private void btnChartMarket_Click(object sender, EventArgs e)
{
WinForms.SetWaitCursor(true);
try
{
zChartInterval interval = (zChartInterval)Enum.Parse(typeof(zChartInterval), comboChartInterval.Text);
EZInstrument instrument = APIMain.Instance.ShowInstrumentDialog();
if (instrument == null)
{
status.Text = "No instrument selected.";
}
else
{
status.Text = "*** LOADING CHART ***";
RequestChartData(instrument, interval, Convert.ToInt32(numericPeriod.Value));
}
}
finally
{
WinForms.SetWaitCursor(false);
}
}
void api_OnInstrumentFound(EZInstrument ttInstrument, bool success)
{
#region Thread Safety
//cross thread - so you don't get the cross theading exception
if (this.InvokeRequired)
{
this.BeginInvoke((MethodInvoker) delegate
{
api_OnInstrumentFound(ttInstrument, success);
});
return;
}
#endregion
if (success)
{
}
else
{
string errorMsg = "";
// Instrument not found and TTAPI has given up looking for it
MessageBox.Show(this, "Could not find instrument:\n\n" + ttInstrument.Name + "\n\n" + errorMsg, "Error", MessageBoxButtons.OK, MessageBoxIcon.Exclamation);
}
}
void api_OnInstrumentFound(EZInstrument ttInstrument, bool success)
{
//cross thread - so you don't get the cross theading exception
if (this.InvokeRequired)
{
this.BeginInvoke((MethodInvoker) delegate
{
api_OnInstrumentFound(ttInstrument, success);
});
return;
}
if (success)
{
//TTInstrument ttInstrument = new TTInstrument(instrument.Key);
if (!ttInstruments.ContainsKey(ttInstrument.Key))
{
ttInstruments[ttInstrument.Key] = ttInstrument;
}
Message("Subscribed to " + ttInstrument.Name);
//btnOrder.Enabled = true;
}
else
{
string errorMsg = "";
/*if (e.Error != null)
* errorMsg = e.Error.Message;*/
// Instrument not found and TTAPI has given up looking for it
MessageBox.Show(this, "Could not find instrument:\n\n" + ttInstrument.Name + "\n\n" + errorMsg, "Error", MessageBoxButtons.OK, MessageBoxIcon.Exclamation);
}
}
public Trade(string tradeName, EZInstrument tradeInstrument)
{
this.Name = tradeName;
this.tradeInstrument = tradeInstrument;
VirtualQuantity = 1;
QuantityMultiplier = 1;
BuySell = zBuySell.Buy; // TODO: Not sure if we want this to be initialized
this.currentTradeState = TradeState.NOT_STARTED;
AutoRestart = false;
Throttle = 5;
this.tradeActive = true;
this.Metrics = null;
throttleTimer = new Timer();
throttleTimer.Elapsed += throttleTimer_Elapsed;
execution = new SimpleExecutionEngine();
execution.PartialFill += execution_PartialFill;
execution.CompleteFill += execution_CompleteFill;
// Create the TradeSteps that make up this trade.
tradeSteps = new Dictionary <TradeStepType, TradeStep>();
tradeSteps[TradeStepType.PRECONDITIONS] = new TradeStep(TradeStepType.PRECONDITIONS, BooleanRuleCombination.AND);
tradeSteps[TradeStepType.ENTRY] = new TradeStep(TradeStepType.ENTRY);
tradeSteps[TradeStepType.EXIT] = new TradeStep(TradeStepType.EXIT);
tradeSteps[TradeStepType.STOP] = new TradeStep(TradeStepType.STOP);
}
public ezSpreadLeg(EZInstrument instrument, zBuySell buySell, int executeSize, double priceMultiplier)
{
this.Instrument = instrument;
this.buySell = buySell;
this.executeSize = executeSize;
this.priceMultiplier = priceMultiplier;
}
/// <summary>
/// Example: to get 15 minute bars,
/// interval = ChartInterval.Minute
/// period = 15
/// </summary>
/// <param name="market"></param>
/// <param name="interval"></param>
/// <param name="period"></param>
/// <param name="startDate"></param>
/// <param name="endDate">Leave endDate = null for realtime (endDate = current date)</param>
static public EZChartDataSeries MakeChartData(EZInstrument instrument, ezBarInterval barInterval, DateTime startDate, DateTime?endDate = null)
{
Market market = APIMain.MarketFromInstrument(instrument);
// Load the data for the selected market.
