void API2::Test2::Context::onMarketDataEvent(UNSIGNED_LONG symbolId)
{
API2::DATA_TYPES::RiskStatus risk;
// DEBUG_MESSAGE(reqQryDebugLog(), __PRETTY_FUNCTION__ );
// DEBUG_FLUSH(reqQryDebugLog());
// reqQryMarketData(symbolId)->dump();
// return;
if(_orderWrapper._isReset)
{
DEBUG_MESSAGE(reqQryDebugLog(), "Sending New Order");
if(!_orderWrapper.newOrder(risk,getPrice(),_userParams._qty))
{
DEBUG_VARSHOW(reqQryDebugLog(), "Failed Sending New Order, Reason:", risk);
DEBUG_FLUSH(reqQryDebugLog());
reqAddStrategyComment(API2::CONSTANTS::RSP_StrategyComment_RMS_FAILURE);
reqTerminateStrategy();
}
}
else
{
switch(reqQryOrderStatus(_orderWrapper._orderId))
{
case API2::CONSTANTS::RSP_OrderStatus_PENDING:
return;
case API2::CONSTANTS::RSP_OrderStatus_FILLED:
case API2::CONSTANTS::RSP_OrderStatus_CANCELED:
_orderWrapper.reset();
onMarketDataEvent(symbolId);
return;
case API2::CONSTANTS::RSP_OrderStatus_CONFIRMED:
case API2::CONSTANTS::RSP_OrderStatus_PARTIALLY_FILLED:
case API2::CONSTANTS::RSP_OrderStatus_REPLACED:
if(_orderWrapper.replaceOrder(risk,getPrice(),_userParams._qty)){
DEBUG_MESSAGE(reqQryDebugLog(), "Sent Replace Order");
}
else{
DEBUG_VARSHOW(reqQryDebugLog(), "Failed Replace Order, reason",risk);
}
}
}
DEBUG_FLUSH(reqQryDebugLog());
}
void SampleStrategy::onMarketDataEvent(UNSIGNED_LONG symbolId)
{
API2::DATA_TYPES::PRICE price = reqQryMarketData(symbolId)->getBidPrice(1);
API2::DATA_TYPES::QTY qty = _instrument->getStaticData()->marketLot*100;
if(_orderWrapper->getLastQuotedPrice() == price)
return;
#ifdef BENCHMARK_NEW_ORDERS
HFT_Start_Timer_Define
_orderWrapper->reset();
HFT_Record_Timer(_LNResetOrder);
sendNewOrder(price,qty);
return;
#endif
if(_orderWrapper->_isReset)
{
sendNewOrder(price,qty);
}
API2::DATA_TYPES::OrderStatus status = reqQryOrderStatus(_orderWrapper->_orderId);
// DEBUG_VARSHOW(reqQryDebugLog(), "Order Status:", status);
switch(status)
{
case API2::CONSTANTS::RSP_OrderStatus_FILLED:
case API2::CONSTANTS::RSP_OrderStatus_FROZEN:
case API2::CONSTANTS::RSP_OrderStatus_CANCELED:
sendNewOrder(price,qty);
break;
case API2::CONSTANTS::RSP_OrderStatus_REPLACED:
sendCancelOrder();break;
case API2::CONSTANTS::RSP_OrderStatus_CONFIRMED:
case API2::CONSTANTS::RSP_OrderStatus_PARTIALLY_FILLED:
case API2::CONSTANTS::RSP_OrderStatus_REPLACE_REJECTED:
case API2::CONSTANTS::RSP_OrderStatus_CANCEL_REJECTED:
sendReplaceOrder(price);break;
}
}
