private void OnOrderNew(Messages.Order bitfinexOrder)
{
if (bitfinexOrder.Status == "ACTIVE")
{
var brokerId = bitfinexOrder.Id.ToStringInvariant();
Order order;
if (_orderMap.TryGetValue(bitfinexOrder.ClientOrderId, out order))
{
if (CachedOrderIDs.ContainsKey(order.Id))
{
CachedOrderIDs[order.Id].BrokerId.Clear();
CachedOrderIDs[order.Id].BrokerId.Add(brokerId);
}
else
{
order.BrokerId.Add(brokerId);
CachedOrderIDs.TryAdd(order.Id, order);
}
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, OrderFee.Zero, "Bitfinex Order Event")
{
Status = OrderStatus.Submitted
});
}
}
}
/// <summary>
/// Event invocator for the OrderFilled event
/// </summary>
/// <param name="e">The OrderEvent</param>
private void OnOrderSubmit(BinanceOrderSubmitEventArgs e)
{
var brokerId = e.BrokerId;
var order = e.Order;
if (CachedOrderIDs.ContainsKey(order.Id))
{
CachedOrderIDs[order.Id].BrokerId.Clear();
CachedOrderIDs[order.Id].BrokerId.Add(brokerId);
}
else
{
order.BrokerId.Add(brokerId);
CachedOrderIDs.TryAdd(order.Id, order);
}
}
private bool SubmitOrder(string endpoint, Order order)
{
LockStream();
var payload = new JsonObject();
payload.Add("request", endpoint);
payload.Add("nonce", GetNonce().ToString());
payload.Add("symbol", _symbolMapper.GetBrokerageSymbol(order.Symbol));
payload.Add("amount", Math.Abs(order.Quantity).ToString(CultureInfo.InvariantCulture));
payload.Add("side", ConvertOrderDirection(order.Direction));
payload.Add("type", ConvertOrderType(_algorithm.BrokerageModel.AccountType, order.Type));
payload.Add("price", GetOrderPrice(order).ToString(CultureInfo.InvariantCulture));
if (order.BrokerId.Any())
{
payload.Add("order_id", long.Parse(order.BrokerId.FirstOrDefault()));
}
var orderProperties = order.Properties as BitfinexOrderProperties;
if (orderProperties != null)
{
if (order.Type == OrderType.Limit)
{
payload.Add("is_hidden", orderProperties.Hidden);
payload.Add("is_postonly", orderProperties.PostOnly);
}
}
var request = new RestRequest(endpoint, Method.POST);
request.AddJsonBody(payload.ToString());
SignRequest(request, payload.ToString());
var response = ExecuteRestRequest(request);
var orderFee = OrderFee.Zero;
if (response.StatusCode == HttpStatusCode.OK)
{
var raw = JsonConvert.DeserializeObject <Messages.Order>(response.Content);
if (string.IsNullOrEmpty(raw?.Id))
{
var errorMessage = $"Error parsing response from place order: {response.Content}";
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, orderFee, "Bitfinex Order Event")
{
Status = OrderStatus.Invalid, Message = errorMessage
});
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, (int)response.StatusCode, errorMessage));
UnlockStream();
return(true);
}
var brokerId = raw.Id;
if (CachedOrderIDs.ContainsKey(order.Id))
{
CachedOrderIDs[order.Id].BrokerId.Clear();
CachedOrderIDs[order.Id].BrokerId.Add(brokerId);
}
else
{
order.BrokerId.Add(brokerId);
CachedOrderIDs.TryAdd(order.Id, order);
}
// Generate submitted event
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, orderFee, "Bitfinex Order Event")
{
Status = OrderStatus.Submitted
});
Log.Trace($"Order submitted successfully - OrderId: {order.Id}");
UnlockStream();
return(true);
}
var message = $"Order failed, Order Id: {order.Id} timestamp: {order.Time} quantity: {order.Quantity} content: {response.Content}";
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, orderFee, "Bitfinex Order Event")
{
Status = OrderStatus.Invalid
});
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, -1, message));
UnlockStream();
return(true);
}
/// <summary>
/// Creates a new order
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public override bool PlaceOrder(Orders.Order order)
{
LockStream();
var req = new RestRequest("/orders", Method.POST);
dynamic payload = new ExpandoObject();
payload.size = Math.Abs(order.Quantity);
payload.side = order.Direction.ToString().ToLower();
payload.type = ConvertOrderType(order.Type);
payload.price = order is LimitOrder ? ((LimitOrder)order).LimitPrice : order is StopMarketOrder ? ((StopMarketOrder)order).StopPrice : 0;
payload.product_id = ConvertSymbol(order.Symbol);
if (_algorithm.BrokerageModel.AccountType == AccountType.Margin)
{
payload.overdraft_enabled = true;
}
req.AddJsonBody(payload);
GetAuthenticationToken(req);
var response = RestClient.Execute(req);
if (response.StatusCode == System.Net.HttpStatusCode.OK && response.Content != null)
{
var raw = JsonConvert.DeserializeObject <Messages.Order>(response.Content);
if (raw == null || raw.Id == null)
{
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Error, (int)response.StatusCode, "GDAXBrokerage.PlaceOrder: Error parsing response from place order: " + response.Content));
UnlockStream();
return(false);
}
var brokerId = raw.Id;
if (CachedOrderIDs.ContainsKey(order.Id))
{
CachedOrderIDs[order.Id].BrokerId.Add(brokerId);
}
else
{
order.BrokerId.Add(brokerId);
CachedOrderIDs.TryAdd(order.Id, order);
}
// Add fill splits in all cases; we'll need to handle market fills too.