BarInterval interval = new BarInterval(APIConvert.ToChartInterval(barInterval.Interval), barInterval.Period);
ChartDataSeries ctsChartData = new ChartDataSeries(market, interval, SessionTimeRange.Empty);
var session = new ezSessionTimeRange();
EZChartDataSeries chartData = new EZChartDataSeries(market.Description, barInterval, session);
var chartThread = new ChartDataThread(ctsChartData, chartData, startDate, endDate);
var thread = new Thread(new ThreadStart(chartThread.Run));
thread.Name = market.Description + ":" + barInterval;
thread.Start();
return(chartData);
//dataPoints = new List<ezBarDataPoint>();
/*foreach (HistoricalQuote hq in historical)
* {
* ezBarDataPoint dp = new ezBarDataPoint(hq.Open, hq.High, hq.Low, hq.Close, 0, hq.Volume);
* dataPoints.Add(dp);
* }*/
}
static public ezPrice FromDouble(EZInstrument instrument, double price)
{
var ezPrice = new ezPrice(price);
ezPrice.instrument = instrument;
return(ezPrice);
}
private void RequestChartData(EZInstrument instrument, zChartInterval interval, int period)
{
ChartDataForm chartForm;
// Set EndDate to the current trading date.
//DateTime dtEndDate = selectedContract.GetTradeDate(DateTime.Now);
DateTime dtEndDate = DateTime.Now;
DateTime dtStartDate;
// Pick a different start date depending on if we are viewing DAYS, HOURS, MINUTES, etc...
if (interval == zChartInterval.Week)
{
dtStartDate = dtEndDate.AddMonths(-16);
}
else if (interval == zChartInterval.Day)
{
dtStartDate = dtEndDate.AddMonths(-5);
}
else if (interval == zChartInterval.Minute)
{
dtStartDate = dtEndDate;
if (period <= 15) // 15 minute (or less) bars
{
dtStartDate = dtStartDate.AddTradeHours(-4);
}
else // more than 15 minute bars
{
dtStartDate = dtStartDate.AddTradeDays(-2);
}
}
else
{
// Anything we haven't covered, we'll load a couple days (not ideal - needs to be improved).
dtStartDate = dtEndDate;
dtStartDate = dtStartDate.AddTradeDays(-3);
/*// This little loop here will ensure that we load the previous trade date as well as today and will account for weekends
* // and holidays.
* while ((selectedContract.GetTradeDate(dtStartDate) == dtEndDate))
* {
* dtStartDate = dtStartDate.AddDays(-1);
* }*/
}
// Create a BarInterval object to tell the API what bar interval we want.
// So for example, if we wanted a 15 minute bar, we would do: New ezBarInterval(zChartDataType.Minute, 15)
ezBarInterval ezbi = new ezBarInterval(interval, period);
IChartDataProvider provider = new ChartDataProviderCTS(instrument.Name + " : " + ezbi, ezbi, ezSessionTimeRange.Empty);
chartForm = new ChartDataForm(provider);
WinForms.SetWaitCursor(true);
//provider.LoadHistoricalChartData(APIMain.MarketFromInstrument(instrument), dtStartDate, dtEndDate);
provider.LoadRealTimeChartData(APIMain.MarketFromInstrument(instrument), dtStartDate);
chartForm.Show();
}
void api_OnInsideMarketUpdate(EZInstrument instrument)
{
if (instrument == null || currentInstrument == null || instrument.Key != currentInstrument.Key)
{
return;
}
/*if (selectedMarketData.Equals("Bid Price"))
* UpdateDataValue(instrument.Bid.ToString());
* else if (selectedMarketData.Equals("Bid Quantity"))
* UpdateDataValue(instrument.BidQty.ToString());
* else if (selectedMarketData.Equals("Offer Price"))
* UpdateDataValue(instrument.Ask.ToString());
* else if (selectedMarketData.Equals("Offer Quantity"))
* UpdateDataValue(instrument.AskQty.ToString());*/
ezPrice price = instrument.Last;
ezQuantity qty = instrument.LastQty;
// Check if the price has moved.
