public void SendRequestToCancelAllOrders(IWebSocketClientConnection connection)
{
JObject order_cancel_request = new JObject();
order_cancel_request["MsgType"] = "F";
order_cancel_request["FingerPrint"] = connection.Device.FingerPrint;
order_cancel_request["STUNTIP"] = connection.Device.Stuntip;
connection.SendMessage(order_cancel_request.ToString());
}
//
public string SendOrder(IWebSocketClientConnection connection,
string symbol,
ulong qty,
ulong price,
char side,
int broker_id,
string client_order_id,
char order_type = '2',
char execInst = default(char))
{
// add pending new order to the OMS
MiniOMS.Order orderToSend = new MiniOMS.Order();
orderToSend.Symbol = symbol;
orderToSend.OrderQty = qty;
orderToSend.Price = price;
orderToSend.Side = side;
orderToSend.ClOrdID = client_order_id;
orderToSend.OrdType = order_type;
orderToSend.OrdStatus = 'A'; // PENDING_NEW according to FIX std
try
{
_miniOMS.AddOrder(orderToSend);
}
catch (Exception ex)
{
LogStatus(LogStatusType.ERROR,
"The MiniOMS Rejected the Order : " +
orderToSend.ClOrdID + ";" +
orderToSend.OrderQty + ";" +
orderToSend.Price.ToString() + ";\n"
+ ex.Message.ToString() + "\n"
+ ex.StackTrace
);
return(null);
}
// send the order to the broker
JObject new_order_single = new JObject();
new_order_single["MsgType"] = "D";
new_order_single["ClOrdID"] = orderToSend.ClOrdID;
new_order_single["Symbol"] = orderToSend.Symbol;
new_order_single["Side"] = orderToSend.Side.ToString();
new_order_single["OrdType"] = orderToSend.OrdType.ToString();
new_order_single["Price"] = orderToSend.Price;
new_order_single["OrderQty"] = orderToSend.OrderQty;
new_order_single["BrokerID"] = broker_id;
if (execInst != default(char))
{
new_order_single["ExecInst"] = execInst.ToString();
}
new_order_single["FingerPrint"] = connection.Device.FingerPrint;
new_order_single["STUNTIP"] = connection.Device.Stuntip;
connection.SendMessage(new_order_single.ToString());
return(orderToSend.ClOrdID);
}
private void SendRequestForOpenOrders(IWebSocketClientConnection connection, int page = 0)
{
JObject orders_list_request = new JObject();
orders_list_request["MsgType"] = "U4";
orders_list_request["OrdersReqID"] = connection.NextOutgoingSeqNum();
orders_list_request["Page"] = page;
orders_list_request["PageSize"] = 20;
orders_list_request["Filter"] = new JArray("has_leaves_qty eq 1" /*"has_cum_qty eq 1"*/);
connection.SendMessage(orders_list_request.ToString());
}
public void SendTestRequest(IWebSocketClientConnection connection)
{
JObject test_request = new JObject();
test_request["MsgType"] = "1";
test_request["FingerPrint"] = connection.Device.FingerPrint;
test_request["STUNTIP"] = connection.Device.Stuntip;
test_request["TestReqID"] = connection.NextOutgoingSeqNum().ToString();
test_request["SendTime"] = Util.ConvertToUnixTimestamp(DateTime.Now).ToString();
string test_request_msg = test_request.ToString();
connection.SendMessage(test_request_msg);
}
public bool CancelOrderByClOrdID(IWebSocketClientConnection connection, string clOrdID)
{
MiniOMS.Order orderToCancel = _miniOMS.GetOrderByClOrdID(clOrdID);
if (orderToCancel != null)
{
if (orderToCancel.OrdStatus == OrdStatus.NEW || orderToCancel.OrdStatus == OrdStatus.PARTIALLY_FILLED)
{
orderToCancel.OrdStatus = OrdStatus.PENDING_CANCEL;
JObject order_cancel_request = new JObject();
order_cancel_request["MsgType"] = "F";
order_cancel_request["ClOrdID"] = clOrdID;
order_cancel_request["FingerPrint"] = connection.Device.FingerPrint;
order_cancel_request["STUNTIP"] = connection.Device.Stuntip;
connection.SendMessage(order_cancel_request.ToString());
return(true);
}
}
return(false);
}
public void OnOpen(IWebSocketClientConnection connection)
{
Debug.Assert(connection.IsConnected);
Debug.Assert(!connection.IsLoggedOn);
OnLogEvent(LogStatusType.INFO, "Connection Succeeded");
_connections.Add(connection);
// dispatch the connection opened
DispatchEvent(SystemEventType.OPENED, connection);
// build the json Login Request Message
JObject login_request = new JObject();
login_request["MsgType"] = "BE";
