public CancelOrderCommand(Order mask)
{
if (mask == null)
throw new ArgumentNullException("mask");
Mask = mask;
}
public void Remove(Order order)
{
if (order == null)
throw new ArgumentNullException(nameof(order));
_orders.Remove(order);
}
public RegisterOrderCommand(Order order)
{
if (order == null)
throw new ArgumentNullException(nameof(order));
Order = order;
}
public void Add(Order order)
{
if (order == null)
throw new ArgumentNullException(nameof(order));
_orders.Add(order);
}
/// <summary>
/// Перерегистрировать заявку на бирже.
/// </summary>
/// <param name="oldOrder">Заявка, которую нужно снять.</param><param name="newOrder">Новая заявка, которую нужно зарегистрировать.</param>
protected override void OnReRegisterOrder(Order oldOrder, Order newOrder)
{
if (oldOrder.Security.Board.IsSupportAtomicReRegister)
{
var newOrderId1 = oldOrder.Id;
var newOrderId2 = 0L;
string res;
var resCode = _slot.MoveOrders(1, ref newOrderId1, (double)newOrder.Price, (int)newOrder.Volume,
newOrder.TransactionId.To<string>(), ref newOrderId2, 0, 0, "", out res);
var exception = AlorExceptionHelper.GetException(resCode, res);
if (exception != null)
{
RaiseOrderFailed(newOrder, exception);
RaiseOrderFailed(oldOrder, exception);
}
newOrder.Messages.Add(res);
}
else
{
base.OnReRegisterOrder(oldOrder, newOrder);
}
}
public OrderCommand(Order order, OrderActions action)
{
if (order == null)
throw new ArgumentNullException(nameof(order));
Order = order;
Action = action;
}
public void ProcessChangedOrder(Order order)
{
var container = GetContainer(order);
if (order.State == OrderStates.Done)
container.Remove(order);
container.RefreshTotals();
}
public void ProcessNewOrder(Order order)
{
var container = GetContainer(order);
if (order.State == OrderStates.Active)
{
container.Add(order);
container.RefreshTotals();
}
}
public ReRegisterOrderCommand(Order oldOrder, Order newOrder)
{
if (oldOrder == null)
throw new ArgumentNullException(nameof(oldOrder));
if (newOrder == null)
throw new ArgumentNullException(nameof(newOrder));
OldOrder = oldOrder;
NewOrder = newOrder;
}
/// <summary>
/// Зарегистрировать заявку на бирже.
/// </summary>
/// <param name="order">Заявка, содержащая информацию для регистрации.</param>
protected override void OnRegisterOrder(Order order)
{
string exexCondition;
switch (order.TimeInForce)
{
case TimeInForce.PutInQueue:
exexCondition = " ";
break;
case TimeInForce.MatchOrCancel:
exexCondition = "N";
break;
case TimeInForce.CancelBalance:
exexCondition = "W";
break;
default:
throw new ArgumentOutOfRangeException();
}
const string enterType = "P";
const string splitFlag = "S";
const string issueCode = "";
var direction = order.Direction == OrderDirections.Buy ? "B" : "S";
var extRef = order.TransactionId.To<String>();
int resCode;
string res;
if (order.Type == OrderTypes.Conditional)
{
var condition = (AlorOrderCondition)order.Condition;
resCode = _slot.AddStopOrder(order.Portfolio.Name, direction, order.Price == 0 ? "M" : "L", splitFlag,
exexCondition, enterType, order.Security.Board.Code, order.Security.Code, issueCode,
condition.Type.ToAlorConditionType(), order.ExpiryDate,
(double)condition.StopPrice, (double)order.Price, (int)order.Volume, _slot.BrokerRef, extRef, out res);
}
else
{
resCode = _slot.AddOrder(order.Portfolio.Name, direction,
order.Type == OrderTypes.Market ? "M" : "L", splitFlag, exexCondition, enterType, order.Security.Board.Code,
order.Security.Code, issueCode, (double)order.Price, (int)order.Volume, _slot.BrokerRef, extRef, out res);
}
var exception = AlorExceptionHelper.GetException(resCode, res);
if (exception != null)
RaiseOrderFailed(order, exception);
order.Messages.Add(res);
}
private void OrderGrid_OnOrderReRegistering(Order order)
{
var window = new OrderWindow
{
Title = LocalizedStrings.Str2976Params.Put(order.TransactionId),
