instrKey, out feedConnectionKey))
{
return(false); // we can't find the instrumentKey
}
SpreadLegDetails spreadLegDetails = new SpreadLegDetails(instrKey, feedConnectionKey);
spreadLegDetails.SpreadRatio = (int)spreadLeg.m_PriceLeg.Weight;
spreadLegDetails.PriceMultiplier = spreadLeg.m_PriceLeg.PriceMultiplier;
spreadLegDetails.CustomerName = instrName.ToString();
spreadDetails.Legs.Append(spreadLegDetails);
}
spreadDetails.Name = spreadName.ToString();
CreateAutospreaderInstrumentRequest autoSpreaderRequest = new CreateAutospreaderInstrumentRequest(m_TTService.session, Dispatcher.Current, spreadDetails);
autoSpreaderRequest.Completed += new EventHandler <CreateAutospreaderInstrumentRequestEventArgs>(AutoSpreaderInstrumentRequest_Completed);
autoSpreaderRequest.Submit();
return(true);
}
/// <summary>
/// Move the column information about the legs into the SpreadDetails object.
/// </summary>
/// <returns></returns>
private bool moveColumnToSpreadDetails()
{
m_spreadDetails.Legs.Clear();
m_spreadDetails.Name = textBoxSpreadName.Text.ToString();
m_spreadDetails.PricingModel = (PricingModel)System.Enum.Parse(typeof(PricingModel), comboBoxBasedOn.Text, true);
m_spreadDetails.SlopType = (SlopType)System.Enum.Parse(typeof(SlopType), comboBoxSlopSettings.Text, true);
m_spreadDetails.LTPModel = (LTPModel)System.Enum.Parse(typeof(LTPModel), comboBoxSpreadLTP.Text, true);
m_spreadDetails.Color = comboBoxLegColor.BackColor;
for (int i = 1; i < dataGridViewSpreadDetails.Columns.Count; i++)
{
//get the instrument which is a hidden row
InstrumentKey instrKey = (InstrumentKey)dataGridViewSpreadDetails.Rows[(int)FieldType.HiddenObject].Cells[i].Value;
if (m_spreadLegs.ContainsKey(instrKey))
{
Instrument instrument = (Instrument)m_spreadLegs[instrKey];
string orderFeedName = dataGridViewSpreadDetails.Rows[(int)FieldType.OrderFeedCombo].Cells[i].Value.ToString();
OrderFeed of = instrument.GetValidOrderFeeds().FirstOrDefault(f => f.ConnectionKey.GatewayKey.Name == orderFeedName);
if (of == null)
{
MessageBox.Show("OrderFeed must be selected!");
return(false);
}
if (m_isNewSpread)
{
SpreadLegDetails spreadLeg = new SpreadLegDetails(instrKey, of.ConnectionKey);
m_spreadDetails.Legs.Append(spreadLeg);
}
m_spreadDetails.Legs[i - 1].CustomerName = dataGridViewSpreadDetails.Rows[(int)FieldType.CustomerAccount].Cells[i].Value.ToString();
m_spreadDetails.Legs[i - 1].ActiveQuoting = System.Convert.ToBoolean(dataGridViewSpreadDetails.Rows[(int)FieldType.ActiveQuoting].Cells[i].Value);
m_spreadDetails.Legs[i - 1].ConsiderOwnOrders = System.Convert.ToBoolean(dataGridViewSpreadDetails.Rows[(int)FieldType.ConsiderOwnOrders].Cells[i].Value);
m_spreadDetails.Legs[i - 1].OffsetHedgeType = (HedgeType)System.Enum.Parse(typeof(HedgeType), dataGridViewSpreadDetails.Rows[(int)FieldType.OffsetHedge].Cells[i].Value.ToString(), true);
m_spreadDetails.Legs[i - 1].PayupTicks = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.PayupTicks].Cells[i].Value);
m_spreadDetails.Legs[i - 1].SpreadRatio = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.SpreadRatio].Cells[i].Value);
m_spreadDetails.Legs[i - 1].PriceMultiplier = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.SpreadMultiplier].Cells[i].Value);
m_spreadDetails.Legs[i - 1].QuantityMultiplier = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.QuantityMultiplier].Cells[i].Value);
