public ParentOrder(int ID, string symbol, double openQty, Algo algo, double?cash = null)
{
this.ID = ID;
this.Symbol = symbol;
this.InitialQty = openQty;
this.Algo = algo;
this.AvailableCash = cash;
Qty = openQty;
this.IsActive = true;
TradeOrders = new List <TradeOrder>();
}
public ParentOrder CreateParentOrder(string symbol, double openQty, Algo algo)
{
int id = -1;
do
{
id = new Random().Next(1000 * 1000);
} while (Parent_Child_Order_Map.ContainsKey(id));
ParentOrder parentOrder = new ParentOrder(id, symbol, openQty, algo);
Log.Info(string.Format("ParentOrder {0} is created, symbol {1}", id, symbol));
return(parentOrder);
}
private void HandleTradeExecution(TradeExecution tradeExec)
{
if (ContainExeution(tradeExec))
{
Log.Info(string.Format("Received duplicated Execution, ID: {0}, Side: {1}, Qty: {2}, Price: {3}", tradeExec.ExecID, tradeExec.Side, tradeExec.Shares, tradeExec.Price));
return;
}
lock (locker)
{
Algo.HandleExecutionMsg(this, tradeExec);
Executions.Add(tradeExec);
if (tradeExec.Side == Constant.ExecutionBuy)
{
Qty += tradeExec.Shares;
}
else if (tradeExec.Side == Constant.ExecutionSell)
{
Qty -= tradeExec.Shares;
}
}
}
internal void Eval()
{
lock (locker)
{
/*
* 1. On waking up, check if last open orders has been filled on canclled.
* 2. if none of order filled or cancelled then sleep again
* 3. else cancel all op
*
* */
//if(lastSendOrders.Count==0 && this.Qty == this.InitialQty)
if (lastSendOrders.Count == 0 && GetOpenOrders().Count == 0)
{
try
{
List <TradeOrder> orders = Algo.Eval(this);
lastSendOrders.AddRange(orders);
}
catch (Exception ex)
{
Log.Error(ex.Message);
Log.Error(ex.StackTrace);
}
return;
}
bool changed = false;
if (lastSendOrders.Count > 0)
{
foreach (var order in lastSendOrders)
{
if (TradeManager.Instance.Broker == Broker.TD)
{
TDOrder tdOrder = TradeManager.Instance.GetTDOrderById(order.OrderID);
if (tdOrder != null)
{
//TODO: update tradeOrder status -- refer handle order status msg
UpdateTDOrderStatus(tdOrder);
//TODO: check if there is new execution
List <TradeExecution> executions = TradeManager.Instance.GetTDTradeExecution(tdOrder);
List <TradeExecution> newExecutions = FindNewExecutions(executions, order);
if (newExecutions.Count > 0)
{
foreach (var exec in newExecutions)
{
HandleTradeExecution(exec);
}
}
}
}
if (order.Status == TradeOrderStatus.Filled || order.Status == TradeOrderStatus.Cancelled)
{
changed = true;
Log.Info("Order status changed, start cancel open orders!");
break;
}
}
}
if (changed)
{
try
{
//cancel all open orders, synchronized call, wait for cancel event back
var openOrders = GetOpenOrders();
if (openOrders.Count > 0)
{
TradeManager.Instance.CancelOrders(openOrders);
//wait for cancel back
Thread.Sleep(1000);
if (TradeManager.Instance.Broker == Broker.TD)
{
//update cancel order status here.
foreach (var order in openOrders)
{
TDOrder tdOrder = TradeManager.Instance.GetTDOrderById(order.OrderID);
if (tdOrder != null)
{
UpdateTDOrderStatus(tdOrder);
}
}
}
}
lastSendOrders.Clear();
//place buy and sell order
List <TradeOrder> orders = Algo.Eval(this);
lastSendOrders.AddRange(orders);
}
catch (Exception ex)
{
Log.Error(ex.Message);
Log.Error(ex.StackTrace);
}
}
}
}