if (price != lastPrint)
{
Spy.Print("{0} : {1}", price, lastPrint);
//StoreLastPrice(price);
lastPrint = price;
timeFrames.StoreTradeVolume(qty);
UpdateDataValue(timeFrames.VolumeInTimePeriod(TimeSpan.FromMinutes(5)));
lastPrintTotalVolume = instrument.LastTotalVolume;
}
else // last price is the same - check to see if another trade occurred at the same price
{
if (instrument.LastTotalVolume > lastPrintTotalVolume)
{
timeFrames.StoreTradeVolume(qty);
UpdateDataValue(timeFrames.VolumeInTimePeriod(TimeSpan.FromMinutes(5)));
lastPrintTotalVolume = instrument.LastTotalVolume;
}
}
//UpdateDataValue(instrument.LastQty.ToString());
/*this.Invoke((MethodInvoker)delegate
* {
* lblBid1.Text = instrument.Bid.ToString();
* lblBidVol1.Text = instrument.BidQty.ToString();
* lblOffer1.Text = instrument.Ask.ToString();
* lblOfferVol1.Text = instrument.AskQty.ToString();
* lblLast1.Text = instrument.Last.ToString();
* lblLastVol1.Text = instrument.LastQty.ToString();
* lblTotalVol1.Text = instrument.Volume.ToString();
* lblNet1.Text = instrument.NetPos.ToString();
* lblBuys1.Text = instrument.NetBuys.ToString();
* lblSells1.Text = instrument.NetSells.ToString();
* });*/
}
private void btnMarket2_Click(object sender, EventArgs e)
{
EZInstrument instrument = api.ShowInstrumentDialog();
if (instrument != null)
{
lblMarket2.Text = instrument.Description;
instrument2 = instrument;
}
}
static public EZInstrument MakeInstrument(Market market)
{
ezInstrumentKey iKey = MakeInstrumentKey(market);
var ezi = new EZInstrument(iKey);
ezi.Key = iKey;
ezi.Name = market.Description;
ezi.Description = market.Description;
return(ezi);
}
public override void UpdateProviderFromPropertyValues()
{
selectedMarketQuoteItem = prop["QuoteItem"];
ezInstrumentKey instrumentKey = APIFactory.InstrumentKeyFromString(prop["InstrumentKey"]);
currentInstrument = APIMain.InstrumentFromKey(instrumentKey);
//api.SubscribeToInstrument(instrument.Key);
api.OnInsideMarketUpdate += api_OnInsideMarketUpdate;
api_OnInsideMarketUpdate(currentInstrument);
}
void api_OnInsideMarketUpdate(EZInstrument ezi)
{
if (ezi == spread)
{
this.Invoke((MethodInvoker) delegate
{
lstDisplay.Items.Insert(0, string.Format("bid: {0:0} ask: {1:0} last: {2:0} mid: {3:0}", spread.Bid.ToDouble(), spread.Ask.ToDouble(), spread.Last.ToDouble(), spread.MidPrice.ToDouble()));
});
Console.WriteLine("bid: {0:0} ask: {1:0} last: {2:0} mid: {3:0}", spread.Bid, spread.Ask, spread.Last, spread.MidPrice);
}
}
void api_OnFill(FillOriginator originator, FillAction action, EZInstrument ttInstrument, EZFill fill, EZFill newFill)
{
//cross thread - so you don't get the cross theading exception
if (this.InvokeRequired)
{
this.BeginInvoke((MethodInvoker) delegate
{
api_OnFill(originator, action, ttInstrument, fill, newFill);
});
return;
}
}
void api_OnOrder(EZOrderStatus status, EZInstrument ttInstrument, EZOrder order, EZOrder newOrder)
{
//cross thread - so you don't get the cross theading exception
if (this.InvokeRequired)
{
this.BeginInvoke((MethodInvoker) delegate
{
api_OnOrder(status, ttInstrument, order, newOrder);
});
return;
}
}
void SubscribeToInstrument(EZInstrument instrument)
{
// Look at our TradeDetailTag and determine the MarketQuoteItem that we are
// interested in (i.e. LastPrice, BidPrice, AskPrice, etc.)
