/// <summary>
/// True if both instances seem to refer to the same fill event.
/// </summary>
/// <returns></returns>
public bool IsSameAs(FillEventArgs other)
{
if (other == null)
{
return(false);
}
if (string.IsNullOrEmpty(this.FillKey) || string.IsNullOrEmpty(other.FillKey))
{ // One or both are missing a unique fill key - bummer!
if (!this.TTInstrumentKey.Equals(other.TTInstrumentKey))
{
return(false);
}
if (this.Type != other.Type)
{
return(false);
}
if (!this.Fill.IsSameAs(other.Fill))
{
return(false);
}
// They seem to be same!
return(true);
}
else
{
return(this.FillKey.Equals(other.FillKey));
}
}
private void TT_FillListDownLoad(object sender, TradingTechnologies.TTAPI.FillBookDownloadEventArgs eventArgs)
{
bool isWriteLog = false;
if (Log != null)
{
isWriteLog = Log.BeginEntry(LogLevel.Minor, "FillListener.TT_FillDownLoad: {0} {1} fills from {2}: ", Name, eventArgs.Fills.Count.ToString(), System.Threading.Thread.CurrentThread.Name);
}
foreach (TradingTechnologies.TTAPI.Fill fill in eventArgs.Fills)
{
if (m_LogAllFillPropertiesFromTT)
{
WriteFillToLog(FillType.Historic.ToString(), fill);
}
FillEventArgs e = CreateFillEventArg(FillType.Historic, this.Log, fill);
if (isWriteLog)
{
Log.AppendEntry("[{0} {1} {2}]", e.TTInstrumentKey, e.Fill, e.FillKey);
}
m_HistoricFills.Add(e); // alt approach: StatusChanged is triggered at end of download, HistoricFills passed to subscribers
OnHistoricFill(e); // otherwise, subscribers to this event can collect each historic fill.
}
if (Log != null)
{
Log.EndEntry();
}
}
public event EventHandler HistoricFill; // Fired for each fill received (new or old).
//
//
protected void OnHistoricFill(FillEventArgs eventArgs)
{
if (HistoricFill != null)
{
HistoricFill(this, eventArgs);
}
}// OnFilled()
public event EventHandler Filled; // Fired for each fill received (new or old).
//
//
protected void OnFilled(FillEventArgs eventArgs)
{
Log.NewEntry(LogLevel.Major, "FillListener: {0}", eventArgs);
if (Filled != null)
{
Filled(this, eventArgs);
}
}// OnFilled()
}// WriteFillToLog()
//
//
// *************************************************************
// **** Create Fill EventArgs() ****
// *************************************************************
public static FillEventArgs CreateFillEventArg(FillType fillType, LogHub log, TradingTechnologies.TTAPI.Fill ttFill)
{
int qty = 0;
if (ttFill.BuySell == BuySell.Buy)
{
qty = ttFill.Quantity.ToInt(); // qty > 0 --> buy;
}
else if (ttFill.BuySell == BuySell.Sell)
{
qty = -ttFill.Quantity.ToInt(); // qty < 0 --> sell;
}
UV.Lib.OrderHubs.Fill aFill = UV.Lib.OrderHubs.Fill.Create(qty, ttFill.MatchPrice.ToDouble(), log.GetTime(), ttFill.TransactionDateTime);
FillEventArgs e = new FillEventArgs(ttFill.InstrumentKey, fillType, aFill);
e.FillKey = ttFill.FillKey;
e.AccountID = ttFill.AccountName;
return(e);
}//CreateFillEventArg()
} // TryAdd()
//
//
//
// *************************************************************
// **** Is Fill New() ****
// *************************************************************
/// <summary>
/// This method examines a fill event and tries to determine whether or not the fill
/// is known to this fill book, or is new. If its not new, an explanation is returned as
/// an RejectedFillEventArg.
