void CreateAutoSpreader(object sender, InstrumentLookupSubscriptionEventArgs e)
{
if (e.Instrument != null && e.Error == null)
{
// Instrument was found
Console.WriteLine("Found: {0}", e.Instrument.Name);
InstrumentDictionary.Add(e.Instrument.Key, e.Instrument);
// Update the dictionary to indicate that the instrument was found.
InstrumentLookupSubscription instrLookupSub = sender as InstrumentLookupSubscription;
if (SpreadLegKeys.ContainsKey((int)instrLookupSub.Tag))
{
SpreadLegKeys[(int)instrLookupSub.Tag] = e.Instrument;
}
}
else if (e.IsFinal)
{
// Instrument was not found and TT API has given up looking for it
Console.WriteLine("Cannot find instrument: {0}", e.Error.Message);
Subs.Dispose();
}
// If we have found all of the leg instruments, proceed with the creation of the spread.
if (HaveWeFoundAllLegs())
{
Console.WriteLine("All leg instruments have been found. Creating the spread...");
// SpreadDetails related properties
SpreadDetails spreadDetails = new SpreadDetails();
spreadDetails.Name = AutoSpreaderName;
for (int i = 0; i < DbTickerList.Count; i++)
{
Instrument instrument = SpreadLegKeys[i + 1];
var ValidOrderFeeds = instrument.GetValidOrderFeeds();
while (ValidOrderFeeds.Count == 0)
{
ValidOrderFeeds = instrument.GetValidOrderFeeds();
Console.WriteLine("Attempting to get valid forder feed for: " + DbTickerList[i]);
}
SpreadLegDetails spreadlegDetails = new SpreadLegDetails(instrument, ValidOrderFeeds[0].ConnectionKey);
spreadlegDetails.SpreadRatio = (int)RatioAndMultiplier["Ratio"][i];
spreadlegDetails.PriceMultiplier = RatioAndMultiplier["Multiplier"][i];
spreadlegDetails.CustomerName = "<DEFAULT>";
spreadlegDetails.PayupTicks = PayUpTicks;
spreadDetails.Legs.Append(spreadlegDetails);
}
// Create an AutospreaderInstrument corresponding to the synthetic spread
Air = new CreateAutospreaderInstrumentRequest(m_apiInstance.Session, Dispatcher.Current, spreadDetails);
Air.Completed += new EventHandler <CreateAutospreaderInstrumentRequestEventArgs>(m_casReq_Completed);
Air.Submit();
}
}
/// <summary>
/// Event notification for instrument lookup
/// </summary>
void m_req_Update(object sender, InstrumentLookupSubscriptionEventArgs e)
{
if (e.Instrument != null && e.Error == null)
{
// Instrument was found
Console.WriteLine("Found: {0}", e.Instrument.Name);
// Update the dictionary to indicate that the instrument was found.
InstrumentLookupSubscription instrLookupSub = sender as InstrumentLookupSubscription;
if (m_spreadLegKeys.ContainsKey((int)instrLookupSub.Tag))
{
m_spreadLegKeys[(int)instrLookupSub.Tag] = e.Instrument;
}
}
else if (e.IsFinal)
{
// Instrument was not found and TT API has given up looking for it
Console.WriteLine("Cannot find instrument: {0}", e.Error.Message);
Dispose();
}
// If we have found all of the leg instruments, proceed with the creation of the spread.
if (HaveWeFoundAllLegs())
{
Console.WriteLine("All leg instruments have been found. Creating the spread...");
// SpreadDetails related properties
SpreadDetails spreadDetails = new SpreadDetails();
spreadDetails.Name = "My Spread";
int i = 0;
// Add the legs to the SpreadDetails
foreach (Instrument instrument in m_spreadLegKeys.Values)
{
// In this example, the order is routed to the first order feed in the list of valid order feeds.
// You should use the order feed that is appropriate for your purposes.
