示例#1
0
        /// <summary>
        /// Event notification for order added
        /// </summary>
        void m_trd_OrderAdded(object sender, OrderAddedEventArgs e)
        {
            TTOrder tto = _orders[e.Order.SiteOrderKey];

            tto.AddedOrder(e.Order);
            Console.WriteLine("Order was added with price of {0}.", e.Order.LimitPrice);
        }
示例#2
0
        /// <summary>
        /// This function sets up the OrderProfile and submits
        /// the order using the InstrumentTradeSubscription SendOrder method.
        /// </summary>
        /// <param name="buySell">The side of the market to place the order on.</param>
        private void SendOrder(TTOrder tto, ZOrder o)
        {
            ZOrderSide   orderSide    = o.Side;
            string       qtyStr       = o.Qty.ToString();
            string       priceStr     = GetPriceString(o);
            ZOrderType   orderType    = o.Type;
            string       stopPriceStr = o.StopPrice.ToString();           // TODO: WE NEED TO DEAL WITH STOP ORDERS!!!
            TTInstrument ttinstr      = _instruments[o.Iid];

            cout("TengineTT::SendOrder: {0}", o.ToString());
            try
            {
                //OrderProfile op = new OrderProfile(ttinstr.DefaultOrderFeed, ttinstr.Instrument, this.DefaultCustomer);
                OrderProfile op = tto.Profile;

                op.BuySell        = TranslateSide(orderSide);                        // Set for Buy or Sell.
                op.QuantityToWork = Quantity.FromString(ttinstr.Instrument, qtyStr); // Set the quantity.

                if (orderType == ZOrderType.Market)                                  // Market Order
                {
                    op.OrderType = OrderType.Market;
                }
                else if (orderType == ZOrderType.Limit)         // Limit Order
                {
                    // Set the limit order price.
                    op.LimitPrice = Price.FromString(ttinstr.Instrument, priceStr);
                }
                else if (orderType == ZOrderType.StopMarket)                            // Stop Market Order
                {
                    op.OrderType = OrderType.Market;                                    // Set the order type to "Market" for a market order.
                    op.Modifiers = OrderModifiers.Stop;                                 // Set the order modifiers to "Stop" for a stop order.
                    op.StopPrice = Price.FromString(ttinstr.Instrument, stopPriceStr);  // Set the stop price.
                }
                else if (orderType == ZOrderType.StopLimit)                             // Stop Limit Order
                {
                    op.OrderType  = OrderType.Limit;                                    // Set the order type to "Limit" for a limit order.
                    op.Modifiers  = OrderModifiers.Stop;                                // Set the order modifiers to "Stop" for a stop order.
                    op.LimitPrice = Price.FromString(ttinstr.Instrument, priceStr);     // Set the limit order price.
                    op.StopPrice  = Price.FromString(ttinstr.Instrument, stopPriceStr); // Set the stop price.
                }

                //_orders[op.SiteOrderKey]
                m_dtrd[ttinstr.InstrumentKey].SendOrder(op);    // Send the order.

                cout("TengineTT::SendOrder: TT Order Send {0} {1}|{2}@{3}", op.SiteOrderKey, op.BuySell.ToString(), op.QuantityToWork.ToString(), LimitOrMarketPrice(op));

                /*// Update the GUI.
                 * txtOrderBook.Text += String.Format("Send {0} {1}|{2}@{3}{4}",
                 *  orderProfile.SiteOrderKey,
                 *  orderProfile.BuySell.ToString(),
                 *  orderProfile.QuantityToWork.ToString(),
                 *  orderProfile.OrderType == OrderType.Limit ? orderProfile.LimitPrice.ToString() : "Market Price",
                 *  System.Environment.NewLine);*/
            }
            catch (Exception err)
            {
                ErrorMessage(err.Message);
            }
        }
示例#3
0
        public override void DeleteOrder(uint oid)
        {
            ZOrder  o   = orders[oid];
            TTOrder tto = _orders[oid];

            tto.Order.Delete();
            o.SetState(ZOrderState.Cancelled);      // TODO: set the state when we receive "order deleted" callback
        }
示例#4
0
        public override void SubmitOrder(uint oid)
        {
            ZOrder  o   = orders[oid];
            TTOrder tto = _orders[oid];

            //var order = _orders[oid];
            //GetBook(o).Insert(order);

            /*var ttinstr = _instruments[o.Iid];
             * SendOrder(ttinstr, o);*/
            SendOrder(tto, o);
            o.SetState(ZOrderState.Working);        // TODO: set the state when we receive "order added" callback
        }
示例#5
0
        public override uint CreateOrder(uint iid, ZOrderSide side, int price, uint qty, ZOrderType type, ZOrderTimeInForce tif)
        {
            uint oid = GenerateOrderId();
            var  o   = new ZOrder(oid, iid, side, price, qty, type, tif);

            orders[oid] = o;

            // Add this to the OrderMap which will allow us to convert to/from TTAPI orders
            var          ttinstr = _instruments[iid];
            OrderProfile op      = new OrderProfile(ttinstr.DefaultOrderFeed, ttinstr.Instrument, this.DefaultCustomer);
            var          tto     = new TTOrder(op);

            _orders.Add(tto.Key, tto, oid);

            return(oid);
        }