public string SendOrder(string buySell, double price, InstrumentProc instrument)
{
XTAPI.TTOrderProfileClass TTOrderProfile = new XTAPI.TTOrderProfileClass();
TTOrderProfile.Instrument = instrument.ttInstrObj;
TTOrderProfile.Customer = "<Default>";
TTOrderProfile.Set("Acct", instrument.Account);
TTOrderProfile.Set("AcctType", "M1");
TTOrderProfile.Set("BuySell", buySell);
TTOrderProfile.Set("Qty", Convert.ToString(instrument.Size));
TTOrderProfile.Set("OrderType", "L");
TTOrderProfile.Set("Limit#", Convert.ToString(price));
TTOrderProfile.Set("FFT2", "M");
TTOrderProfile.Set("FFT3", "AutoMarket");
try
{
int submittedQuantity = instrument.ttOrderSet.get_SendOrder(TTOrderProfile);
}
catch (Exception ex) {
if (log.IsErrorEnabled)
{
log.Error(ex.StackTrace);
}
}
return(Convert.ToString(TTOrderProfile.get_GetLast("SiteOrderKey")));
}
public Order( string action, int wkqty, double Price, string SOK, InstrumentProc iproc)
{
this.BuySell = action;
this.wkqty = wkqty;
this.price = Price;
this.orderID = SOK;
this.iproc = iproc;
fills = new List<Fill>();
}
public Order(string action, int wkqty, double Price, string SOK, InstrumentProc iproc)
{
this.BuySell = action;
this.wkqty = wkqty;
this.price = Price;
this.orderID = SOK;
this.iproc = iproc;
fills = new List <Fill>();
}
private bool CancelReplace(string buySell, string key, InstrumentProc iproc, int WkQty, double price)
{
if (log.IsDebugEnabled)
{
log.Debug(new System.Text.StringBuilder("CXLR ").AppendFormat("{0} price:{1} qty:{2}"
, buySell, price, WkQty)
);
}
return(procSpread.CxlReplace(buySell, key, iproc, price, WkQty));
}
private bool CancelReplace(string buySell, string key, InstrumentProc iproc, int WkQty, int PayUpTicks)
{
double price = buySell == "Buy" ? market.bid(iproc.Product) + iproc.TickPrice * PayUpTicks : market.ask(iproc.Product) - iproc.TickPrice * PayUpTicks;
if (log.IsDebugEnabled)
{
log.Debug(
new System.Text.StringBuilder("CXLR ").AppendFormat("{0} price:{1} qty:{2}"
, buySell, price, WkQty)
);
}
return(procSpread.CxlReplace(buySell, key, iproc, price, WkQty));
}
public void Connect(Session s)
{
productOne = new InstrumentProc(s.instrumentA);
productTwo = new InstrumentProc(s.instrumentB);
instruments = new List<Instrument>();
instruments.Add(s.instrumentA);
instruments.Add(s.instrumentB);
productOne.init(TTInstrNotify);
productTwo.init(TTInstrNotify);
//setup the events
TTGate.OnStatusUpdate += new XTAPI._ITTGateEvents_OnStatusUpdateEventHandler(this.OnStatusUpdate);
productOne.ttOrderSet.OnOrderFillData += new XTAPI._ITTOrderSetEvents_OnOrderFillDataEventHandler(this.OnOrderFillData);
TTInstrNotify.OnNotifyFound += new XTAPI._ITTInstrNotifyEvents_OnNotifyFoundEventHandler(productOne.OnNotifyFound);
TTInstrNotify.OnNotifyFound += new XTAPI._ITTInstrNotifyEvents_OnNotifyFoundEventHandler(productTwo.OnNotifyFound);
TTInstrNotify.OnNotifyUpdate += new XTAPI._ITTInstrNotifyEvents_OnNotifyUpdateEventHandler(this.OnNotifyUpdate);
productTwo.ttOrderSet.OnOrderFillData += new XTAPI._ITTOrderSetEvents_OnOrderFillDataEventHandler(this.OnOrderFillData);
if (log.IsInfoEnabled)
{
log.Info("trading started for spread");
}
setLogname();
/*
XTAPI.InstrCollection colInst = (XTAPI.InstrCollection)TTGate.Instruments;
