void SaveHistory(MbtOrderHistory history)
{
if (firstHistory)
{
orderLog.Notice(DisplayHeader(history));
firstHistory = false;
}
orderLog.Notice(DisplayValues(history));
}
void _orderClient_OnHistoryAdded(MbtOrderHistory pHist)
{
Order.UpdateTypeEnum update;
OrderInfo? info = ConvertToOrderInfo(pHist, out update);
if (info.HasValue && info.Value.State == OrderStateEnum.Canceled)
{
TryCompleteOrderOperation(pHist.Token, false, info);
}
if (info.HasValue)
{
this._adapter.OrderExecutionSourceStub.UpdateOrderInfo(_accountInfo.Value, update, info.Value);
}
else
{
SystemMonitor.OperationWarning("Order history update skipped [" + pHist.OrderNumber + "/" + pHist.Token + " - " + pHist.Event + ", " + pHist.Message + "].", TracerItem.PriorityEnum.Low);
}
}
/// <summary>
/// Convert history to order orderInfo.
/// </summary>
/// <param name="OrderInfo"></param>
/// <returns></returns>
OrderInfo?ConvertToOrderInfo(MbtOrderHistory pHist, out Order.UpdateTypeEnum updateType)
{
updateType = Order.UpdateTypeEnum.Update;
if (string.IsNullOrEmpty(pHist.Event))
{
return(null);
}
OrderInfo info = new OrderInfo(pHist.Token);
string eventInfo = pHist.Event.ToLower();
if (eventInfo.Contains("enter") || (eventInfo.Contains("session") && eventInfo.Contains("open")))
{// "Enter", "Session open" events skipped.
return(null);
}
if (eventInfo.Contains("live"))
{
info.State = OrderStateEnum.Submitted;
}
else if (eventInfo.Contains("executed"))
{
info.State = OrderStateEnum.Executed;
}
else if (eventInfo.Contains("suspended"))
{
info.State = OrderStateEnum.Suspended;
}
else if (eventInfo == "cancel" ||
(eventInfo.Contains("cancel") && eventInfo.Contains("reject")) ||
(eventInfo.Contains("order") && eventInfo.Contains("reject")) ||
(eventInfo.Contains("order") && eventInfo.Contains("cancel")))
{// Order Reject or Cancel.
info.State = OrderStateEnum.Canceled;
updateType = Order.UpdateTypeEnum.Canceled;
}
else if (eventInfo.Contains("suspended"))
{// Suspended
info.State = OrderStateEnum.Suspended;
updateType = Order.UpdateTypeEnum.Modified;
}
string eventMessage = pHist.Message;
Symbol?symbol = TryObtainSymbol(pHist.Symbol);
if (symbol.HasValue == false)
{
return(null);
}
info.Tag = pHist.OrderNumber;
info.OpenPrice = (decimal)pHist.Price;
info.StopLoss = (decimal)pHist.StopLimit;
info.TakeProfit = (decimal)pHist.StopLimit;
info.OpenTime = ConvertDateTime(pHist.Date + " " + pHist.Time);
info.Volume = pHist.Quantity;
info.Symbol = symbol.Value;
info.Type = ConvertFromMBTOrderType(pHist.OrderType, pHist.BuySell);
if (info.Type == OrderTypeEnum.UNKNOWN)
{
SystemMonitor.OperationWarning("Failed to recognize order type [" + pHist.OrderType.ToString() + "].");
//return null;
}
return(info);
}
/// <summary>
/// Convert history to order orderInfo.
/// </summary>
/// <param name="OrderInfo"></param>
/// <returns></returns>
OrderInfo? ConvertToOrderInfo(MbtOrderHistory pHist, out Order.UpdateTypeEnum updateType)
{
updateType = Order.UpdateTypeEnum.Update;
if (string.IsNullOrEmpty(pHist.Event))
{
return null;
}
OrderInfo info = new OrderInfo(pHist.Token);
string eventInfo = pHist.Event.ToLower();
if (eventInfo.Contains("enter") || (eventInfo.Contains("session") && eventInfo.Contains("open")))
{// "Enter", "Session open" events skipped.
