public static List <Order> createBracketOrder(Order parent, double profitTarget, double stopTarget, DateTime expiry, OrderTemplate profitTemplate = null, OrderTemplate stopTemplate = null, OrderTemplate expiryTemplate = null)
{
List <Order> orders = new List <Order>();
parent.Transmit = false;
orders.Add(parent);
if (expiry != DateTime.MinValue)
{
Order expiryOrder;
if (expiryTemplate == null)
{
expiryOrder = new Order();
expiryOrder.OrderType = "MKT";
}
else
{
expiryOrder = expiryTemplate.clone();
if (!expiryTemplate.isSet("OrderType"))
{
expiryOrder.OrderType = "MKT";
}
}
expiryOrder.GoodAfterTime = expiry.ToString("yyyyMMdd HH:mm:ss");
expiryOrder.Action = parent.Action.Equals("BUY") ? "SELL" : "BUY";
expiryOrder.TotalQuantity = parent.TotalQuantity;
//expiryOrder.OrderId = _og.get();
expiryOrder.ParentId = parent.OrderId;
expiryOrder.Transmit = false;
orders.Add(expiryOrder);
}
if (profitTarget != 0)
{
Order profitOrder;
if (profitTemplate == null)
{
profitOrder = new Order();
profitOrder.OrderType = "LMT";
}
else
{
profitOrder = profitTemplate.clone();
if (!profitTemplate.isSet("OrderType"))
{
profitOrder.OrderType = "LMT";
}
}
profitOrder.Action = parent.Action.Equals("BUY") ? "SELL" : "BUY";
profitOrder.TotalQuantity = parent.TotalQuantity;
profitOrder.LmtPrice = profitTarget;
//profitOrder.OrderId = _og.get();
profitOrder.ParentId = parent.OrderId;
profitOrder.Transmit = false;
orders.Add(profitOrder);
}
if (stopTarget != 0)
{
Order stopOrder;
if (stopTemplate == null)
{
stopOrder = new Order();
stopOrder.OrderType = "STP";
}
else
{
stopOrder = stopTemplate.clone();
if (!stopTemplate.isSet("OrderType"))
{
stopOrder.OrderType = "STP";
}
if (stopOrder.OrderType == "STP LMT" && !stopTemplate.isSet("LmtPriceOffset"))
{
stopOrder.LmtPriceOffset = stopTarget * 0.1; // assume offset is 10% of stop price if not set
}
}
stopOrder.Action = parent.Action.Equals("BUY") ? "SELL" : "BUY";
stopOrder.TotalQuantity = parent.TotalQuantity;
stopOrder.AuxPrice = stopTarget;
if (stopOrder.OrderType == "STP LMT")
{
stopOrder.LmtPrice = stopTarget + stopOrder.LmtPriceOffset * (stopOrder.Action.Equals("BUY") ? 1 : -1);
}
//stopOrder.OrderId = _og.get();
stopOrder.ParentId = parent.OrderId;
stopOrder.Transmit = false;
orders.Add(stopOrder);
}
orders[orders.Count() - 1].Transmit = true;
return(orders);
}
public void sendOrder(
Order ord,
DateTime endTime,
//bool mktOrdersOnly
double profitTarget = 0,
double stopTarget = 0,
DateTime?expiryStartTime = null,
DateTime?expiryEndTime = null,
DateTime?cancelAfter = null
)
{
_profitTarget = profitTarget;
_stopTarget = stopTarget;
_expiryStartTime = expiryStartTime;
_expiryEndTime = expiryEndTime;
_cancelAfter = cancelAfter;
//Create order schedules
int qty = (int)(ord.TotalQuantity);
//Test Only
//_unitSize = 2;
//_maxOrderSize = 4;
//_maxNOrders = 12;
//qty = 20;
int maxNOrders = Math.Min(_maxNOrders, (int)((qty - 0.5) / (double)(_unitSize)) + 1);
int minNOrders = (int)((qty - 0.5) / (double)(_maxOrderSize)) + 1;
Random r = new Random();
int nOrders = minNOrders >= maxNOrders ? maxNOrders : r.Next(minNOrders, maxNOrders + 1);
int minUnitSize = Math.Min(_unitSize, qty / nOrders);
int remainQty = qty - minUnitSize * nOrders;
int maxRemainOrderSize = _maxOrderSize - minUnitSize;
List <double> qtySchedule = new List <double>();
if (remainQty == 0)
{
for (int i = 0; i < nOrders; ++i)
{
qtySchedule.Add(0);
}
}
else
{
for (int i = 0; i < nOrders; ++i)
{
qtySchedule.Add(r.NextDouble());
}
double qsum = qtySchedule.Sum();
double qsmall = 0;
double qsmallnew = 0;
for (int i = 0; i < nOrders; ++i)
{
qtySchedule[i] *= remainQty / qsum;
if (qtySchedule[i] > maxRemainOrderSize)
{
qsmallnew += qtySchedule[i] - maxRemainOrderSize;
qtySchedule[i] = maxRemainOrderSize;
}
else
{
qsmall += qtySchedule[i];
qsmallnew += qtySchedule[i];
}
}
if (qsmallnew != qsmall)
{
double qratio = qsmallnew / qsmall;
for (int i = 0; i < nOrders; ++i)
{
if (qtySchedule[i] < maxRemainOrderSize)
{
qtySchedule[i] *= qratio;
}
}
}
for (int i = 1; i < nOrders; ++i)
{
qtySchedule[i] += qtySchedule[i - 1];
}
}
List <double> timeSchedule = new List <double>();
for (int i = 0; i < nOrders; ++i)
{
timeSchedule.Add(r.NextDouble());
}
timeSchedule.Sort();
_orderSchedule = new List <Tuple <Order, DateTime> >();
DateTime tstart = Strategy.getExchangeTime(_socket.getCurrentLocalTime(), _zone);
long remainTicks = (endTime - tstart).Ticks;
int prerq = 0;
for (int i = 0; i < nOrders; ++i)
{
int rq = (int)(Math.Round(qtySchedule[i], 0));
int q = minUnitSize + rq - prerq;
prerq = rq;
long ticks = (long)(timeSchedule[i] * remainTicks);
Order o = _entryTemplate.clone();
o.Action = ord.Action;
o.TotalQuantity = q;
if (!_entryTemplate.isSet("OrderType"))
{
o.OrderType = "MKT";
}
//o.LmtPrice = 0;
o.Transmit = false;
//o.TrailStopPrice = 0;
//o.TrailingPercent = 0;
//o.SmartComboRoutingParams = new List<TagValue>();
//o.SmartComboRoutingParams.Add(new TagValue("NonGuaranteed", "1"));
DateTime t = tstart.AddTicks(ticks);
_orderSchedule.Add(new Tuple <Order, DateTime>(o, t));
_msg.logMessage(t, 1, "Information", "BlockOrder", _con.ConId, _stg_id, "Scheduled " + o.OrderType + " " + o.Action + " " + o.TotalQuantity.ToString());
}
_placeOrderEvent.Reset();
_mktDataEvents[1].Reset();
_mktDataEvents[2].Reset();
_mktDataEvents[4].Reset();
ThreadPool.QueueUserWorkItem(new WaitCallback(placeOrders));
}