Connector = MainWindow.Instance.Trader,
Order = order.ReRegisterClone(newVolume: order.Balance),
};
if (window.ShowModal(this))
{
MainWindow.Instance.Trader.ReRegisterOrder(order, window.Order);
}
}
private void DeleteOrder(Order order)
{
if (order != null)
{
try
{
Connector.CancelOrder(order);
}
catch (Exception g)
{
Debug.Print("{0}", g);
}
}
}
private void OrderGrid_OnOrderReRegistering(Order order)
{
var window = new OrderWindow
{
Title = LocalizedStrings.Str2976Params.Put(order.TransactionId),
SecurityProvider = MainWindow.Instance.Trader,
MarketDataProvider = MainWindow.Instance.Trader,
Portfolios = new PortfolioDataSource(MainWindow.Instance.Trader),
Order = order.ReRegisterClone(newVolume: order.Balance),
};
if (window.ShowModal(this))
{
MainWindow.Instance.Trader.ReRegisterOrder(order, window.Order);
}
}
protected override void OnStarted()
{
var order = new Order
{
Type = OrderTypes.Limit,
Portfolio = Portfolio,
Volume = 100,
Price = price,
Security = Security,
Direction = sides
};
Connector.RegisterOrder(order);
base.OnStarted();
}
private void SpeedTestStrategyOrderRegistered(Order order)
{
lock (_locker)
{
if (order.LatencyRegistration != null)
_holeTime += order.LatencyRegistration.Value;
NumberOfOrders++;
if (OrderTimeChanged != null)
OrderTimeChanged();
DeleteOrder(order);
if (NumberOfOrders < _nummberofTests)
{
RegisterOrder(SendNewOrder());
}
else
{
Stop();
}
}
}
/// <summary>
/// The method is called when a new order added.
/// </summary>
/// <param name="order">Order.</param>
protected override void OnOrderAdded(Order order)
{
if (order.Type != OrderTypes.Conditional)
return;
Type conditionType;
lock (_conditionTypes.SyncRoot)
{
var condition = order.Condition;
if (condition == null)
return;
conditionType = condition.GetType();
if (_conditionTypes.Contains(conditionType))
return;
_conditionTypes.Add(conditionType);
}
GuiDispatcher.GlobalDispatcher.AddAction(() => AddColumns(conditionType));
}
protected override void AssignOrderStrategyId(Order order)
{
order.UserOrderId = this.GetStrategyId().To<string>();
}
/// <summary>
/// Отменить заявку на бирже.
/// </summary>
/// <param name="order">Заявка, которую нужно отменять.</param>
protected override void OnCancelOrder(Order order)
{
var id = order.Id;
string res;
var resCode = order.Type == OrderTypes.Conditional
? _slot.DeleteStopOrder(id, out res)
: _slot.DeleteOrder(id, out res);
var exception = AlorExceptionHelper.GetException(resCode, res);
if (exception != null)
RaiseOrderFailed(order, exception);
order.Messages.Add(res);
}
/// <summary>
/// Отменить заявку на бирже.
/// </summary>
/// <param name="order">Заявка, которую нужно отменять.</param>
/// <param name="transactionId">Идентификатор транзакции отмены.</param>
protected override void OnCancelOrder(Order order, long transactionId)
{
_realConnector.SendInMessage(order.CreateCancelMessage(_realConnector.GetSecurityId(order.Security), transactionId));
}
/// <summary>
/// Перерегистрировать пару заявок на бирже.
/// </summary>
/// <param name="oldOrder1">Первая заявка, которую нужно снять.</param>
/// <param name="newOrder1">Первая новая заявка, которую нужно зарегистрировать.</param>
/// <param name="oldOrder2">Вторая заявка, которую нужно снять.</param>
/// <param name="newOrder2">Вторая новая заявка, которую нужно зарегистрировать.</param>
protected override void OnReRegisterOrderPair(Order oldOrder1, Order newOrder1, Order oldOrder2, Order newOrder2)
{
if (IsSupportAtomicReRegister && oldOrder1.Security.Board.IsSupportAtomicReRegister)
_realConnector.SendInMessage(oldOrder1.CreateReplaceMessage(newOrder1, _realConnector.GetSecurityId(newOrder1.Security), oldOrder2, newOrder2, _realConnector.GetSecurityId(newOrder2.Security)));
else
base.OnReRegisterOrderPair(oldOrder1, newOrder1, oldOrder2, newOrder2);
}
/// <summary>
/// Зарегистрировать заявку на бирже.