m_spreadDetails.Legs[i - 1].BaseVolumeLean = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.BasicVolumeLean].Cells[i].Value);
m_spreadDetails.Legs[i - 1].UseCancelReplace = System.Convert.ToBoolean(dataGridViewSpreadDetails.Rows[(int)FieldType.UserCancelReplace].Cells[i].Value);
m_spreadDetails.Legs[i - 1].QueueHolderOrders = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.QueueHolderOrders].Cells[i].Value);
m_spreadDetails.Legs[i - 1].InsideSmartQuote = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.InsideSmartQuote].Cells[i].Value);
m_spreadDetails.Legs[i - 1].SmartQuoteLimit = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.SmartQuoteLimit].Cells[i].Value);
m_spreadDetails.Legs[i - 1].ConsiderImplied = System.Convert.ToBoolean(dataGridViewSpreadDetails.Rows[(int)FieldType.ConsiderImplied].Cells[i].Value);
m_spreadDetails.Legs[i - 1].HedgeRound = System.Convert.ToBoolean(dataGridViewSpreadDetails.Rows[(int)FieldType.HedgeRound].Cells[i].Value);
m_spreadDetails.Legs[i - 1].MaxPriceMove = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.MaxPriceMove].Cells[i].Value);
m_spreadDetails.Legs[i - 1].MaxOrderMove = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.MaxOrderMove].Cells[i].Value);
m_spreadDetails.Legs[i - 1].UseCancelReplaceForQtyReduction = System.Convert.ToBoolean(dataGridViewSpreadDetails.Rows[(int)FieldType.CancelReplaceForQuantity].Cells[i].Value);
m_spreadDetails.Legs[i - 1].OneOverPrice = System.Convert.ToBoolean(dataGridViewSpreadDetails.Rows[(int)FieldType.OneOverPrice].Cells[i].Value);
}
else
{
MessageBox.Show("could not find insturment in the map for instrument key" + instrKey.SeriesKey);
return(false);
}
}
return(true);
}
/// <summary>
/// Add a leg to the spread given a SpreadLegDetails object.
/// </summary>
/// <param name="spreadLegParams">SpreadLegDetails</param>
private void addLeg(SpreadLegDetails spreadLegParams)
{
DataGridViewColumn col = new DataGridViewColumn();
col.AutoSizeMode = DataGridViewAutoSizeColumnMode.None;
col.Width = 150;
col.HeaderText = "Leg " + Convert.ToString(dataGridViewSpreadDetails.Columns.Count);
col.DefaultCellStyle.Alignment = DataGridViewContentAlignment.MiddleCenter;
DataGridViewTextBoxCell textCell = new DataGridViewTextBoxCell();
textCell.Style.BackColor = Color.White;
col.CellTemplate = textCell;
int retunValue = dataGridViewSpreadDetails.Columns.Add(col);
int columnNum = dataGridViewSpreadDetails.Columns.Count;
DataGridViewButtonCell cell = new DataGridViewButtonCell();
cell.ToolTipText = "Delete this leg";
cell.Value = "Delete this leg";
cell.Style.BackColor = Color.Red;
dataGridViewSpreadDetails.Rows[(int)FieldType.DeleteButton].Cells[columnNum - 1] = cell;
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.Name;
dataGridViewSpreadDetails.Rows[(int)FieldType.Contract].Cells[columnNum - 1] = textCell;
DataGridViewComboBoxCell comboCell = new DataGridViewComboBoxCell();
comboCell.DisplayStyle = DataGridViewComboBoxDisplayStyle.DropDownButton;
comboCell.Items.Add(spreadLegParams.InstrumentKey.MarketKey.Name);
dataGridViewSpreadDetails.Rows[(int)FieldType.OrderFeedCombo].Cells[columnNum - 1] = comboCell;
comboCell.Value = spreadLegParams.InstrumentKey.MarketKey.Name;
comboCell = new DataGridViewComboBoxCell();
comboCell.Items.Add(spreadLegParams.CustomerName);
comboCell.Value = comboCell.Items[0];
