private void btnNewOrderSingle_Click(object sender, EventArgs e)
{
char bs;
if (cbxBS.Text == "BUY")
{
bs = QuickFix.Side.BUY;
}
else
{
bs = QuickFix.Side.SELL;
}
char orderType;
if (_tradePrice == -1)
{
orderType = QuickFix.OrdType.MARKET;
}
else
{
orderType = QuickFix.OrdType.LIMIT;
}
TT.SendMsg send = new TT.SendMsg();
send.ttNewOrderSingle(new string[] { _gw, _product, QuickFix.SecurityType.FUTURE, cbxContracts.Text }, _gw,
_account, orderType, _tradePrice, 1.00, bs);
}
private void main_FormClosing(object sender, FormClosingEventArgs e)
{
TT.SendMsg send = new TT.SendMsg();
send.ttLogout();
log.CloseLog();
log.CleanLog(3);
}
private void btnSecurityDefinitionRequest_Click(object sender, EventArgs e)
{
_qf._contracts.Clear();
TT.SendMsg send = new TT.SendMsg();
send.ttSecurityDefinitionRequest(_gw, _product, QuickFix.SecurityType.FUTURE, null);
}
private void btnOrderCancelReplace_Click(object sender, EventArgs e)
{
char bs;
if (cbxBS.Text == "BUY")
{
bs = QuickFix.Side.BUY;
}
else
{
bs = QuickFix.Side.SELL;
}
TT.SendMsg send = new TT.SendMsg();
send.ttOrderCancelReplace(new string[] { _gw, _product, QuickFix.SecurityType.FUTURE, cbxContracts.Text },
_account, _qf.getLastSiteOrderkey(), _tradePrice, (double)new System.Random().Next(1, 10), bs,
QuickFix.OrdType.LIMIT);
}
/// <summary>
///
/// </summary>
/// <param name="MGT"></param>
/// <param name="acct"></param>
/// <param name="SecEx"></param>
/// <param name="product"></param>
/// <param name="secID"></param>
/// <param name="tradesize"></param>
/// <param name="side"></param>
/// <param name="price"></param>
/// <param name="gateway"></param>
private void UpdatePosition(
string MGT,
string acct,
string SecEx,
string product,
string secID,
int tradesize,
char side,
decimal price,
string gateway)
{
log.WriteLog("mainForm::UpdatePosition");
//added to filter by account
if (isAccountFilterEnabled)
{
string watchedAccount = dsRisk.tblTrader.Rows.Find(MGT).Field<string>(dsRisk.tblTrader.AccountColumn);
if (watchedAccount == null || watchedAccount != acct)
{
log.WriteList("Execution disregarded because account does not match");
return;
}
}
//end account filter code
int currentBuyPos = 0;
int currentSellPos = 0;
decimal currentBuyPrc = 0.00M;
decimal currentSellPrc = 0.00M;
int previousBuyPos = 0;
int previousSellPos = 0;
if (side == QuickFix.Fields.Side.SELL )
{
currentSellPos = tradesize;
currentSellPrc = price;
}
else if (side == QuickFix.Fields.Side.BUY)
{
currentBuyPos = tradesize;
currentBuyPrc = price;
}
else
{
log.WriteList("NO BuySell info");
return;
}
try
{
if (dsRisk.tblPositions.Rows.Find(new object[] { MGT, SecEx, product, secID }) == null)
{
//TODO why cast to double??
