/// <summary> /// Event notification for instrument lookup /// </summary> public void req_Update(object sender, InstrumentLookupSubscriptionEventArgs e) { if (e.Instrument != null && e.Error == null) { cout("Subscribed to Instrument: {0}", e.Instrument.Key); _instruments[GetIid(e.Instrument)].FoundInstrument(e.Instrument); // Market Depth subscription (or just Inside Market if you change the PriceSubscriptionSettings) var prcSub = new PriceSubscription(e.Instrument, Dispatcher.Current); //psSub.Settings = new PriceSubscriptionSettings(PriceSubscriptionType.InsideMarket); prcSub.Settings = new PriceSubscriptionSettings(PriceSubscriptionType.MarketDepth); prcSub.FieldsUpdated += new FieldsUpdatedEventHandler(m_prc_FieldsUpdated); m_lprc.Add(prcSub); prcSub.Start(); // Time & Sales subscription var tsSub = new TimeAndSalesSubscription(e.Instrument, Dispatcher.Current); tsSub.Update += new EventHandler <TimeAndSalesEventArgs>(tsSub_Update); m_lts.Add(tsSub); tsSub.Start(); // Fills subscription var filSub = new FillsSubscription(m_TTAPI.Session, Dispatcher.Current); filSub.FillAdded += new EventHandler <FillAddedEventArgs>(m_fil_FillAdded); filSub.FillAmended += new EventHandler <FillAmendedEventArgs>(m_fil_FillAmended); filSub.FillBookDownload += new EventHandler <FillBookDownloadEventArgs>(m_fil_FillBookDownload); filSub.FillDeleted += new EventHandler <FillDeletedEventArgs>(m_fil_FillDeleted); filSub.FillListEnd += new EventHandler <FillListEventArgs>(m_fil_FillListEnd); filSub.FillListStart += new EventHandler <FillListEventArgs>(m_fil_FillListStart); m_lfil.Add(filSub); filSub.Start(); // Trade Subscription (to listen for order / fill events only for orders submitted through it) var trdSub = new InstrumentTradeSubscription(m_TTAPI.Session, Dispatcher.Current, e.Instrument, true, true, false, false); trdSub.OrderUpdated += new EventHandler <OrderUpdatedEventArgs>(m_trd_OrderUpdated); trdSub.OrderAdded += new EventHandler <OrderAddedEventArgs>(m_trd_OrderAdded); trdSub.OrderDeleted += new EventHandler <OrderDeletedEventArgs>(m_trd_OrderDeleted); trdSub.OrderFilled += new EventHandler <OrderFilledEventArgs>(m_trd_OrderFilled); trdSub.OrderRejected += new EventHandler <OrderRejectedEventArgs>(m_trd_OrderRejected); m_dtrd[e.Instrument.Key] = trdSub; trdSub.Start(); } else if (e.IsFinal) { // Instrument was not found and TT API has given up looking for it cout("Cannot find instrument, and giving up: {0}", e.Error.Message); Dispose(); } else { cout("Cannot find instrument: {0}", e.Error.Message); } }
/// <summary> /// Event notification for instrument lookup /// </summary> public void req_Update(object sender, InstrumentLookupSubscriptionEventArgs e) { if (e.Instrument != null && e.Error == null) { // Start a Time & Sales subscription TimeAndSalesSubscription tsSub = new TimeAndSalesSubscription(e.Instrument, Dispatcher.Current); tsSub.Update += new EventHandler <TimeAndSalesEventArgs>(tsSub_Update); m_ltsSub.Add(tsSub); tsSub.Start(); } else if (e.IsFinal) { // Instrument was not found and TT API has given up looking for it Console.WriteLine("Cannot find instrument: " + e.Error.Message); Dispose(); } }
/// <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); // Subscribe for Time & Sales Data m_ts = new TimeAndSalesSubscription(e.Instrument, Dispatcher.Current); m_ts.Update += new EventHandler <TimeAndSalesEventArgs>(m_ts_Update); m_ts.Start(); } 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(); } }