SpreadLegDetails spreadlegDetails = new SpreadLegDetails(instrument, instrument.GetValidOrderFeeds()[0].ConnectionKey);
spreadlegDetails.SpreadRatio = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.PriceMultiplier = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.CustomerName = "<Default>";
spreadDetails.Legs.Append(spreadlegDetails);
i++;
}
// Create an AutospreaderInstrument corresponding to the synthetic spread
m_casReq = new CreateAutospreaderInstrumentRequest(m_apiInstance.Session, Dispatcher.Current, spreadDetails);
m_casReq.Completed += new EventHandler <CreateAutospreaderInstrumentRequestEventArgs>(m_casReq_Completed);
m_casReq.Submit();
}
}
/// <summary>
/// Shuts down the TT API
/// </summary>
public void Dispose()
{
lock (m_lock)
{
if (!m_disposed)
{
// Unattached callbacks and dispose of all subscriptions
if (m_req1 != null)
{
m_req1.Update -= m_req_Update;
m_req1.Dispose();
m_req1 = null;
}
if (m_req2 != null)
{
m_req2.Update -= m_req_Update;
m_req2.Dispose();
m_req2 = null;
}
if (m_ps != null)
{
m_ps.FieldsUpdated -= m_ps_FieldsUpdated;
m_ps.Dispose();
m_ps = null;
}
if (m_ts != null)
{
m_ts.OrderAdded -= m_ts_OrderAdded;
m_ts.OrderDeleted -= m_ts_OrderDeleted;
m_ts.OrderFilled -= m_ts_OrderFilled;
m_ts.OrderRejected -= m_ts_OrderRejected;
m_ts.OrderUpdated -= m_ts_OrderUpdated;
m_ts.Dispose();
m_ts = null;
}
if (m_casReq != null)
{
m_casReq.Completed -= m_casReq_Completed;
m_casReq.Dispose();
m_casReq = null;
}
// Begin shutdown the TT API
TTAPI.ShutdownCompleted += new EventHandler(TTAPI_ShutdownCompleted);
TTAPI.Shutdown();
m_disposed = true;
}
}
}
//
//
#endregion//Constructors
#region no Properties
// *****************************************************************
// **** Properties ****
// *****************************************************************
//
//
#endregion//Properties
#region Public Methods
// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
//
//
public bool TryCreateAutoSpreader(List <UVSpreaderLeg> quoteLegsList)
{
SpreadDetails spreadDetails = new SpreadDetails();
StringBuilder spreadName = new StringBuilder();
m_UVSpreaderLegs = quoteLegsList;
foreach (UVSpreaderLeg spreadLeg in quoteLegsList)
{
UVInstrName instrName = spreadLeg.InstrumentDetails.InstrumentName;
spreadName.AppendFormat("{0}x{1}.", instrName, spreadLeg.m_PriceLeg.Weight);
InstrumentKey instrKey;
FeedConnectionKey feedConnectionKey;
if (!m_InstrumentNameToTTKey.TryGetValue(instrName, out instrKey))
{
return(false); // we can't find the instrumentKey
}
if (!m_DefaultFeedKey.TryGetValue(instrKey, out feedConnectionKey))
{
return(false); // we can't find the instrumentKey
}
// This needs to be fixed due to the newer API 7.17
//SpreadLegDetails spreadLegDetails = new SpreadLegDetails(instrKey, feedConnectionKey);
//spreadLegDetails.SpreadRatio = (int)spreadLeg.m_PriceLeg.Weight;
//spreadLegDetails.PriceMultiplier = spreadLeg.m_PriceLeg.PriceMultiplier;
//spreadLegDetails.CustomerName = instrName.ToString();
//spreadDetails.Legs.Append(spreadLegDetails);
}
spreadDetails.Name = spreadName.ToString();
CreateAutospreaderInstrumentRequest autoSpreaderRequest = new CreateAutospreaderInstrumentRequest(m_TTService.session, Dispatcher.Current, spreadDetails);
autoSpreaderRequest.Completed += new EventHandler <CreateAutospreaderInstrumentRequestEventArgs>(AutoSpreaderInstrumentRequest_Completed);