dsRisk.tblPositions.AddtblPositionsRow(MGT, SecEx, product, secID,
currentBuyPos, currentSellPos, (double)currentBuyPrc, (double)currentSellPrc, 0.00, 0.00, gateway, acct );
TT.SendMsg send = new TT.SendMsg();
send.ttSecurityDefinitionRequest(SecEx, product, secID);
send.ttMarketDataRequest(SecEx, product, secID);
}
else
{
DataRow dr = dsRisk.tblPositions.Rows.Find(new object[] { MGT, SecEx, product, secID });
dr[dsRisk.tblPositions.AccountColumn] = acct;
//existing buy/sell positions
previousBuyPos = (int)dr[dsRisk.tblPositions.BuyPosColumn];
previousSellPos = (int)dr[dsRisk.tblPositions.SellPosColumn];
dr[dsRisk.tblPositions.BuyPosColumn] = previousBuyPos + currentBuyPos;
dr[dsRisk.tblPositions.SellPosColumn] = previousSellPos + currentSellPos;
decimal previousAvgBuyPrc = 0.00M;
if ( dr[dsRisk.tblPositions.AvgBuyColumn] != null)
previousAvgBuyPrc = (decimal )dr[dsRisk.tblPositions.AvgBuyColumn];
decimal previousAvgSellPrc = 0.00M;
if ( dr[dsRisk.tblPositions.AvgSellColumn] != null)
previousAvgSellPrc = (decimal )dr[dsRisk.tblPositions.AvgSellColumn];
dr[dsRisk.tblPositions.AvgBuyColumn] = ((previousBuyPos * previousAvgBuyPrc) +
(currentBuyPos * currentBuyPrc)) / (previousBuyPos + currentBuyPos);
dr[dsRisk.tblPositions.AvgSellColumn] = ((previousSellPos * previousAvgSellPrc) +
(currentSellPos * currentSellPrc)) / (previousSellPos + currentSellPos);
// using decimals negates the need to check for NaN?
// if (dr[dsRisk.tblPositions.AvgBuyColumn].Equals(decimal. .NaN)) { dr[dsRisk.tblPositions.AvgBuyColumn] = 0.00; }
// if (dr[dsRisk.tblPositions.AvgSellColumn].Equals(decimal .NaN)) { dr[dsRisk.tblPositions.AvgSellColumn] = 0.00; }
dr.AcceptChanges();
}
DataRow drPrc = dsRisk.tblSecurity.Rows.Find(new object[] { SecEx, product, secID });
if (drPrc != null)
{
decimal bid = (decimal )drPrc[dsRisk.tblSecurity.BidPriceColumn];
decimal ask = (decimal )drPrc[dsRisk.tblSecurity.AskPriceColumn];
CalcPnL(SecEx, product, secID, bid, ask);
}
}
catch (Exception ex)
{
log.WriteList("Exception occured mainForm::UpdatePosition");
log.WriteLog(ex.ToString());
}
}
/// <summary>
/// Receive data from QuickFix to cancel all orders for a shutdown trader
/// </summary>
/// <param name="MGT"></param>
/// <param name="key"></param>
private void orderCancel(string MGT, string key)
{
if (stoppedTraders.Contains(MGT))
{
TT.SendMsg send = new TT.SendMsg();
send.ttOrderCancelRequest(key);
}
}
/// <summary>
/// Flatten all positions for a trader.
/// </summary>
/// <param name="MGT"></param>
private void FlattenTrader(string MGT)
{
try
{
foreach (DataRow dr in dsRisk.tblPositions)
{
if (dr[dsRisk.tblPositions.MGTColumn].Equals(MGT) &&
!dr[dsRisk.tblPositions.BuyPosColumn].Equals(dr[dsRisk.tblPositions.SellPosColumn]))
{
string account = dr[dsRisk.tblPositions.AccountColumn].ToString();
if (String.IsNullOrEmpty(account))
{ account = dsRisk.tblTrader.Rows.Find(MGT).Field<string>(dsRisk.tblTrader.AccountColumn); }
int buys = (int)dr[dsRisk.tblPositions.BuyPosColumn];
int sells = (int)dr[dsRisk.tblPositions.SellPosColumn];
char bs = char.MinValue;
if (buys < sells)
{ bs = QuickFix.Fields.Side.BUY; }
else
{ bs = QuickFix.Fields.Side.SELL; }
decimal qty = Convert.ToDecimal(Math.Abs(buys - sells));
string SecEx = dr[dsRisk.tblPositions.SecurityExchangeColumn].ToString();
string symbol = dr[dsRisk.tblPositions.SymbolColumn].ToString();
string secID = dr[dsRisk.tblPositions.SecurityIDColumn].ToString();
string gateway = dr[dsRisk.tblPositions.ExchangeGatewayColumn].ToString();
