private void HandlePriceChange(List <PricePoint> prices, OrderTracker orderTracker, decimal quantity,
decimal priceDelta)
{
decimal mostRecentOrderPrice = orderTracker.Price;
if (prices.Count == 0)
{
//if there's no best price, we can't decide what price to place, so exit
return;
}
PricePoint bestPriceInTheMarket = prices[0];
// Make sure we have a best bid price, and it's not the same as the order we just placed
// and place similar to the ask price change.
if (mostRecentOrderPrice == 0 || mostRecentOrderPrice != bestPriceInTheMarket.Price)
{
switch (orderTracker.OrderState)
{
// Place an order inside the spread if there isn't one currently in the market
case OrderState.None:
orderTracker.Price = bestPriceInTheMarket.Price + priceDelta;
orderTracker.InstructionId = NextInstructionId();
LimitOrderSpecification order =
new LimitOrderSpecification(orderTracker.InstructionId, _instrumentId, orderTracker.Price,
quantity, TimeInForce.GoodForDay);
_session.PlaceLimitOrder(order,
OrderSuccessCallback(orderTracker),
FailureCallback("Place order failed for instruction ID " +
orderTracker.InstructionId));
break;
// Cancel a working order on a price change.
case OrderState.Working:
CancelOrder(orderTracker);
break;
}
}
}
public void PlaceLimitOrder(LimitOrderSpecification limitOrderSpecification, OnInstructionResponse instructionCallback, OnFailure failureCallback)
{
OrderResponseHandler handler = new OrderResponseHandler();
SendRequest(limitOrderSpecification, handler, delegate() { instructionCallback(handler.InstructionId); }, failureCallback);
}
public void PlaceLimitOrder(LimitOrderSpecification limitOrderSpecification, OnInstructionResponse instructionCallback, OnFailure failureCallback)
{
OrderResponseHandler handler = new OrderResponseHandler();
this.SendRequest((IRequest)limitOrderSpecification, (Handler)handler, (Session.OnSucessfulRequest)(() => instructionCallback(handler.InstructionId)), failureCallback);
}