FillSplit.TryAdd(order.Id, new GDAXFill(order));
// Generate submitted event
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, 0, "GDAX Order Event")
{
Status = OrderStatus.Submitted
});
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Information, -1, "GDAXBrokerage.PlaceOrder: Order completed successfully orderid:" + order.Id.ToString()));
UnlockStream();
return(true);
}
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, 0, "GDAX Order Event")
{
Status = OrderStatus.Invalid
});
var message = $"GDAXBrokerage.PlaceOrder: Order failed Order Id: {order.Id} timestamp: {order.Time} quantity: {order.Quantity} content: {response.Content}";
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Error, -1, message));
UnlockStream();
return(false);
}
/// <summary>
/// Creates a new order
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public override bool PlaceOrder(Order order)
{
LockStream();
var req = new RestRequest("/orders", Method.POST);
dynamic payload = new ExpandoObject();
payload.size = Math.Abs(order.Quantity);
payload.side = order.Direction.ToString().ToLower();
payload.type = ConvertOrderType(order.Type);
payload.price = (order as LimitOrder)?.LimitPrice ?? ((order as StopMarketOrder)?.StopPrice ?? 0);
payload.product_id = ConvertSymbol(order.Symbol);
if (_algorithm.BrokerageModel.AccountType == AccountType.Margin)
{
payload.overdraft_enabled = true;
}
var orderProperties = order.Properties as GDAXOrderProperties;
if (orderProperties != null)
{
if (order.Type == OrderType.Limit)
{
payload.post_only = orderProperties.PostOnly;
}
}
req.AddJsonBody(payload);
GetAuthenticationToken(req);
var response = ExecuteRestRequest(req, GdaxEndpointType.Private);
if (response.StatusCode == HttpStatusCode.OK && response.Content != null)
{
var raw = JsonConvert.DeserializeObject <Messages.Order>(response.Content);
if (raw?.Id == null)
{
var errorMessage = $"Error parsing response from place order: {response.Content}";
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, 0, "GDAX Order Event")
{
Status = OrderStatus.Invalid, Message = errorMessage
});
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, (int)response.StatusCode, errorMessage));
UnlockStream();
return(true);
}
if (raw.Status == "rejected")
{
var errorMessage = "Reject reason: " + raw.RejectReason;
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, 0, "GDAX Order Event")
{
Status = OrderStatus.Invalid, Message = errorMessage
});
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, (int)response.StatusCode, errorMessage));
UnlockStream();
return(true);
}
var brokerId = raw.Id;
if (CachedOrderIDs.ContainsKey(order.Id))
{
CachedOrderIDs[order.Id].BrokerId.Add(brokerId);
}
else
{
order.BrokerId.Add(brokerId);
CachedOrderIDs.TryAdd(order.Id, order);
}
// Add fill splits in all cases; we'll need to handle market fills too.
FillSplit.TryAdd(order.Id, new GDAXFill(order));
// Generate submitted event
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, 0, "GDAX Order Event")
{
Status = OrderStatus.Submitted
});
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Information, -1, "Order completed successfully orderid:" + order.Id));
UnlockStream();
return(true);
}
var message = $"Order failed, Order Id: {order.Id} timestamp: {order.Time} quantity: {order.Quantity} content: {response.Content}";
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, 0, "GDAX Order Event")
{
Status = OrderStatus.Invalid
});
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, -1, message));
UnlockStream();
return(true);
}
/// <summary>
/// Creates a new order
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public override bool PlaceOrder(Orders.Order order)
{
var req = new RestRequest("/orders", Method.POST);
dynamic payload = new ExpandoObject();
payload.size = Math.Abs(order.Quantity);
payload.side = order.Direction.ToString().ToLower();
payload.type = ConvertOrderType(order.Type);
payload.price = order is LimitOrder ? ((LimitOrder)order).LimitPrice : order is StopMarketOrder ? ((StopMarketOrder)order).StopPrice : 0;
payload.product_id = ConvertSymbol(order.Symbol);
if (_algorithm.BrokerageModel.AccountType == AccountType.Margin)
{
payload.overdraft_enabled = true;
}
req.AddJsonBody(payload);
GetAuthenticationToken(req);
var response = RestClient.Execute(req);
if (response.StatusCode == System.Net.HttpStatusCode.OK && response.Content != null)
{
dynamic raw = JsonConvert.DeserializeObject <dynamic>(response.Content);
if (raw == null || raw.id == null)
{
Log.Error("GDAXBrokerage.PlaceOrder: Error parsing response from place order");
return(false);
}
string brokerId = raw.id;
if (CachedOrderIDs.ContainsKey(order.Id))
{
CachedOrderIDs[order.Id].BrokerId.Add(brokerId);
}
else
{
order.BrokerId.Add(brokerId);
CachedOrderIDs.TryAdd(order.Id, order);
}
if (order.Type != OrderType.Market)
{
FillSplit.TryAdd(order.Id, new GDAXFill(order));
}
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, 0, "GDAX Order Event")
{
Status = OrderStatus.Submitted
});
if (order.Type == OrderType.Market)
{
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, (decimal)raw.fill_fees, "GDAX Order Event")
{
Status = OrderStatus.Filled
});
Orders.Order outOrder = null;
CachedOrderIDs.TryRemove(order.Id, out outOrder);
}
Log.Trace("GDAXBrokerage.PlaceOrder: Order completed successfully orderid:" + order.Id.ToString());
return(true);
}
OnOrderEvent(new OrderEvent(order, DateTime.UtcNow, 0, "GDAX Order Event")
{
Status = OrderStatus.Invalid
});
Log.Trace("GDAXBrokerage.PlaceOrder: Order failed Order Id: " + order.Id + " timestamp:" + order.Time + " quantity: " + order.Quantity.ToString()
+ " content:" + response.Content);
return(false);
}