private void ProcessOrderRegister(OrderRegisterMessage regMsg)
{
var reply = _client.MakeOrder(
regMsg.SecurityId.SecurityCode.Replace('/', '_').ToLowerInvariant(),
regMsg.Side.ToBtce(),
regMsg.Price,
regMsg.Volume
);
_orderInfo.Add(reply.Command.OrderId, RefTuple.Create(regMsg.TransactionId, regMsg.Volume));
SendOutMessage(new ExecutionMessage
{
OriginalTransactionId = regMsg.TransactionId,
OrderId = reply.Command.OrderId,
Balance = (decimal)reply.Command.Remains,
OrderState = OrderStates.Active,
ExecutionType = ExecutionTypes.Transaction,
HasOrderInfo = true,
});
ProcessFunds(reply.Command.Funds);
_hasActiveOrders = true;
}
private void ProcessOrderRegisterMessage(OrderRegisterMessage message)
{
var condition = (OandaOrderCondition)message.Condition;
string type;
if (condition == null)
type = message.Price == 0 ? "market" : "limit";
else
type = condition.IsMarket ? _orderImit : "stop";
var response = _restClient.CreateOrder(GetAccountId(message.PortfolioName),
message.SecurityId.ToOanda(), (int)message.Volume, message.Side.To<string>().ToLowerInvariant(),
type,
GetExpiryTime(message),
message.Price,
condition?.LowerBound,
condition?.UpperBound,
condition?.StopLossOffset,
condition?.TakeProfitOffset,
condition?.TrailingStopLossOffset);
var execMsg = new ExecutionMessage
{
OriginalTransactionId = message.TransactionId,
ServerTime = response.Time.FromOanda(),
ExecutionType = ExecutionTypes.Transaction,
PortfolioName = message.PortfolioName,
HasOrderInfo = true,
};
var tradeData = response.TradeOpened;
if (tradeData != null)
{
execMsg.OrderState = OrderStates.Done;
execMsg.OrderId = tradeData.Id;
}
else
{
execMsg.OrderState = OrderStates.Active;
execMsg.OrderId = response.OrderOpened.Id;
}
SendOutMessage(execMsg);
if (tradeData != null)
{
SendOutMessage(new ExecutionMessage
{
OriginalTransactionId = message.TransactionId,
ExecutionType = ExecutionTypes.Transaction,
TradePrice = (decimal)tradeData.Price,
TradeVolume = tradeData.Units,
ServerTime = tradeData.Time.FromOanda(),
TradeId = tradeData.Id,
HasTradeInfo = true,
});
}
}
private void ProcessOrderRegisterMessage(OrderRegisterMessage regMsg)
{
var condition = (SterlingOrderCondition)regMsg.Condition;
var orderType = regMsg.OrderType.Value;
var order = new STIOrder
{
Account = regMsg.PortfolioName,
Quantity = (int)regMsg.Volume,
Display = (int)(regMsg.VisibleVolume ?? regMsg.Volume),
ClOrderID = regMsg.TransactionId.To<string>(),
LmtPrice = (double)regMsg.Price,
Symbol = regMsg.SecurityId.SecurityCode,
Destination = regMsg.SecurityId.BoardCode,
Tif = regMsg.TimeInForce.ToSterlingTif(regMsg.TillDate),
PriceType = orderType.ToSterlingPriceType(condition),
User = regMsg.Comment,
Side = regMsg.Side.ToSterlingSide()
};
if (regMsg.TillDate != null && regMsg.TillDate != DateTimeOffset.MaxValue)
order.EndTime = regMsg.TillDate.Value.ToString("yyyyMMdd");
if (regMsg.Currency != null)
order.Currency = regMsg.Currency.ToString();
if (orderType == OrderTypes.Conditional)
{
order.Discretion = condition.Discretion.ToDouble();
order.ExecInst = condition.ExecutionInstruction.ToSterling();
order.ExecBroker = condition.ExecutionBroker;
order.ExecPriceLmt = condition.ExecutionPriceLimit.ToDouble();
order.PegDiff = condition.PegDiff.ToDouble();
order.TrailAmt = condition.TrailingVolume.ToDouble();
order.TrailInc = condition.TrailingIncrement.ToDouble();
order.StpPrice = condition.StopPrice.ToDouble();
order.MinQuantity = condition.MinVolume.ToInt();
order.AvgPriceLmt = condition.AveragePriceLimit.ToDouble();
order.Duration = condition.Duration ?? 0;
order.LocateBroker = condition.LocateBroker;
order.LocateQty = condition.LocateVolume.ToInt();
order.LocateTime = condition.LocateTime.ToSterling();
order.OpenClose = condition.Options.IsOpen.ToSterling();
order.Maturity = condition.Options.Maturity.ToSterling();
order.PutCall = condition.Options.Type.ToSterling();
order.Underlying = condition.Options.UnderlyingCode;
order.CoverUncover = condition.Options.IsCover.ToSterling();
order.Instrument = condition.Options.UnderlyingType.ToSterling();
order.StrikePrice = condition.Options.StrikePrice.ToDouble();
}
order.SubmitOrder();
}
private void ProcessRegisterMessage(OrderRegisterMessage regMsg)
{
