def Start(self):
Trace("Connecting to GW")
self.celEnvironment.cqgCEL.GWLogon(LOGIN, PASSWORD)
Trace("Waiting for GW connection...")
AssertMessage(self.eventGatewayIsUp.wait(TIMEOUT),
"GW connection timeout!")
self.celEnvironment.cqgCEL.AccountSubscriptionLevel = constants.aslAccountUpdatesAndOrders
Trace("Waiting for accounts coming...")
AssertMessage(self.eventAccountIsReady.wait(TIMEOUT),
"Accounts coming timeout!")
Trace("Subscribe to open positions of all accounts")
accounts = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.Accounts)
for account in accounts:
account.AutoSubscribeInstruments = True
account.PositionSubcriptionLevel = constants.pslSnapshotAndUpdates
Trace("GW Account id: {} name: {}".format(account.GWAccountID,
account.GWAccountName))
Trace("Select the first account")
interestingAccount = win32com.client.Dispatch(accounts.ItemByIndex(0))
Trace(
"Query orders in NotFinal state for account (gw id: {} name: {})".
format(interestingAccount.GWAccountID,
interestingAccount.GWAccountName))
ordersRequest = self.celEnvironment.cqgCEL.CreateOrdersRequest()
ordersRequest.Account = interestingAccount
ordersRequest.StatusFilter = constants.osfNotFinal
ordersRequest.Date = datetime.now(timezone.utc)
ordersRequest.Side = constants.osdUndefined
self.orderQuery = self.celEnvironment.cqgCEL.RequestOrders(
ordersRequest)
Trace("Waiting for orders query completeness...")
AssertMessage(self.eventOrdersQueryIsReady.wait(TIMEOUT),
"Orders query timeout!")
Trace("press Enter to stop..")
input()
Trace("Logoff from GW")
self.eventGatewayIsDown.clear()
self.celEnvironment.cqgCEL.GWLogoff()
AssertMessage(self.eventGatewayIsDown.wait(TIMEOUT),
"GW disconnection timeout!")
Trace("Done!")
def Start(self):
Trace("Connecting to GW ({})".format(LOGIN))
self.celEnvironment.cqgCEL.GWLogon(LOGIN, PASSWORD)
Trace("Waiting for GW connection...")
AssertMessage(self.eventGatewayIsUp.wait(TIMEOUT), "GW connection timeout!")
input("press Enter to Logoff..")
Trace("Logoff from GW")
self.eventGatewayIsDown.clear()
self.celEnvironment.cqgCEL.GWLogoff()
AssertMessage(self.eventGatewayIsDown.wait(TIMEOUT), "GW disconnection timeout!")
Trace("Done!")
def Close(self):
Trace("Logoff from GW")
self.eventGatewayIsDown.clear()
self.celEnvironment.cqgCEL.GWLogoff()
AssertMessage(self.eventGatewayIsDown.wait(GATEWAYDOWN_TIMEOUT),
"GW disconnection timeout!")
Trace("Done!")
def Open(self):
Trace("Connecting to GW")
self.celEnvironment.cqgCEL.GWLogon(self.username, self.password)
Trace("Waiting for GW connection...")
AssertMessage(self.eventGatewayIsUp.wait(GATEWAYUP_TIMEOUT),
"GW connection timeout!")
self.celEnvironment.cqgCEL.AccountSubscriptionLevel = constants.aslAccountUpdatesAndOrders
Trace("Waiting for accounts coming...")
AssertMessage(self.eventAccountIsReady.wait(ACCOUNT_LOGIN_TIMEOUT),
"Accounts coming timeout!")