for (int i = 1; i <= colInst.Count; ++i)
{
XTAPI.TTInstrObj instr = (XTAPI.TTInstrObj)colInst[i];
}
*/
}
public void Connect(Session s)
{
productOne = new InstrumentProc(s.instrumentA);
productTwo = new InstrumentProc(s.instrumentB);
instruments = new List <Instrument>();
instruments.Add(s.instrumentA);
instruments.Add(s.instrumentB);
productOne.init(TTInstrNotify);
productTwo.init(TTInstrNotify);
//setup the events
TTGate.OnStatusUpdate += new XTAPI._ITTGateEvents_OnStatusUpdateEventHandler(this.OnStatusUpdate);
productOne.ttOrderSet.OnOrderFillData += new XTAPI._ITTOrderSetEvents_OnOrderFillDataEventHandler(this.OnOrderFillData);
TTInstrNotify.OnNotifyFound += new XTAPI._ITTInstrNotifyEvents_OnNotifyFoundEventHandler(productOne.OnNotifyFound);
TTInstrNotify.OnNotifyFound += new XTAPI._ITTInstrNotifyEvents_OnNotifyFoundEventHandler(productTwo.OnNotifyFound);
TTInstrNotify.OnNotifyUpdate += new XTAPI._ITTInstrNotifyEvents_OnNotifyUpdateEventHandler(this.OnNotifyUpdate);
productTwo.ttOrderSet.OnOrderFillData += new XTAPI._ITTOrderSetEvents_OnOrderFillDataEventHandler(this.OnOrderFillData);
if (log.IsInfoEnabled)
{
log.Info("trading started for spread");
}
setLogname();
/*
* XTAPI.InstrCollection colInst = (XTAPI.InstrCollection)TTGate.Instruments;
* for (int i = 1; i <= colInst.Count; ++i)
* {
* XTAPI.TTInstrObj instr = (XTAPI.TTInstrObj)colInst[i];
* }
*/
}
private bool CancelReplace(string buySell, string key, InstrumentProc iproc, int WkQty, int PayUpTicks)
{
double price = buySell == "Buy" ? market.bid(iproc.Product) + iproc.TickPrice * PayUpTicks : market.ask(iproc.Product) - iproc.TickPrice * PayUpTicks;
if(log.IsDebugEnabled){
log.Debug(
new System.Text.StringBuilder("CXLR ").AppendFormat("{0} price:{1} qty:{2}"
,buySell,price,WkQty)
);
}
return procSpread.CxlReplace(buySell, key, iproc, price,WkQty);
}
private bool CancelReplace(string buySell, string key, InstrumentProc iproc, int WkQty, double price)
{
if (log.IsDebugEnabled)
{
log.Debug(new System.Text.StringBuilder("CXLR ").AppendFormat("{0} price:{1} qty:{2}"
,buySell,price,WkQty)
);
}
return procSpread.CxlReplace(buySell, key, iproc, price, WkQty);
}
public string SendOrder(string buySell, double price, InstrumentProc instrument)
{
XTAPI.TTOrderProfileClass TTOrderProfile = new XTAPI.TTOrderProfileClass();
TTOrderProfile.Instrument = instrument.ttInstrObj;
TTOrderProfile.Customer = "<Default>";
TTOrderProfile.Set("Acct", instrument.Account);
TTOrderProfile.Set("AcctType", "M1");
TTOrderProfile.Set("BuySell", buySell);
TTOrderProfile.Set("Qty", Convert.ToString(instrument.Size));
TTOrderProfile.Set("OrderType", "L");
TTOrderProfile.Set("Limit#", Convert.ToString(price));
TTOrderProfile.Set("FFT2", "M");
TTOrderProfile.Set("FFT3", "AutoMarket");
try
{
int submittedQuantity = instrument.ttOrderSet.get_SendOrder(TTOrderProfile);
}
catch (Exception ex) {
if (log.IsErrorEnabled) log.Error(ex.StackTrace);
}
return (Convert.ToString(TTOrderProfile.get_GetLast("SiteOrderKey")));
}
public bool CxlReplace(string buySell, string key, InstrumentProc iproc, double price, int WkQty)
{
bool status = true;
if (log.IsDebugEnabled) {
log.Debug(
