bool API2::Test2::Context::setTestParameters()
{
_userParams._symbolId = reqQrySymbolID("ESMNSE ESMNSE RELIANCE");
DEBUG_VARSHOW(reqQryDebugLog(), "====SymbolID: ", _userParams._symbolId);
//_userParams._symbolId = GET_SYMBOL_ID_NEW(268084,API2::CONSTANTS::CMD_ExchangeId_SMART,API2::CONSTANTS::CMD_SourceId_IB);
// _userParams._symbolId = GET_SYMBOL_ID_NEW(2885,CMD::ExchangeId_ESMNSE,CMD::SourceId_ESMNSE);
_userParams._priceType=1;
_userParams._qty=1000;
_userParams._side = API2::CONSTANTS::CMD_OrderMode_BUY;
std::stringstream ss;
_userParams.dump(ss, "Frontend Params:");
DEBUG_MESSAGE(reqQryDebugLog(),ss.str().c_str());
try{
_Instrument = createNewInstrument(_userParams._symbolId,true,true);
_orderWrapper = API2::COMMON::OrderWrapper(_Instrument,API2::DATA_TYPES::OrderMode(_userParams._side),API2::CONSTANTS::CMD_OrderType_LIMIT, this);
return true;
}
catch(API2::MarketDataSubscriptionFailedException e)
{
DEBUG_VARSHOW(reqQryDebugLog(), "Exception occured", e.what());
return false;
}
}
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());
}
bool OrderWrapper::processConfirmation(OrderConfirmation &confirmation)
{
LegDetail *legOrder = getLegOrder(confirmation.getSymbolId());
if(!legOrder)
{
DEBUG_VARSHOW(_context->reqQryDebugLog(),"leg Order Found Null SymbolID:",confirmation.getSymbolId());
DEBUG_FLUSH(_context->reqQryDebugLog());
}
if(confirmation.getOrderStatus() == API2::CONSTANTS::RSP_OrderStatus_CONFIRMED)
_exchangeOrderId = _context->reqQryExchangeOrderId(legOrder->orderId);
switch(confirmation.getOrderStatus())
{
case API2::CONSTANTS::RSP_OrderStatus_CONFIRMED:
legOrder->updateOrderWrapper(confirmation.getOrderQuantity(),confirmation.getOrderPrice(),0);
case API2::CONSTANTS::RSP_OrderStatus_NEW_REJECTED:
_isPendingNew = false;break;
case API2::CONSTANTS::RSP_OrderStatus_REPLACED:
legOrder->updateOrderWrapper(confirmation.getOrderQuantity(),confirmation.getOrderPrice(),0);
case API2::CONSTANTS::RSP_OrderStatus_REPLACE_REJECTED:
_isPendingReplace = false;break;
case API2::CONSTANTS::RSP_OrderStatus_CANCELED:
case API2::CONSTANTS::RSP_OrderStatus_CANCELED_OF_IOC:
legOrder->resetOrderWrapper();
case API2::CONSTANTS::RSP_OrderStatus_CANCEL_REJECTED:
_isPendingCancel = false;break;
case API2::CONSTANTS::RSP_OrderStatus_FILLED:
if(confirmation.getLastFillQuantity() + getLastFilledQuantity() != legOrder->_lastQuantity)//PartiallyFILLed
{
legOrder->updateOrderWrapper(getLastQuantity(),legOrder->_lastQuotedPrice,confirmation.getLastFillQuantity());
break;
}
legOrder->resetOrderWrapper();
break;
}
if(strcmp(confirmation.getExchangeOrderId().c_str(),_exchangeOrderId.c_str()))
{
DEBUG_MESSAGE(_context->reqQryDebugLog(),"Mismatch in order id");
DEBUG_VARSHOW(_context->reqQryDebugLog(),"confirmation ExchangeOrderId",confirmation.getExchangeOrderId().c_str());
DEBUG_VARSHOW(_context->reqQryDebugLog(),"_exchangeOrderId",_exchangeOrderId.c_str());
return false;
}
return true;
}
bool OrderWrapper::replaceOrder(DATA_TYPES::RiskStatus &risk, const DATA_TYPES::PRICE &price,
const DATA_TYPES::QTY &qty, DATA_TYPES::PRICE stopPrice)
{
if(!_orderId){
DEBUG_MESSAGE(_context->reqQryDebugLog(), "OrderWrapper replace fail OrderId null");
return false;