if (regMsg.TimeInForce != TimeInForce.PutInQueue && regMsg.TimeInForce != null)
throw new ArgumentException(LocalizedStrings.Str1867Params.Put(regMsg.TimeInForce));
var condition = (SmartComOrderCondition)regMsg.Condition;
_wrapper.RegisterOrder(
regMsg.PortfolioName, (string)regMsg.SecurityId.Native, regMsg.Side == Sides.Buy ? SmartOrderAction.Buy : SmartOrderAction.Sell,
regMsg.GetSmartOrderType(), regMsg.TillDate == null || regMsg.TillDate == DateTimeOffset.MaxValue ? SmartOrderValidity.Gtc : SmartOrderValidity.Day,
(double)regMsg.Price, (int)regMsg.Volume, condition != null ? (double)(condition.StopPrice ?? 0) : 0, (int)regMsg.TransactionId);
}
private void ProcessOrderRegisterMessage(OrderRegisterMessage message)
{
var transactionId = message.TransactionId.To<string>();
var lmaxSecId = (long)message.SecurityId.Native;
LmaxTimeInForce tif;
switch (message.TimeInForce)
{
case TimeInForce.PutInQueue:
case null:
tif = message.TillDate == null || message.TillDate == DateTimeOffset.MaxValue ? LmaxTimeInForce.GoodTilCancelled : LmaxTimeInForce.GoodForDay;
break;
case TimeInForce.MatchOrCancel:
tif = LmaxTimeInForce.FillOrKill;
break;
case TimeInForce.CancelBalance:
tif = LmaxTimeInForce.ImmediateOrCancel;
break;
default:
throw new ArgumentOutOfRangeException();
}
var volume = message.Volume;
if (message.Side == Sides.Sell)
volume = -volume;
switch (message.OrderType)
{
case OrderTypes.Limit:
_session.PlaceLimitOrder(new LimitOrderSpecification(transactionId, lmaxSecId, message.Price, volume, tif), id => { }, CreateErrorHandler("PlaceLimitOrder"));
break;
case OrderTypes.Market:
_session.PlaceMarketOrder(new MarketOrderSpecification(transactionId, lmaxSecId, volume, tif), id => { }, CreateErrorHandler("PlaceMarketOrder"));
break;
case OrderTypes.Conditional:
var condition = (LmaxOrderCondition)message.Condition;
_session.PlaceStopOrder(new StopOrderSpecification(transactionId, lmaxSecId, message.Price, volume, tif, condition.StopLossOffset, condition.TakeProfitOffset), id => { }, CreateErrorHandler("PlaceStopOrder"));
break;
case OrderTypes.Repo:
case OrderTypes.ExtRepo:
case OrderTypes.Rps:
case OrderTypes.Execute:
case null:
throw new NotSupportedException(LocalizedStrings.Str1849Params.Put(message.OrderType));
default:
throw new ArgumentOutOfRangeException(nameof(message), message.OrderType, LocalizedStrings.Str1600);
}
}
/// <summary>
/// Copy the message into the <paramref name="destination" />.
/// </summary>
/// <param name="destination">The object, to which copied information.</param>
public void CopyTo(OrderRegisterMessage destination)
{
base.CopyTo(destination);
destination.Price = Price;
destination.Volume = Volume;
destination.VisibleVolume = VisibleVolume;
destination.Side = Side;
destination.TillDate = TillDate;
destination.TimeInForce = TimeInForce;
destination.IsMarketMaker = IsMarketMaker;
destination.IsMargin = IsMargin;
destination.Slippage = Slippage;
destination.IsManual = IsManual;
}
/// <summary>
/// Преобразовать <see cref="OrderRegisterMessage"/> в <see cref="ExecutionMessage"/>.
/// </summary>
/// <param name="message"><see cref="OrderRegisterMessage"/></param>
/// <returns><see cref="ExecutionMessage"/></returns>
public static ExecutionMessage ToExecutionMessage(this OrderRegisterMessage message)
{
return(new ExecutionMessage
{
SecurityId = message.SecurityId,
OriginalTransactionId = message.TransactionId,
OrderType = message.OrderType,
Price = message.Price,
Volume = message.Volume,
Balance = message.Volume,
Side = message.Side,
PortfolioName = message.PortfolioName,
ExecutionType = ExecutionTypes.Order,
Condition = message.Condition,
UserOrderId = message.UserOrderId,
});
}
private void ProcessOrderRegister(OrderRegisterMessage regMsg)
{
var order = _httpClient.RegisterOrder(regMsg.Side, regMsg.Price, regMsg.Volume);
_orderInfo.Add(order.Id, RefTuple.Create(regMsg.TransactionId, regMsg.Volume));
_hasActiveOrders = true;
SendOutMessage(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Order,
OrderId = order.Id,
ServerTime = order.Time.ApplyTimeZone(TimeZoneInfo.Utc),
OriginalTransactionId = regMsg.TransactionId,
OrderState = OrderStates.Active,
});
}
/// <summary>
/// Copy the message into the <paramref name="destination" />.
