protected override void onRealtimeBar(int reqId, DateTime exchangeTime, double open, double high, double low, double close, long volume, double wap, int count)
{
if (!_initialized)
{
return;
}
lock (_lock)
{
if (_filledQty != 0)
{
if (_expireOrd == null && (exchangeTime >= _exitEndTime || exchangeTime >= _expireTime))
{
double qty = _remainingFilledQty;
if (_remainingProfitQty > 0)
{
_socket.cancelOrder(_filledQty > 0 ? _profitLongOrd.OrderId : _profitShortOrd.OrderId);
}
else if (_remainingStopQty > 0)
{
_socket.cancelOrder(_filledQty > 0 ? _stopLongOrd.OrderId : _stopShortOrd.OrderId);
}
Order ord = new Order();
ord.Action = _filledQty > 0 ? "SELL" : "BUY";
ord.TotalQuantity = qty;
ord.OrderType = "MKT";
_expireOrd = ord;
_om.placeOrder(id, getContractDetails(_con_id).Summary, _expireOrd, _con_id);
}
}
else
{
if (exchangeTime > _entryEndTime)
{
if (_entryLongOrd != null)
{
_socket.cancelOrder(_entryLongOrd.OrderId);
}
if (_entryShortOrd != null)
{
_socket.cancelOrder(_entryShortOrd.OrderId);
}
}
if (_entryLongOrd == null && _entryShortOrd == null && exchangeTime >= _entryStartTime && exchangeTime <= _entryEndTime)
{
string ocaId = id.ToString() + "_E_" + exchangeTime.ToString("yyyyMMdd_hhmmss");
if (_side >= 0 && _entryLongOrd == null && ((_trendOrReversion && _longLevel > high) || (!_trendOrReversion && _longLevel < low))) //long side
{
Order ord = new Order();
ord.Action = "BUY";
ord.TotalQuantity = _qty;
if (_trendOrReversion)
{
ord.OrderType = "STP";
ord.AuxPrice = _longLevel;
}
else
{
ord.OrderType = "LMT";
ord.LmtPrice = _longLevel;
}
ord.OcaType = 1; //reduce others qty with filled qty, overfill protection
ord.OcaGroup = ocaId;
ord.Transmit = true;
//_entryLongOrd = new BlockOrder(_socket, _zone, _con, ord, _entryEndTime, _unitSize, _maxBlockSize);
_entryLongOrd = ord;
List <Order> ordSet = OrderFactory.createBracketOrder(_entryLongOrd, _longLevel + _profitTarget, _longLevel - _stopTarget, DateTime.MinValue, null, _stopTemplate, null);
_profitLongOrd = ordSet[1];
_stopLongOrd = ordSet[2];
_om.placeBracketOrders(id, getContractDetails(_con_id).Summary, ordSet, _con_id);
}
if (_side <= 0 && _entryShortOrd == null && ((_trendOrReversion && _shortLevel < low) || (!_trendOrReversion && _shortLevel > high))) //short side
{
Order ord = new Order();
ord.Action = "SELL";
ord.TotalQuantity = _qty;
if (_trendOrReversion)
{
ord.OrderType = "STP";
ord.AuxPrice = _shortLevel;
}
else
{
ord.OrderType = "LMT";
ord.LmtPrice = _shortLevel;
}
ord.OcaType = 1; //reduce others qty with filled qty, overfill protection
ord.OcaGroup = ocaId;
ord.Transmit = true;
//_entryShortOrd = new BlockOrder(_socket, _zone, _con, ord, _entryEndTime, _unitSize, _maxBlockSize);
_entryShortOrd = ord;
List <Order> ordSet = OrderFactory.createBracketOrder(_entryShortOrd, _shortLevel - _profitTarget, _shortLevel + _stopTarget, DateTime.MinValue, null, _stopTemplate, null);
_profitShortOrd = ordSet[1];