}
_isReset = false;
API2::SingleOrder *order = _context->createNewOrder(_instrument,0,0,_mode,_orderType,_orderValidity);
if(order)
{
API2::SingleOrder *origOrder = _context->reqQryOrder(_context->reqQryClientOrderId(_orderId));
if(origOrder)
{
order->setPrice(price);
order->setStopPrice(stopPrice);
if(qty !=0)
order->setQuantity(qty);
else
order->setQuantity(origOrder->getQuantity());
order->setSelfTradeCancelFlag( _selfTradeOrderFlag );
if(_context->reqQryOrderStatus(_orderId) != API2::CONSTANTS::RSP_OrderStatus_PENDING){
_replaceOrder = order;
if(_context->reqReplaceOrder(risk,_instrument,order,_orderId,_isSpread))
{
_isPendingReplace = true;
return true;
}
else
{
DEBUG_MESSAGE(_context->reqQryDebugLog(), "_context->reqReplaceOrder fail");
DEBUG_VARSHOW(_context->reqQryDebugLog(), "Replace Order Rejected. Reason:", risk);
return false;
}
}
else{
DEBUG_MESSAGE(_context->reqQryDebugLog(),"Current state of Original Order is Pending");
return false;
}
}
DEBUG_MESSAGE(_context->reqQryDebugLog(),"Original Order NULL");
return false;
}
else
{
DEBUG_MESSAGE(_context->reqQryDebugLog(), "Order Wrapper Not Set. Terminating strategy");
_context->reqAddStrategyComment(API2::CONSTANTS::RSP_StrategyComment_STRATEGY_ERROR_STATE);
_context->reqTerminateStrategy();
return false;
}
return false;
}
void TestContext::dump(){
/**
* Params Dump
*/
DEBUG_VARSHOW(reqQryDebugLog(),"Symbol Id : ",_userParams._symbolIdBidding);
DEBUG_VARSHOW(reqQryDebugLog(),"Buy Order Lots : ",_userParams._buyOrderLots);
DEBUG_VARSHOW(reqQryDebugLog(),"Buy Total Lots : ",_userParams._buyTotalLots);
DEBUG_VARSHOW(reqQryDebugLog(),"Sell Order Lots : ",_userParams._sellOrderLots);
DEBUG_VARSHOW(reqQryDebugLog(),"Sell Total Lots : ",_userParams._sellTotalLots);
DEBUG_VARSHOW(reqQryDebugLog(),"Buy Price : ",_userParams._buyPrice);
DEBUG_VARSHOW(reqQryDebugLog(),"Sell Price : ",_userParams._sellPrice);
DEBUG_VARSHOW(reqQryDebugLog(),"Max Diff : ",_userParams._maxDiff);
}
void LegDetail::reset()
{
if(!instrument){
DEBUG_MESSAGE(_context->reqQryDebugLog(),"Instrument Null for Leg");
_context->reqTerminateStrategy(true);
}
order = _context->createNewOrder(instrument,0,0,_mode,_orderType, _orderValidity, _productType);
API2::AccountDetail account;
orderId = _context->createNewOrderId(instrument,account,_mode);
_isReset = true;
DEBUG_VARSHOW(_context->reqQryDebugLog(),"Set LegData for SYmbolID: ",instrument->getSymbolId());
}
void SampleStrategy::sendReplaceOrder(DATA_TYPES::PRICE price, DATA_TYPES::QTY qty)
{
// DEBUG_METHOD(reqQryDebugLog());
HFT_Start_Timer_Define;
API2::DATA_TYPES::RiskStatus risk;
if(_orderWrapper->replaceOrder(risk,price,qty))
{
HFT_Record_Timer(_LNReplaceOrder);
}
else
{
HFT_Record_Timer(_LNReplaceOrderReject);
DEBUG_VARSHOW(reqQryDebugLog(), "Replace Order Rejected Internally, Exiting Strategy. Reject Reason:", risk);
// reqTerminateStrategy(false);
}
}
bool API2::Test2::Context::setInternalParameters(API2::UserParams *params)
{
#ifndef TESTING
if(params->getValue("SYMBOL LEG1",_userParams._symbolId) != API2::UserParamsError_OK)
{
DEBUG_MESSAGE(reqQryDebugLog(), "Issue in SYMBOL LEG1");
return false;
}
if(params->getValue("Order Mode 1",_userParams._side) != API2::UserParamsError_OK)