Trace("Select the first account")
accounts = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.Accounts)
self.account = win32com.client.Dispatch(accounts.ItemByIndex(0))
return self.account
def Start(self):
Trace("{} instrument requesting...".format(self.symbol))
self.celEnvironment.cqgCEL.NewInstrument(self.symbol)
Trace("{} instrument waiting...".format(self.symbol))
AssertMessage(self.eventInstrumentIsReady.wait(INSTRUMENT_SETUP_TIMEOUT), f"{self.symbol} Instrument resolution timeout!")
dispatchedInstrument = win32com.client.Dispatch(self.instrument)
if self.tradeTrigger == 1:
bestTrade = dispatchedInstrument.Ask
elif self.tradeTrigger == -1:
bestTrade = dispatchedInstrument.Bid
AssertMessage(bestTrade.IsValid, f"Error! Can't set {self.symbol}'s order price due to invalid BBA")
Trace("{}'s best price is {}".format(self.symbol, bestTrade.Price))
if self.tradeTrigger != 0 and self.SignalOperationCalc(bestTrade.Price, self.signalDirection):
return True, bestTrade.Price
return False, bestTrade.Price
def Start(self):
Trace("Connecting to GW")
self.celEnvironment.cqgCEL.GWLogon(LOGIN, PASSWORD)
Trace("Waiting for GW connection...")
AssertMessage(self.eventGatewayIsUp.wait(TIMEOUT),
"GW connection timeout!")
self.celEnvironment.cqgCEL.AccountSubscriptionLevel = constants.aslAccountUpdatesAndOrders
Trace("Waiting for accounts coming...")
AssertMessage(self.eventAccountIsReady.wait(TIMEOUT),
"Accounts coming timeout!")
accounts = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.Accounts)
# Select an account that has enablement for UDS
self.account = win32com.client.Dispatch(accounts.ItemByIndex(0))
Trace("Define strategy...")
self.uds = self.celEnvironment.cqgCEL.DefineStrategy(STRATEGY)
Trace("UDS waiting...")
AssertMessage(self.eventUDSIsReady.wait(TIMEOUT),
"UDS resolution timeout!")
dispatchedUDS = win32com.client.Dispatch(self.uds)
dispatchedOrder = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.CreateStrategyOrder(
constants.otLimit, dispatchedUDS, self.account, None, 1,
constants.osdUndefined, 3.15))
dispatchedOrder.Place()
Trace("Waiting for order placing...")
AssertMessage(self.eventOrderPlaced.wait(TIMEOUT),
"Order placing timeout!")
Trace("Logoff from GW")
self.eventGatewayIsDown.clear()
self.celEnvironment.cqgCEL.GWLogoff()
AssertMessage(self.eventGatewayIsDown.wait(TIMEOUT),
"GW disconnection timeout!")
Trace("Done!")
def Start(self):
Trace("Connecting to GW")
self.celEnvironment.cqgCEL.GWLogon(LOGIN, PASSWORD)
Trace("Waiting for GW connection...")
AssertMessage(self.eventGatewayIsUp.wait(TIMEOUT),
"GW connection timeout!")
self.celEnvironment.cqgCEL.AccountSubscriptionLevel = constants.aslNone
self.celEnvironment.cqgCEL.AccountSubscriptionLevel = constants.aslAccountsOnly
Trace("Waiting for accounts coming...")
AssertMessage(self.eventAccountIsReady.wait(TIMEOUT),
"Accounts coming timeout!")
accounts = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.Accounts)
self.account = win32com.client.Dispatch(accounts.ItemByIndex(0))
for account in accounts:
Trace("GW Account id: {} name: {}".format(account.GWAccountID,
account.GWAccountName))
statementDate = datetime.now(timezone.utc) - timedelta(days=1)
Trace(
"Request positions statement for GW account ID = {} for date: {}".
format(self.account.GWAccountID, statementDate))
self.celEnvironment.cqgCEL.QueryPositionsStatement(
self.account.GWAccountID, statementDate)
Trace("Waiting for positions statement coming...")
AssertMessage(self.eventPositionsStatementReady.wait(TIMEOUT),
"Positions statement coming timeout!")
Trace("Logoff from GW")
self.eventGatewayIsDown.clear()
self.celEnvironment.cqgCEL.GWLogoff()
AssertMessage(self.eventGatewayIsDown.wait(TIMEOUT),
"GW disconnection timeout!")