TTInstrument processInstrumentFound(Instrument instrument) { Dispatcher dispatcher = Dispatcher.Current; //Dispatcher dispatcher = _dispatcher; PriceSubscription priceSub = new PriceSubscription(instrument, dispatcher); if (SubscribeMarketDepth == true) { priceSub.Settings = new PriceSubscriptionSettings(PriceSubscriptionType.MarketDepth); } else { priceSub.Settings = new PriceSubscriptionSettings(PriceSubscriptionType.InsideMarket); } priceSub.FieldsUpdated += new FieldsUpdatedEventHandler(priceSub_FieldsUpdated); priceSub.Start(); InstrumentTradeSubscription its = new InstrumentTradeSubscription(_apiSession, dispatcher, instrument); its.EnablePNL = true; its.ProfitLossChanged += new EventHandler <ProfitLossChangedEventArgs>(its_ProfitLossChanged); its.Start(); if (SubscribeTimeAndSales == true) { TimeAndSalesSubscription tsSub = new TimeAndSalesSubscription(instrument, dispatcher); tsSub.Update += new EventHandler <TimeAndSalesEventArgs>(tsSub_Update); tsSub.Start(); } TTInstrument tti = NewTTInstrument(instrument); tti.TradeSubscription = its; its.Tag = tti; tti.OrderRoute = OrderRoute.GetOrderRoute(tti, instrument.Product.Market.Name); return(tti); }
/// <summary> /// Instrument request completed event. /// </summary> void instrRequest_Completed(object sender, InstrumentLookupSubscriptionEventArgs e) { if (e.IsFinal && e.Instrument != null) { try { UpdateStatusBar("Instrument Found."); Console.WriteLine(String.Format("TT API FindInstrument {0}", e.Instrument.Name)); // Grab the contract specifications and output to the user this.txtExchange.Text = e.Instrument.Product.Market.Name; this.txtProduct.Text = e.Instrument.Product.Name; this.txtProductType.Text = e.Instrument.Product.Type.ToString(); this.txtContract.Text = e.Instrument.GetFormattedName(InstrumentNameFormat.User); if (m_timeAndSalesSubscription != null) { m_timeAndSalesSubscription.Dispose(); m_timeAndSalesSubscription = null; } // subscribe for time and sales updates m_timeAndSalesSubscription = new TimeAndSalesSubscription(e.Instrument, Dispatcher.Current); m_timeAndSalesSubscription.Update += new EventHandler <TimeAndSalesEventArgs>(timeAndSalesSubscription_Update); m_timeAndSalesSubscription.Start(); } catch (Exception err) { Console.WriteLine(String.Format("TT API FindInstrument Exception: {0}", err.Message)); } } else if (e.IsFinal) { Console.WriteLine(String.Format("TT API FindInstrument Instrument Not Found: {0}", e.Error)); } else { Console.WriteLine(String.Format("TT API FindInstrument Instrument Not Found: (Still Searching) {0}", e.Error)); } }
//////////////////////////////////////////////////////////////////////////////////////////////////// /// <summary> Event notification for instrument lookup. </summary> /// <param name="sender"> Source of the event. </param> /// <param name="e"> Instrument lookup subscription event information. </param> //////////////////////////////////////////////////////////////////////////////////////////////////// void m_instrLookupRequest_OnData(object sender, InstrumentLookupEventArgs e) { if (e.Event == ProductDataEvent.Found) { // Instrument was found Instrument instrument = e.InstrumentLookup.Instrument; Console.WriteLine("Found: {0}", instrument); // Subscribe for Time & Sales Data m_tsSubscription = new TimeAndSalesSubscription(instrument, tt_net_sdk.Dispatcher.Current); m_tsSubscription.Update += m_tsSubscription_Update; m_tsSubscription.Start(); } else if (e.Event == ProductDataEvent.NotAllowed) { Console.WriteLine("Not Allowed : Please check your Token access"); } else { // Instrument was not found and TT API has given up looking for it Console.WriteLine("Cannot find instrument: {0}", e.Message); } }
/// <summary> /// Event notification for instrument lookup /// </summary> public void req_Update(object sender, InstrumentLookupSubscriptionEventArgs e) { if (e.Instrument != null && e.Error == null) { // Start a Time & Sales subscription TimeAndSalesSubscription tsSub = new TimeAndSalesSubscription(e.Instrument, Dispatcher.Current); tsSub.Update += new EventHandler<TimeAndSalesEventArgs>(tsSub_Update); m_ltsSub.Add(tsSub); tsSub.Start(); } else if (e.IsFinal) { // Instrument was not found and TT API has given up looking for it Console.WriteLine("Cannot find instrument: " + e.Error.Message); Dispose(); } }
/// <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); // Subscribe for Time & Sales Data m_ts = new TimeAndSalesSubscription(e.Instrument, Dispatcher.Current); m_ts.Update += new EventHandler<TimeAndSalesEventArgs>(m_ts_Update); m_ts.Start(); } 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(); } }