/// </summary>
/// <param name="fillEventArgs"></param>
/// <param name="rejectedEventArgs">Rejected fill: null when true, but can be null/not null when false</param>
/// <returns>True if this fill seems to be new to our book.</returns>
public bool IsFillNew(FillEventArgs fillEventArgs, out RejectedFills.RejectedFillEventArgs rejectedEventArgs)
{
rejectedEventArgs = null;
// Accept user adjusted fills always.
if (fillEventArgs.Type == FillType.UserAdjustment)
{
return(true);
}
// Accept adjusted fills always.
if (fillEventArgs.Type == FillType.Adjustment)
{
return(true);
}
// Exchange time stamp events. (Note some fills like UserAdjusted fills don't have Exchange time stamps.)
if (fillEventArgs.Fill.ExchangeTime.CompareTo(DateTime.MinValue) > 0)
{
TimeSpan ts = (fillEventArgs.Fill.ExchangeTime).Subtract(this.ExchangeTimeLast); // time since last fill.
if (ts.TotalHours > 0) // fills after the last fill are always reasonable.
{
return(true);
}
// Reject if fill is extremely old. That is, our book has more recent fills.
if (ts.Add(MaxAllowedFillLatency).TotalHours < 0)
{
string msg = string.Format("Bad fill time {0}. Book last {1}. Earlier by {2} hours.", fillEventArgs.Fill.ExchangeTime.ToString(Strings.FormatDateTimeZone), base.ExchangeTimeLast.ToString(Strings.FormatDateTimeZone), ts.TotalHours.ToString("0.0"));
rejectedEventArgs = TriggerRejectionEvent(fillEventArgs, RejectedFills.RejectionReason.ExcessiveLateness, msg);
return(false);
}
}
// Reject if we have actually seen fill key before. We don't do this test right off because its slow.
if (fillEventArgs.FillKey != null && m_RecentKeys.Contains(fillEventArgs.FillKey))
{
string msg = string.Format("{0} already in book {1}.", fillEventArgs.FillKey, this.Name);
rejectedEventArgs = TriggerRejectionEvent(fillEventArgs, RejectedFills.RejectionReason.DuplicateKey, msg);
return(false);
}
// Can't find any reason to reject.
return(true);
}// IsFillAcceptable()
/// <summary>
/// Creates a fill event from the pair-wise info in drop.
/// Allowed keys:
/// Time - the time the drop was made.
/// LocalFillTime - local time fill was received.
/// </summary>
/// <param name="pairs"></param>
/// <returns></returns>
private FillEventArgs CreateFillEvent(Dictionary <string, string> pairs)
{
string sQty;
string sPrice;
if (pairs.TryGetValue("Qty", out sQty) && pairs.TryGetValue("Price", out sPrice))
{
UV.Lib.OrderHubs.Fill aFill = UV.Lib.OrderHubs.Fill.Create();
aFill.Qty = Convert.ToInt32(sQty);
aFill.Price = Convert.ToDouble(sPrice);
// Extract fill times.
if (pairs.ContainsKey("LocalFillTime"))
{
aFill.LocalTime = Convert.ToDateTime(pairs["LocalFillTime"]); // use fill time, if available.
}
else
{
aFill.LocalTime = Convert.ToDateTime(pairs["Time"]); // else use last drop time- legacy approach
}
// Extract TT's instrument key.
InstrumentKey key;
string sForeignKey;
if (pairs.TryGetValue("ForeignKey", out sForeignKey) && TTConvert.TryCreateInstrumentKey(sForeignKey, out key))
{
FillEventArgs e = new FillEventArgs(key, FillType.InitialPosition, aFill);
return(e); // success!