dataGridViewSpreadDetails.Rows[(int)FieldType.CustomerAccount].Cells[columnNum - 1] = comboCell;
DataGridViewCheckBoxCell checkCell = new DataGridViewCheckBoxCell();
checkCell.Value = spreadLegParams.ActiveQuoting;
dataGridViewSpreadDetails.Rows[(int)FieldType.ActiveQuoting].Cells[columnNum - 1] = checkCell;
checkCell = new DataGridViewCheckBoxCell();
checkCell.Value = spreadLegParams.ConsiderOwnOrders;
dataGridViewSpreadDetails.Rows[(int)FieldType.ConsiderOwnOrders].Cells[columnNum - 1] = checkCell;
comboCell = new DataGridViewComboBoxCell();
comboCell.Items.Add("LimitOrder");
comboCell.Items.Add("MarketOrder");
comboCell.Items.Add("MLMOrder");
comboCell.Value = spreadLegParams.OffsetHedgeType.ToString();
dataGridViewSpreadDetails.Rows[(int)FieldType.OffsetHedge].Cells[columnNum - 1] = comboCell;
//Payup ticks
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.PayupTicks;
dataGridViewSpreadDetails.Rows[(int)FieldType.PayupTicks].Cells[columnNum - 1] = textCell;
//spread ratio
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.SpreadRatio;
dataGridViewSpreadDetails.Rows[(int)FieldType.SpreadRatio].Cells[columnNum - 1] = textCell;
//spread Multiplier
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.PriceMultiplier;
dataGridViewSpreadDetails.Rows[(int)FieldType.SpreadMultiplier].Cells[columnNum - 1] = textCell;
//offset volume multiplier
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.QuantityMultiplier;
dataGridViewSpreadDetails.Rows[(int)FieldType.QuantityMultiplier].Cells[columnNum - 1] = textCell;
//base volume mulitplier
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.BaseVolumeLean;
dataGridViewSpreadDetails.Rows[(int)FieldType.BasicVolumeLean].Cells[columnNum - 1] = textCell;
//use cancel replace
checkCell = new DataGridViewCheckBoxCell();
checkCell.Value = spreadLegParams.UseCancelReplace;
dataGridViewSpreadDetails.Rows[(int)FieldType.UserCancelReplace].Cells[columnNum - 1] = checkCell;
//Queue Holder orders
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.QueueHolderOrders;
dataGridViewSpreadDetails.Rows[(int)FieldType.QueueHolderOrders].Cells[columnNum - 1] = textCell;
//inside smart quote
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.InsideSmartQuote;
dataGridViewSpreadDetails.Rows[(int)FieldType.InsideSmartQuote].Cells[columnNum - 1] = textCell;
//Smart Quote Limit
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.SmartQuoteLimit;
dataGridViewSpreadDetails.Rows[(int)FieldType.SmartQuoteLimit].Cells[columnNum - 1] = textCell;
//Consider implied
checkCell = new DataGridViewCheckBoxCell();
checkCell.Value = spreadLegParams.ConsiderImplied;
dataGridViewSpreadDetails.Rows[(int)FieldType.ConsiderImplied].Cells[columnNum - 1] = checkCell;
//Hedge round
checkCell = new DataGridViewCheckBoxCell();
checkCell.Value = spreadLegParams.HedgeRound;
dataGridViewSpreadDetails.Rows[(int)FieldType.HedgeRound].Cells[columnNum - 1] = checkCell;
//Max Price Move
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.MaxPriceMove;
dataGridViewSpreadDetails.Rows[(int)FieldType.MaxPriceMove].Cells[columnNum - 1] = textCell;
//Max Order Move
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.MaxOrderMove;
dataGridViewSpreadDetails.Rows[(int)FieldType.MaxOrderMove].Cells[columnNum - 1] = textCell;
//Cancel replace for Quantity
checkCell = new DataGridViewCheckBoxCell();