autoSpreaderRequest.Submit();
return(true);
}
/// <summary>
/// Shuts down the TT API
/// </summary>
public void Dispose()
{
lock (m_lock)
{
if (!m_disposed)
{
// Unattached callbacks and dispose of all subscriptions
if (m_req1 != null)
{
m_req1.Update -= m_req_Update;
m_req1.Dispose();
m_req1 = null;
}
if (m_req2 != null)
{
m_req2.Update -= m_req_Update;
m_req2.Dispose();
m_req2 = null;
}
if (m_ps != null)
{
m_ps.FieldsUpdated -= m_ps_FieldsUpdated;
m_ps.Dispose();
m_ps = null;
}
if (m_ts != null)
{
m_ts.OrderAdded -= m_ts_OrderAdded;
m_ts.OrderDeleted -= m_ts_OrderDeleted;
m_ts.OrderFilled -= m_ts_OrderFilled;
m_ts.OrderRejected -= m_ts_OrderRejected;
m_ts.OrderUpdated -= m_ts_OrderUpdated;
m_ts.Dispose();
m_ts = null;
}
if (m_casReq != null)
{
m_casReq.Completed -= m_casReq_Completed;
m_casReq.Dispose();
m_casReq = null;
}
// Begin shutdown the TT API
TTAPI.ShutdownCompleted += new EventHandler(TTAPI_ShutdownCompleted);
TTAPI.Shutdown();
m_disposed = true;
}
}
}
/// <summary>
/// Event notification for instrument lookup
/// </summary>
void m_req_Update(object sender, InstrumentLookupSubscriptionEventArgs e)
{
if (e.Instrument != null && e.Error == null)
{
// Instrument was found
Console.WriteLine("Found: {0}", e.Instrument.Name);
// Update the dictionary to indicate that the instrument was found.
InstrumentLookupSubscription instrLookupSub = sender as InstrumentLookupSubscription;
if (m_spreadLegKeys.ContainsKey((int)instrLookupSub.Tag))
{
m_spreadLegKeys[(int)instrLookupSub.Tag] = e.Instrument;
}
}
else if (e.IsFinal)
{
// Instrument was not found and TT API has given up looking for it
Console.WriteLine("Cannot find instrument: {0}", e.Error.Message);
Dispose();
}
// If we have found all of the leg instruments, proceed with the creation of the spread.
if (HaveWeFoundAllLegs())
{
Console.WriteLine("All leg instruments have been found. Creating the spread...");
// SpreadDetails related properties
SpreadDetails spreadDetails = new SpreadDetails();
spreadDetails.Name = "My Spread";
int i = 0;
// Add the legs to the SpreadDetails
foreach (Instrument instrument in m_spreadLegKeys.Values)
{
// In this example, the order is routed to the first order feed in the list of valid order feeds.
// You should use the order feed that is appropriate for your purposes.
SpreadLegDetails spreadlegDetails = new SpreadLegDetails(instrument, instrument.GetValidOrderFeeds()[0].ConnectionKey);
spreadlegDetails.SpreadRatio = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.PriceMultiplier = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.CustomerName = "<Default>";
spreadDetails.Legs.Append(spreadlegDetails);
i++;
}
// Create an AutospreaderInstrument corresponding to the synthetic spread
m_casReq = new CreateAutospreaderInstrumentRequest(m_apiInstance.Session, Dispatcher.Current, spreadDetails);
m_casReq.Completed += new EventHandler<CreateAutospreaderInstrumentRequestEventArgs>(m_casReq_Completed);
m_casReq.Submit();
}
}
private void CreateSpreadDetails()
{
Console.WriteLine("Creating the spread...");
// SpreadDetails related properties
SpreadDetails spreadDetails = new SpreadDetails();
spreadDetails.Name = "My Spread";
int i = 0;
// Add the legs to the SpreadDetails
foreach (Instrument instrument in spreadLegKeys.Values)
{
// In this example, the order is routed to the first order feed in the list of valid order feeds.
