public void cancelOrder(FlexTrade.Order o)
{
log.Info("Cancelling order #" + o.internalId);
ibClient.CancelOrder(Convert.ToInt32(o.exchangeId));
if(ordersOrgFormat.ContainsKey(o.internalId))
{
Order ord = ordersOrgFormat[o.internalId];
ord.status = Order.OrderStatus.CANCELLED;
if(openOrders.ContainsKey(ord.internalId))
{
orderInputQueue.Remove(openOrders[ord.internalId]);
openOrders.Remove(ord.internalId);
}
ordersOrgFormat.Remove(ord.internalId);
openOrderContracts.Remove(ord.internalId);
}
}
private Contract createContractFromProduct(FlexTrade.Product p)
{
Contract c = null;
if (p is FlexTrade.Equity)
{
c = new Krs.Ats.IBNet.Contracts.Equity(p.symbol);
}
else
{
//throw exception!! We don't support other products
}
return c;
}
//Take in an order in the canonical format, translate it, and add to the internal queue
public int submitOrder(FlexTrade.Order o)
{
int currentID = orderIdCounter;
//Must pass all orders through the risk filter to ensure that it is compliant
try
{
log.Debug("Running order #" + o.internalId + " through risk filter.");
riskFilter.isAcceptable(o);
}
catch(UnacceptableRiskException e)
{
log.Error("Order " + o.internalId + " rejected by risk filter");
//Alert any interested in hearing about orders caught by the risk filter
if(RiskFilterFailure != null)
RiskFilterFailure(e.riskFilterMessages);
//Rethrow the messages so that the sender of the order knows it failed
throw;
}
//If the order ID is still set to -1, then we haven't received the intial ID value from IB
//We must wait until this is received.
if (!isReadyToTakeOrders())
{
log.Error("Manager not fully initialized.");
return -1;
}
else
{
Contract contract = null;
//Translate to the internal representation of an order
Krs.Ats.IBNet.Order internalOrder = new Krs.Ats.IBNet.Order();
internalOrder.Action = (o.side.Equals(FlexTrade.Order.Side.BUY) ? ActionSide.Buy : ActionSide.Sell);
internalOrder.OutsideRth = false;
internalOrder.TotalQuantity = o.orderQuantity;
internalOrder.OrderId = currentID;
o.internalId = currentID;
contract = createContractFromProduct(o.product);
if (o is FlexTrade.LimitOrder)
{
internalOrder.OrderType = OrderType.Limit;
internalOrder.LimitPrice = (decimal)((FlexTrade.LimitOrder)o).limitPrice;
internalOrder.AuxPrice = 0;
}
else if (o is FlexTrade.MarketOrder)
{
internalOrder.OrderType = OrderType.Market;
internalOrder.AuxPrice = 0;
}
else
{
//throw exception!! We don't support other order types
}
//Keeping track of all the objects involved
orderInputQueue.Add(internalOrder);
openOrderContracts.Add(currentID, contract);
ordersOrgFormat.Add(currentID, o);
//TODO For now this will be done on the same thread. It was created as a separate method to remind me that it would be
//better to execute this asynchronously for improved performance in the future.
log.Info("Sending order #" + internalOrder.OrderId + " for " + internalOrder.TotalQuantity + " of " + contract.Symbol);
placeOrder(internalOrder, contract);
requestMarketDataForProduct(o.product);
o.status = Order.OrderStatus.SENT;
//increment the order and ticker IDs for the next order and contract
orderIdCounter++;
return currentID;
}
}