checkCell.Value = spreadLegParams.UseCancelReplaceForQtyReduction;
dataGridViewSpreadDetails.Rows[(int)FieldType.CancelReplaceForQuantity].Cells[columnNum - 1] = checkCell;
//1/Price
checkCell = new DataGridViewCheckBoxCell();
checkCell.Value = spreadLegParams.OneOverPrice;
dataGridViewSpreadDetails.Rows[(int)FieldType.OneOverPrice].Cells[columnNum - 1] = checkCell;
//Hidden row has the actual object ot instrument
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.InstrumentKey;
dataGridViewSpreadDetails.Rows[(int)FieldType.HiddenObject].Visible = false;
dataGridViewSpreadDetails.Rows[(int)FieldType.HiddenObject].Cells[columnNum - 1] = textCell;
if (m_spreadLegs.ContainsKey(spreadLegParams.InstrumentKey))
{
Instrument instrument = (Instrument)m_spreadLegs[spreadLegParams.InstrumentKey];
updateInstrument(instrument);
// Select the right order feed
DataGridViewComboBoxCell combo = (DataGridViewComboBoxCell)dataGridViewSpreadDetails.Rows[(int)FieldType.OrderFeedCombo].Cells[columnNum - 1];
foreach (string orderFeedName in combo.Items)
{
if (orderFeedName.Equals(spreadLegParams.InstrumentKey.MarketKey.Name))
{
combo.Value = orderFeedName;
break;
}
}
}
else
{
// Pass the Key to our subscription method
findInstrument(spreadLegParams.InstrumentKey);
}
}
/// <summary>
/// Event notification for instrument lookup
/// </summary>
void m_req_Update(object sender, InstrumentLookupSubscriptionEventArgs e)
{
if (e.Instrument != null && e.Error == null)
{
// Instrument was found
Console.WriteLine("Found: {0}", e.Instrument.Name);
// Update the dictionary to indicate that the instrument was found.
InstrumentLookupSubscription instrLookupSub = sender as InstrumentLookupSubscription;
if (m_spreadLegKeys.ContainsKey((int)instrLookupSub.Tag))
{
m_spreadLegKeys[(int)instrLookupSub.Tag] = e.Instrument;
}
}
else if (e.IsFinal)
{
// Instrument was not found and TT API has given up looking for it
Console.WriteLine("Cannot find instrument: {0}", e.Error.Message);
Dispose();
}
// If we have found all of the leg instruments, proceed with the creation of the spread.
if (HaveWeFoundAllLegs())
{
Console.WriteLine("All leg instruments have been found. Creating the spread...");
// SpreadDetails related properties
SpreadDetails spreadDetails = new SpreadDetails();
spreadDetails.Name = "My Spread";
int i = 0;
// Add the legs to the SpreadDetails
foreach (Instrument instrument in m_spreadLegKeys.Values)
{
// In this example, the order is routed to the first order feed in the list of valid order feeds.
// You should use the order feed that is appropriate for your purposes.
SpreadLegDetails spreadlegDetails = new SpreadLegDetails(instrument, instrument.GetValidOrderFeeds()[0].ConnectionKey);
spreadlegDetails.SpreadRatio = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.PriceMultiplier = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.CustomerName = "<Default>";
spreadDetails.Legs.Append(spreadlegDetails);
i++;
}
// Create an AutospreaderInstrument corresponding to the synthetic spread
m_casReq = new CreateAutospreaderInstrumentRequest(m_apiInstance.Session, Dispatcher.Current, spreadDetails);
m_casReq.Completed += new EventHandler<CreateAutospreaderInstrumentRequestEventArgs>(m_casReq_Completed);
m_casReq.Submit();
}
}
/// <summary>
/// Move the column information about the legs into the SpreadDetails object.