Trace("Done!")
def Start(self):
Trace("Connecting to GW")
self.celEnvironment.cqgCEL.GWLogon(LOGIN, PASSWORD)
Trace("Waiting for GW connection...")
AssertMessage(self.eventGatewayIsUp.wait(TIMEOUT),
"GW connection timeout!")
self.celEnvironment.cqgCEL.AccountSubscriptionLevel = constants.aslAccountUpdatesAndOrders
Trace("Waiting for accounts coming...")
AssertMessage(self.eventAccountIsReady.wait(TIMEOUT),
"Accounts coming timeout!")
accounts = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.Accounts)
self.account = win32com.client.Dispatch(accounts.ItemByIndex(0))
Trace("{} instrument requesting...".format(SYMBOL))
self.celEnvironment.cqgCEL.NewInstrument(SYMBOL)
Trace("{} instrument waiting...".format(SYMBOL))
AssertMessage(self.eventInstrumentIsReady.wait(TIMEOUT),
"Instrument resolution timeout!")
dispatchedInstrument = win32com.client.Dispatch(self.instrument)
bestBid = dispatchedInstrument.Bid
AssertMessage(bestBid.IsValid,
"Error! Can't set an order price due to invalid BBA")
Trace("Calculating a price that below the market by 10 tick sizes")
buyOrderPrice = bestBid.Price - 10 * dispatchedInstrument.TickSize
Trace("It is {}".format(buyOrderPrice))
Trace("Create Buy limit order")
buyOrder = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.CreateOrder(constants.otLimit,
self.instrument,
self.account, 1,
constants.osdUndefined,
buyOrderPrice))
properties = win32com.client.Dispatch(buyOrder.Properties)
speculationType = properties(constants.opSpeculationType)
speculationType.Value = constants.sptHedge
Trace("An order speculation type is set to {}".format(
speculationType.Value))
Trace("Place order")
buyOrder.Place()
Trace("Waiting for order placing...")
AssertMessage(self.eventOrderPlaced.wait(TIMEOUT),
"Order placing timeout!")
Trace("Logoff from GW")
self.eventGatewayIsDown.clear()
self.celEnvironment.cqgCEL.GWLogoff()
AssertMessage(self.eventGatewayIsDown.wait(TIMEOUT),
"GW disconnection timeout!")
Trace("Done!")
def Start(self):
Trace("Connecting to GW")
self.celEnvironment.cqgCEL.GWLogon(LOGIN, PASSWORD)
Trace("Waiting for GW connection...")
AssertMessage(self.eventGatewayIsUp.wait(TIMEOUT),
"GW connection timeout!")
self.celEnvironment.cqgCEL.AccountSubscriptionLevel = constants.aslAccountUpdatesAndOrders
Trace("Waiting for accounts coming...")
AssertMessage(self.eventAccountIsReady.wait(TIMEOUT),
"Accounts coming timeout!")
Trace("Select the first account...")
accounts = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.Accounts)
self.account = win32com.client.Dispatch(accounts.ItemByIndex(0))
Trace("{} instrument requesting...".format(SYMBOL))
self.celEnvironment.cqgCEL.NewInstrument(SYMBOL)
Trace("{} instrument waiting...".format(SYMBOL))
AssertMessage(self.eventInstrumentIsReady.wait(TIMEOUT),
"Instrument resolution timeout!")
dispatchedInstrument = win32com.client.Dispatch(self.instrument)
bestBid = dispatchedInstrument.Bid
offsetFromBestBid = 10
AssertMessage(bestBid.IsValid,
"Error! Can't set an order price due to invalid BBA")
Trace("Create Buy limit order")
buyOrderPrice = bestBid.Price - offsetFromBestBid * dispatchedInstrument.TickSize
buyOrder = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.CreateOrder(constants.otLimit,
self.instrument,
self.account, 1,
constants.osdUndefined,
buyOrderPrice))
buyOrder.MiFIDAlgorithmID = "My-Own-MiFID-Algo-ID"
Trace("Set MiFID algorithm ID to {}".format(buyOrder.MiFIDAlgorithmID))
Trace("Place order")
buyOrder.Place()
Trace("Waiting for order placing...")