login_request["UserReqID"] = connection.NextOutgoingSeqNum();
login_request["UserReqTyp"] = "1";
login_request["Username"] = connection.UserAccount.Username;
login_request["Password"] = connection.UserAccount.Password;
login_request["BrokerID"] = connection.UserAccount.BrokerId;
login_request["CancelOnDisconnect"] = "1"; // enabled so that all session orders are automatically cancelled upon a disconnection (should work in next backend version)
if (connection.UserAccount.SecondFactor != null && connection.UserAccount.SecondFactor != string.Empty)
{
login_request["SecondFactor"] = connection.UserAccount.SecondFactor;
}
login_request["UserAgent"] = "Mozilla/5.0 (Linux; Android 6.0; Nexus 5 Build/MRA58N) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/46.0.2490.76 Mobile Safari/537.36";
login_request["UserAgentLanguage"] = "en-US";
login_request["UserAgentTimezoneOffset"] = ":180,";
login_request["UserAgentPlatform"] = "Linux x86_64";
login_request["FingerPrint"] = connection.Device.FingerPrint;
login_request["STUNTIP"] = connection.Device.Stuntip;
// send the login request Message on wire
connection.SendMessage(login_request.ToString());
}
private void StartInitialRequestsAfterLogon(IWebSocketClientConnection connection)
{
// 1. cancel all user orders
SendRequestToCancelAllOrders(connection); // not necessary if cancel on disconnect is active
// 2. send the balance request
JObject balance_request = new JObject();
balance_request["MsgType"] = "U2";
balance_request["BalanceReqID"] = connection.NextOutgoingSeqNum();
balance_request["FingerPrint"] = connection.Device.FingerPrint;
balance_request["STUNTIP"] = connection.Device.Stuntip;
connection.SendMessage(balance_request.ToString());
// 3. send market data request
JObject marketdata_request = new JObject();
marketdata_request["MsgType"] = "V";
marketdata_request["MDReqID"] = connection.NextOutgoingSeqNum();
marketdata_request["SubscriptionRequestType"] = "1";
marketdata_request["MarketDepth"] = 0;
marketdata_request["MDUpdateType"] = "1";
marketdata_request["MDEntryTypes"] = new JArray("0", "1", "2"); // bid, offer, trade
marketdata_request["Instruments"] = new JArray(_tradingSymbol);
marketdata_request["FingerPrint"] = connection.Device.FingerPrint;
marketdata_request["STUNTIP"] = connection.Device.Stuntip;
connection.SendMessage(marketdata_request.ToString());
// 4. send security status request
JObject securitystatus_request = new JObject();
securitystatus_request["MsgType"] = "e";
securitystatus_request["SecurityStatusReqID"] = connection.NextOutgoingSeqNum();
securitystatus_request["SubscriptionRequestType"] = "1";
JArray instruments = new JArray();
instruments.Add("BLINK:BTCBRL");
instruments.Add("BLINK:BTCUSD");
instruments.Add("BLINK:BTCVND");
instruments.Add("BLINK:BTCVEF");
instruments.Add("BLINK:BTCPKR");
instruments.Add("BLINK:BTCCLP");
instruments.Add("BITSTAMP:BTCUSD");
instruments.Add("ITBIT:BTCUSD");
instruments.Add("BITFINEX:BTCUSD");
instruments.Add("BTRADE:BTCUSD");
instruments.Add("MBT:BTCBRL");
instruments.Add("KRAKEN:BTCEUR");
instruments.Add("COINFLOOR:BTCGBP");
instruments.Add("UOL:USDBRL");
instruments.Add("UOL:USDBRT");
instruments.Add("OKCOIN:BTCCNY");
securitystatus_request["Instruments"] = instruments;
securitystatus_request["FingerPrint"] = connection.Device.FingerPrint;
securitystatus_request["STUNTIP"] = connection.Device.Stuntip;
connection.SendMessage(securitystatus_request.ToString());
// 5. send the trade history request
JObject trades_request = new JObject();
trades_request["MsgType"] = "U32";
trades_request["TradeHistoryReqID"] = connection.NextOutgoingSeqNum();
//trades_request["Filter"] = new JArray("Symbol eq 'BTCBRL'"); // not working
//trades_request["SymbolList"] = new JArray("BTCBRL"); // not working
trades_request["FingerPrint"] = connection.Device.FingerPrint;
trades_request["STUNTIP"] = connection.Device.Stuntip;
connection.SendMessage(trades_request.ToString());
// 6. send request for all "open" orders
SendRequestForOpenOrders(connection);
}