// You should use the order feed that is appropriate for your purposes.
SpreadLegDetails spreadlegDetails = new SpreadLegDetails(instrument.Key, instrument.GetValidOrderFeeds()[0].ConnectionKey);
spreadlegDetails.SpreadRatio = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.PriceMultiplier = (i % 2 == 0) ? 1 : -1;
spreadlegDetails.CustomerName = "<Default>";
spreadDetails.Legs.Append(spreadlegDetails);
i++;
}
// Create an Instrument corresponding to the synthetic spread
casReq = new CreateAutospreaderInstrumentRequest(apiInstance.Session, Dispatcher.Current, spreadDetails);
casReq.Completed += new EventHandler<CreateAutospreaderInstrumentRequestEventArgs>(casReq_Completed);
casReq.Submit();
}
protected virtual void Dispose(bool disposing)
{
if (!disposed)
{
if (disposing)
{
// Shutdown all subscriptions
if (req1 != null)
{
req1.Dispose();
req1 = null;
}
if (req2 != null)
{
req2.Dispose();
req2 = null;
}
if (casReq != null)
{
casReq.Dispose();
casReq = null;
}
if (ts != null)
{
ts.Dispose();
ts = null;
}
// Shutdown the Dispatcher
if (disp != null)
{
disp.BeginInvokeShutdown();
disp = null;
}
// Shutdown the TT API
if (apiInstance != null)
{
apiInstance.Shutdown();
apiInstance = null;
}
}
}
disposed = true;
}
void CreateAutoSpreader(object sender, InstrumentLookupSubscriptionEventArgs e)
{
if (e.Instrument != null && e.Error == null)
{
// Instrument was found
Console.WriteLine("Found: {0}", e.Instrument.Name);
InstrumentDictionary.Add(e.Instrument.Key, e.Instrument);
// Update the dictionary to indicate that the instrument was found.
InstrumentLookupSubscription instrLookupSub = sender as InstrumentLookupSubscription;
if (SpreadLegKeys.ContainsKey((int)instrLookupSub.Tag))
{
SpreadLegKeys[(int)instrLookupSub.Tag] = e.Instrument;
}
}
else if (e.IsFinal)
{
// Instrument was not found and TT API has given up looking for it
Console.WriteLine("Cannot find instrument: {0}", e.Error.Message);
Subs.Dispose();
}
// If we have found all of the leg instruments, proceed with the creation of the spread.
if (HaveWeFoundAllLegs())
{
Console.WriteLine("All leg instruments have been found. Creating the spread...");
// SpreadDetails related properties
SpreadDetails spreadDetails = new SpreadDetails();
spreadDetails.Name = AutoSpreaderName;
for (int i = 0; i < DbTickerList.Count; i++)
{
Instrument instrument = SpreadLegKeys[i + 1];
SpreadLegDetails spreadlegDetails = new SpreadLegDetails(instrument, instrument.GetValidOrderFeeds()[0].ConnectionKey);
spreadlegDetails.SpreadRatio = (int)RatioAndMultiplier["Ratio"][i];
spreadlegDetails.PriceMultiplier = RatioAndMultiplier["Multiplier"][i];
spreadlegDetails.CustomerName = "<DEFAULT>";
spreadlegDetails.PayupTicks = PayUpTicks;
spreadDetails.Legs.Append(spreadlegDetails);
}
// Create an AutospreaderInstrument corresponding to the synthetic spread
Air = new CreateAutospreaderInstrumentRequest(m_apiInstance.Session, Dispatcher.Current, spreadDetails);
Air.Completed += new EventHandler<CreateAutospreaderInstrumentRequestEventArgs>(m_casReq_Completed);
Air.Submit();
}
}