/// </summary>
/// <param name="destination">The object, to which copied information.</param>
public void CopyTo(OrderRegisterMessage destination)
{
base.CopyTo(destination);
destination.Price = Price;
destination.Volume = Volume;
destination.VisibleVolume = VisibleVolume;
destination.Side = Side;
destination.TillDate = TillDate;
destination.TimeInForce = TimeInForce;
destination.IsMarketMaker = IsMarketMaker;
destination.Slippage = Slippage;
destination.IsManual = IsManual;
destination.MinOrderVolume = MinOrderVolume;
destination.PositionEffect = PositionEffect;
destination.PostOnly = PostOnly;
destination.Leverage = Leverage;
}
private void ProcessOrderRegister(OrderRegisterMessage message)
{
var draft = _client.CreateDraft();
draft.Comments = message.Comment;
draft.Account = _client.Accounts[message.PortfolioName];
draft.Contract = _client.Contracts[message.SecurityId.SecurityCode];
draft.Route = _client.Routes[message.SecurityId.BoardCode];
draft.Side = message.Side.ToOec();
draft.Quantity = (int)message.Volume;
draft.ClearExtData();
draft.Price = (double)message.Price;
draft.Price2 = 0;
if (message.OrderType == OrderTypes.Conditional)
{
var cond = (OpenECryOrderCondition)message.Condition;
var stopPrice = (double)(cond.StopPrice ?? 0);
switch (cond.AssetType)
{
case OpenECryOrderCondition.AssetTypeEnum.All:
switch (cond.StopType)
{
case OpenECryStopType.StopLimit:
draft.Type = OrderType.StopLimit;
draft.Price2 = draft.Price;
draft.Price = stopPrice;
break;
case OpenECryStopType.StopMarket:
draft.Type = OrderType.Stop;
draft.Price = stopPrice;
draft.Price2 = 0;
break;
default:
throw new ArgumentException(LocalizedStrings.Str2553Params.Put(cond.StopType));
}
break;
case OpenECryOrderCondition.AssetTypeEnum.Equity:
case OpenECryOrderCondition.AssetTypeEnum.Future:
//if (!draft.Contract.IsEquityAsset && !draft.Contract.IsFuture)
// throw new NotSupportedException(LocalizedStrings.Str2554);
switch (cond.StopType)
{
case OpenECryStopType.TrailingStopLimit:
draft.Type = OrderType.TrailingStopLimit;
draft.Price2 = draft.Price;
draft.Price = stopPrice;
break;
case OpenECryStopType.TrailingStopMarket:
draft.Type = OrderType.TrailingStopLoss;
draft.Price = stopPrice;
draft.Price2 = 0;
break;
default:
throw new ArgumentException(LocalizedStrings.Str2553Params.Put(cond.StopType));
}
if (cond.AssetType == OpenECryOrderCondition.AssetTypeEnum.Equity)
draft.SetEquityTSData((double)(cond.Delta ?? 0), cond.IsPercentDelta ?? false, cond.TriggerType.ToOec());
else
draft.SetTSData((double)(cond.ReferencePrice ?? 0), (double)(cond.Delta ?? 0));
break;
default:
throw new ArgumentException(LocalizedStrings.Str2555Params.Put(cond.AssetType));
}
}
else
{
draft.Type = message.OrderType.ToOec();
}
draft.Flags = OrderFlags.None;
draft.Start = OEC.API.Version.MinimumStart;
draft.End = OEC.API.Version.MaximumEnd;
switch (message.TimeInForce)
{
case null:
case TimeInForce.PutInQueue:
{
draft.Flags = OrderFlags.GTC;
if (message.ExpiryDate != null && message.ExpiryDate.Value.DateTime != DateTime.Today)
draft.End = message.ExpiryDate.Value.UtcDateTime;
break;
}
case TimeInForce.MatchOrCancel:
draft.Flags = OrderFlags.FOK;
break;
case TimeInForce.CancelBalance:
draft.Flags = OrderFlags.IOC;
break;
default:
throw new ArgumentOutOfRangeException();
}
if (message.VisibleVolume != null && message.VisibleVolume < message.Volume)
draft.SetIcebergData((int)message.VisibleVolume.Value);
var invalid = draft.GetInvalidParts();
if (invalid != OrderParts.None)
throw new OpenECryException(LocalizedStrings.Str2556Params.Put(invalid));
var newOrder = _client.SendOrder(draft);
_orderTransactions.Add(newOrder, message.TransactionId);
ProcessOrder(newOrder, message.TransactionId);
}
public static IBSocket SendOrderExpiration(this IBSocket socket, OrderRegisterMessage msg)
{
if (msg == null)
throw new ArgumentNullException("msg");
if (msg.OrderType != OrderTypes.Conditional)
{
switch (msg.TimeInForce)
{
case TimeInForce.PutInQueue:
case null:
{
if (msg.TillDate == null || msg.TillDate == DateTimeOffset.MaxValue)
return socket.Send("GTC");
else if (msg.TillDate.Value.DateTime != DateTime.Today)
return socket.Send("GTD");
else
return socket.Send("DAY");
}
case TimeInForce.MatchOrCancel:
return socket.Send("FOK");
case TimeInForce.CancelBalance:
return socket.Send("IOC");
default:
throw new ArgumentOutOfRangeException();
}
}
else if (msg.OrderType == OrderTypes.Conditional)
{
var ibCon = (IBOrderCondition)msg.Condition;
return socket.Send(ibCon.IsMarketOnOpen ? "OPG" : "DAY");
}
else
throw new ArgumentException(LocalizedStrings.Str2501Params.Put(msg.Type), "msg");
}
public int RegisterOrder(OrderRegisterMessage message)
{
var marketTime = _ad.SessionTime;
var secCode = message.SecurityId.SecurityCode;
var account = message.PortfolioName.AccountFromPortfolioName(); // Портфель
var placeCode = _adapter.SecurityClassInfo.GetSecurityClass(message.SecurityType, message.SecurityId.BoardCode);
var endDate = message.TillDate == null || message.TillDate == DateTimeOffset.MaxValue
? marketTime.Date + TimeHelper.LessOneDay
: message.TillDate.Value.ToLocalTime(TimeHelper.Moscow); // Срок действия поручения.
var maxEndDate = DateTime.Now + TimeSpan.FromDays(365);
if (endDate > maxEndDate)
endDate = maxEndDate;
var comments = message.TransactionId.To<string>(); // Комментарий.
var currency = message.Currency == null || message.Currency == CurrencyTypes.RUB ?
