void stiEvents_OnSTIOrderUpdate(ref structSTIOrderUpdate structOrderUpdate)
{
Order o = new OrderImpl();
o.symbol = structOrderUpdate.bstrSymbol;
uint id = 0;
if (!uint.TryParse(structOrderUpdate.bstrClOrderId, out id))
{
id = (uint)structOrderUpdate.nOrderRecordId;
}
o.id = id;
o.size = structOrderUpdate.nQuantity;
o.side = o.size > 0;
o.price = (decimal)structOrderUpdate.fLmtPrice;
o.stopp = (decimal)structOrderUpdate.fStpPrice;
o.TIF = structOrderUpdate.bstrTif;
o.Account = structOrderUpdate.bstrAccount;
o.ex = structOrderUpdate.bstrDestination;
long now = Convert.ToInt64(structOrderUpdate.bstrUpdateTime);
int xsec = (int)(now % 100);
long rem = (now - xsec) / 100;
o.time = ((int)(rem % 10000)) * 100 + xsec;
o.date = (int)((rem - o.time) / 10000);
tl.newOrder(o);
}
void m_OrderClient_OnSubmit(MbtOpenOrder pOrd)
{
OrderImpl o = new OrderImpl(pOrd.Symbol, pOrd.Quantity);
o.side = pOrd.BuySell == MBConst.VALUE_BUY;
o.price = (decimal)pOrd.Price;
o.stopp = (decimal)pOrd.StopLimit;
o.TIF = pOrd.TimeInForce == MBConst.VALUE_DAY ? "DAY" : "GTC";
o.time = Util.ToTLTime(pOrd.UTCDateTime);
o.date = Util.ToTLDate(pOrd.UTCDateTime);
o.sec = pOrd.UTCDateTime.Second;
o.trail = (decimal)pOrd.TrailingOffset;
//o.ex = pOrd.Route;
o.id = Convert.ToUInt32(pOrd.OrderNumber);
tl.newOrder(o);
}
protected virtual int OnStockSendingOrder(UInt32 hStock, GTSession.GTSending32 pending)
{
// get order
Order o = new OrderImpl(pending.szStock, pending.nEntryShares);
o.id = (uint)pending.dwTicketNo;
o.side = pending.chEntrySide == 'B';
//o.TIF = pending.nEntryTIF;
o.Account = pending.szAccountID;
o.date = pending.nEntryDate;
o.time = pending.nEntryTime;
// is this limit v stop?
char type = pending.chPriceIndicator;
// not sure about these two
o.price = (decimal)pending.dblEntryPrice;
o.stopp = (decimal)pending.dblEntryStopLimitPrice;
// notify clients
tl.newOrder(o);
return(0);
}
// event handlers
long tl_gotSrvFillRequest(Order o)
{
s.newOrder(o);
fillrequest++;
return(0);
}
void SimBroker_GotOrder(Order o)
{
tl.newOrder(o, true);
}
/*
* [Test]
* public void PerformanceTests()
* {
* // expected performance
* const decimal EXPECT = .10m;
* // get ticks for test
* const int TICKSENT = 1000;
* Tick[] tick = TradeLink.Research.RandomTicks.GenerateSymbol(SYM, TICKSENT);
* // subscribe to symbol
* c.Unsubscribe();
* c.Subscribe(new BasketImpl(SYM));
* // reset ticks
* int save = ticks;
* ticks = 0;
* // start clock
* DateTime start = DateTime.Now;
*
* // process ticks
* for (int i = 0; i < tick.Length; i++)
* s.newTick(tick[i]);
*
* // stop clock
* double time = DateTime.Now.Subtract(start).TotalSeconds;
* // make sure time exists
* Assert.Greater(time, 0);
* // make sure it's less than expected
* Assert.LessOrEqual(time, EXPECT);
* // make sure we got all the ticks
* Assert.AreEqual(TICKSENT, ticks);
* decimal ticksec = TICKSENT/(decimal)time;
* Console.WriteLine("protocol performance (tick/sec): " + ticksec.ToString("N0"));
*
* // restore ticks
* ticks = save;
* }*/
// event handlers
void tl_gotSrvFillRequest(Order o)
{
s.newOrder(o);
fillrequest++;
}
void tl_gotSrvFillRequest(Order o)
{
if (!ok)
{
debug("not logged in."); return;
}
string action = o.side ? "buy" : "sell";
string otype = o.isLimit ? "limit" : "market";
if (o.id == 0)
{
o.id = OrderImpl.Unique;
}
string route = "auto";
if (o.ex.ToUpper().Contains("ARCA"))
{
route = "ecn_arca";
}
else if (o.ex.ToUpper().Contains("INET"))
{
route = "inet";
}
AmeritradeBrokerAPI.ATradeArgument brokerReplyargs = new AmeritradeBrokerAPI.ATradeArgument();
string cResultMessage = string.Empty;
string cEnteredOrderID = string.Empty;
StringBuilder cOrderString = new StringBuilder();
cOrderString.Append("action=" + api.Encode_URL(action));
cOrderString.Append("~clientorderid=" + api.Encode_URL(o.id.ToString()));
cOrderString.Append("~accountid=" + api.Encode_URL(api._accountid));
cOrderString.Append("~actprice=" + api.Encode_URL(string.Empty));
cOrderString.Append("~expire=" + api.Encode_URL(o.TIF));
cOrderString.Append("~ordtype=" + api.Encode_URL(otype));
cOrderString.Append("~price=" + api.Encode_URL(o.price.ToString()));
cOrderString.Append("~quantity=" + api.Encode_URL(o.size.ToString()));
cOrderString.Append("~spinstructions=" + api.Encode_URL("none"));
cOrderString.Append("~symbol=" + api.Encode_URL(o.symbol));
cOrderString.Append("~routing=" + api.Encode_URL(route));
cOrderString.Append("~tsparam=" + api.Encode_URL(string.Empty));
cOrderString.Append("~exmonth=" + api.Encode_URL(string.Empty));
cOrderString.Append("~exday=" + api.Encode_URL(string.Empty));
cOrderString.Append("~exyear=" + api.Encode_URL(string.Empty));
cOrderString.Append("~displaysize=" + api.Encode_URL(string.Empty));
brokerReplyargs.ResultsCode =
api.TD_sendOrder(_user.Text, _pass.Text, AmeritradeBrokerAPI.SOURCEID, APIVER, cOrderString.ToString(), ref cResultMessage, ref cEnteredOrderID);
if (brokerReplyargs.ResultsCode != OK)
{
debug(cResultMessage);
}
else
{
long tdid = 0;
if (long.TryParse(cEnteredOrderID, out tdid))
{
idmap.Add(o.id, tdid);
}
tl.newOrder(o);
}
}
