void TLServer_WM::SrvGotOrder(TLOrder order)
{
if (!order.isValid())
return;
for (size_t i = 0; i<client.size(); i++)
if (client[i]!="")
TLSend(ORDERNOTIFY,order.Serialize(),client[i]);
}
char getPI(TLOrder o)
{
if (o.isLimit() && o.isStop())
return PRICE_INDICATOR_STOPLIMIT;
else if (o.isLimit())
return PRICE_INDICATOR_LIMIT;
else if (o.isStop())
return PRICE_INDICATOR_STOP;
return PRICE_INDICATOR_MARKET;
}
void TLServer_IP::SrvGotOrder(TLOrder order)
{
if (order.symbol=="") return;
for (size_t i = 0; i<client.size(); i++)
if (client[i]!="")
TLSend(ORDERNOTIFY,order.Serialize(),client[i]);
}
int TWS_TLServer::SendOrder(TLOrder o)
{
// check our order
if (o.symbol=="") return UNKNOWN_SYMBOL;
if (!o.isValid()) return INVALID_ORDERSIZE;
// create broker-specific objects here
Order* order(new Order);
order->auxPrice = o.isTrail() ? o.trail : o.stop;
order->lmtPrice = o.price;
order->orderType = (o.isStop()) ? "STP" : (o.isLimit() ? "LMT" : (o.isTrail() ? "TRAIL" : "MKT"));
order->totalQuantity = (long)o.size;
order->action = (o.side) ? "BUY" : "SELL";
order->account = o.account;
order->tif = o.TIF;
order->outsideRth = true;
order->orderId = newOrder(o.id,o.account);
order->transmit = true;
Contract* contract(new Contract);
contract->symbol = o.symbol;
contract->localSymbol = o.localsymbol!="" ? o.localsymbol : o.symbol;
if (o.exchange=="")
o.exchange = "SMART";
contract->exchange = o.exchange;
contract->secType = o.security;
contract->currency = o.currency;
// get the TWS session associated with our account
EClient* client;
if (o.account=="") // if no account specified, get default
client = m_link[this->validlinkids[0]];
else // otherwise get the session our account is logged into
client = GetOrderSink(o.account);
// place our order
if (client!=NULL)
client->placeOrder(order->orderId,*contract,*order);
delete order;
delete contract;
return OK;
}
UINT __cdecl DoOrderResend(LPVOID param)
{
// we need a queue object
LS_TLWM* tl = (LS_TLWM*)param;
// ensure it's present
if (tl==NULL)
{
return OK;
}
while (tl->_go)
{
if (tl->_resends!=0)
{
// process every valid order in queue
for (uint i = 0; i<tl->resend.size(); i++)
{
// get tradelink order
TLOrder ord = tl->resend[i];
// skip if invalid
if (!ord.isValid())
continue;
// mark as invalid
TLOrder blank;
tl->resend[i] = blank;
tl->_resends--;
// resend it
tl->SendOrder(ord);
// notify
CString tmp;
tmp.Format("%s Resending order: %s",ord.symbol,ord.Serialize());
tl->D(tmp);
// wait briefly
Sleep(25);
}
}
Sleep(100);
}
return OK;
}
long LS_TLWM::gettype(TLOrder o)
{
long type = o.isStop() ? L_OrderType::STOP :
( o.isLimit() ? L_OrderType::LIMIT : L_OrderType::MARKET);
if ((o.TIF=="DAY")
|| (o.TIF=="IOC")
|| (o.TIF=="GTC")
|| (o.TIF==""))
return type;
if (o.TIF=="MOC")
return L_OrderType::MOC;
else if ((o.TIF=="LOO") || (o.TIF=="OPG"))
return L_OrderType::LOO;
else if (o.TIF=="LOC")
return L_OrderType::LOC;
else if (o.TIF=="MOO")
return L_OrderType::MOO;
return type;
}
TLOrder LS_TLWM::ProcessOrder(L_Order* order)
{
TLOrder o;
long lsid = order->L_ReferenceId();
// ensure it exists
if (order)
{
// udpate order information
CTime ct = CTime(order->L_CreateTime());
o.symbol = CString(order->L_Symbol());
o.time = (ct.GetHour()*10000)+(ct.GetMinute()*100)+ct.GetSecond();
o.date = (ct.GetYear()*10000)+(ct.GetMonth()*100)+ct.GetDay();
o.exchange = CString(order->L_OriginalMarket());
o.price = order->L_AveragePrice();
o.side = order->L_TradeSide()=='B';
o.stop = order->L_SecondaryPrice();
o.size = (o.side ? 1 : -1) * abs(order->L_ActiveShares());
o.account = CString(accounts[0]->L_TraderId());
// try to save this order
bool isnew = saveOrder(order,0);
// if it fails, we already have it so get the id
// if it succeeds, we should be able to get the id anyways
int64 tlid = fetchOrderId(order);
o.id = tlid;
if (!_noverb)
{
if (isnew)
{
CString tmp;
tmp.Format("%s new order tlid: %lld lsid: %i ord: %s",o.symbol,o.id,lsid,o.Serialize());
v(tmp);
}
else
{
CString tmp;
tmp.Format("%s processed order tlid: %lld lsid: %i ord: %s",o.symbol,tlid,lsid,o.Serialize());
v(tmp);
}
}
}
else
{
CString tmp;
tmp.Format("%i order id not found.",lsid);
D(tmp);
}
return o;
}
int TWS_TLWM::SendOrder(TLOrder o)
{
// check our order
if (!o.isValid()) return GOTNULLORDER;
if (o.symbol=="") return UNKNOWNSYM;
// create broker-specific objects here
Order* order(new Order);
order->auxPrice = o.stop;
order->lmtPrice = o.price;