"RUR" : message.Currency.ToString();//_securityCurrencies[message.SecurityId.SecurityCode]; // Валюта цены.
var buySell = message.Side.ToAlfaDirect(); // Покупка/Продажа
var quantity = (int)message.Volume; // Количество.
var price = message.Price; // Цена.
int id;
_adapter.AddInfoLog("Register: {0} {1}/{2} tran={3} {4} {5}@{6}, mtime={7}, cur={8}", account, secCode, placeCode, comments, buySell, quantity, price, marketTime, currency);
if (placeCode == null)
throw new InvalidOperationException(LocalizedStrings.Str2274Params.Put(message.TransactionId));
switch (message.OrderType)
{
case OrderTypes.Limit:
id = _ad.CreateLimitOrder(account, placeCode, secCode, endDate, comments, currency, buySell, quantity, (double)price, null, null, null, null, null, "Y", null, null, null, null, null, null, null, null, null, null, -1);
break;
case OrderTypes.Market:
throw new InvalidOperationException(LocalizedStrings.Str2275);
case OrderTypes.Conditional:
{
var condition = (AlfaOrderCondition)message.Condition;
if (condition.TargetPrice != 0)
id = _ad.CreateStopOrder(account, placeCode, secCode, endDate, comments, currency, buySell, quantity, (double)condition.StopPrice, (double)condition.Slippage, condition.TargetPrice, -1);
else if (condition.Level != 0)
id = _ad.CreateTrailingOrder(account, placeCode, secCode, endDate, comments, currency, buySell, quantity, (double)condition.StopPrice, (double)condition.Level, (double)condition.Slippage, -1);
else
id = _ad.CreateStopOrder(account, placeCode, secCode, endDate, comments, currency, buySell, quantity, (double)condition.StopPrice, (double)condition.Slippage, null, -1);
break;
}
case OrderTypes.Repo:
case OrderTypes.ExtRepo:
case OrderTypes.Rps:
case OrderTypes.Execute:
case null:
throw new NotSupportedException(LocalizedStrings.Str1601Params.Put(message.OrderType, message.TransactionId));
default:
throw new ArgumentOutOfRangeException();
}
if (id == 0)
ThrowInError(tagStateCodes.stcClientError, LocalizedStrings.Str2276Params.Put(message.TransactionId, _ad.LastResultMsg));
return id;
}
/// <summary>
/// Записать данные по условию заявки.
/// </summary>
/// <param name="writer">Писатель FIX данных.</param>
/// <param name="regMsg">Сообщение, содержащее информацию для регистрации заявки.</param>
protected override void WriteOrderCondition(IFixWriter writer, OrderRegisterMessage regMsg)
{
writer.WriteOrderCondition((QuikOrderCondition)regMsg.Condition, DateTimeFormat);
}
private bool NeedCheckVolume(OrderRegisterMessage message, decimal quotesVolume)
{
if (!_settings.IncreaseDepthVolume)
return false;
var orderSide = message.Side;
var price = message.Price;
var quotes = orderSide == Sides.Buy ? _asks : _bids;
var quote = quotes.FirstOrDefault();
if (quote.Value == null)
return false;
var bestPrice = quote.Key;
return (orderSide == Sides.Buy ? price >= bestPrice : price <= bestPrice)
&& quotesVolume <= message.Volume;
}
private IEnumerable<ExecutionMessage> IncreaseDepthVolume(OrderRegisterMessage message, DateTimeOffset serverTime, decimal quotesVolume)
{
var leftVolume = (message.Volume - quotesVolume) + 1;
var orderSide = message.Side;
var quotes = orderSide == Sides.Buy ? _asks : _bids;
var quote = quotes.LastOrDefault();
if (quote.Value == null)
yield break;
var side = orderSide.Invert();
var lastVolume = quote.Value.Second.Volume;
var lastPrice = quote.Value.Second.Price;
while (leftVolume > 0 && lastPrice != 0)
{
lastVolume *= 2;
lastPrice += GetPriceStep() * (side == Sides.Buy ? -1 : 1);
leftVolume -= lastVolume;
yield return CreateMessage(message.LocalTime, serverTime, side, lastPrice, lastVolume);
}
}
// create and send message
private void SendCommand(Dictionary<string, object> actions)
{
Message message = null;
switch (actions["ACTION"].ToString())
{
case "NEW_ORDER":
{
message = new OrderRegisterMessage()
{
SecurityId = _securities.FirstOrDefault(s => s.Code == actions["SECCODE"].ToString() &&
s.Class == actions["CLASSCODE"].ToString()).ToSecurityId(),
ClientCode = actions["CLIENTCODE"].ToString(),
PortfolioName = actions["ACCOUNT"].ToString(),
OrderType = (OrderTypes)actions["TYPE"],
Price = (decimal)actions["PRICE"],
Side = (Sides)actions["OPERATION"],
Volume = (decimal)actions["QUANTITY"],
TransactionId = _transAdapter.TransactionIdGenerator.GetNextId(),
