protected void logTrade(
OpenOrder openOrder, int position, double costBasis, double realized, double unrealized) {
Object[] params =
new Object[] {
openOrder.getFillDate(),
"TRADE",
openOrder.getAction(),
openOrder.getType(),
openOrder.getQuantityFilled(),
openOrder.getSymbol(),
openOrder.getSymbol().getCurrency(),
openOrder.getAvgFillPrice(),
position,
Util.round(costBasis, 4),
Util.round(realized, 4),
Util.round(unrealized, 4),
Util.round(openOrder.getCommission(), 4),
openOrder.getReference() != null ? openOrder.getReference() : "",
accountCode
};
blotter.info(
MarkerFactory.getMarker("TRADE"), "{},{},{},{},{},{},{},{},{},{},{},{},{},{},{}", params);
}
@Override
public synchronized OpenOrder placeOrder(
Symbol symbol,
OrderType type,
int quantity,
double price,
double stopPercent,
String reference) {
if (quantity == 0) {
throw new IllegalArgumentException(String.format("Invalid quantity %s", quantity));
}
if ((OrderType.LIMIT.equals(type)
|| OrderType.STOP_LIMIT.equals(type)
|| OrderType.TRAIL_LIMIT.equals(type))
&& price <= 0) {
throw new IllegalArgumentException(String.format("Invalid limit order price %s", price));
}
if ((OrderType.STOP_MARKET.equals(type)
|| OrderType.STOP_LIMIT.equals(type)
|| OrderType.TRAIL_MARKET.equals(type)
|| OrderType.TRAIL_LIMIT.equals(type))
&& stopPercent <= 0) {
throw new IllegalArgumentException(
String.format("Invalid stop order with stop percent %s", stopPercent));
}
checkConnected();
OpenOrder openOrder = getOpenOrder(symbol, type);
if (openOrder != null && !openOrder.isFilled() && !openOrder.isCancelled()) {
throw new IllegalStateException(
"OpenOrder for same strategy, symbol and type already exists: " + openOrder);
}
DateTime now = new DateTime();
double stopPrice = -1;
double trailingStopOffset = -1;
if (OrderType.STOP_MARKET.equals(type)
|| OrderType.STOP_LIMIT.equals(type)
|| OrderType.TRAIL_MARKET.equals(type)
|| OrderType.TRAIL_LIMIT.equals(type)) {
Tick t = getLastTick(symbol);
if (t == null) {
t = getLastTick(symbol, now);
if (t == null) {
throw new IllegalStateException(
String.format("Cannot set stop without tick data for symbol %s", symbol));
}
}
trailingStopOffset = Util.round(t.getMidPrice() * stopPercent, 10.0);
if (quantity < 0) {
stopPrice = t.getMidPrice() - trailingStopOffset;
} else {
stopPrice = t.getMidPrice() + trailingStopOffset;
}
stopPrice = Util.round(stopPrice, 2.0);
}
int orderId = nextValidOrderId.getAndIncrement();
openOrder =
new OpenOrder(
orderId,
symbol,
type,
quantity,
price,
stopPrice,
trailingStopOffset,
new DateTime(),
reference);
openOrdersById.put(orderId, openOrder);
Contract contract = makeContract(symbol);
Order order = makeOrder(openOrder);
logger.info("Placing order {}", openOrder);
socket.placeOrder(orderId, contract, order);
for (OrderListener listener : orderListeners) {
try {
listener.onOrderPlaced(openOrder);
} catch (Throwable t) {
logger.error(t.getMessage(), t);
}
}
return openOrder;
}