return null;
}
if (eventInfo.Contains("live"))
{
info.State = OrderStateEnum.Submitted;
}
else if (eventInfo.Contains("executed"))
{
info.State = OrderStateEnum.Executed;
}
else if (eventInfo.Contains("suspended"))
{
info.State = OrderStateEnum.Suspended;
}
else if (eventInfo == "cancel"
|| (eventInfo.Contains("cancel") && eventInfo.Contains("reject"))
|| (eventInfo.Contains("order") && eventInfo.Contains("reject"))
|| (eventInfo.Contains("order") && eventInfo.Contains("cancel")))
{// Order Reject or Cancel.
info.State = OrderStateEnum.Canceled;
updateType = Order.UpdateTypeEnum.Canceled;
}
else if (eventInfo.Contains("suspended"))
{// Suspended
info.State = OrderStateEnum.Suspended;
updateType = Order.UpdateTypeEnum.Modified;
}
string eventMessage = pHist.Message;
Symbol? symbol = TryObtainSymbol(pHist.Symbol);
if (symbol.HasValue == false)
{
return null;
}
info.Tag = pHist.OrderNumber;
info.OpenPrice = (decimal)pHist.Price;
info.StopLoss = (decimal)pHist.StopLimit;
info.TakeProfit = (decimal)pHist.StopLimit;
info.OpenTime = ConvertDateTime(pHist.Date + " " + pHist.Time);
info.Volume = pHist.Quantity;
info.Symbol = symbol.Value;
info.Type = ConvertFromMBTOrderType(pHist.OrderType, pHist.BuySell);
if (info.Type == OrderTypeEnum.UNKNOWN)
{
SystemMonitor.OperationWarning("Failed to recognize order type [" + pHist.OrderType.ToString() + "].");
//return null;
}
return info;
}
void _orderClient_OnHistoryAdded(MbtOrderHistory pHist)
{
Order.UpdateTypeEnum update;
OrderInfo? info = ConvertToOrderInfo(pHist, out update);
if (info.HasValue && info.Value.State == OrderStateEnum.Canceled)
{
TryCompleteOrderOperation(pHist.Token, false, info);
}
if (info.HasValue)
{
this._adapter.OrderExecutionSourceStub.UpdateOrderInfo(_accountInfo.Value, update, info.Value);
}
else
{
SystemMonitor.OperationWarning("Order history update skipped [" + pHist.OrderNumber + "/" + pHist.Token + " - " + pHist.Event + ", " + pHist.Message + "].", TracerItem.PriorityEnum.Low);
}
}
TradeImpl ToTradeLinkFill(MbtOpenOrder pOrd, MbtOrderHistory pHist)
{
//debug(String.Format("pOrd\n{0}\n\npHist\n{1}", Util.DumpObjectProperties(pOrd), Util.DumpObjectProperties(pHist)));
debug(String.Format("pOrd: {0}", DisplayOrder(pOrd)));
//TODO:Add hstory to this debug
TradeImpl f = new TradeImpl();
f.symbol = pOrd.Symbol;
f.Account = pOrd.Account.Account;
//f.xprice = (pOrd.Price > 0) ? (decimal)pOrd.Price : (decimal)pOrd.StopLimit;
//f.xprice = Math.Abs((decimal)pOrd.Price);
f.xprice = (decimal)pHist.Price;
//f.xsize = pHist.Event == "Executed" ? pHist.Quantity : pHist.SharesFilled;
f.xsize = pHist.Quantity;
f.side = (pOrd.BuySell == MBConst.VALUE_BUY);
f.xtime = Util.DT2FT(pOrd.UTCDateTime);
f.xdate = Util.ToTLDate(pOrd.UTCDateTime);
long tlid = 0;
if (broker2tl.TryGetValue(pOrd.OrderNumber, out tlid))
f.id = tlid;
else
debug(String.Format("WARNING: No order matching fill for pOrd.OrderNumber {0}", pOrd.OrderNumber));
//debug(String.Format("New fill {1}\n is valid:{0}\ndump:{2}", f.isValid, f.ToString(), Util.DumpObjectProperties(f)));
debug(String.Format("New fill {1} is valid? {0}", f.isValid, f.ToString()));
return f;
}
/// <summary>
/// Get the order for a history object then convert that to a TradeLink fill
/// </summary>
/// <param name="pHist"></param>
/// <returns></returns>