Comment = actions["COMMENT"].ToString()
};
}
break;
case "KILL_ORDER":
{
message = new OrderCancelMessage()
{
OrderId = (long)actions["ORDER_KEY"],
OriginalTransactionId = (long)actions["ORIGINAL_TRANS_ID"],
TransactionId = _transAdapter.TransactionIdGenerator.GetNextId(),
};
}
break;
case "KILL_ALL_ORDERS":
{
message = new OrderGroupCancelMessage()
{
TransactionId = _transAdapter.TransactionIdGenerator.GetNextId()
};
}
break;
case "MOVE_ORDERS":
{
//TODO
}
break;
case "REGISTER_SECURITY":
{
//TODO
}
break;
case "UNREGISTER_SECURITY":
{
//TODO
}
break;
case "REGISTER_TRADES":
{
//TODO
}
break;
case "UNREGISTER_TRADES":
{
//TODO
}
break;
case "REGISTER_MARKETDEPTH":
{
//TODO
}
break;
case "UNREGISTER_MARKETDEPTH":
{
//TODO
}
break;
default:
break;
}
if (message != null)
_transAdapter.SendInMessage(message);
}
private void RegisterOrder(OrderRegisterMessage message)
{
if (message == null)
throw new ArgumentNullException(nameof(message));
if (message.OrderType == OrderTypes.Execute)
{
var ibCon = (IBOrderCondition)message.Condition;
if (ibCon == null)
throw new ArgumentException(LocalizedStrings.Str2514Params.Put(message.TransactionId), nameof(message));
ExerciseOptions(message, ibCon.OptionExercise.IsExercise, message.Volume, message.PortfolioName, ibCon.OptionExercise.IsOverride);
return;
}
var version = (Session.ServerVersion < ServerVersions.V44) ? ServerVersions.V27 : ServerVersions.V43;
//var security = SessionHolder.Securities[regMsg.SecurityId];
ProcessRequest(RequestMessages.RegisterOrder, 0, version,
socket =>
{
socket.Send((int)message.TransactionId);
socket
.SendContractId(message.SecurityId)
.SendSecurity(message)
.SendIf(ServerVersions.V68, s => socket.Send(message.Class))
.SendSecurityId(message.SecurityId);
var condition = (IBOrderCondition)message.Condition ?? new IBOrderCondition();
socket
.SendSide(message.Side)
.SendQuantity(message.Volume)
.SendOrderType(message.OrderType.Value, condition.ExtendedType)
.Send(message.Price)
.Send(condition.StopPrice)
.SendOrderExpiration(message)
.Send(condition.Oca.Group)
.SendPortfolio(message.PortfolioName)
.Send(condition.IsOpenOrClose ? "O" : "C")
.Send((int)condition.Origin)
.Send(message.Comment)
.Send(condition.Transmit)
.SendIf(ServerVersions.V4, s => s.Send(condition.ParentId))
.SendIf(ServerVersions.V5, s =>
{
socket
.Send(condition.BlockOrder)
.Send(condition.SweepToFill)
.Send(message.VisibleVolume)
.Send((int)condition.TriggerMethod);
if (socket.ServerVersion < ServerVersions.V38)
{
//will never happen
socket.Send(false);
}
else
{
socket.Send(condition.OutsideRth);
}
})
.SendIf(ServerVersions.V7, s => socket.Send(condition.Hidden));
// TODO
WeightedIndexSecurity indexSecurity = null;//security as WeightedIndexSecurity;
if (indexSecurity != null)
{
// Send combo legs for BAG requests
if (socket.ServerVersion >= ServerVersions.V8)
socket.SendCombo(indexSecurity, condition);
// Send order combo legs for BAG requests
if (socket.ServerVersion >= ServerVersions.V57)
{
var legs = condition.Combo.Legs.ToArray();
socket.Send(legs.Length);
foreach (var leg in legs)
socket.Send(leg);
}
if (socket.ServerVersion >= ServerVersions.V57)
{
var comboParams = condition.SmartRouting.ComboParams.ToArray();
socket.Send(comboParams.Length);
foreach (var comboParam in comboParams)
{
socket
.Send(comboParam.Item1)
.Send(comboParam.Item2);
}
}
}
if (socket.ServerVersion >= ServerVersions.V9)
{
socket.Send(string.Empty);
}
if (socket.ServerVersion >= ServerVersions.V10)
{
socket.Send(condition.SmartRouting.DiscretionaryAmount);
}
if (condition.GoodAfterTime == null || socket.ServerVersion < ServerVersions.V11)
socket.Send(string.Empty);
else
socket.Send(condition.GoodAfterTime, IBSocketHelper.TimeFormat);
if (message.TillDate == null || message.TillDate == DateTimeOffset.MaxValue || socket.ServerVersion < ServerVersions.V12)
socket.Send(string.Empty);
else
socket.Send(message.TillDate.Value, IBSocketHelper.TimeFormat);
if (socket.ServerVersion >= ServerVersions.V13)
{
socket
.Send(condition.FinancialAdvisor.Group)
.SendFinancialAdvisor(condition.FinancialAdvisor.Allocation)
.Send(condition.FinancialAdvisor.Percentage)
.Send(condition.FinancialAdvisor.Profile);
}
if (socket.ServerVersion >= ServerVersions.V18)
{
// institutional short sale slot fields.
