private static void TestAlgoSamples(EClientSocket client, int nextOrderId)
{
//! [algo_base_order]
Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
//! [algo_base_order]
//! [arrivalpx]
AvailableAlgoParams.FillArrivalPriceParams(baseOrder, 0.1, "Aggressive", "09:00:00 CET", "16:00:00 CET", true, true);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [arrivalpx]
Thread.Sleep(500);
//! [darkice]
AvailableAlgoParams.FillDarkIceParams(baseOrder, 10, "09:00:00 CET", "16:00:00 CET", true);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [darkice]
Thread.Sleep(500);
//! [ad]
AvailableAlgoParams.FillAccumulateDistributeParams(baseOrder, 10, 60, true, true, 1, true, true, "09:00:00 CET", "16:00:00 CET");
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [ad]
Thread.Sleep(500);
//! [twap]
AvailableAlgoParams.FillTwapParams(baseOrder, "Marketable", "09:00:00 CET", "16:00:00 CET", true);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [twap]
Thread.Sleep(500);
//! [vwap]
AvailableAlgoParams.FillVwapParams(baseOrder, 0.2, "09:00:00 CET", "16:00:00 CET", true, true);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [vwap]
Thread.Sleep(500);
//! [balanceimpactrisk]
AvailableAlgoParams.FillBalanceImpactRiskParams(baseOrder, 0.1, "Aggressive", true);
client.placeOrder(nextOrderId++, ContractSamples.USOptionContract(), baseOrder);
//! [balanceimpactrisk]
Thread.Sleep(500);
//! [minimpact]
AvailableAlgoParams.FillMinImpactParams(baseOrder, 0.3);
client.placeOrder(nextOrderId++, ContractSamples.USOptionContract(), baseOrder);
//! [minimpact]
//! [adaptive]
AvailableAlgoParams.FillAdaptiveParams(baseOrder, "Normal");
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [adaptive]
}
private static void TestAlgoSamples(EClientSocket client, int nextOrderId)
{
//! [algo_base_order]
Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
//! [algo_base_order]
//! [arrivalpx]
AvailableAlgoParams.FillArrivalPriceParams(baseOrder, 0.1, "Aggressive", "09:00:00 CET", "16:00:00 CET", true, true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [arrivalpx]
Thread.Sleep(500);
//! [darkice]
AvailableAlgoParams.FillDarkIceParams(baseOrder, 10, "09:00:00 CET", "16:00:00 CET", true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [darkice]
Thread.Sleep(500);
//! [ad]
// The Time Zone in "startTime" and "endTime" attributes is ignored and always defaulted to GMT
AvailableAlgoParams.FillAccumulateDistributeParams(baseOrder, 10, 60, true, true, 1, true, true, "20161010-12:00:00 GMT", "20161010-16:00:00 GMT");
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [ad]
Thread.Sleep(500);
//! [twap]
AvailableAlgoParams.FillTwapParams(baseOrder, "Marketable", "09:00:00 CET", "16:00:00 CET", true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [twap]
Thread.Sleep(500);
//! [vwap]
AvailableAlgoParams.FillVwapParams(baseOrder, 0.2, "09:00:00 CET", "16:00:00 CET", true, true, true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [vwap]
Thread.Sleep(500);
//! [balanceimpactrisk]
AvailableAlgoParams.FillBalanceImpactRiskParams(baseOrder, 0.1, "Aggressive", true);
client.placeOrder(nextOrderId++, ContractSamples.USOptionContract(), baseOrder);
//! [balanceimpactrisk]
Thread.Sleep(500);
//! [minimpact]
AvailableAlgoParams.FillMinImpactParams(baseOrder, 0.3);
client.placeOrder(nextOrderId++, ContractSamples.USOptionContract(), baseOrder);
//! [minimpact]
//! [adaptive]
AvailableAlgoParams.FillAdaptiveParams(baseOrder, "Normal");
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [adaptive]
//! [closepx]
AvailableAlgoParams.FillClosePriceParams(baseOrder, 0.5, "Neutral", "12:00:00 EST", true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [closepx]
//! [pctvol]
AvailableAlgoParams.FillPctVolParams(baseOrder, 0.5, "12:00:00 EST", "14:00:00 EST", true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [pctvol]
//! [pctvolpx]
AvailableAlgoParams.FillPriceVariantPctVolParams(baseOrder, 0.1, 0.05, 0.01, 0.2, "12:00:00 EST", "14:00:00 EST", true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [pctvolpx]
//! [pctvolsz]
AvailableAlgoParams.FillSizeVariantPctVolParams(baseOrder, 0.2, 0.4, "12:00:00 EST", "14:00:00 EST", true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [pctvolsz]
//! [pctvoltm]
AvailableAlgoParams.FillTimeVariantPctVolParams(baseOrder, 0.2, 0.4, "12:00:00 EST", "14:00:00 EST", true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
//! [pctvoltm]
//! [jeff_vwap_algo]
AvailableAlgoParams.FillJefferiesVWAPParams(baseOrder, "10:00:00 EST", "16:00:00 EST", 10, 10, "Exclude_Both", 130, 135, 1, 10, "Patience", false, "Midpoint");
client.placeOrder(nextOrderId++, ContractSamples.JefferiesContract(), baseOrder);
//! [jeff_vwap_algo]
//! [csfb_inline_algo]
AvailableAlgoParams.FillCSFBInlineParams(baseOrder, "10:00:00 EST", "16:00:00 EST", "Patient", 10, 20, 100, "Default", false, 40, 100, 100, 35);
client.placeOrder(nextOrderId++, ContractSamples.CSFBContract(), baseOrder);
//! [csfb_inline_algo]
}