/// </summary>
/// <param name="order">Заявка, содержащая информацию для регистрации.</param>
protected override void OnRegisterOrder(Order order)
{
var regMsg = order.CreateRegisterMessage(_realConnector.GetSecurityId(order.Security));
var depoName = order.Portfolio.GetValue<string>(PositionChangeTypes.DepoName);
if (depoName != null)
regMsg.AddValue(PositionChangeTypes.DepoName, depoName);
_realConnector.SendInMessage(regMsg);
}
private void ClosePosition(Position position, decimal volume)
{
var side = position.CurrentValue > 0 ? Sides.Sell : Sides.Buy;
var security = position.Security;
var order = new Order
{
Security = security,
Portfolio = position.Portfolio,
Direction = side,
Volume = volume,
Type = position.Portfolio.Board.IsSupportMarketOrders ? OrderTypes.Market : OrderTypes.Limit,
};
if (order.Type == OrderTypes.Limit)
order.Price = security.GetMarketPrice(SafeGetConnector(), side) ?? 0;
RegisterOrder(order);
}
private void AddOrder(Order order)
{
if (OrdersKeepCount == 0)
return;
_orders.Add(order);
RecycleOrders();
}
public override void AttachOrder(Order order, IEnumerable<MyTrade> myTrades)
{
Strategy.AttachOrder(order, myTrades);
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderWindow"/>.
/// </summary>
public OrderWindow()
{
InitializeComponent();
TimeInForceCtrl.SetDataSource<OrderWindowTif>();
Order = new Order { Type = OrderTypes.Limit };
DataContext = Data = new SecurityData();
}
//------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
private void butStartStrategy_Click(object sender, RoutedEventArgs e)
//------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
{
if (threadStrategy == null)
//------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
{ //if (threadStrategy == null)
threadStrategy = new Thread
(
new ThreadStart
(() =>
{
try
{
while (true)
//------------------------------------------------------------------------------------------------------------------------------------------------------------------------
{ //бесконечный цикл обработки стратегии
if (analizationPool.Count != 0)
{
ProcessStrategy();
}
Thread.Sleep(processStrategyRate);
} //бесконечный цикл обработки стратегии
//------------------------------------------------------------------------------------------------------------------------------------------------------------------------
}
catch (Exception ex)
{
//SendMessage("ERROR", "Error on Thread startegy:>>" + ex.ToString());
}
finally
{
//status = StrategyStatus.Stopped;
}
}
)
);
threadStrategy.Name = "StrategyThread_" + DateTime.Now.Ticks.ToString();
threadStrategy.IsBackground = true;
threadStrategy.Priority = ThreadPriority.Normal;
} //if (threadStrategy == null)
//------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
if (threadTrader == null)
//------------------------------------------------------------------------------------------------------------------------------------------------------------------------
{ //if (threadTrader == null)
threadTrader = new Thread
(
new ThreadStart
(() =>
{
try
{
while (true)
//------------------------------------------------------------------------------------------------------------------------------------------------------------------------
{ //бесконечный цикл обработки стратегии
if (ordersCancel.Count != 0)
//------------------------------------------------------------------------------------------------------------------------------------------------------------------------
{ //отмена ордеров
MyOrder myOrder;
while (ordersCancel.TryDequeue(out myOrder))
{
if (myOrder.ssOrder == null)
{
throw new Exception("Unexpected state of order");
continue;
}
//lock (order)
//{
//if (order.Status == Trade.Order.OrderStatus.Cancelling)
//{
myOrder.Status = MyOrderStatus.SentToCancel;
trader.CancelOrder(myOrder.ssOrder);
//}
//}
//Thread.Sleep(1000);
}
} //отмена ордеров