socket.SendShortSale(condition.ShortSale, true);
}
if (socket.ServerVersion >= ServerVersions.V19)
{
socket.Send((int)(condition.Oca.Type ?? 0));
if (socket.ServerVersion < ServerVersions.V38)
{
//will never happen
socket.Send(false);
}
socket
.SendAgent(condition.Agent)
.Send(condition.Clearing.SettlingFirm)
.Send(condition.AllOrNone)
.Send(condition.MinVolume)
.Send(condition.PercentOffset)
.Send(condition.SmartRouting.ETradeOnly)
.Send(condition.SmartRouting.FirmQuoteOnly)
.Send(condition.SmartRouting.NbboPriceCap)
.Send((int?)condition.AuctionStrategy)
.Send(condition.StartingPrice)
.Send(condition.StockRefPrice)
.Send(condition.Delta);
decimal? lower = null;
decimal? upper = null;
if (socket.ServerVersion == ServerVersions.V26)
{
// Volatility orders had specific watermark price attribs in server version 26
var isVol = condition.ExtendedType == IBOrderCondition.ExtendedOrderTypes.Volatility;
lower = isVol ? condition.StockRangeLower : (decimal?)null;
upper = isVol ? condition.StockRangeUpper : (decimal?)null;
}
socket
.Send(lower)
.Send(upper);
}
if (socket.ServerVersion >= ServerVersions.V22)
{
socket.Send(condition.OverridePercentageConstraints);
}
if (socket.ServerVersion >= ServerVersions.V26)
{
socket
.Send(condition.Volatility.Volatility)
.Send((int?)condition.Volatility.VolatilityTimeFrame)
.SendDeltaNeutral(condition)
.Send(condition.Volatility.ContinuousUpdate ? 1 : 0);
if (socket.ServerVersion == ServerVersions.V26)
{
var isVol = condition.ExtendedType == IBOrderCondition.ExtendedOrderTypes.Volatility;
socket
.Send(isVol ? condition.StockRangeLower : (decimal?)null)
.Send(isVol ? condition.StockRangeUpper : (decimal?)null);
}
socket.Send(condition.Volatility.IsAverageBestPrice);
}
if (socket.ServerVersion >= ServerVersions.V30)
{
// TRAIL_STOP_LIMIT stop price
socket.Send(condition.TrailStopPrice);
}
if (socket.ServerVersion >= ServerVersions.V62)
{
socket.Send(condition.TrailStopVolumePercentage);
}
//Scale Orders require server version 35 or higher.
if (socket.ServerVersion >= ServerVersions.V35)
{
if (socket.ServerVersion >= ServerVersions.V40)
{
socket
.Send(condition.Scale.InitLevelSize)
.Send(condition.Scale.SubsLevelSize);
}
else
{
socket
.Send(string.Empty)
.Send(condition.Scale.InitLevelSize);
}
socket.Send(condition.Scale.PriceIncrement);
}
if (socket.ServerVersion >= ServerVersions.V60 && condition.Scale.PriceIncrement > 0)
{
socket
.Send(condition.Scale.PriceAdjustValue)
.Send(condition.Scale.PriceAdjustInterval)
.Send(condition.Scale.ProfitOffset)
.Send(condition.Scale.AutoReset)
.Send(condition.Scale.InitPosition)
.Send(condition.Scale.InitFillQty)
.Send(condition.Scale.RandomPercent);
}
if (socket.ServerVersion >= ServerVersions.V69)
{
socket
.Send(condition.Scale.Table)
.Send(condition.Active.Start, IBSocketHelper.TimeFormat)
.Send(condition.Active.Stop, IBSocketHelper.TimeFormat);
}
socket.SendHedge(condition);
if (socket.ServerVersion >= ServerVersions.V56)
{
socket.Send(condition.SmartRouting.OptOutSmartRouting);
}
if (socket.ServerVersion >= ServerVersions.V39)
{
socket
.SendPortfolio(condition.Clearing.Portfolio)
.SendIntent(condition.Clearing.Intent);
}
if (socket.ServerVersion >= ServerVersions.V44)
socket.Send(condition.SmartRouting.NotHeld);
if (socket.ServerVersion >= ServerVersions.V40)
{
//if (contract.UnderlyingComponent != null)
//{
// UnderlyingComponent underComp = contract.UnderlyingComponent;
// send(true);
// send(underComp.ContractId);
// send(underComp.Delta);
// send(underComp.Price);
//}
//else
{
socket.Send(false);
}
}
if (socket.ServerVersion >= ServerVersions.V41)
{
var algoStrategy = condition.Algo.Strategy;
socket.Send(algoStrategy);
var algoParams = condition.Algo.Params.ToArray();
if (!algoStrategy.IsEmpty())
{
if (algoParams == null)
{
socket.Send(0);
}
else
{
socket.Send(algoParams.Length);
foreach (var param in algoParams)
{
socket
.Send(param.Item1)
.Send(param.Item2);
}
}
}
}
if (socket.ServerVersion >= ServerVersions.V71)
{
socket.Send(condition.AlgoId);
}
if (socket.ServerVersion >= ServerVersions.V36)
{
socket.Send(condition.WhatIf);
}
// send orderMiscOptions parameter
if (socket.ServerVersion >= ServerVersions.V70)
{
socket.Send(condition.MiscOptions != null
? condition.MiscOptions.Select(t => t.Item1 + "=" + t.Item2).Join(";")
: string.Empty);
}
if (socket.ServerVersion >= ServerVersions.V73)
{
socket.Send(condition.Solicited);
}
if (socket.ServerVersion >= ServerVersions.V76)
{
socket.Send(condition.RandomizeSize);
socket.Send(condition.RandomizePrice);
}
});
}
private void ProcessRegisterMessage(OrderRegisterMessage regMsg)
{
OrderParams orderParams;
switch (regMsg.OrderType)
{
case OrderTypes.Limit:
{
orderParams = FillParams(regMsg, new OrderParams
{
Price = (double)regMsg.Price,
OrderType = Constants.ORDER_TYPE_LIMIT,
});
break;
}
case OrderTypes.Market:
{
orderParams = FillParams(regMsg, new OrderParams
{
OrderType = Constants.ORDER_TYPE_MARKET,
});
break;
}
case OrderTypes.Conditional:
{
var condition = (RithmicOrderCondition)regMsg.Condition;
var triggerPrice = condition.TriggerPrice;
if (triggerPrice == null)
throw new InvalidOperationException(LocalizedStrings.Str3494Params.Put(regMsg.TransactionId));
if (regMsg.Price == 0)
{
orderParams = FillParams(regMsg, new OrderParams
{
TriggerPrice = (double)triggerPrice,
OrderType = Constants.ORDER_TYPE_STOP_MARKET,
});
}
else
{
orderParams = FillParams(regMsg, new OrderParams
{
TriggerPrice = (double)triggerPrice,
Price = (double)regMsg.Price,
OrderType = Constants.ORDER_TYPE_STOP_LIMIT,
});
}
break;
}
case OrderTypes.Repo:
case OrderTypes.ExtRepo:
case OrderTypes.Rps:
case OrderTypes.Execute:
throw new NotSupportedException(LocalizedStrings.Str3495Params.Put(regMsg.TransactionId, regMsg.OrderType));
default:
throw new ArgumentOutOfRangeException();
}
_client.Session.sendOrderList(new List<OrderParams> { orderParams }.AsReadOnly());
}
/// <summary>
/// Create a copy of <see cref="OrderRegisterMessage"/>.