AssertMessage(self.eventOrderPlaced.wait(TIMEOUT),
"Order placing timeout!")
Trace("Logoff from GW")
self.eventGatewayIsDown.clear()
self.celEnvironment.cqgCEL.GWLogoff()
AssertMessage(self.eventGatewayIsDown.wait(TIMEOUT),
"GW disconnection timeout!")
Trace("Done!")
def Start(self):
Trace("Connecting to GW")
self.celEnvironment.cqgCEL.GWLogon(self.username, self.password)
Trace("Waiting for GW connection...")
AssertMessage(self.eventGatewayIsUp.wait(GATEWAYUP_TIMEOUT),
"GW connection timeout!")
self.celEnvironment.cqgCEL.AccountSubscriptionLevel = constants.aslAccountUpdatesAndOrders
Trace("Waiting for accounts coming...")
AssertMessage(self.eventAccountIsReady.wait(ACCOUNT_LOGIN_TIMEOUT),
"Accounts coming timeout!")
Trace("Select the first account")
accounts = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.Accounts)
self.account = win32com.client.Dispatch(accounts.ItemByIndex(0))
Trace("{} instrument requesting...".format(self.symbol))
self.celEnvironment.cqgCEL.NewInstrument(self.symbol)
Trace("{} instrument waiting...".format(self.symbol))
AssertMessage(
self.eventInstrumentIsReady.wait(INSTRUMENT_SETUP_TIMEOUT),
f"{self.symbol} Instrument resolution timeout!")
dispatchedInstrument = win32com.client.Dispatch(self.instrument)
if self.tradeTrigger == 1:
bestBid = dispatchedInstrument.Ask
AssertMessage(
bestBid.IsValid,
f"Error! Can't set {self.symbol}'s order price due to invalid BBA"
)
Trace("Best ask value is {}".format(bestBid.Price))
orderPrice = bestBid.Price + self.tick
Trace("Order price to submit is {}".format(orderPrice))
orderSide = constants.osdBuy
elif self.tradeTrigger == -1:
bestAsk = dispatchedInstrument.Bid
AssertMessage(
bestAsk.IsValid,
f"Error! Can't set {self.symbol}'s order price due to invalid BBA"
)
Trace("Best bid value is {}".format(bestAsk.Price))
orderPrice = bestAsk.Price + self.tick
Trace("Order price to submit is {}".format(orderPrice))
orderSide = constants.osdSell
Trace("Create limit order")
minutes_passed = 0
while minutes_passed < self.executionTime:
if minutes_passed >= 1:
Trace("Cancel unfilled {} orders.(Format)".format(
self.leftOrderCount))
self.celEnvironment.cqgCEL.CancelAllOrders(
self.account, None, False, False, orderSide)
Trace(
"Waiting for {} orders to be cancelled...(Format)".format(
self.leftOrderCount))
AssertMessage(
self.eventOrderCancelled.wait(ORDER_CANCEL_TIMEOUT),
f"{self.symbol}'s Order cancellation timeout!")
order = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.CreateOrder(constants.otLimit,
self.instrument,
self.account,
self.leftOrderCount,
orderSide, orderPrice))
Trace("Place order")
try:
order.Place()
except Exception as e:
AssertMessage(False, f"{self.symbol}: {str(e)}")
try:
Trace("Waiting for {} orders placing...".format(
self.leftOrderCount))
AssertMessage(self.eventOrderPlaced.wait(ORDER_PLACE_TIMEOUT),
f"{self.symbol}'s Order placing timeout!")