//selectedMarketQuoteItem = quoteItem;
//ezInstrumentKey instrumentKey = APIFactory.InstrumentKeyFromString(instrumentKeyStr);
//currentInstrument = APIMain.InstrumentFromKey(instrumentKey);
currentInstrument = instrument;
api.OnInsideMarketUpdate += api_OnInsideMarketUpdate;
api_OnInsideMarketUpdate(currentInstrument);
}
void api_OnInsideMarketUpdate(EZInstrument instrument)
{
//cross thread - so you don't get the cross threading exception
if (this.InvokeRequired)
{
this.BeginInvoke((MethodInvoker) delegate
{
api_OnInsideMarketUpdate(instrument);
});
return;
}
Message(string.Format("{0:h:mm:ss}: bid {1} @ {2} ask {3} @ {4} last {5} @ {6} [{7}]", DateTime.Now, instrument.BidQty, instrument.Bid, instrument.AskQty, instrument.Ask, instrument.LastQty, instrument.Last, instrument.Volume));
}
void api_OnInsideMarketUpdate(EZInstrument instrument)
{
if (instrument == null || currentInstrument == null || instrument.Key != currentInstrument.Key)
{
return;
}
if (selectedMarketQuoteItem == null)
{
return;
}
if (selectedMarketQuoteItem.Equals("Bid Price"))
{
UpdateDataValue(instrument.Bid.ToString());
}
else if (selectedMarketQuoteItem.Equals("Bid Quantity"))
{
UpdateDataValue(instrument.BidQty.ToString());
}
else if (selectedMarketQuoteItem.Equals("Offer Price"))
{
UpdateDataValue(instrument.Ask.ToString());
}
else if (selectedMarketQuoteItem.Equals("Offer Quantity"))
{
UpdateDataValue(instrument.AskQty.ToString());
}
else if (selectedMarketQuoteItem.Equals("Last Price"))
{
UpdateDataValue(instrument.Last.ToString());
}
else if (selectedMarketQuoteItem.Equals("Last Quantity"))
{
UpdateDataValue(instrument.LastQty.ToString());
}
/*this.Invoke((MethodInvoker)delegate
* {
* lblBid1.Text = instrument.Bid.ToString();
* lblBidVol1.Text = instrument.BidQty.ToString();
* lblOffer1.Text = instrument.Ask.ToString();
* lblOfferVol1.Text = instrument.AskQty.ToString();
* lblLast1.Text = instrument.Last.ToString();
* lblLastVol1.Text = instrument.LastQty.ToString();
* lblTotalVol1.Text = instrument.Volume.ToString();
* lblNet1.Text = instrument.NetPos.ToString();
* lblBuys1.Text = instrument.NetBuys.ToString();
* lblSells1.Text = instrument.NetSells.ToString();
* });*/
}
void api_OnTimeAndSales(EZInstrument ttInstrument, DateTime timeStamp, Price LTP, Quantity LTQ, TradeDirection direction, bool isOTC)
{
#region Thread Safety
//cross thread - so you don't get the cross theading exception
if (this.InvokeRequired)
{
this.BeginInvoke((MethodInvoker) delegate