/// </summary>
/// <returns></returns>
private bool moveColumnToSpreadDetails()
{
m_spreadDetails.Legs.Clear();
m_spreadDetails.Name = textBoxSpreadName.Text.ToString();
m_spreadDetails.PricingModel = (PricingModel)System.Enum.Parse(typeof(PricingModel), comboBoxBasedOn.Text, true);
m_spreadDetails.SlopType = (SlopType)System.Enum.Parse(typeof(SlopType), comboBoxSlopSettings.Text, true);
m_spreadDetails.LTPModel = (LTPModel)System.Enum.Parse(typeof(LTPModel), comboBoxSpreadLTP.Text, true);
m_spreadDetails.Color = comboBoxLegColor.BackColor;
for (int i = 1; i < dataGridViewSpreadDetails.Columns.Count; i++)
{
//get the instrument which is a hidden row
InstrumentKey instrKey = (InstrumentKey)dataGridViewSpreadDetails.Rows[(int)FieldType.HiddenObject].Cells[i].Value;
if (m_spreadLegs.ContainsKey(instrKey))
{
Instrument instrument = (Instrument)m_spreadLegs[instrKey];
string orderFeedName = dataGridViewSpreadDetails.Rows[(int)FieldType.OrderFeedCombo].Cells[i].Value.ToString();
OrderFeed of = instrument.GetValidOrderFeeds().FirstOrDefault(f => f.ConnectionKey.GatewayKey.Name == orderFeedName);
if (of == null)
{
MessageBox.Show("OrderFeed must be selected!");
return false;
}
if (m_isNewSpread)
{
SpreadLegDetails spreadLeg = new SpreadLegDetails(instrKey, of.ConnectionKey);
m_spreadDetails.Legs.Append(spreadLeg);
}
m_spreadDetails.Legs[i - 1].CustomerName = dataGridViewSpreadDetails.Rows[(int)FieldType.CustomerAccount].Cells[i].Value.ToString();
m_spreadDetails.Legs[i - 1].ActiveQuoting = System.Convert.ToBoolean(dataGridViewSpreadDetails.Rows[(int)FieldType.ActiveQuoting].Cells[i].Value);
m_spreadDetails.Legs[i - 1].ConsiderOwnOrders = System.Convert.ToBoolean(dataGridViewSpreadDetails.Rows[(int)FieldType.ConsiderOwnOrders].Cells[i].Value);
m_spreadDetails.Legs[i - 1].OffsetHedgeType = (HedgeType)System.Enum.Parse(typeof(HedgeType), dataGridViewSpreadDetails.Rows[(int)FieldType.OffsetHedge].Cells[i].Value.ToString(), true);
m_spreadDetails.Legs[i - 1].PayupTicks = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.PayupTicks].Cells[i].Value);
m_spreadDetails.Legs[i - 1].SpreadRatio = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.SpreadRatio].Cells[i].Value);
m_spreadDetails.Legs[i - 1].PriceMultiplier = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.SpreadMultiplier].Cells[i].Value);
m_spreadDetails.Legs[i - 1].QuantityMultiplier = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.QuantityMultiplier].Cells[i].Value);
m_spreadDetails.Legs[i - 1].BaseVolumeLean = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.BasicVolumeLean].Cells[i].Value);
m_spreadDetails.Legs[i - 1].UseCancelReplace = System.Convert.ToBoolean(dataGridViewSpreadDetails.Rows[(int)FieldType.UserCancelReplace].Cells[i].Value);
m_spreadDetails.Legs[i - 1].QueueHolderOrders = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.QueueHolderOrders].Cells[i].Value);
m_spreadDetails.Legs[i - 1].InsideSmartQuote = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.InsideSmartQuote].Cells[i].Value);
m_spreadDetails.Legs[i - 1].SmartQuoteLimit = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.SmartQuoteLimit].Cells[i].Value);
m_spreadDetails.Legs[i - 1].ConsiderImplied = System.Convert.ToBoolean(dataGridViewSpreadDetails.Rows[(int)FieldType.ConsiderImplied].Cells[i].Value);
m_spreadDetails.Legs[i - 1].HedgeRound = System.Convert.ToBoolean(dataGridViewSpreadDetails.Rows[(int)FieldType.HedgeRound].Cells[i].Value);
m_spreadDetails.Legs[i - 1].MaxPriceMove = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.MaxPriceMove].Cells[i].Value);
m_spreadDetails.Legs[i - 1].MaxOrderMove = System.Convert.ToInt32(dataGridViewSpreadDetails.Rows[(int)FieldType.MaxOrderMove].Cells[i].Value);
m_spreadDetails.Legs[i - 1].UseCancelReplaceForQtyReduction = System.Convert.ToBoolean(dataGridViewSpreadDetails.Rows[(int)FieldType.CancelReplaceForQuantity].Cells[i].Value);
m_spreadDetails.Legs[i - 1].OneOverPrice = System.Convert.ToBoolean(dataGridViewSpreadDetails.Rows[(int)FieldType.OneOverPrice].Cells[i].Value);
}
else
{
MessageBox.Show("could not find insturment in the map for instrument key" + instrKey.SeriesKey);
return false;
}
}
return true;
}
/// <summary>
/// Add a leg to the spread given a SpreadLegDetails object.
