public int reqRealTimeBars(int strategy_id, Contract con, int bar_size, string whatToShow, string source)
{
int bar_id = _db.getBarDataId(con.ConId, whatToShow, bar_size, source);
if (bar_id == 0)
{
bar_id = _db.addBarDataId(con.ConId, whatToShow, bar_size, source, "");
}
lock (_lock)
{
if (!_barTickerMap.ContainsKey(bar_id))
{
int ticker = _tg.get();
_barTickerMap.Add(bar_id, ticker);
_tickerBarMap.Add(ticker, bar_id);
_tickerContractMap.Add(ticker, con.ConId);
_tickerStrategiesMap.Add(ticker, new HashSet <int>(new int[] { strategy_id }));
_socket.reqRealTimeBars(ticker, con, bar_size, whatToShow, false, new List <TagValue>());
}
else
{
_tickerStrategiesMap[_barTickerMap[bar_id]].Add(strategy_id);
}
}
return(_barTickerMap[bar_id]);
}
//Internal utility functions
private void refreshContractsAndMktData()
{
_currDate = getExchangeTime(_socket.getCurrentLocalTime(), _zone).Date;
foreach (int conId in _contracts)
{
int oldConId = _contractDetailMap.ContainsKey(conId) ? _contractDetailMap[conId].Summary.ConId : 0;
int reqId = _tg.get();
lock (_lock)
_reqContractMap.Add(reqId, conId);
DateTime currd = getExchangeTime(_socket.getCurrentLocalTime(), _zone).Date;
Contract con = _db.getContractByDate(conId, currd);
_socket.reqContractDetails(reqId, con);
while (_reqContractMap.ContainsKey(reqId))
{
Thread.Sleep(1);
}
if (oldConId == 0)
{
_contractReqMap.Add(conId, _mm.reqRealTimeBars(id, _contractDetailMap[conId].Summary, 0, getBarType(), "IB"));
}
else if (oldConId != _contractDetailMap[conId].Summary.ConId)
{
_mm.cancelRealTimeBars(id, _contractReqMap[conId]);
_contractReqMap[conId] = _mm.reqRealTimeBars(id, _contractDetailMap[conId].Summary, 0, getBarType(), "IB");
}
}
}
private void placeOrders(object dummy)
{
Thread.CurrentThread.CurrentCulture = CultureInfo.InvariantCulture;
Thread.CurrentThread.CurrentUICulture = CultureInfo.InvariantCulture;
int iorder = 0;
Random r = new Random();
long nticks = _expiryStartTime != null && _expiryEndTime != null ? ((DateTime)(_expiryEndTime) - (DateTime)(_expiryStartTime)).Ticks : 0;
while (iorder < Count())
{
DateTime t = Strategy.getLocalTime(_orderSchedule[iorder].Item2, _zone);
_socket.sleepUntil(t, _placeOrderEvent);
Order ord = _orderSchedule[iorder].Item1;
double price = 0;
if (_profitTarget != 0 || _stopTarget != 0)
{
bool success = false;
while (!success)
{
int reqId = _tg.get();
lock (_lock)
{
_quotes[1] = 0;
_quotes[2] = 0;
_quotes[4] = 0;
_quotes[6] = 0;
_quotes[7] = 0;
_quotes[9] = 0;
_tickers.Add(reqId);
}
_socket.reqMktData(reqId, _con, "", true, null);
_mktDataEvents[1].WaitOne();
_mktDataEvents[2].WaitOne();
if (Math.Abs(_quotes[2] - _quotes[1]) <= _minTick * _maxBidAskUnit)
{
if (_quotes[1] == 0 || _quotes[2] == 0)
{
_mktDataEvents[4].WaitOne();
if (_quotes[4] != 0)
{
price = _quotes[4];
success = true;
}
else
{
string m = "Quote Discrepancy. Bid=" + _quotes[1].ToString() + "/Ask=" + _quotes[2].ToString() + "/Last=" + _quotes[4].ToString();
_msg.logError(_socket.getCurrentLocalTime(), -3, "User", _con.ConId, _stg_id, m, "");
Thread.Sleep(100);
}
}
else
{
price = (_quotes[1] + _quotes[2]) / 2.0;
price = Math.Round((price / _minTick), 0) * _minTick;
success = true;
}
}
else
{
string m = "Quote Discrepancy. Bid=" + _quotes[1].ToString() + "/Ask=" + _quotes[2].ToString();
_msg.logError(_socket.getCurrentLocalTime(), -3, "User", _con.ConId, _stg_id, m, "");
Thread.Sleep(100);
}
}
}
double profit = _profitTarget == 0 ? 0 : price + (ord.Action == "BUY" ? _profitTarget : -_profitTarget);
double stop = _stopTarget == 0 ? 0 : price + (ord.Action == "BUY" ? -_stopTarget : _stopTarget);
DateTime expiry = nticks == 0 ? DateTime.MinValue : (Strategy.getLocalTime((DateTime)(_expiryStartTime), _zone)).AddTicks((long)(r.NextDouble() * nticks));
List <Order> ordSet = OrderFactory.createBracketOrder(ord, profit, stop, expiry, _profitTemplate, _stopTemplate, _expiryTemplate);
_om.placeBracketOrders(_stg_id, _con, ordSet, _ref_con_id);
_msg.logMessage(_socket.getCurrentLocalTime(), 1, "Information", "BlockOrder", _con.ConId, _stg_id, "Executed " + iorder.ToString() + ": " + ord.OrderId.ToString() + " " + ord.OrderType + " " + ord.Action + " " + ord.TotalQuantity.ToString());
foreach (Order order in ordSet)
{
lock (_lock)
{
_openOrders.Add(order.OrderId, order);
_filledQtys.Add(order.OrderId, 0);
}
assignOrderID(order.OrderId);
}
iorder++;
}
_placeOrderEvent.Set();
if (_cancelAfter != null)
{
_socket.sleepUntil(Strategy.getLocalTime((DateTime)_cancelAfter, _zone), null);
cancelUnfilledEntryOrders();
}
}