}
else
{
Log.NewEntry(LogLevel.Error, "Failed to recreate instrument key from {0}.", sForeignKey);
return(null);
}
}
else
{
Log.NewEntry(LogLevel.Error, "Failed to create a fill event");
return(null);
}
}// CreateFillEvent()
//
#endregion//Public Methods
#region Private Methods
// *****************************************************************
// **** Private Methods ****
// *****************************************************************
//
//
//
//
private RejectedFills.RejectedFillEventArgs TriggerRejectionEvent(FillEventArgs rejectedFill, RejectedFills.RejectionReason reason, string rejectionMessage)
{
// Make sure this rejection is new.
bool isDuplicate = false;
int n = 0;
while ((!isDuplicate) && n < m_RejectedFills.Count)
{
isDuplicate = rejectedFill.IsSameAs(m_RejectedFills[n].OriginalFillEventArg);
n++;
}
RejectedFills.RejectedFillEventArgs rejectedEventArgs = new RejectedFills.RejectedFillEventArgs(this.Name, rejectedFill, reason, rejectionMessage);
if (!isDuplicate)
{ // Don't event if this is a duplicate rejection (previously rejected that is).
//RejectedFills.RejectedFillEventArgs rejectedEventArgs = new RejectedFills.RejectedFillEventArgs(this.Name, rejectedFill, reason, rejectionMessage);
this.m_RejectedFills.Add(rejectedEventArgs); // The storing of this rejection notification, is like triggering event.
return(rejectedEventArgs);
}
else
{
return(rejectedEventArgs); // this is a rejection that we have already seen (in previous run, probably).
}
}
/// <summary>
/// Dropping for all Raw fill events.
/// </summary>
public void EnqueueArchiveFill(FillEventArgs fillEventArg)
{
m_FillWriter.RequestEnqueue(Stringifiable.Stringify(fillEventArg, m_StringifyOverrideTable));
}
//
//
#endregion//Constructors
#region no Properties
// *****************************************************************
// **** Properties ****
// *****************************************************************
//
//
#endregion//Properties
#region Public Methods
// *****************************************************************
// **** Try Add() ****
// *****************************************************************
/// <summary>
/// A fill event is presented to the book for acceptance. The fill event is checked for validity,
/// and if good added to the book. If not, a rejection event argument is created for caller.
/// </summary>
/// <param name="eventArg">fill event argument</param>
/// <param name="rejection">rejection event create if false is returned</param>
/// <returns>true if fill can be accepted, false if not.</returns>
public bool TryAdd(FillEventArgs eventArg, out RejectedFills.RejectedFillEventArgs rejection)
{
rejection = null;
InstrumentKey key = eventArg.TTInstrumentKey;
if (this.IsFillNew(eventArg, out rejection))
{
// Add fill to book
UV.Lib.OrderHubs.Fill aFill = eventArg.Fill;
base.Add(aFill);
// Update fill identification tables
if (m_RecentKeys == null)
{
m_RecentKeys = new RejectedFills.RecentKeyList();
}
m_RecentKeys.Add(eventArg.FillKey);
// Process rejections that are now accepted.
if (eventArg.Type == FillType.UserAdjustment)
{
int n = 0;
while (n < m_RejectedFills.Count)
{
if (m_RejectedFills[n].OriginalFillEventArg.IsSameAs(eventArg))
{
m_RejectedFills.RemoveAt(n);
break;
}
n++;
}
}
return(true);
}
else
{
return(false);
}
/*
* if (eventArg.Type == FillType.Historic || eventArg.Type == FillType.InitialPosition)
* { // If a fill is historic or initial, it needs to be verified that we have not already
* // incorporated this fill into our book in the past.
* // Other fills are blindly accepted since they should not have been seen before.
* if (this.IsFillNew(eventArg, out rejection))
* {
* base.Add(aFill);
* if (m_RecentKeys == null)
* m_RecentKeys = new RejectedFills.RecentKeyList();
* m_RecentKeys.Add(eventArg.FillKey);
* }
* else
* {
* return false;
* }
* }
* else
* { // Other kinds of fills; including "New" and "UserAdjustments" are always accepted as they
* // come in.
* base.Add(aFill);
* if (m_RecentKeys == null)
* m_RecentKeys = new RejectedFills.RecentKeyList();
* m_RecentKeys.Add(eventArg.FillKey);
* }
* return true;
*/
} // TryAdd()
}//SetConfirmMode()
//
#endregion//Private Methods
#region Event Handlers
// *****************************************************************
// **** Event Handlers ****
// *****************************************************************
//
//
private void buttonSubmitFill_Click(object sender, EventArgs e)
{
if (m_IsConfirmMode)
{ // The user has confirmed to send this.