/// </summary>
/// <returns>Copy.</returns>
public override Message Clone()
{
var clone = new OrderRegisterMessage(Type)
{
Comment = Comment,
Condition = Condition,
TillDate = TillDate,
OrderType = OrderType,
PortfolioName = PortfolioName,
Price = Price,
RepoInfo = RepoInfo.CloneNullable(),
RpsInfo = RpsInfo.CloneNullable(),
SecurityId = SecurityId,
//SecurityType = SecurityType,
Side = Side,
TimeInForce = TimeInForce,
TransactionId = TransactionId,
VisibleVolume = VisibleVolume,
Volume = Volume,
Currency = Currency,
UserOrderId = UserOrderId,
ClientCode = ClientCode,
BrokerCode = BrokerCode,
};
CopyTo(clone);
return clone;
}
private OrderParams FillParams(OrderRegisterMessage regMsg, OrderParams orderParams)
{
if (regMsg == null)
throw new ArgumentNullException(nameof(regMsg));
if (orderParams == null)
throw new ArgumentNullException(nameof(orderParams));
orderParams.Symbol = regMsg.SecurityId.SecurityCode;
orderParams.Exchange = regMsg.SecurityId.BoardCode;
orderParams.Account = _accounts[regMsg.PortfolioName];
orderParams.BuySellType = regMsg.Side.ToRithmic();
orderParams.UserMsg = regMsg.Comment;
orderParams.UserTag = regMsg.UserOrderId;
orderParams.Qty = (int)regMsg.Volume;
orderParams.Tag = regMsg.TransactionId.To<string>();
orderParams.Duration = regMsg.TimeInForce.ToRithmic(regMsg.ExpiryDate);
orderParams.EntryType = Constants.ORDER_ENTRY_TYPE_AUTO;
return orderParams;
}
/// <summary>
/// Call the exerciseOptions() method to exercise options. “SMART” is not an allowed exchange in exerciseOptions() calls, and that TWS does a moneyness request for the position in question whenever any API initiated exercise or lapse is attempted.
/// </summary>
/// <param name="message">this structure contains a description of the contract to be exercised. If no multiplier is specified, a default of 100 is assumed.</param>
/// <param name="isExercise">this can have two values: 1 = specifies exercise 2 = specifies lapse.</param>
/// <param name="volume">the number of contracts to be exercised.</param>
/// <param name="portfolioName">specifies whether your setting will override the system's natural action. For example, if your action is "exercise" and the option is not in-the-money, by natural action the option would not exercise. If you have override set to "yes" the natural action would be overridden and the out-of-the money option would be exercised. Values are: 0 = no 1 = yes.</param>
/// <param name="isOverride">specifies whether your setting will override the system's natural action. For example, if your action is "exercise" and the option is not in-the-money, by natural action the option would not exercise. If you have override set to "yes" the natural action would be overridden and the out-of-the money option would be exercised. Values are: 0 = no 1 = yes.</param>
private void ExerciseOptions(OrderRegisterMessage message, bool isExercise, decimal volume, string portfolioName, bool isOverride)
{
//var option = SessionHolder.Securities[regMsg.SecurityId];
ProcessRequest(RequestMessages.ExerciseOptions, ServerVersions.V21, ServerVersions.V2, socket =>
socket
.Send(message.TransactionId)
.SendIf(ServerVersions.V68, s => socket.SendContractId(message.SecurityId))
.SendSecurity(message, false)
.SendIf(ServerVersions.V68, s => socket.Send(message.Class))
.Send(isExercise ? 1 : 2)
.Send((int)volume)
.Send(portfolioName)
.Send(isOverride));
}
private void ProcessRegisterMessage(OrderRegisterMessage regMsg)
{
DateTime? expDate;
if (regMsg.TillDate == null || regMsg.TillDate == DateTimeOffset.MaxValue)
expDate = null;
else
expDate = regMsg.TillDate.Value.ToLocalTime(TimeHelper.Moscow);
BaseCommandMessage command;
switch (regMsg.OrderType)
{
case OrderTypes.Limit:
case OrderTypes.Market:
{
command = new NewOrderMessage
{
ByMarket = regMsg.OrderType == OrderTypes.Market,
Client = regMsg.PortfolioName,
Quantity = regMsg.Volume.To<int>(),
Unfilled = regMsg.TimeInForce.ToTransaq(),
BuySell = regMsg.Side.ToTransaq(),
