//Interfaces
//Connection and Server
public virtual void error(int tickerId, int errorCode, string errorMsg)
{
if (errorCode == 504) //Not connected
{
Console.WriteLine("Connecting again...");
msg.logError(clientSocket.getCurrentLocalTime(), errorCode, "TWS", 0, 0, errorMsg, "");
(clientSocket as EClientSocket).eConnect("127.0.0.1", 7496, 0);
Thread.Sleep(sleepTime);
return;
}
if (errorCode == 1100 || errorCode == 1300) // Connectivity between IB and the TWS has been lost
{
string subject = "Sys Error " + errorCode + " : " + errorMsg;
string body = "";
msg.sendEmail(subject, body);
}
if (errorCode == 1102) // Connectivity between IB and TWS has been restored- data maintained
{
string subject = "Reconnected " + errorCode + " : " + errorMsg;
string body = "";
msg.sendEmail(subject, body);
}
//if (errorCode == 2108) //Market data farm connection is inactive but should be available upon demand.hfarm
//{
// if (requireLiveBars)
// {
// Console.WriteLine("Requesting Live Bars...");
// msg.logError(clientSocket.getCurrentLocalTime(), errorCode, "TWS", 0, 0, errorMsg, "");
// foreach (var pair in contracts)
// {
// int bar_id = tg.get();
// clientSocket.reqRealTimeBars(pair.Key, pair.Value, 0, "TRADES", false, new List<TagValue>());
// }
// }
//}
bool found_owner = false;
foreach (KeyValuePair <int, Strategy> pair in strategies)
{
Strategy strategy = pair.Value;
if (strategy.hasReqIDWrapper(tickerId))
{
found_owner = true;
ThreadPool.UnsafeQueueUserWorkItem(new WaitCallback(strategy.onErrorWrapper), new ErrorParameters(tickerId, errorCode, errorMsg));
}
}
if (!found_owner)
{
int contract_id = mm.getContractID(tickerId);
msg.logError(clientSocket.getCurrentLocalTime(), errorCode, "TWS", contract_id, 0, errorMsg, "");
}
}
public void sendOrder(
Order ord,
DateTime endTime,
//bool mktOrdersOnly
double profitTarget = 0,
double stopTarget = 0,
DateTime?expiryStartTime = null,
DateTime?expiryEndTime = null,
DateTime?cancelAfter = null
)
{
_profitTarget = profitTarget;
_stopTarget = stopTarget;
_expiryStartTime = expiryStartTime;
_expiryEndTime = expiryEndTime;
_cancelAfter = cancelAfter;
//Create order schedules
int qty = (int)(ord.TotalQuantity);
//Test Only
//_unitSize = 2;
//_maxOrderSize = 4;
//_maxNOrders = 12;
//qty = 20;
int maxNOrders = Math.Min(_maxNOrders, (int)((qty - 0.5) / (double)(_unitSize)) + 1);
int minNOrders = (int)((qty - 0.5) / (double)(_maxOrderSize)) + 1;
Random r = new Random();
int nOrders = minNOrders >= maxNOrders ? maxNOrders : r.Next(minNOrders, maxNOrders + 1);
int minUnitSize = Math.Min(_unitSize, qty / nOrders);
int remainQty = qty - minUnitSize * nOrders;
int maxRemainOrderSize = _maxOrderSize - minUnitSize;
List <double> qtySchedule = new List <double>();
if (remainQty == 0)
{
for (int i = 0; i < nOrders; ++i)
{
qtySchedule.Add(0);
}
}
else
{
for (int i = 0; i < nOrders; ++i)
{
qtySchedule.Add(r.NextDouble());
}
double qsum = qtySchedule.Sum();
double qsmall = 0;
double qsmallnew = 0;
for (int i = 0; i < nOrders; ++i)
{
qtySchedule[i] *= remainQty / qsum;
if (qtySchedule[i] > maxRemainOrderSize)
{
qsmallnew += qtySchedule[i] - maxRemainOrderSize;
qtySchedule[i] = maxRemainOrderSize;
}
else
{
qsmall += qtySchedule[i];
qsmallnew += qtySchedule[i];
}
}
if (qsmallnew != qsmall)
{
double qratio = qsmallnew / qsmall;
for (int i = 0; i < nOrders; ++i)
{
if (qtySchedule[i] < maxRemainOrderSize)
{
qtySchedule[i] *= qratio;
}
}
}
for (int i = 1; i < nOrders; ++i)
{
qtySchedule[i] += qtySchedule[i - 1];
}
}
List <double> timeSchedule = new List <double>();
for (int i = 0; i < nOrders; ++i)
{
timeSchedule.Add(r.NextDouble());
}
timeSchedule.Sort();
_orderSchedule = new List <Tuple <Order, DateTime> >();
DateTime tstart = Strategy.getExchangeTime(_socket.getCurrentLocalTime(), _zone);
long remainTicks = (endTime - tstart).Ticks;
int prerq = 0;
for (int i = 0; i < nOrders; ++i)
{
int rq = (int)(Math.Round(qtySchedule[i], 0));
int q = minUnitSize + rq - prerq;
prerq = rq;
long ticks = (long)(timeSchedule[i] * remainTicks);
Order o = _entryTemplate.clone();
o.Action = ord.Action;
o.TotalQuantity = q;
if (!_entryTemplate.isSet("OrderType"))
{
o.OrderType = "MKT";
}
//o.LmtPrice = 0;
o.Transmit = false;
//o.TrailStopPrice = 0;
//o.TrailingPercent = 0;
//o.SmartComboRoutingParams = new List<TagValue>();
//o.SmartComboRoutingParams.Add(new TagValue("NonGuaranteed", "1"));
DateTime t = tstart.AddTicks(ticks);
_orderSchedule.Add(new Tuple <Order, DateTime>(o, t));
_msg.logMessage(t, 1, "Information", "BlockOrder", _con.ConId, _stg_id, "Scheduled " + o.OrderType + " " + o.Action + " " + o.TotalQuantity.ToString());
}
_placeOrderEvent.Reset();
_mktDataEvents[1].Reset();
_mktDataEvents[2].Reset();
_mktDataEvents[4].Reset();
ThreadPool.QueueUserWorkItem(new WaitCallback(placeOrders));
}