/// </summary>
/// <param name="spreadLegParams">SpreadLegDetails</param>
private void addLeg(SpreadLegDetails spreadLegParams)
{
DataGridViewColumn col = new DataGridViewColumn();
col.AutoSizeMode = DataGridViewAutoSizeColumnMode.None;
col.Width = 150;
col.HeaderText = "Leg " + Convert.ToString(dataGridViewSpreadDetails.Columns.Count);
col.DefaultCellStyle.Alignment = DataGridViewContentAlignment.MiddleCenter;
DataGridViewTextBoxCell textCell = new DataGridViewTextBoxCell();
textCell.Style.BackColor = Color.White;
col.CellTemplate = textCell;
int retunValue = dataGridViewSpreadDetails.Columns.Add(col);
int columnNum = dataGridViewSpreadDetails.Columns.Count;
DataGridViewButtonCell cell = new DataGridViewButtonCell();
cell.ToolTipText = "Delete this leg";
cell.Value = "Delete this leg";
cell.Style.BackColor = Color.Red;
dataGridViewSpreadDetails.Rows[(int)FieldType.DeleteButton].Cells[columnNum - 1] = cell;
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.Name;
dataGridViewSpreadDetails.Rows[(int)FieldType.Contract].Cells[columnNum - 1] = textCell;
DataGridViewComboBoxCell comboCell = new DataGridViewComboBoxCell();
comboCell.DisplayStyle = DataGridViewComboBoxDisplayStyle.DropDownButton;
comboCell.Items.Add(spreadLegParams.InstrumentKey.MarketKey.Name);
dataGridViewSpreadDetails.Rows[(int)FieldType.OrderFeedCombo].Cells[columnNum - 1] = comboCell;
comboCell.Value = spreadLegParams.InstrumentKey.MarketKey.Name;
comboCell = new DataGridViewComboBoxCell();
comboCell.Items.Add(spreadLegParams.CustomerName);
comboCell.Value = comboCell.Items[0];
dataGridViewSpreadDetails.Rows[(int)FieldType.CustomerAccount].Cells[columnNum - 1] = comboCell;
DataGridViewCheckBoxCell checkCell = new DataGridViewCheckBoxCell();
checkCell.Value = spreadLegParams.ActiveQuoting;
dataGridViewSpreadDetails.Rows[(int)FieldType.ActiveQuoting].Cells[columnNum - 1] = checkCell;
checkCell = new DataGridViewCheckBoxCell();
checkCell.Value = spreadLegParams.ConsiderOwnOrders;
dataGridViewSpreadDetails.Rows[(int)FieldType.ConsiderOwnOrders].Cells[columnNum - 1] = checkCell;
comboCell = new DataGridViewComboBoxCell();
comboCell.Items.Add("LimitOrder");
comboCell.Items.Add("MarketOrder");
comboCell.Items.Add("MLMOrder");
comboCell.Value = spreadLegParams.OffsetHedgeType.ToString();
dataGridViewSpreadDetails.Rows[(int)FieldType.OffsetHedge].Cells[columnNum - 1] = comboCell;
//Payup ticks
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.PayupTicks;
dataGridViewSpreadDetails.Rows[(int)FieldType.PayupTicks].Cells[columnNum - 1] = textCell;
//spread ratio
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.SpreadRatio;
dataGridViewSpreadDetails.Rows[(int)FieldType.SpreadRatio].Cells[columnNum - 1] = textCell;
//spread Multiplier
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.PriceMultiplier;
dataGridViewSpreadDetails.Rows[(int)FieldType.SpreadMultiplier].Cells[columnNum - 1] = textCell;
//offset volume multiplier
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.QuantityMultiplier;
dataGridViewSpreadDetails.Rows[(int)FieldType.QuantityMultiplier].Cells[columnNum - 1] = textCell;
//base volume mulitplier
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.BaseVolumeLean;
dataGridViewSpreadDetails.Rows[(int)FieldType.BasicVolumeLean].Cells[columnNum - 1] = textCell;