new System.Text.StringBuilder("cxlreplace called ")
.AppendFormat("{0} {1} qty:{2}",key,price,WkQty)
);
}
XTAPI.TTOrderObj orderobj = (XTAPI.TTOrderObj)iproc.ttOrderSet.get_SiteKeyLookup(key);
/*
* http://devnetkb.tradingtechnologies.com/ViewKnowledgeEntry.aspx?KnowledgeEntryID=2387
*/
try
{
while ((orderobj != null) && (Convert.ToInt32(orderobj.get_Get("ExecutionType")) != 1))
//while ( (orderobj.IsNull == 0) && (Convert.ToInt32(orderobj.get_Get("ExecutionType")) != 1) )
{
System.Threading.Thread.Sleep(5);
orderobj = (XTAPI.TTOrderObj)iproc.ttOrderSet.get_SiteKeyLookup(key);
}
}
catch(Exception exo){
return false;
}
if (orderobj.IsNull == 0 )
{
XTAPI.TTOrderProfile TTOrderProfile = new XTAPI.TTOrderProfile();
TTOrderProfile = orderobj.CreateOrderProfile;
TTOrderProfile.Instrument = iproc.ttInstrObj;
TTOrderProfile.Customer = "<Default>";
TTOrderProfile.Set("Acct", iproc.Account);
TTOrderProfile.Set("AcctType", "M1");
TTOrderProfile.Set("BuySell", buySell);
TTOrderProfile.Set("Qty", WkQty);
TTOrderProfile.Set("OrderType", "L");
TTOrderProfile.Set("Limit#", Convert.ToString(price));
TTOrderProfile.Set("FFT2", "M");
TTOrderProfile.Set("FFT3", "CXLR");
try
{
iproc.ttOrderSet.UpdateOrder(TTOrderProfile, 0);
}
catch (Exception ex)
{
status = false;
if (log.IsErrorEnabled)
{
System.Text.StringBuilder msg = new System.Text.StringBuilder("ERROR cxlreplace order ")
.AppendFormat("{0} {1} {2}",key,buySell,WkQty);
log.Error(msg);
log.Error(ex.StackTrace);
log.Error(ex.Message);
}
}
}
return status;
}
public bool CxlReplace(string buySell, string key, InstrumentProc iproc, double price, int WkQty)
{
bool status = true;
if (log.IsDebugEnabled)
{
log.Debug(
new System.Text.StringBuilder("cxlreplace called ")
.AppendFormat("{0} {1} qty:{2}", key, price, WkQty)
);
}
XTAPI.TTOrderObj orderobj = (XTAPI.TTOrderObj)iproc.ttOrderSet.get_SiteKeyLookup(key);
/*
* http://devnetkb.tradingtechnologies.com/ViewKnowledgeEntry.aspx?KnowledgeEntryID=2387
*/
try
{
while ((orderobj != null) && (Convert.ToInt32(orderobj.get_Get("ExecutionType")) != 1))
//while ( (orderobj.IsNull == 0) && (Convert.ToInt32(orderobj.get_Get("ExecutionType")) != 1) )
{
System.Threading.Thread.Sleep(5);
orderobj = (XTAPI.TTOrderObj)iproc.ttOrderSet.get_SiteKeyLookup(key);
}
}
catch (Exception exo) {
return(false);
}
if (orderobj.IsNull == 0)
{
XTAPI.TTOrderProfile TTOrderProfile = new XTAPI.TTOrderProfile();
TTOrderProfile = orderobj.CreateOrderProfile;
TTOrderProfile.Instrument = iproc.ttInstrObj;
TTOrderProfile.Customer = "<Default>";
TTOrderProfile.Set("Acct", iproc.Account);
TTOrderProfile.Set("AcctType", "M1");
TTOrderProfile.Set("BuySell", buySell);
TTOrderProfile.Set("Qty", WkQty);
TTOrderProfile.Set("OrderType", "L");
TTOrderProfile.Set("Limit#", Convert.ToString(price));
TTOrderProfile.Set("FFT2", "M");
TTOrderProfile.Set("FFT3", "CXLR");
try
{
iproc.ttOrderSet.UpdateOrder(TTOrderProfile, 0);
}
catch (Exception ex)
{
status = false;
if (log.IsErrorEnabled)
{
System.Text.StringBuilder msg = new System.Text.StringBuilder("ERROR cxlreplace order ")
.AppendFormat("{0} {1} {2}", key, buySell, WkQty);
log.Error(msg);
log.Error(ex.StackTrace);
log.Error(ex.Message);
}
}
}
return(status);
}