//Sends in the initial orders so that we can begin waiting for the signal
private void setup()
{
if(myOrders != null && myOrders.Count() > 0)
unwindTrades();
this.state = StrategyState.INITIALIZING;
//enter initial trades, two for each product
BrokerManager brk = getFirstBroker();
//We don't want anyone else submitting orders at this time, so that we limit the time
//in between the submission of these four orders.
lock(brk)
{
//enter A side based on B price
LimitOrder sellAOrd = new LimitOrder(productA, bidQtyA, Order.Side.SELL, askB + sellSpread);
LimitOrder buyAOrd = new LimitOrder(productA, bidQtyA, Order.Side.BUY, bidB + buySpread);
//submit A side orders
brk.submitOrder(sellAOrd);
brk.submitOrder(buyAOrd);
//Keep track of the A side orders
myOrders.Add(StrategyOrderType.SELL_A, sellAOrd);
myOrders.Add(StrategyOrderType.BUY_A, buyAOrd);
myFills.Add(sellAOrd.internalId, 0);
myFills.Add(buyAOrd.internalId, 0);
//enter B side based on A price
LimitOrder sellBOrd = new LimitOrder(productB, bidQtyB, Order.Side.SELL, askA + sellSpread);
LimitOrder buyBOrd = new LimitOrder(productB, bidQtyB, Order.Side.BUY, bidA + buySpread);
//submit B side orders
brk.submitOrder(sellAOrd);
brk.submitOrder(buyAOrd);
//Keep track of the B side orders
myOrders.Add(StrategyOrderType.SELL_B, sellBOrd);
myOrders.Add(StrategyOrderType.BUY_B, buyBOrd);
myFills.Add(sellBOrd.internalId, 0);
myFills.Add(buyBOrd.internalId, 0);
this.state = StrategyState.READY;
}
}
//When we detect the signal, we perform these actions
private void tradeOnSignal(Fill fill)
{
LimitOrder hedgeOrder;
List<Order> ordersToCancel = new List<Order>();
//determine which of the orders where filled, and add the orders
//that werent filled to a list. Also, based on the type of fill,
//determine which order needs to be submitted
if (fill.originalOrder.product.Equals(productA))
{
//This was a fill for product A, so cancel the orders for B
ordersToCancel.Add(myOrders[StrategyOrderType.BUY_B]);
ordersToCancel.Add(myOrders[StrategyOrderType.SELL_B]);
if (fill.originalOrder.side.Equals(Order.Side.BUY))
{
//This was a buy of A, so cancel the sell of A and submit a hedge to buy B
hedgeOrder = new LimitOrder(productB, fill.qty, Order.Side.SELL, fill.price - sellSpread);
ordersToCancel.Add(myOrders[StrategyOrderType.SELL_A]);
}
else
{
//This was a sell of A, so cancel the buy of A and submit a hedge to sell B
hedgeOrder = new LimitOrder(productB, fill.qty, Order.Side. BUY, fill.price - buySpread);
ordersToCancel.Add(myOrders[StrategyOrderType.BUY_A]);
}
}
else
{
//This was a fill for product B, so cancel the orders for A
ordersToCancel.Add(myOrders[StrategyOrderType.BUY_A]);
ordersToCancel.Add(myOrders[StrategyOrderType.SELL_A]);
if (fill.originalOrder.side.Equals(Order.Side.BUY))
{
//This was a buy of B, so cancel the sell of B and submit a hedge to buy A
hedgeOrder = new LimitOrder(productA, fill.qty, Order.Side.SELL, fill.price - sellSpread);
ordersToCancel.Add(myOrders[StrategyOrderType.SELL_B]);
}
else
{
//This was a sell of B, so cancel the buy of B and submit a hedge to sell A
hedgeOrder = new LimitOrder(productA, fill.qty, Order.Side.BUY, fill.price - buySpread);
ordersToCancel.Add(myOrders[StrategyOrderType.BUY_B]);
}
}
//cancel the orders that aren't a part of this trade
cancelOrders(ordersToCancel);
//TODO: What happens if this was a partial fill?
//submit hedge orders
getFirstBroker().submitOrder(hedgeOrder);
}