if (TT.SendMsg.inflightOrders.Count == 0 && chkBxAUTO.Checked)
{
TT.SendMsg send = new TT.SendMsg();
send.ttNewOrderSingle(account, SecEx,symbol, secID, qty, bs, gateway );
}
else if (!chkBxAUTO.Checked)
{ log.WriteList("AUTO MODE DISABLED! No orders sent"); }
}
}
}
catch (Exception ex)
{ log.WriteList(ex.ToString()); }
}
// check what actions must be taken based on limits and P&L
private void checkPnLAction()
{
try
{
log.WriteLog("mainForm::checkPnLAction: ");
foreach (DataRow dr in dsRisk.tblTrader)
{
//log.WriteList(string.Format("{0} < {1}", dr[dsRisk.tblTrader.TotalPLColumn], dr[dsRisk.tblTrader.LimitColumn]));
decimal total;
bool isValid = decimal .TryParse(dr[dsRisk.tblTrader.TotalPLColumn].ToString(), out total);
if (isValid && (decimal )dr[dsRisk.tblTrader.TotalPLColumn] <= (decimal )dr[dsRisk.tblTrader.LimitColumn])
{
string MGT = dr[dsRisk.tblTrader.MGTColumn].ToString();
stoppedTraders.Add(MGT);
if (chkBxAUTO.Checked)
{
TT.SendMsg send = new TT.SendMsg();
send.ttOrderStatusRequest();
}
else
{ log.WriteList("AUTO MODE DISABLED! Orders not canceled"); }
FlattenTrader(MGT);
}
if (isEmailEnabled)
{
int ActiveAlert = (int)dr[dsRisk.tblTrader.EmailAlertColumn];
if (isValid &&
ActiveAlert <= EmailLimits.GetUpperBound(0) &&
(decimal )dr[dsRisk.tblTrader.TotalPLColumn] < EmailLimits[ActiveAlert])
{
SendEmail(
to[ActiveAlert],
cc[ActiveAlert],
bcc[ActiveAlert],
msg[ActiveAlert],
subject[ActiveAlert] + Environment.NewLine + dr[dsRisk.tblTrader.MGTColumn].ToString(),
priority[ActiveAlert]);
ActiveAlert++;
dr[dsRisk.tblTrader.EmailAlertColumn] = ActiveAlert;
dr.AcceptChanges();
}
}
}
}
catch (Exception ex)
{ log.WriteList(ex.ToString()); }
}
private void btnOrderCancelRequest_Click(object sender, EventArgs e)
{
TT.SendMsg send = new TT.SendMsg();
send.ttOrderCancelRequest(_qf.getLastSiteOrderkey());
}
private void btnOrderStatusRequest_Click(object sender, EventArgs e)
{
TT.SendMsg send = new TT.SendMsg();
send.ttOrderStatusRequest();
}
private void btnRequestForPosition_Click(object sender, EventArgs e)
{
TT.SendMsg send = new TT.SendMsg();
send.ttRequestForPosition(TT.PosReqType.POSITIONS);
}
private void btnGatewayStatusRequest_Click(object sender, EventArgs e)
{
TT.SendMsg send = new TT.SendMsg();
send.ttGatewayStatusRequest(QuickFix.SubscriptionRequestType.SNAPSHOT);
}
private void btnSecurityStatusRequest_Click(object sender, EventArgs e)
{
TT.SendMsg send = new TT.SendMsg();
send.ttSecurityStatusRequest(new string[] { _gw, _product, QuickFix.SecurityType.FUTURE, cbxContracts.Text },
QuickFix.SubscriptionRequestType.SNAPSHOT);
}
private void btnLogout_Click(object sender, EventArgs e)
{
TT.SendMsg send = new TT.SendMsg();
send.ttLogout();
}
public virtual void OnLogon(QuickFix.SessionID session)
{
log.WriteLog("onLogon: " + session.TargetCompID ); //FIX4.2:SenderCompID->TargetCompID:SessionQualifier
if (string.Equals(session.SessionQualifier.ToUpperInvariant(), "ORDER"))
{
//Add code to clear position table before downloading all trades
posReports.Clear();
updateClearPOS();
TT.SendMsg send = new TT.SendMsg();
send.ttGatewayStatusRequest(QuickFix.Fields.SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES);
send.ttRequestForPosition(QuickFix.Fields.PosReqType.START_OF_DAYS);
send.ttRequestForPosition(QuickFix.Fields.PosReqType.DETAILED_START_OF_DAYS);
send.ttRequestForPosition(QuickFix.Fields.PosReqType.MANUAL_FILLS);
send.ttRequestForPosition(QuickFix.Fields.PosReqType.TRADES);
}
}