TradeImpl HistToTradeLinkFill(MbtOrderHistory pHist)
{
MbtOpenOrder pOrd = GetOrderByOrderNumber(pHist.OrderNumber);
TradeImpl fill = ToTradeLinkFill(pOrd, pHist);
/*
//clean it up if the order is completely filled
if( pHist.Quantity == pHist.SharesFilled )
{
//order has been completely filled so do cleanup
string bid = pOrd.OrderNumber;
debug(String.Format("Cleaning up orders for {0}", bid));
//clean up the orders list
if( orders.ContainsKey(bid) ) orders.Remove(bid);
else debug(String.Format("order {0} did not exist in orders", bid));
//clean up mappings
long tlid = 0;
if( broker2tl.TryGetValue(bid, out tlid ) )
{
//got the tradelink id so clear the broker mapping
debug(String.Format("Cleaning up broker2tl mapping {0} - {1}", bid, tlid));
broker2tl.Remove(bid);
//then clear the tradelink mapping
debug(String.Format("cleaning up tl2broker mapping {0} - {1}", tlid, bid));
if( tl2broker.ContainsKey(tlid ) ) tl2broker.Remove(tlid);
else debug(String.Format("Order {0} did not have a matching tlid {1} to remove.", bid, tlid));
}
//clear the order from the orders list
orders.Remove(pOrd.OrderNumber);
}
*/
return fill;
}
/// <summary>
/// Get the order for a history object then convert that to a TradeLink order
/// </summary>
/// <param name="pHist"></param>
/// <returns></returns>
OrderImpl HistToTradeLinkOrder(MbtOrderHistory pHist)
{
MbtOpenOrder pOrd = GetOrderByOrderNumber(pHist.OrderNumber);
return ToTradeLinkOrder(pOrd); //pmh - what happens if not found?!?
}
void m_OrderClient_OnHistoryAdded(MbtOrderHistory pHist)
{
long tlid = 0;
double price = (pHist.Price != 0) ? pHist.Price : pHist.StopPrice;
broker2tl.TryGetValue(pHist.OrderNumber, out tlid);
debug(String.Format("m_OrderClient_OnHistoryAdded {0} {1} {2} {3} {4} {5} {6}", pHist.Symbol, pHist.Event, pHist.OrderNumber, tlid, price, pHist.Quantity, pHist.Message));
switch (pHist.Event)
{
case "Accepted":
case "Live":
if (!sentNewOrders.Contains(pHist.OrderNumber))
{
OrderImpl o = HistToTradeLinkOrder(pHist);
tl.newOrder(o);
sentNewOrders.Add(pHist.OrderNumber);
}
break;
case "Executed":
//OrderImpl o = HistToTradeLinkOrder(pHist);
//tl.newOrder(o);
TradeImpl f = HistToTradeLinkFill(pHist);
pt.Adjust(f);
tl.newFill(f);
break;
case "Order Cancelled":
//TODO: have to make sure order cancellations are happening correctly, especially on repeat requests from TradeLink
string bid = pHist.OrderNumber;
//long tlid = 0;
if (broker2tl.TryGetValue(bid, out tlid))
{
debug(String.Format("Order {0} cancelled, matched order {1} and sending newOrderCancel to TradeLink", bid, tlid));
//remove the order mappings
if (broker2tl.ContainsKey(bid))
broker2tl.Remove(bid);
if (tl2broker.ContainsKey(tlid))
tl2broker.Remove(tlid);
cancelids.Remove(bid);
orders.Remove(bid);
tl.newCancel(tlid);
canceledids.Add(tlid, true);
}
else
debug(String.Format("Order {0} cancelled but no matching TradeLink order to cancel", bid));
break;
default:
break;
}
}
/// <summary>
/// Get the order for a history object then convert that to a TradeLink order
/// </summary>
/// <param name="pHist"></param>
/// <returns></returns>
OrderImpl HistToTradeLinkOrder(MbtOrderHistory pHist)
{
MbtOpenOrder pOrd = GetOrderByOrderNumber(pHist.OrderNumber);
return ToTradeLinkOrder(pOrd);
}
public void OnHistoryAdded(MbtOrderHistory orderhistory)
{
SaveHistory(orderhistory);
}
