//returns string[] of orderIds
public string[] SendSpreadOrder(string buySell)
{
string action = buySell == "Buy" ? "Sell" : "Buy";
double[] prices = findPrices(buySell);
double aPrice = prices[0];
double bPrice = prices[1];
string a = procSpread.SendOrder(buySell, aPrice, procSpread.productOne);
string b = procSpread.SendOrder(action, bPrice, procSpread.productTwo);
Order one = new Order(buySell, procSpread.instruments[0].Size, aPrice, a, procSpread.productOne);
Order two = new Order(action, procSpread.instruments[1].Size, bPrice, b, procSpread.productTwo);
SpreadOrder so = new SpreadOrder(new Order[] { one, two }, Interlocked.Add(ref spreadIDcount, 1));
orders.Add(so);
//log the cost of the spread
if (log.IsInfoEnabled)
{
log.Info(
new System.Text.StringBuilder("spreadID:").AppendFormat("{0} orders: {1} {2} {3} @ {4}"
, spreadIDcount, a, b, buySell, prices[2])
);
}
return(new string[] { a, b });
}
private string[] SendSpreadOrder(string buySell, double[] prices)
{
string action = buySell == "Buy" ? "Sell" : "Buy";
double aPrice = prices[0];
double bPrice = prices[1];
string a = procSpread.SendOrder(buySell, aPrice, procSpread.productOne);
string b = procSpread.SendOrder(action, bPrice, procSpread.productTwo);
Order one = new Order(buySell, procSpread.instruments[0].Size, aPrice, a, procSpread.productOne);
Order two = new Order(action, procSpread.instruments[1].Size, bPrice, b, procSpread.productTwo);
SpreadOrder so = new SpreadOrder(new Order[] { one, two } , Interlocked.Add(ref spreadIDcount, 1) );
orders.Add(so);
//log the cost of the spread
if (log.IsInfoEnabled)
log.Info(
new System.Text.StringBuilder("spreadID:").AppendFormat("{0} orders: {1} {2} {3} @ {4}"
,spreadIDcount,a,b,buySell,prices[2] )
);
return new string[] { a, b };
}
private void checkSpreadLevel( SpreadOrder so )
{
double[] mktprices = findPrices(so.buySell);
double mktlevel = mktprices[2];
Order[] o = so.getLegs();
double[] wkprices = so.workPrices();
//the sell leg is off mkt
if (so.buySell == "Buy" && o[1].Price > market.ask(o[1].IPROC.Product) )
{
if (log.IsDebugEnabled)
log.Debug("BUY: sell leg is off mkt shift spread lower");
//lower sell leg
CancelReplace( o[1].buySell
,o[1].SOK
,o[1].IPROC
,o[1].WkQty
,1 );
//lower the buy leg
CancelReplace( o[0].buySell
,o[0].SOK
,o[0].IPROC
,o[0].WkQty
,-1 );
o[1].Price = market.ask(o[1].IPROC.Product) - o[1].IPROC.TickPrice;
o[0].Price = market.bid(o[0].IPROC.Product) - o[0].IPROC.TickPrice;
}
//the buy leg is off mkt
else if (so.buySell == "Buy" && o[0].Price < market.bid(o[0].IPROC.Product))
{
if (log.IsDebugEnabled)
log.Debug("BUY: buy leg is off mkt shift spread higher");
//higher sell leg
CancelReplace(o[1].buySell
, o[1].SOK
, o[1].IPROC
, o[1].WkQty
, -1);
//higher the buy leg
CancelReplace(o[0].buySell
, o[0].SOK
, o[0].IPROC
, o[0].WkQty
, 1);
o[1].Price = market.ask(o[1].IPROC.Product) + o[1].IPROC.TickPrice;
o[0].Price = market.bid(o[0].IPROC.Product) + o[0].IPROC.TickPrice;
}
//the sell leg is off mkt
else if (so.buySell == "Sell" && o[0].Price > market.ask(o[0].IPROC.Product))
{
if (log.IsDebugEnabled)
log.Debug("SELL: sell leg is off mkt shift spread lower");
//lower sell leg
CancelReplace( o[0].buySell
, o[0].SOK
, o[0].IPROC
, o[0].WkQty
, 1);
//lower the buy leg
CancelReplace( o[1].buySell
, o[1].SOK
, o[1].IPROC
, o[1].WkQty
, -1);
o[0].Price = market.ask(o[0].IPROC.Product) - o[0].IPROC.TickPrice;
o[1].Price = market.bid(o[1].IPROC.Product) - o[1].IPROC.TickPrice;
}
//the buy leg is off mkt
else if (so.buySell == "Sell" && o[1].Price < market.bid(o[1].IPROC.Product))
{
if (log.IsDebugEnabled)
log.Debug("SELL: buy leg is off mkt shift spread higher");
//higher sell leg