except Exception as e:
Trace("Exception: {}".format(str(e)))
Trace("Cancel failed {} placing orders.(Format)".format(
self.leftOrderCount))
self.celEnvironment.cqgCEL.CancelAllOrders(
self.account, None, False, False, orderSide)
time.sleep(60)
minutes_passed = minutes_passed + 1
if self.leftOrderCount == 0:
break
if self.leftOrderCount > 0:
Trace("Cancel unfilled {} orders.(Format)".format(
self.leftOrderCount))
self.celEnvironment.cqgCEL.CancelAllOrders(self.account, None,
False, False, orderSide)
Trace("Waiting for {} orders to be cancelled...(Format)".format(
self.leftOrderCount))
AssertMessage(self.eventOrderCancelled.wait(ORDER_CANCEL_TIMEOUT),
f"{self.symbol}'s Order cancellation timeout!")
return self.leftOrderCount
def Start(self):
Trace("Connecting to GW")
self.celEnvironment.cqgCEL.GWLogon(LOGIN, PASSWORD)
Trace("Waiting for GW connection...")
AssertMessage(self.eventGatewayIsUp.wait(TIMEOUT),
"GW connection timeout!")
self.celEnvironment.cqgCEL.AccountSubscriptionLevel = constants.aslAccountUpdatesAndOrders
Trace("Waiting for accounts coming...")
AssertMessage(self.eventAccountIsReady.wait(TIMEOUT),
"Accounts coming timeout!")
Trace("Select the first account")
accounts = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.Accounts)
self.account = win32com.client.Dispatch(accounts.ItemByIndex(0))
Trace("Define strategy...")
definedStrategy = self.celEnvironment.cqgCEL.DefineStrategy(STRATEGY)
Trace("Waiting for strategy resolution...")
AssertMessage(self.eventStrategyIsReady.wait(TIMEOUT),
"Strategy resolution timeout!")
self.dispatchedStrategy = win32com.client.Dispatch(definedStrategy)
Trace(
"Subscribe to {} for a best ask value receiving. It will be used for an order placing..."
.format(STRATEGY))
self.celEnvironment.cqgCEL.NewInstrument(STRATEGY)
Trace("{} subscription waiting...".format(STRATEGY))
AssertMessage(self.eventInstrumentIsReady.wait(TIMEOUT),
"Instrument resolution timeout!")
instrument = win32com.client.Dispatch(self.instrument)
bestAsk = instrument.Ask
AssertMessage(bestAsk.IsValid,
"Error! Can't set an order price due to invalid BBA")
Trace("Best ask value is {}".format(bestAsk.Price))
Trace("Calculating a price that above the market by 10 tick sizes...")
sellOrderPrice = bestAsk.Price + 10 * instrument.TickSize
Trace("It is {}".format(sellOrderPrice))
Trace("Starting a limit sell order creation procedure...")
order = self.createOrder(-1, sellOrderPrice)
Trace("Place the order...")
order.Place()
Trace("Waiting for order placing...")
AssertMessage(self.eventOrderPlaced.wait(TIMEOUT),
"Order placing timeout!")
Trace("Logoff from GW")
self.eventGatewayIsDown.clear()
self.celEnvironment.cqgCEL.GWLogoff()
AssertMessage(self.eventGatewayIsDown.wait(TIMEOUT),
"GW disconnection timeout!")
Trace("Done.")
def Start(self):
Trace("Connecting to GW")
self.celEnvironment.cqgCEL.GWLogon(LOGIN, PASSWORD)
Trace("Waiting for GW connection...")
AssertMessage(self.eventGatewayIsUp.wait(TIMEOUT), "GW connection timeout!")
self.celEnvironment.cqgCEL.AccountSubscriptionLevel = constants.aslAccountUpdatesAndOrders
Trace("Waiting for accounts coming...")
AssertMessage(self.eventAccountIsReady.wait(TIMEOUT), "Accounts coming timeout!")