{
api_OnTimeAndSales(ttInstrument, timeStamp, LTP, LTQ, direction, isOTC);
});
return;
}
#endregion
}
void api_OnMarketDepth(EZInstrument ttInstrument, EZMarketDepth marketDepth)
{
#region Thread Safety
//cross thread - so you don't get the cross theading exception
if (this.InvokeRequired)
{
this.BeginInvoke((MethodInvoker) delegate
{
api_OnMarketDepth(ttInstrument, marketDepth);
});
return;
}
#endregion
}
void api_OnInsideMarketUpdate(EZInstrument instrument)
{
#region Thread Safety
//cross thread - so you don't get the cross theading exception
if (this.InvokeRequired)
{
this.BeginInvoke((MethodInvoker) delegate
{
api_OnInsideMarketUpdate(instrument);
});
return;
}
#endregion
}
public void Sell(EZInstrument instrument, int quantity, string strategyName)
{
if (strategyName != null)
{
executionStatus[strategyName] = new ExecutionStatus(strategyName);
}
ezPrice bid = instrument.Bid;
EZOrder ezo = api.SellLimit(instrument, quantity, bid, strategyName);
StoreOrder(strategyName, ezo);
Spy.Print("SELL: {0} @ {1}", quantity, bid);
}
public void Buy(EZInstrument instrument, int quantity, string strategyName)
{
if (strategyName != null)
{
executionStatus[strategyName] = new ExecutionStatus(strategyName);
executionStatus[strategyName].quantitySubmitted = quantity;
}
ezPrice ask = instrument.Ask;
EZOrder ezo = api.BuyLimit(instrument, quantity, ask, strategyName);
StoreOrder(strategyName, ezo);
Spy.Print("BUY: {0} @ {1}", quantity, ask);
}
private void RequestChartData(EZInstrument instrument, zChartInterval interval, int period)
{
// Set EndDate to the current trading date.
//DateTime dtEndDate = selectedContract.GetTradeDate(DateTime.Now);
DateTime dtEndDate = DateTime.Now;
DateTime dtStartDate;
zChartInterval enBarInterval = zChartInterval.Hour;
if (interval == zChartInterval.Day)
{
enBarInterval = zChartInterval.Day;
// User select Day bars, load a few months of them.
dtStartDate = dtEndDate.AddMonths(-3);
}
else
{
enBarInterval = interval;
// User selected non-Day bars (Hour, Minute, etc.), load a couple of days of them.
dtStartDate = dtEndDate;
dtStartDate = dtStartDate.AddDays(-3);
/*// This little loop here will ensure that we load the previous trade date as well as today and will account for weekends
* // and holidays.
* while ((selectedContract.GetTradeDate(dtStartDate) == dtEndDate))
* {
* dtStartDate = dtStartDate.AddDays(-1);
* }*/
}
// Create a BarInterval object to tell the API what bar interval we want.