_stopShortOrd = ordSet[2];
_om.placeBracketOrders(id, getContractDetails(_con_id).Summary, ordSet, _con_id);
}
}
}
}
}
private void placeOrders(object dummy)
{
Thread.CurrentThread.CurrentCulture = CultureInfo.InvariantCulture;
Thread.CurrentThread.CurrentUICulture = CultureInfo.InvariantCulture;
int iorder = 0;
Random r = new Random();
long nticks = _expiryStartTime != null && _expiryEndTime != null ? ((DateTime)(_expiryEndTime) - (DateTime)(_expiryStartTime)).Ticks : 0;
while (iorder < Count())
{
DateTime t = Strategy.getLocalTime(_orderSchedule[iorder].Item2, _zone);
_socket.sleepUntil(t, _placeOrderEvent);
Order ord = _orderSchedule[iorder].Item1;
double price = 0;
if (_profitTarget != 0 || _stopTarget != 0)
{
bool success = false;
while (!success)
{
int reqId = _tg.get();
lock (_lock)
{
_quotes[1] = 0;
_quotes[2] = 0;
_quotes[4] = 0;
_quotes[6] = 0;
_quotes[7] = 0;
_quotes[9] = 0;
_tickers.Add(reqId);
}
_socket.reqMktData(reqId, _con, "", true, null);
_mktDataEvents[1].WaitOne();
_mktDataEvents[2].WaitOne();
if (Math.Abs(_quotes[2] - _quotes[1]) <= _minTick * _maxBidAskUnit)
{
if (_quotes[1] == 0 || _quotes[2] == 0)
{
_mktDataEvents[4].WaitOne();
if (_quotes[4] != 0)
{
price = _quotes[4];
success = true;
}
else
{
string m = "Quote Discrepancy. Bid=" + _quotes[1].ToString() + "/Ask=" + _quotes[2].ToString() + "/Last=" + _quotes[4].ToString();
_msg.logError(_socket.getCurrentLocalTime(), -3, "User", _con.ConId, _stg_id, m, "");
Thread.Sleep(100);
}
}
else
{
price = (_quotes[1] + _quotes[2]) / 2.0;
price = Math.Round((price / _minTick), 0) * _minTick;
success = true;
}
}
else
{
string m = "Quote Discrepancy. Bid=" + _quotes[1].ToString() + "/Ask=" + _quotes[2].ToString();
_msg.logError(_socket.getCurrentLocalTime(), -3, "User", _con.ConId, _stg_id, m, "");
Thread.Sleep(100);
}
}
}
double profit = _profitTarget == 0 ? 0 : price + (ord.Action == "BUY" ? _profitTarget : -_profitTarget);
double stop = _stopTarget == 0 ? 0 : price + (ord.Action == "BUY" ? -_stopTarget : _stopTarget);
DateTime expiry = nticks == 0 ? DateTime.MinValue : (Strategy.getLocalTime((DateTime)(_expiryStartTime), _zone)).AddTicks((long)(r.NextDouble() * nticks));
List <Order> ordSet = OrderFactory.createBracketOrder(ord, profit, stop, expiry, _profitTemplate, _stopTemplate, _expiryTemplate);
_om.placeBracketOrders(_stg_id, _con, ordSet, _ref_con_id);
_msg.logMessage(_socket.getCurrentLocalTime(), 1, "Information", "BlockOrder", _con.ConId, _stg_id, "Executed " + iorder.ToString() + ": " + ord.OrderId.ToString() + " " + ord.OrderType + " " + ord.Action + " " + ord.TotalQuantity.ToString());
foreach (Order order in ordSet)
{
lock (_lock)
{
_openOrders.Add(order.OrderId, order);
_filledQtys.Add(order.OrderId, 0);
}
assignOrderID(order.OrderId);
}
iorder++;
}
_placeOrderEvent.Set();
if (_cancelAfter != null)
{
_socket.sleepUntil(Strategy.getLocalTime((DateTime)_cancelAfter, _zone), null);
cancelUnfilledEntryOrders();
}
}