Trace("Select the first account")
accounts = win32com.client.Dispatch(self.celEnvironment.cqgCEL.Accounts)
self.account = win32com.client.Dispatch(accounts.ItemByIndex(0))
Trace("{} instrument requesting...".format(SYMBOL))
self.celEnvironment.cqgCEL.NewInstrument(SYMBOL)
Trace("{} instrument waiting...".format(SYMBOL))
AssertMessage(self.eventInstrumentIsReady.wait(TIMEOUT), "Instrument resolution timeout!")
dispatchedInstrument = win32com.client.Dispatch(self.instrument)
bestBid = dispatchedInstrument.Bid
AssertMessage(bestBid.IsValid, "Error! Can't set an order price due to invalid BBA")
Trace("Best bid value is {}".format(bestBid.Price))
Trace("Calculating a price that below the market by 10 tick sizes...")
buyOrderPrice = bestBid.Price - 10 * dispatchedInstrument.TickSize
Trace("It is {}".format(buyOrderPrice))
Trace("Creating two buy limit orders...")
buyOrders = []
buyOrders.append(self.createOrder(1, buyOrderPrice))
buyOrders.append(self.createOrder(1, buyOrderPrice - 2 * dispatchedInstrument.TickSize))
Trace("Creating an order chain for initial compound order...")
orderChain = win32com.client.Dispatch(self.celEnvironment.cqgCEL.CreateOrderChain())
orderChain.AddOrder(buyOrders[0])
orderChain.AddOrder(buyOrders[1])
Trace("Place the compound order")
self.celEnvironment.cqgCEL.PlaceCompoundOrder(orderChain)
Trace("Waiting for compound order legs placing...")
AssertMessage(self.eventOrderPlaced.wait(TIMEOUT), "Order placing timeout!")
sellOrderPrice = bestBid.Price
Trace(
"Create a sell limit order for the compound order extending. The order price is {}".format(sellOrderPrice))
sellOrder = self.createOrder(-1, sellOrderPrice)
Trace("Create an order chain for the compound order extending")
newOrderChain = self.celEnvironment.cqgCEL.CreateOrderChain()
newOrderChain.AddOrder(sellOrder)
Trace("Modifying the compound order...")
self.celEnvironment.cqgCEL.ModifyCompoundOrder(self.compoundOrderID, self.compoundOrderGUID, newOrderChain)
Trace("Waiting for the order filling...")
AssertMessage(self.eventOrderFilled.wait(TIMEOUT), "Order filling timeout!")
Trace("Waiting for two orders canceling...")
AssertMessage(self.eventOrderCanceled.wait(TIMEOUT), "Order canceling timeout!")
Trace("Logoff from GW")
self.eventGatewayIsDown.clear()
self.celEnvironment.cqgCEL.GWLogoff()
AssertMessage(self.eventGatewayIsDown.wait(TIMEOUT), "GW disconnection timeout!")
Trace("Done!")
def Start(self):
Trace("Connecting to GW")
self.celEnvironment.cqgCEL.GWLogon(LOGIN, PASSWORD)
Trace("Waiting for GW connection...")
AssertMessage(self.eventGatewayIsUp.wait(TIMEOUT),
"GW connection timeout!")
self.celEnvironment.cqgCEL.AccountSubscriptionLevel = constants.aslAccountUpdatesAndOrders
Trace("Waiting for accounts coming...")
AssertMessage(self.eventAccountIsReady.wait(TIMEOUT),
"Accounts coming timeout!")
Trace("Select the first account")
accounts = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.Accounts)
self.account = win32com.client.Dispatch(accounts.ItemByIndex(0))
Trace("{} instrument requesting".format(SYMBOL))
self.celEnvironment.cqgCEL.NewInstrument(SYMBOL)
Trace("{} instrument waiting...".format(SYMBOL))
AssertMessage(self.eventInstrumentIsReady.wait(TIMEOUT),
"Instrument resolution timeout!")
dispatchedInstrument = win32com.client.Dispatch(self.instrument)
bestBid = dispatchedInstrument.Bid
AssertMessage(bestBid.IsValid,
"Error! Can't set an order price due to invalid BBA")
Trace("Best bid value is {}".format(bestBid.Price))
Trace("Calculating a price that above the market by 10 tick sizes...")