// Read numbers again
bool isGoodToSendOrder = true;
int qty = 0;
if (!Int32.TryParse(textBoxQty.Text, out qty))
{
isGoodToSendOrder = false;
}
double price = 0;
if (!Double.TryParse(textBoxPrice.Text, out price))
{
isGoodToSendOrder = false;
}
if (isGoodToSendOrder)
{
// Submit fill now
UV.Lib.OrderHubs.Fill aFill = UV.Lib.OrderHubs.Fill.Create();
aFill.Price = price;
aFill.Qty = qty;
aFill.LocalTime = Log.GetTime();
/*
* //UV.Lib.Products.InstrumentBase instrBase = null;
* TradingTechnologies.TTAPI.InstrumentDetails details;
* if (m_CurrentInstrument != m_EmptyInstrument && m_Market.TryGetInstrumentDetails(m_CurrentInstrument, out details) && details != null && details.Key != null)
* { // TODO: Somewhere around here a null exception was thrown.
* if ( Log != null)
* Log.NewEntry(UV.Lib.Hubs.LogLevel.Major, "FormAddFills.SubmitFill_Click: Submitting fill request {0} or ForeignKey is null", m_CurrentInstrument);
* TradingTechnologies.TTAPI.InstrumentKey instrKey = (TradingTechnologies.TTAPI.InstrumentKey)details.Key;
* Ambre.TTServices.Fills.FillEventArgs fillEventArgs = new Ambre.TTServices.Fills.FillEventArgs(instrKey, Ambre.TTServices.Fills.FillType.UserAdjustment, aFill);
* m_FillHub.HubEventEnqueue(fillEventArgs);
* }
* else if (Log != null)
* Log.NewEntry(UV.Lib.Hubs.LogLevel.Warning, "FormAddFills.SubmitFill_Click: Failed {0} or ForeignKey is null", m_CurrentInstrument);
*/
TradingTechnologies.TTAPI.InstrumentKey instrumentKey;
if (m_CurrentInstrument != m_EmptyInstrument && m_FillHub.TryGetInstrumentKey(m_CurrentInstrument, out instrumentKey))
{ // TODO: Somewhere around here a null exception was thrown.
if (Log != null)
{
Log.NewEntry(UV.Lib.Hubs.LogLevel.Major, "FormAddFills.SubmitFill_Click: Submitting fill request {0}.", m_CurrentInstrument);
}
UV.TTServices.Fills.FillEventArgs fillEventArgs = new UV.TTServices.Fills.FillEventArgs(instrumentKey, UV.TTServices.Fills.FillType.UserAdjustment, aFill);
m_FillHub.HubEventEnqueue(fillEventArgs);
}
else if (Log != null)
{
Log.NewEntry(UV.Lib.Hubs.LogLevel.Warning, "FormAddFills.SubmitFill_Click: Failed {0} or ForeignKey is null", m_CurrentInstrument);
}
// REset the colors
textBoxQty.Text = string.Empty; // protection against user's adding fill twice.
SetConfirmMode(buttonSubmitFill, false, 0); // reset colors and text on button
}
}
else
{
bool isGood = true;
int qty = 0;
if (Int32.TryParse(textBoxQty.Text, out qty))
{
textBoxQty.Text = string.Format("{0:+0;-0;0}", qty);
}
else
{
textBoxQty.Text = "0";
isGood = false;
}
double price = 0;
if (Double.TryParse(textBoxPrice.Text, out price))
{
textBoxPrice.Text = string.Format("{0}", price);
}
else
{
textBoxPrice.Text = "";
isGood = false;
}
// Set
SetConfirmMode(buttonSubmitFill, isGood, qty); // set colors to "confirm" mode.
}
}