order->orderType = (o.stop!=0) ? "STP" : (o.price!=0 ? "LMT" : "MKT");
order->totalQuantity = (long)o.size;
order->action = (o.side) ? "BUY" : "SELL";
order->account = o.account;
order->tif = o.TIF;
order->outsideRth = true;
if (o.id!=0) // if ID is provided, keep it
order->orderId = o.id;
else // otherwise just get the next id
order->orderId = getNextOrderId(o.account);
order->transmit = true;
Contract* contract(new Contract);
contract->symbol = o.symbol;
contract->localSymbol = o.localsymbol;
if (o.exchange=="")
o.exchange = "SMART";
contract->exchange = o.exchange;
contract->secType = o.security;
contract->currency = o.currency;
// get the TWS session associated with our account
EClient* client;
if (o.account=="") // if no account specified, get default
client = m_link[this->validlinkids[0]];
else // otherwise get the session our account is logged into
client = GetOrderSink(o.account);
// place our order
if (client!=NULL)
client->placeOrder(order->orderId,*contract,*order);
delete order;
delete contract;
return OK;
}
static void __stdcall Basics()
{
const CString sym = "LVS";
const double x = 10;
const int s = 200;
TLOrder o;
CFIX_ASSERT(!o.isFilled());
CFIX_ASSERT(!o.isValid());
o.symbol = sym;
o.size = s;
CFIX_ASSERT(o.isMarket());
o.price = x;
CFIX_ASSERT(o.isLimit());
o.stop = x;
CFIX_ASSERT(o.isStop());
}
int TLClient_WM::SendOrder(TLOrder o)
{
return TLSend(SENDORDER,o.Serialize(),_him);
}
int LS_TLWM::SendOrder(TLOrder o)
{
if (accounts.size()==0)
return INVALID_ACCOUNT;
// if order id is set and not-unique, reject order
if ((o.id!=0) && (!IdIsUnique(o.id)))
return DUPLICATE_ORDERID;
L_Summary* summary = preload(o.symbol);
L_Account* account = NULL;
for (uint i = 0; i<accounts.size(); i++)
{
if (CString(accounts[i]->L_TraderId())==o.account)
account = accounts[i];
}
if (account==NULL)
account = accounts[0];
// do maximum size account check
if (_hasmaxaccountpospct)
{
double totalbp = account->L_BuyingPower();
L_Position* pos = account->L_FindPosition(o.symbol);
if (pos)
{
double poscost = pos->L_DollarValue();
double pospcttotal = totalbp==0 ? 1 : poscost/totalbp;
if (pospcttotal>_maxaccountpospct)
{
CString tmp;
tmp.Format("%s rejecting for position size exceeded: %s",o.symbol,o.Serialize());
D(tmp);
return REJECTEDACCOUNTSAFETY;
}
}
}
if (_hasmaxaccount)
{
double bpinuse = account->L_BuyingPowerInUse();
if (abs(bpinuse)>=_sendordermaxaccount)
{
CString tmp;
tmp.Format("%s rejecting for account BP safety: %s",o.symbol,o.Serialize());
D(tmp);
return REJECTEDACCOUNTSAFETY;
}
}
if (_hasmaxconnectorshares)
{
if (_curconnectorshares >= _maxconnectorshares)
{
CString tmp;
tmp.Format("%s rejecting for max api/connector shares: %s",o.symbol,o.Serialize());
D(tmp);
return REJECTEDACCOUNTSAFETY;
}
}
if (_hasmaxpositionsize)
{
L_Position* pos = account->L_FindPosition(o.symbol);
// only run check if we have a position
if (pos)
{
long size = pos->L_Shares();
if (abs(size)>_maxpositionsize)
{
CString tmp;
tmp.Format("%s rejecting for max position size: %s",o.symbol,o.Serialize());
D(tmp);
return REJECTEDACCOUNTSAFETY;
}
}
}
CString ex = o.exchange;
CString ex2 = NULL;
if (o.exchange.FindOneOf("+")!=-1)
{
std::vector<CString> exr;
gsplit(o.exchange,CString("+"),exr);
ex = exr[0];
ex2 = exr[1];
}
// check for loading
if (!summary || !summary->L_IsValid() || !summary->L_IsInit())
{
if (!_resendsummarynotloaded)
return SYMBOL_NOT_LOADED;
CString tmp;
tmp.Format("%s Not loaded yet, Queing for resend: %s",o.symbol,o.Serialize());
D(tmp);
resend.push_back(o);
_resends++;
return 0;
}
//convert the arguments
char side = o.side ? L_Side::BUY : L_Side::SELL;
double price = o.isStop() ? o.stop : o.price;
// get correlation id
long corid = 0;
// associate order id and correlation id
uint coridx = lscorrelationid.size();
lscorrelationid.push_back(corid);
tlcorrelationid.push_back(o.id);
// associate blank ids for orders
lsorderid1.push_back(0);
lsorderid2.push_back(0);
lsorderidfinal.push_back(0);
// save order
tlorders.push_back(o);
if (!_noverb)
{
CString tmp;
tmp.Format("%s received api order tlid: %lld lscorid: %i ord: %s",o.symbol,o.id,corid,o.Serialize());
v(tmp);
}
// get appropriate tif
long tif = gettif(o);
long type = gettype(o);
// prepare to receive the result
L_Order** orderSent = NULL;
L_Order** orderSent2 = NULL;
// send the order
account->L_SendOrder(
summary,
type,
side,
abs(o.size),
price,
ex,
tif,
false,
abs(o.size),
0,ex2,&corid);
lscorrelationid[coridx] = corid;
// return result
return 0;
}