CancelReplace( o[0].buySell
,o[0].SOK
,o[0].IPROC
,o[0].WkQty
,-1);
//higher the buy leg
CancelReplace(o[1].buySell
, o[1].SOK
, o[1].IPROC
, o[1].WkQty
, 1);
o[0].Price = market.ask(o[0].IPROC.Product) + o[0].IPROC.TickPrice;
o[1].Price = market.bid(o[1].IPROC.Product) + o[1].IPROC.TickPrice;
}
}
private void OnFill(object sender, FillEventArgs e)
{
try
{
Fill fill = e.fill;
string action = fill.Buy ? "Sell" : "Buy";
//keep track of current positions
if (fill.Product == procSpread.productOne.Product)
{
currentPosOne += fill.Buy ? fill.Qty : -fill.Qty;
}
else if (fill.Product == procSpread.productTwo.Product)
{
currentPosTwo += fill.Buy ? fill.Qty : -fill.Qty;
}
if (log.IsDebugEnabled)
{
log.Debug("closeouts size= " + closeouts.Count);
log.Debug("fillbugs size= " + fillbugs.Count);
log.Debug("orders count " + orders.Count + "\n" + fill.ToString());
log.Debug("offorders size= " + offOrders.Count);
}
if (fillbugs.ContainsKey(fill.Key) && fill.Full)
{
orders.Remove(fillbugs[fill.Key]);
fillbugs.Remove(fill.Key);
return;
}
SpreadOrder spo = findSpread(fill.Key);
if (spo == null)
{
if (offOrders.ContainsKey(fill.Key))
{
if (log.IsDebugEnabled)
{
log.Debug("late fill in OffOrders " + fill.ToString());
}
Order o = offOrders[fill.Key];
procSpread.SendOrder(o.buySell == "Buy" ? "Sell" : "Buy"
, o.buySell == "Buy" ? market.bid(o.IPROC.Product) - o.IPROC.TickPrice * 5 : market.ask(o.IPROC.Product) + o.IPROC.TickPrice * 5
, fill.Qty
, o.IPROC);
offOrders.Remove(fill.Key);
}
return;
}
spo.AddFill(fill);
/*
* if we got back a full fill check to see if the whole spread is full
* if its not then work the open leg in a seperate thread incrementing the price by
* payUp params. add the thread to closeouts so we can stop it when it is full filled
*/
if (fill.Full)
{
if (spo.IsFull())
{
lastfill.Clear();
if (log.IsDebugEnabled)
{
log.Debug("removing spread from orders");
}
orders.Remove(spo);
lastfill[spo.buySell] = spo.fillPrice();
if (log.IsInfoEnabled)
{
log.Info(
new System.Text.StringBuilder("SpreadID:").AppendFormat("{0} spreadType: {1} filled spreadcost: {2}"
, spo.spreadID, spo.buySell, spo.fillPrice())
);
}
if (closeouts.ContainsKey(fill.Key))
{
try
{
closeouts[fill.Key].Abort();
}
catch (Exception exc) {
if (log.IsErrorEnabled)
{
log.Error(exc.StackTrace);
}
}
closeouts.Remove(fill.Key);
}
}
else
{
Order wkLeg = spo.getWorkingLeg();
Order filledLeg = spo.getFilledLeg();
//we got a Full fill but the spread itself is not full. however we are already running the cleanup
//thread which means TT sent back full fill error
if (closeouts.ContainsKey(wkLeg.SOK))
{
if (log.IsDebugEnabled)
{
log.Debug("XXX fix for full fill bug: " + wkLeg.SOK);
}
try{
closeouts[wkLeg.SOK].Abort();
}
catch (Exception exc) {
if (log.IsErrorEnabled)
{
log.Error(exc.StackTrace);
}
}
closeouts.Remove(wkLeg.SOK);
string k = procSpread.SendOrder(wkLeg.buySell
, wkLeg.buySell == "Buy" ? market.ask(wkLeg.IPROC.Product) + wkLeg.IPROC.TickPrice * 5 : market.bid(wkLeg.IPROC.Product) - wkLeg.IPROC.TickPrice * 6
, wkLeg.WkQty
, wkLeg.IPROC);
fillbugs.Add(k, spo);
}
else
{
if (log.IsDebugEnabled)
{
log.Debug("closeout out remaing leg: " + wkLeg.SOK);
}
Thread thrdCloseout = new Thread(delegate()
{
int PayUpTicks = spread.PayUpTicks;
for (int i = 0; i < spread.PayUpCount; i++)
{
double price = action == "Buy" ? wkLeg.Price + wkLeg.IPROC.TickPrice * PayUpTicks : wkLeg.Price - wkLeg.IPROC.TickPrice * PayUpTicks;
int wkqty = wkLeg.WkQty;
if (wkqty > 0)
{
CancelReplace(action, wkLeg.SOK, wkLeg.IPROC, wkqty, price);
}
else
{
break;
}
Thread.Sleep(spread.PayUpPeriod);
PayUpTicks++;
}
//if we exhausted payUpCount and still not filled then closeout full leg.