//------------------------------------------------------------------------------------------------------------------------------------------------------------------------
if (ordersSend.Count != 0)
//------------------------------------------------------------------------------------------------------------------------------------------------------------------------
{ //отправка ордеров
MyOrder myOrder;
while (ordersSend.TryDequeue(out myOrder))
{
//_o.rwLock.EnterWriteLock();
MyOrder _order = myOrder;
StockSharp.BusinessEntities.Order ssOrd = new StockSharp.BusinessEntities.Order()
{
Trader = trader,
Portfolio = portfolio,
Security = security,
Comment = "GISMO",
Direction = StockSharp.BusinessEntities.OrderDirections.Buy, // : StockSharp.BusinessEntities.OrderDirections.Sell,
Price = (decimal)_order.price,
Type = StockSharp.BusinessEntities.OrderTypes.Limit,
Volume = _order.amount
};
_order.ssOrder = ssOrd;
//_order.rulerContainer = StockSharp.Algo.MarketRuleHelper.DefaultRuleContainer;
var ruleRegFail = ssOrd.WhenRegisterFailed();
var ruleReg = ssOrd.WhenRegistered();
//_order.RegisterToken(ruleRegFail.Token);
//_order.RegisterToken(ruleReg.Token);
ruleReg.Do((StockSharp.BusinessEntities.Order _ssOrd) =>
{
try
{
//GISMO.Trade.Order __order = QTrader._orders[_ssOrd.TransactionId];
//__order.rwLock.EnterWriteLock();
_order.Status = MyOrderStatus.AcceptedByServer;
_order.AddStage("WhenRegistered:OrderRegistered");
//__order.rwLock.ExitWriteLock();
_order.OnOrderRegistered();
}
catch (Exception ex)
{
int i = 0;
}
})
.Once()
.Apply(StockSharp.Algo.MarketRuleHelper.DefaultRuleContainer)
.Exclusive(ruleRegFail);
ruleRegFail.Do((StockSharp.BusinessEntities.OrderFail f) =>
{
try
{
//GISMO.Trade.Order __order = QTrader._orders[f.Order.TransactionId];
//__order.rwLock.EnterWriteLock();
_order.Status = MyOrderStatus.Failed;
_order.AddStage("WhenRegisteredFail:OrderRegisteredFail");
//__order.rwLock.ExitWriteLock();
_order.OnOrderRegisterFailed(new OrderFailEventArg()
{
order = _order,
fail = new OrderFail()
{
ssFail = f
}
});
}
catch (Exception ex)
{
int i = 0;
}
})
.Once()
.Apply(StockSharp.Algo.MarketRuleHelper.DefaultRuleContainer)
.Exclusive(ruleReg);
var ruleCancelled = ssOrd.WhenCanceled();
var ruleCancelledFail = ssOrd.WhenCancelFailed();
//_order.RegisterToken(ruleCancelled.Token);
//_order.RegisterToken(ruleCancelledFail.Token);
ruleCancelled.Do((StockSharp.BusinessEntities.Order _ssOrd) =>
{
try
{
//GISMO.Trade.Order __order = QTrader._orders[_ssOrd.TransactionId];
//__order.rwLock.EnterWriteLock();
_order.Status = MyOrderStatus.Cancelled;
//__order.rwLock.ExitWriteLock();
//StockSharp.Algo.MarketRuleHelper.DefaultRuleContainer.Rules.RemoveRulesByToken(ruleCancelled.Token, ruleCancelled);
_order.OnOrderCancelled();
}
catch (Exception ex)
{
int i = 0;
}
})
.Once()
.Apply(StockSharp.Algo.MarketRuleHelper.DefaultRuleContainer)
.Exclusive(ruleCancelledFail);
ruleCancelledFail.Do((StockSharp.BusinessEntities.OrderFail f) =>
{
try
{
//GISMO.Trade.Order __order = QTrader._orders[f.Order.TransactionId];
//__order.rwLock.EnterWriteLock();
_order.Status = MyOrderStatus.Failed;
_order.AddStage("WhenCancelFail:OrderCancelFail");
//__order.rwLock.ExitWriteLock();
_order.OnOrderCancelFailed(new OrderFailEventArg()
{
order = _order,
fail = new OrderFail()
{
ssFail = f
}
});
}
catch (Exception ex)
{
int i = 0;
}
})
.Once()
.Apply(StockSharp.Algo.MarketRuleHelper.DefaultRuleContainer)
.Exclusive(ruleCancelled);
var ruleMatched = _order.ssOrder.WhenMatched();
//_order.RegisterToken(ruleMatched.Token);
ruleMatched.Do(() =>
{
try
{
//_order.rwLock.EnterWriteLock();
_order.Status = MyOrderStatus.Filled;
//_order.rwLock.ExitWriteLock();
StockSharp.Algo.MarketRuleHelper.DefaultRuleContainer.Rules.RemoveRulesByToken(ruleMatched.Token, ruleMatched);
_order.OnOrderMatched();
}
catch (Exception ex)
{
int i = 0;
}
})
.Once()
.Apply();
var rulePartMatched = _order.ssOrder.WhenPartiallyMatched();
//_order.RegisterToken(rulePartMatched.Token);
rulePartMatched.Do(() =>