/// <summary> /// Instrument request completed event. /// </summary> void instrRequest_Completed(object sender, InstrumentLookupSubscriptionEventArgs e) { if (e.IsFinal && e.Instrument != null) { try { UpdateStatusBar("Instrument Found."); Console.WriteLine(String.Format("TT API FindInstrument {0}", e.Instrument.Name)); // Grab the contract specifications and output to the user this.txtExchange.Text = e.Instrument.Product.Market.Name; this.txtProduct.Text = e.Instrument.Product.Name; this.txtProductType.Text = e.Instrument.Product.Type.ToString(); this.txtContract.Text = e.Instrument.GetFormattedName(InstrumentNameFormat.User); if (m_TimeAndSalesSubscription != null) { m_TimeAndSalesSubscription.Dispose(); m_TimeAndSalesSubscription = null; } // subscribe for time and sales updates m_TimeAndSalesSubscription = new TimeAndSalesSubscription(e.Instrument, Dispatcher.Current); m_TimeAndSalesSubscription.Update += new EventHandler<TimeAndSalesEventArgs>(timeAndSalesSubscription_Update); m_TimeAndSalesSubscription.Start(); } catch (Exception err) { Console.WriteLine(String.Format("TT API FindInstrument Exception: {0}", err.Message)); } } else if (e.IsFinal) { Console.WriteLine(String.Format("TT API FindInstrument Instrument Not Found: {0}", e.Error)); } else { Console.WriteLine(String.Format("TT API FindInstrument Instrument Not Found: (Still Searching) {0}", e.Error)); } }
}//Job // ***************************************************************** // **** Job Processing Methods **** // ***************************************************************** /// <summary> /// Called by the thread's dispatcher after an outside thread has pushed a new Job. /// </summary> private void ProcessAJob() { if (m_isDisposing) { return; } Job aJob; while (m_InQueue.TryDequeue(out aJob)) // NET 4.5 concurrent queue. No locking needed. { m_WorkQueue.Enqueue(aJob); // push onto my private queue. } // // Process the jobs now. // while (m_WorkQueue.Count > 0) { Job job = m_WorkQueue.Dequeue(); if (job.Product != null) { // if (string.IsNullOrEmpty(job.SeriesName)) { // User wants all instruments assoc with this product. // // Process Instrument Catalog requests // InstrumentCatalogSubscription instrumentSub = null; if (!m_InstrumentCatalogs.TryGetValue(job.Product.Key, out instrumentSub)) { // Failed to find a subscription. Create a new one! instrumentSub = new InstrumentCatalogSubscription(job.Product, m_Dispatcher); instrumentSub.InstrumentsUpdated += InstrumentCatalog_InstrumentsUpdated; instrumentSub.Start(); // submit the request. m_InstrumentCatalogs.Add(job.Product.Key, instrumentSub); // store the catalog object Log.NewEntry(LogLevel.Minor, "{0}: Subscribing to instr catalog for {1}.", this.Name, job.Product.Name); } } else { // User requested Instrument info using the ProductKey and a series Name only. (Not instr Key). //InstrumentLookupSubscription lookup = null; Log.NewEntry(LogLevel.Major, "{0}: InstrumentLookup {1} {2}.", this.Name, job.Product, job.SeriesName); InstrumentLookupSubscription subscriber = new InstrumentLookupSubscription(m_TTServices.session, m_Dispatcher, job.Product.Key, job.SeriesName); subscriber.Update += new EventHandler <InstrumentLookupSubscriptionEventArgs>(InstrumentLookup_InstrumentUpdated); //m_InstrumentLookupsUnknown.Add(job.InstrumentKey, subscriber); subscriber.Start(); } } else if (job.InstrumentKey != null && job.Settings == null && !job.IsTimeAndSales) { // // Process an Instrument information request // InstrumentLookupSubscription lookup = null; if (!m_InstrumentLookups.TryGetValue(job.InstrumentKey, out lookup)) { Log.NewEntry(LogLevel.Major, "{0}: InstrumentLookup {1}.", this.Name, job.InstrumentKey); InstrumentLookupSubscription subscriber = new InstrumentLookupSubscription(m_TTServices.session, m_Dispatcher, job.InstrumentKey); subscriber.Update += new EventHandler <InstrumentLookupSubscriptionEventArgs>(InstrumentLookup_InstrumentUpdated); m_InstrumentLookups.Add(job.InstrumentKey, subscriber); subscriber.Start(); } else { Log.NewEntry(LogLevel.Major, "{0}: InstrumentLookup {1} already submitted.", this.Name, job.InstrumentKey); } } else if (job.InstrumentKey != null) { // // Subscribe to an instrument price // Instrument instrument = null; InstrumentCatalogSubscription catalog = null; // First, find instrument catalog for this instr. InstrumentLookupSubscription instrumentSub = null; // or find a specific instrument subscription. //InstrumentDetails instrumentDetails = null; //UVProd.InstrumentName instrumentName ; if (m_InstrumentLookups.TryGetValue(job.InstrumentKey, out instrumentSub)) { instrument = instrumentSub.Instrument; } else if (m_InstrumentCatalogs.TryGetValue(job.InstrumentKey.ProductKey, out catalog)) { catalog.Instruments.TryGetValue(job.InstrumentKey, out instrument); } //else if (m_KeyToInstruments.TryGetValue(job.InstrumentKey, out instrumentName) && m_InstrumentDetails.TryGetValue(instrumentName, out instrumentDetails)) //{ // m_InstrumentLookups.TryGetValue(job.InstrumentKey, out instrumentSub) //} else { Log.NewEntry(LogLevel.Minor, "{0}: I failed to find instrument key {1}.", this.Name, job.InstrumentKey.ToString()); return; } if (instrument != null) { if (!job.IsTimeAndSales) { // this is a market data subscription request - Subscribe or update pre-existing subscription. PriceSubscription priceSub = null; if (!m_PriceSubscriptions.TryGetValue(instrument.Key, out priceSub)) { // Can't find a subscription, so create one. Log.NewEntry(LogLevel.Major, "{0}: Creating new subscription for {1} with settings {2}.", this.Name, instrument.Name, job.Settings.PriceData); priceSub = new PriceSubscription(instrument, Dispatcher.Current); m_PriceSubscriptions.Add(instrument.Key, priceSub); // add to our list of subscription objects. if (!m_InstrKeyToVolume.ContainsKey(instrument.Key)) { m_InstrKeyToVolume.Add(instrument.Key, new int[4]); // create a new array for volume aggregations } priceSub.FieldsUpdated += new FieldsUpdatedEventHandler(PriceSubscription_Updated); // attach my handler to it. priceSub.Settings = job.Settings; priceSub.Start(); } else { Log.NewEntry(LogLevel.Major, "{0}: Found old subscription for {1}. Overwriting settings {2}.", this.Name, instrument.Name, job.Settings.ToString()); priceSub.Settings = job.Settings; priceSub.Start(); } } else { // this is a time and sales data request TimeAndSalesSubscription timeAndSalesSub = null; if (!m_TimeAndSalesSubscriptions.TryGetValue(instrument.Key, out timeAndSalesSub)) { // Can't find a subscription, so create one. Log.NewEntry(LogLevel.Major, "{0}: Creating new time and sales subscription for {1}", this.Name, instrument.Name); timeAndSalesSub = new TimeAndSalesSubscription(instrument, Dispatcher.Current); m_TimeAndSalesSubscriptions.Add(instrument.Key, timeAndSalesSub); // add to our list of subscription objects. if (!m_InstrKeyToVolume.ContainsKey(instrument.Key)) { m_InstrKeyToVolume.Add(instrument.Key, new int[4]); // create a new array for volume aggregations } timeAndSalesSub.Update += new EventHandler <TimeAndSalesEventArgs>(TimeAndSalesSubscription_Updated); // attach my handler to it. timeAndSalesSub.Start(); } else { Log.NewEntry(LogLevel.Major, "{0}: Found existing time and sales subscription for {1}.", this.Name, instrument.Name, job.Settings.ToString()); } } } } } //wend Job in WorkQueue. } //ProcessAJob()
public void req_Update(object sender, InstrumentLookupSubscriptionEventArgs e) { if (e.Instrument != null && e.Error == null) { ps = new PriceSubscription(e.Instrument, Dispatcher.Current) { Settings = new PriceSubscriptionSettings(PriceSubscriptionType.InsideMarket) }; ps.FieldsUpdated += new FieldsUpdatedEventHandler(ps_FieldsUpdated); ps.Start(); tsSub = new TimeAndSalesSubscription(e.Instrument, Dispatcher.Current); tsSub.Update += new EventHandler <TimeAndSalesEventArgs>(tsSub_Update); tsSub.Start(); Instrument = e.Instrument; SetUp(); } }