if (wkLeg.WkQty == wkLeg.IPROC.Size)
{
scratchLegs.Enqueue(filledLeg);
closeouts.Remove(wkLeg.SOK);
procSpread.Delete(wkLeg.SOK, wkLeg.IPROC.ttOrderSet);
}
});
thrdCloseout.Start();
closeouts.Add(wkLeg.SOK, thrdCloseout);
}
}
}
}
catch (Exception ex)
{
if (log.IsErrorEnabled)
{
log.Error(ex.StackTrace + "\n\n" + ex.Message);
}
}
}
private void checkSpreadLevel(SpreadOrder so)
{
double[] mktprices = findPrices(so.buySell);
double mktlevel = mktprices[2];
Order[] o = so.getLegs();
double[] wkprices = so.workPrices();
//the sell leg is off mkt
if (so.buySell == "Buy" && o[1].Price > market.ask(o[1].IPROC.Product))
{
if (log.IsDebugEnabled)
{
log.Debug("BUY: sell leg is off mkt shift spread lower");
}
//lower sell leg
CancelReplace(o[1].buySell
, o[1].SOK
, o[1].IPROC
, o[1].WkQty
, 1);
//lower the buy leg
CancelReplace(o[0].buySell
, o[0].SOK
, o[0].IPROC
, o[0].WkQty
, -1);
o[1].Price = market.ask(o[1].IPROC.Product) - o[1].IPROC.TickPrice;
o[0].Price = market.bid(o[0].IPROC.Product) - o[0].IPROC.TickPrice;
}
//the buy leg is off mkt
else if (so.buySell == "Buy" && o[0].Price < market.bid(o[0].IPROC.Product))
{
if (log.IsDebugEnabled)
{
log.Debug("BUY: buy leg is off mkt shift spread higher");
}
//higher sell leg
CancelReplace(o[1].buySell
, o[1].SOK
, o[1].IPROC
, o[1].WkQty
, -1);
//higher the buy leg
CancelReplace(o[0].buySell
, o[0].SOK
, o[0].IPROC
, o[0].WkQty
, 1);
o[1].Price = market.ask(o[1].IPROC.Product) + o[1].IPROC.TickPrice;
o[0].Price = market.bid(o[0].IPROC.Product) + o[0].IPROC.TickPrice;
}
//the sell leg is off mkt
else if (so.buySell == "Sell" && o[0].Price > market.ask(o[0].IPROC.Product))
{
if (log.IsDebugEnabled)
{
log.Debug("SELL: sell leg is off mkt shift spread lower");
}
//lower sell leg
CancelReplace(o[0].buySell
, o[0].SOK
, o[0].IPROC
, o[0].WkQty
, 1);
//lower the buy leg
CancelReplace(o[1].buySell
, o[1].SOK
, o[1].IPROC
, o[1].WkQty
, -1);
o[0].Price = market.ask(o[0].IPROC.Product) - o[0].IPROC.TickPrice;
o[1].Price = market.bid(o[1].IPROC.Product) - o[1].IPROC.TickPrice;
}
//the buy leg is off mkt
else if (so.buySell == "Sell" && o[1].Price < market.bid(o[1].IPROC.Product))
{
if (log.IsDebugEnabled)
{
log.Debug("SELL: buy leg is off mkt shift spread higher");
}
//higher sell leg
CancelReplace(o[0].buySell
, o[0].SOK
, o[0].IPROC
, o[0].WkQty
, -1);
//higher the buy leg
CancelReplace(o[1].buySell
, o[1].SOK
, o[1].IPROC
, o[1].WkQty
, 1);
o[0].Price = market.ask(o[0].IPROC.Product) + o[0].IPROC.TickPrice;
o[1].Price = market.bid(o[1].IPROC.Product) + o[1].IPROC.TickPrice;
}
}