//use cancel replace
checkCell = new DataGridViewCheckBoxCell();
checkCell.Value = spreadLegParams.UseCancelReplace;
dataGridViewSpreadDetails.Rows[(int)FieldType.UserCancelReplace].Cells[columnNum - 1] = checkCell;
//Queue Holder orders
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.QueueHolderOrders;
dataGridViewSpreadDetails.Rows[(int)FieldType.QueueHolderOrders].Cells[columnNum - 1] = textCell;
//inside smart quote
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.InsideSmartQuote;
dataGridViewSpreadDetails.Rows[(int)FieldType.InsideSmartQuote].Cells[columnNum - 1] = textCell;
//Smart Quote Limit
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.SmartQuoteLimit;
dataGridViewSpreadDetails.Rows[(int)FieldType.SmartQuoteLimit].Cells[columnNum - 1] = textCell;
//Consider implied
checkCell = new DataGridViewCheckBoxCell();
checkCell.Value = spreadLegParams.ConsiderImplied;
dataGridViewSpreadDetails.Rows[(int)FieldType.ConsiderImplied].Cells[columnNum - 1] = checkCell;
//Hedge round
checkCell = new DataGridViewCheckBoxCell();
checkCell.Value = spreadLegParams.HedgeRound;
dataGridViewSpreadDetails.Rows[(int)FieldType.HedgeRound].Cells[columnNum - 1] = checkCell;
//Max Price Move
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.MaxPriceMove;
dataGridViewSpreadDetails.Rows[(int)FieldType.MaxPriceMove].Cells[columnNum - 1] = textCell;
//Max Order Move
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.MaxOrderMove;
dataGridViewSpreadDetails.Rows[(int)FieldType.MaxOrderMove].Cells[columnNum - 1] = textCell;
//Cancel replace for Quantity
checkCell = new DataGridViewCheckBoxCell();
checkCell.Value = spreadLegParams.UseCancelReplaceForQtyReduction;
dataGridViewSpreadDetails.Rows[(int)FieldType.CancelReplaceForQuantity].Cells[columnNum - 1] = checkCell;
//1/Price
checkCell = new DataGridViewCheckBoxCell();
checkCell.Value = spreadLegParams.OneOverPrice;
dataGridViewSpreadDetails.Rows[(int)FieldType.OneOverPrice].Cells[columnNum - 1] = checkCell;
//Hidden row has the actual object ot instrument
textCell = new DataGridViewTextBoxCell();
textCell.Value = spreadLegParams.InstrumentKey;
dataGridViewSpreadDetails.Rows[(int)FieldType.HiddenObject].Visible = false;
dataGridViewSpreadDetails.Rows[(int)FieldType.HiddenObject].Cells[columnNum - 1] = textCell;
if (m_spreadLegs.ContainsKey(spreadLegParams.InstrumentKey))
{
Instrument instrument = (Instrument)m_spreadLegs[spreadLegParams.InstrumentKey];
updateInstrument(instrument);
// Select the right order feed
DataGridViewComboBoxCell combo = (DataGridViewComboBoxCell)dataGridViewSpreadDetails.Rows[(int)FieldType.OrderFeedCombo].Cells[columnNum - 1];
foreach (string orderFeedName in combo.Items)
{
if (orderFeedName.Equals(spreadLegParams.InstrumentKey.MarketKey.Name))
{
combo.Value = orderFeedName;
break;
}
}
}
else
{
// Pass the Key to our subscription method
findInstrument(spreadLegParams.InstrumentKey);
}
}
private void CreateSpreadDetails()
{
Console.WriteLine("Creating the spread...");
// SpreadDetails related properties
SpreadDetails spreadDetails = new SpreadDetails();
spreadDetails.Name = "My Spread";
int i = 0;
// Add the legs to the SpreadDetails
foreach (Instrument instrument in spreadLegKeys.Values)
{
// In this example, the order is routed to the first order feed in the list of valid order feeds.