// So for example, if we wanted a 15 minute bar, we would do: New ezBarInterval(zChartDataType.Minute, 15)
ezBarInterval oBarIntvl = new ezBarInterval(enBarInterval, period);
string chartName = instrument.Name + " : " + oBarIntvl;
IChartDataProvider provider = new ChartDataProviderCTS(chartName, oBarIntvl, ezSessionTimeRange.Empty);
if (LoadingNewChart != null)
{
LoadingNewChart(provider);
}
this.SetChartDataProvider(provider);
WinForms.SetWaitCursor(true);
provider.LoadHistoricalChartData(APIMain.MarketFromInstrument(instrument), dtStartDate, dtEndDate);
}
void api_OnInsideMarketUpdate(EZInstrument instrument)
{
if (instrument == null || currentInstrument == null || instrument.Key != currentInstrument.Key)
{
return;
}
if (selectedMarketQuoteItem == null)
{
return;
}
if (selectedMarketQuoteItem.Equals("BidPrice"))
{
UpdateDataValuePrice(instrument.Bid.ToString());
}
else if (selectedMarketQuoteItem.Equals("BidQty"))
{
UpdateDataValuePrice(instrument.BidQty.ToString());
}
else if (selectedMarketQuoteItem.Equals("AskPrice"))
{
UpdateDataValuePrice(instrument.Ask.ToString());
}
else if (selectedMarketQuoteItem.Equals("AskQuantity"))
{
UpdateDataValuePrice(instrument.AskQty.ToString());
}
else if (selectedMarketQuoteItem.Equals("LastPrice"))
{
UpdateDataValuePrice(instrument.Last.ToString());
}
else if (selectedMarketQuoteItem.Equals("LastQty"))
{
UpdateDataValuePrice(instrument.LastQty.ToString());
}
else if (selectedMarketQuoteItem.Equals("MidPrice"))
{
UpdateDataValuePrice(instrument.MidPrice.ToString());
}
else if (selectedMarketQuoteItem.Equals("CurrentTime"))
{
UpdateDataValueTime();
}
}
/// <summary>
/// I'm setting the WaitCursor here (especially for the first time the
/// market dialog loads, it can be a little slow). The "finally" should
/// ensure that we are never left hanging with the WaitCursor. But I
/// will also attempt to set the cursor back to default within the
/// ShowInstrumentDialog method (and/or the showing of the form).
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void btnSelectMarket_Click(object sender, EventArgs e)
{
txtMarket.Text = "Loading Market Chooser...";
Application.DoEvents();
Cursor.Current = Cursors.WaitCursor;
Cursor.Show();
try
{
// Store the existing trade instrument in case we want to
// change it back (if the user cancels the market selection
// dialog, for instance).
EZInstrument storeTradeInstrument = tradeInstrument;
tradeInstrument = api.ShowInstrumentDialog();
if (tradeInstrument != null)
{
txtMarket.Text = tradeInstrument.Name;
}
else
{
// User cancelled the market selection dialog, so let's
// try to restore the previously selected trade instrument
// (which may have been null - so handle that also).
tradeInstrument = storeTradeInstrument;
if (tradeInstrument == null)
{
txtMarket.Text = "(no market selected)";
}
else
{
txtMarket.Text = tradeInstrument.Name;
}
}
}
finally
{
Cursor.Current = Cursors.Default;
Cursor.Show();
}
}
public override void UpdateProviderFromPropertyValues()
{
//selectedMarketData = prop["QuoteItem"];
ezInstrumentKey instrumentKey = APIFactory.InstrumentKeyFromString(prop["InstrumentKey"]);
// Get historical data for 1-hour "bars".
EZInstrument instrument = APIMain.InstrumentFromKey(instrumentKey);
zChartInterval interval = zChartInterval.Hour;
int period = 1;
// TODO analyze different time periods (ex: different hours of the trading session) to
// get a better "AverageVolumePerTimePeriod" calculation.
EZChartDataSeries historicalData = api.RequestHistoricalData(instrument, interval, period);
if (historicalData == null)
{
averageVolumePerTimePeriod = prop["AverageVolumePerTimePeriod"] ?? 0;
timePeriodLength = prop["TimePeriodLengthMinutes"] ?? 0.0;
}
else
{
int totalVolume = 0;
int volumeCount = 0;
foreach (ezBarDataPoint dp in historicalData.TradeBars)
{
totalVolume += dp.Volume;
++volumeCount;
}
double averageVolumePerHour = (double)totalVolume / (double)volumeCount;
timePeriodLength = 5.0; // five minutes
averageVolumePerTimePeriod = (int)Math.Round(averageVolumePerHour / 20.0);
}
currentInstrument = APIMain.InstrumentFromKey(instrumentKey);
//api.SubscribeToInstrument(instrument.Key);
api.OnInsideMarketUpdate += api_OnInsideMarketUpdate;
api_OnInsideMarketUpdate(currentInstrument);
}
public void SetTradeInstrument(EZInstrument instrument)
{
tradeInstrument = instrument;
FireUpdateEvent();
}