Price = regMsg.Price,
SecId = (int)regMsg.SecurityId.Native,
ExpDate = expDate,
BrokerRef = regMsg.Comment,
Hidden = (int)(regMsg.Volume - (regMsg.VisibleVolume ?? regMsg.Volume)),
};
break;
}
case OrderTypes.Conditional:
{
var cond = (TransaqOrderCondition)regMsg.Condition;
if (cond.Type == TransaqOrderConditionTypes.Algo)
{
command = new NewCondOrderMessage
{
ByMarket = regMsg.OrderType == OrderTypes.Market,
Client = regMsg.PortfolioName,
Quantity = regMsg.Volume.To<int>(),
BuySell = regMsg.Side.ToTransaq(),
Price = regMsg.Price,
SecId = (int)regMsg.SecurityId.Native,
CondType = cond.AlgoType ?? TransaqAlgoOrderConditionTypes.None,
CondValue = cond.AlgoValue ?? 0m,
ValidAfterType = cond.AlgoValidAfterType ?? TransaqAlgoOrderValidTypes.TillCancelled,
ValidAfter = cond.AlgoValidAfter.ToDt(),
ValidBeforeType = cond.AlgoValidBeforeType ?? TransaqAlgoOrderValidTypes.TillCancelled,
ValidBefore = cond.AlgoValidBefore.ToDt(),
ExpDate = expDate,
BrokerRef = regMsg.Comment,
Hidden = (int)(regMsg.Volume - (regMsg.VisibleVolume ?? regMsg.Volume)),
};
}
else// if (regMsg.Condition is TransaqOrderCondition)
{
if (!cond.CheckConditionUnitType())
throw new InvalidOperationException(LocalizedStrings.Str3549);
var stopOrder = new NewStopOrderMessage
{
SecId = (int)regMsg.SecurityId.Native,
Client = regMsg.PortfolioName,
BuySell = regMsg.Side.ToTransaq(),
LinkedOrderNo = cond.LinkedOrderId.To<string>(),
ExpDate = expDate,
ValidFor = expDate?.ToUniversalTime(),
};
switch (cond.Type)
{
case TransaqOrderConditionTypes.StopLoss:
stopOrder.StopLoss = TransaqHelper.CreateStopLoss(cond);
break;
case TransaqOrderConditionTypes.TakeProfit:
stopOrder.TakeProfit = TransaqHelper.CreateTakeProfit(cond);
break;
case TransaqOrderConditionTypes.TakeProfitStopLoss:
stopOrder.StopLoss = TransaqHelper.CreateStopLoss(cond);
stopOrder.TakeProfit = TransaqHelper.CreateTakeProfit(cond);
break;
}
command = stopOrder;
}
//else
// throw new InvalidOperationException(LocalizedStrings.Str3550Params.Put(regMsg.Condition, regMsg.TransactionId));
break;
}
case OrderTypes.Repo:
{
command = new NewRepoOrderMessage
{
SecId = (int)regMsg.SecurityId.Native,
Client = regMsg.PortfolioName,
BuySell = regMsg.Side.ToTransaq(),
CpFirmId = regMsg.RepoInfo.Partner,
MatchRef = regMsg.RepoInfo.MatchRef,
BrokerRef = regMsg.Comment,
Price = regMsg.Price,
Quantity = regMsg.Volume.To<int>(),
SettleCode = regMsg.RepoInfo.SettleCode,
RefundRate = regMsg.RepoInfo.RefundRate,
Rate = regMsg.RepoInfo.Rate,
};
break;
}
case OrderTypes.ExtRepo:
{
command = new NewMRepoOrderMessage
{
SecId = (int)regMsg.SecurityId.Native,
Client = regMsg.PortfolioName,
BuySell = regMsg.Side.ToTransaq(),
CpFirmId = regMsg.RepoInfo.Partner,
MatchRef = regMsg.RepoInfo.MatchRef,
BrokerRef = regMsg.Comment,
Price = regMsg.Price,
Quantity = regMsg.Volume.To<int>(),
SettleCode = regMsg.RepoInfo.SettleCode,
RefundRate = regMsg.RepoInfo.RefundRate,
Value = regMsg.RepoInfo.Value,
Term = regMsg.RepoInfo.Term,
Rate = regMsg.RepoInfo.Rate,
StartDiscount = regMsg.RepoInfo.StartDiscount,
LowerDiscount = regMsg.RepoInfo.LowerDiscount,
UpperDiscount = regMsg.RepoInfo.UpperDiscount,
BlockSecurities = regMsg.RepoInfo.BlockSecurities,
};
break;
}
case OrderTypes.Rps:
{
command = new NewRpsOrderMessage
{
SecId = (int)regMsg.SecurityId.Native,
Client = regMsg.PortfolioName,
BuySell = regMsg.Side.ToTransaq(),
CpFirmId = regMsg.RpsInfo.Partner,
MatchRef = regMsg.RpsInfo.MatchRef,
BrokerRef = regMsg.Comment,
Price = regMsg.Price,
Quantity = regMsg.Volume.To<int>(),
SettleCode = regMsg.RpsInfo.SettleCode,
};
break;
}
case OrderTypes.Execute:
{
//command = new NewReportMessage
//{
// BuySell = regMsg.Side.ToTransaq(),
//};
//break;
throw new NotImplementedException();
}
default:
throw new ArgumentOutOfRangeException();
}
var result = SendCommand(command);
_orders.Add(result.TransactionId, regMsg.TransactionId);
_ordersTypes.Add(regMsg.TransactionId, command is NewCondOrderMessage ? OrderTypes.Limit : regMsg.OrderType);
}