// You should use the order feed that is appropriate for your purposes.
SpreadLegDetails spreadlegDetails = new SpreadLegDetails(instrument.Key, instrument.GetValidOrderFeeds()[0].ConnectionKey);
spreadlegDetails.SpreadRatio = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.PriceMultiplier = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.CustomerName = "<Default>";
spreadDetails.Legs.Append(spreadlegDetails);
i++;
}
// Create an Instrument corresponding to the synthetic spread
casReq = new CreateAutospreaderInstrumentRequest(apiInstance.Session, Dispatcher.Current, spreadDetails);
casReq.Completed += new EventHandler<CreateAutospreaderInstrumentRequestEventArgs>(casReq_Completed);
casReq.Submit();
}
void CreateAutoSpreader(object sender, InstrumentLookupSubscriptionEventArgs e)
{
if (e.Instrument != null && e.Error == null)
{
// Instrument was found
Console.WriteLine("Found: {0}", e.Instrument.Name);
InstrumentDictionary.Add(e.Instrument.Key, e.Instrument);
// Update the dictionary to indicate that the instrument was found.
InstrumentLookupSubscription instrLookupSub = sender as InstrumentLookupSubscription;
if (SpreadLegKeys.ContainsKey((int)instrLookupSub.Tag))
{
SpreadLegKeys[(int)instrLookupSub.Tag] = e.Instrument;
}
}
else if (e.IsFinal)
{
// Instrument was not found and TT API has given up looking for it
Console.WriteLine("Cannot find instrument: {0}", e.Error.Message);
Subs.Dispose();
}
// If we have found all of the leg instruments, proceed with the creation of the spread.
if (HaveWeFoundAllLegs())
{
Console.WriteLine("All leg instruments have been found. Creating the spread...");
// SpreadDetails related properties
SpreadDetails spreadDetails = new SpreadDetails();
spreadDetails.Name = AutoSpreaderName;
for (int i = 0; i < DbTickerList.Count; i++)
{
Instrument instrument = SpreadLegKeys[i + 1];
SpreadLegDetails spreadlegDetails = new SpreadLegDetails(instrument, instrument.GetValidOrderFeeds()[0].ConnectionKey);
spreadlegDetails.SpreadRatio = (int)RatioAndMultiplier["Ratio"][i];
spreadlegDetails.PriceMultiplier = RatioAndMultiplier["Multiplier"][i];
spreadlegDetails.CustomerName = "<DEFAULT>";
spreadlegDetails.PayupTicks = PayUpTicks;
spreadDetails.Legs.Append(spreadlegDetails);
}
// Create an AutospreaderInstrument corresponding to the synthetic spread
Air = new CreateAutospreaderInstrumentRequest(m_apiInstance.Session, Dispatcher.Current, spreadDetails);
Air.Completed += new EventHandler<CreateAutospreaderInstrumentRequestEventArgs>(m_casReq_Completed);
Air.Submit();
}
}
