static void __stdcall SerializeDeserialize()
{
// serialize
const CString sym = "CLZ8";
const CString ex = "NYMEX";
TLOrder o;
o.id = 2;
o.symbol = sym;
o.exchange = ex;
o.date = 20081201;
o.time = 153100;
o.price = 0;
o.size = -100;
o.side = false;
// flatten it
CString m = o.Serialize();
// convert it back to object
TLOrder d = TLOrder::Deserialize(m);
CFIX_ASSERT(o.symbol==d.symbol);
CFIX_ASSERT(o.price==d.price);
CFIX_ASSERT(o.size==d.size);
CFIX_ASSERT(o.side==d.side);
CFIX_ASSERT(o.exchange==d.exchange);
CFIX_ASSERT(o.date==d.date);
CFIX_ASSERT(o.time==d.time);
CFIX_ASSERT(o.id==d.id);
}
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]);
}
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]);
}
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;
}
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;
}
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;
}