{
DEBUG_MESSAGE(reqQryDebugLog(), "Order Mode 1");
return false;
}
if(params->getValue("Price Type",_userParams._priceType) != API2::UserParamsError_OK)
{
DEBUG_MESSAGE(reqQryDebugLog(), "issue in Price Type");
return false;
}
if(params->getValue("Order Qty",_userParams._qty) != API2::UserParamsError_OK)
{
DEBUG_MESSAGE(reqQryDebugLog(), "issue in Qty");
return false;
}
#else
setTestParameters();
#endif
std::stringstream ss;
_userParams.dump(ss, "Frontend Params:");
DEBUG_MESSAGE(reqQryDebugLog(),ss.str().c_str());
try{
_Instrument = createNewInstrument(_userParams._symbolId,true,true);
_orderWrapper = API2::COMMON::OrderWrapper(_Instrument,API2::DATA_TYPES::OrderMode(_userParams._side),API2::CONSTANTS::CMD_OrderType_LIMIT, this);
return true;
}
catch(API2::MarketDataSubscriptionFailedException e)
{
DEBUG_VARSHOW(reqQryDebugLog(), "Exception occured", e.what());
return false;
}
DEBUG_FLUSH(reqQryDebugLog());
}
void SampleStrategy::sendNewOrder(DATA_TYPES::PRICE price, DATA_TYPES::QTY qty)
{
API2::DATA_TYPES::RiskStatus risk;
HFT_Start_Timer_Define;
if(_orderWrapper->newOrder(risk,price,qty))
{
HFT_Record_Timer(_LNNewOrder);
}
else
{
HFT_Record_Timer(_LNNewOrderReject);
DEBUG_VARSHOW(reqQryDebugLog(), "New Order Rejected Internally, Exiting Strategy. Reject Reason:", risk);
// _LNNewOrderReject.dumpDataSet();
HFT_Start_Timer
_orderWrapper->reset();
HFT_Record_Timer(_LNResetOrder);
// reqTerminateStrategy(false);
}
}
bool OrderWrapper::replaceOrder(DATA_TYPES::RiskStatus &risk, const DATA_TYPES::PRICE &price, const DATA_TYPES::QTY &qty)
{
if(!_instrument)
return false;
if(_orderLegData.size()>1){
std::cout << "Cannot Modify Multileg Order" << std::endl;
return false;
}
LegDetail &leg1 = _orderLegData[0];
if(!leg1.orderId){
DEBUG_MESSAGE(_context->reqQryDebugLog(), "OrderWrapper replace fail OrderId null");
return false;
}
_isReset = false;
API2::SingleOrder *order = _context->createNewOrder(leg1.instrument,0,0,leg1._mode,
leg1._orderType, leg1._orderValidity, leg1._productType);
if(order)
{
API2::SingleOrder *origOrder = _context->reqQryOrder(_context->reqQryClientOrderId(leg1.orderId));
if(origOrder)
{
if(price !=0)
order->setPrice(price);
else
order->setPrice(origOrder->getPrice());
if(qty !=0)
order->setQuantity(qty);
else
order->setQuantity(origOrder->getQuantity());
if(_context->reqQryOrderStatus(leg1.orderId) != API2::CONSTANTS::RSP_OrderStatus_PENDING){
if(_context->reqReplaceOrder(risk,leg1.instrument,order,leg1.orderId,_orderPriority))
{
_isPendingReplace = true;
return true;
}
else
{
DEBUG_MESSAGE(_context->reqQryDebugLog(), "_context->reqReplaceOrder fail");
DEBUG_VARSHOW(_context->reqQryDebugLog(), "Replace Order Rejected. Reason:", risk);
return false;
}
}
else{
DEBUG_MESSAGE(_context->reqQryDebugLog(),"Current state of Original Order is Pending");
return false;
}
}
DEBUG_MESSAGE(_context->reqQryDebugLog(),"Original Order NULL");
return false;
}
else
{
DEBUG_MESSAGE(_context->reqQryDebugLog(), "Order Wrapper Not Set. Terminating strategy");
_context->reqAddStrategyComment(API2::CONSTANTS::RSP_StrategyComment_STRATEGY_ERROR_STATE);
_context->reqTerminateStrategy();
return false;
}
return false;
}