{
try
{
//_order.rwLock.EnterWriteLock();
_order.Status = MyOrderStatus.PartlyFilled;
//_order.rwLock.ExitWriteLock();
_order.OnOrderPartlyMatched();
}
catch (Exception ex)
{
int i = 0;
}
}).Apply();
var ruleNewTrades = _order.ssOrder.WhenNewTrades();
//_order.RegisterToken(ruleNewTrades.Token);
ruleNewTrades.Do((IEnumerable <MyTrade> trades) =>
{
try
{
//List<OrderExecution> execs = new List<OrderExecution>();
//foreach (MyTrade mt in trades) execs.Add(new OrderExecution() { ssMyTrade = mt });
//_order.OnOrderTrades(new OrderExecutionEventArg()
//{
// order = _order,
// executions = execs
//});
}
catch (Exception ex)
{
int i = 0;
}
})
.Apply();
_order.Status = MyOrderStatus.SentToServer;
trader.RegisterOrder(ssOrd);
//Thread.Sleep(1000);
//QTrader._orders.Add(ssOrd.TransactionId, _order);
//_o.rwLock.ExitWriteLock();
//if (_order.Strategy != null) _order.Strategy.SendMessage("QSEND", "Order price " + _order.price.ToString() + " Sent (TransID = " + ssOrd.TransactionId + ")");
}
} //отправка ордеров
//------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Thread.Sleep(processStrategyRate);
} //бесконечный цикл обработки стратегии
//------------------------------------------------------------------------------------------------------------------------------------------------------------------------
}
catch (Exception ex)
{
//SendMessage("ERROR", "Error on Thread startegy:>>" + ex.ToString());
}
finally
{
//status = StrategyStatus.Stopped;
}
}
)
);
threadTrader.Name = "TraderThread_" + DateTime.Now.Ticks.ToString();
threadTrader.IsBackground = true;
threadTrader.Priority = ThreadPriority.Normal;
} //if (threadTrader == null)
//------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
try
{
//bool tRunning = threadStrategy...ThreadState.HasFlag(ThreadState.Running);
if (!threadStrategy.IsAlive)
{
threadStrategy.Start();
}
if (!threadTrader.IsAlive)
{
threadTrader.Start();
}
}
catch (Exception ex)
{
}
}
public bool TryAddOrder(Order order)
{
if (order == null)
throw new ArgumentNullException(nameof(order));
bool isNew;
GetOrderInfo(GetData(order.Security), order.Type, order.TransactionId, null, null, id => order, out isNew);
return isNew;
}
public void AddOrderByCancelTransaction(long transactionId, Order order)
{
if (order == null)
return;
var key = CreateOrderKey(order.Type, transactionId, true);
GetData(order.Security).Orders.Add(key, new OrderInfo(order, false));
_allOrdersByTransactionId.Add(Tuple.Create(transactionId, true), order);
}
private void ProcessOrder(Order order)
{
Dictionary<IChartElement, object> values;
lock (_syncRoot)
{
var elements = _orderElements.TryGetValue(order.Security);
if (elements == null)
return;
values = elements.ToDictionary(e => e, e => (object)order);
}
if (values.Count > 0)
new ChartDrawCommand(order.Time, values).Process(this);
}
public OrderInfo(Order order, bool raiseNewOrder = true)
{
Order = order;
RaiseNewOrder = raiseNewOrder;
}
protected virtual void OnNewOrderTrades(IEnumerable<MyTrade> trades)
{
foreach (var t in trades)
{
if (t.Order.Type == OrderTypes.Conditional)
{
continue;
}
var stopLossLevel = _strategyConfiguration.StopLossLevel;
var takeProfitLevel = _strategyConfiguration.TakeProfitLevel;
var takeProfitOffset = _strategyConfiguration.TakeProfitOffset;
var direction = (t.Order.Direction == Sides.Buy) ? Sides.Sell : Sides.Buy;
var order = new Order
{
Type = OrderTypes.Conditional,
Volume = t.Order.Volume,
//Price = stopLossLevel,
Direction = direction,
Security = t.Order.Security,
Condition = new QuikOrderCondition
{
Type = QuikOrderConditionTypes.TakeProfitStopLimit,
StopPrice = (direction == Sides.Sell) ? t.Order.Price + takeProfitLevel : t.Order.Price - takeProfitLevel,
StopLimitPrice = (direction == Sides.Sell) ? t.Order.Price - stopLossLevel : t.Order.Price + stopLossLevel,
Offset = takeProfitOffset,
IsMarketStopLimit = true,
IsMarketTakeProfit = true
}
};
RegisterOrder(order);
}
}