buyOrderPrice = bestBid.Price - 10 * dispatchedInstrument.TickSize
Trace("It is {}".format(buyOrderPrice))
Trace("Create Buy limit order")
buyOrder = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.CreateOrder(constants.otLimit,
self.instrument,
self.account, 1,
constants.osdUndefined,
buyOrderPrice))
Trace("Set Good-Till-Date property of the order")
buyOrder.DurationType = constants.odGoodTillDate
properties = win32com.client.Dispatch(buyOrder.Properties)
gtdTime = properties(constants.opGTDTime)
dateGTD = datetime.now(timezone.utc) + timedelta(days=7)
gtdTime.Value = dateGTD
Trace("Good-Till-Date property is set to {}".format(dateGTD))
Trace("Place order")
buyOrder.Place()
Trace("Waiting for order placing...")
AssertMessage(self.eventOrderPlaced.wait(TIMEOUT),
"Order placing timeout!")
Trace("Logoff from GW")
self.eventGatewayIsDown.clear()
self.celEnvironment.cqgCEL.GWLogoff()
AssertMessage(self.eventGatewayIsDown.wait(TIMEOUT),
"GW disconnection timeout!")
Trace("Done!")
def Start(self):
Trace("Connecting to GW")
self.celEnvironment.cqgCEL.GWLogon(LOGIN, PASSWORD)
Trace("Waiting for GW connection...")
AssertMessage(self.eventGatewayIsUp.wait(TIMEOUT),
"GW connection timeout!")
self.celEnvironment.cqgCEL.AccountSubscriptionLevel = constants.aslAccountUpdatesAndOrders
Trace("Waiting for accounts coming...")
AssertMessage(self.eventAccountIsReady.wait(TIMEOUT),
"Accounts coming timeout!")
Trace("Select the first account")
accounts = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.Accounts)
self.account = win32com.client.Dispatch(accounts.ItemByIndex(0))
Trace("Account name: {}".format(self.account.GWAccountName))
Trace("{} instrument requesting".format(SYMBOL))
self.celEnvironment.cqgCEL.NewInstrument(SYMBOL)
Trace("{} instrument waiting...".format(SYMBOL))
AssertMessage(self.eventInstrumentIsReady.wait(TIMEOUT),
"Instrument resolution timeout!")
instrument = win32com.client.Dispatch(self.instrument)
bestBid = instrument.Bid
AssertMessage(bestBid.IsValid,
"Error! Can't set an order price due to invalid BBA")
Trace("Best bid value is {}".format(bestBid.Price))
Trace("Calculating a price that above the market by 10 tick sizes")
buyOrderPrice = bestBid.Price - 10 * instrument.TickSize
Trace("It is {}".format(buyOrderPrice))
Trace("Create buy limit order")
buyOrder = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.CreateOrder(constants.otLimit,
self.instrument,
self.account, 1,
constants.osdUndefined,
buyOrderPrice))
Trace("Mark the order as manually placed")
buyOrder.Manual = True
Trace("Place 'manual' order")
buyOrder.Place()
Trace("Waiting for order placing...")
AssertMessage(self.eventOrderPlaced.wait(TIMEOUT),
"Order placing timeout!")
self.eventOrderPlaced.clear()
Trace("Create another buy limit order")
buyOrder = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.CreateOrder(constants.otLimit,
self.instrument,
self.account, 1,
constants.osdUndefined,
buyOrderPrice))
buyOrder.MiFIDAlgorithmID = "My-Own-MiFID-Algo-ID"
Trace("Set MiFID algorithm ID to {}".format(buyOrder.MiFIDAlgorithmID))
Trace(
"Setting MiFID algo ID automatically makes it 'non-manual'. Is it manual? : {}"
.format(buyOrder.Manual))
Trace("Place the 'non-manual' aka 'algo' order")
buyOrder.Place()
Trace("Waiting for order placing...")
AssertMessage(self.eventOrderPlaced.wait(TIMEOUT),
"Order placing timeout!")
Trace("Logoff from GW")
self.eventGatewayIsDown.clear()
self.celEnvironment.cqgCEL.GWLogoff()
AssertMessage(self.eventGatewayIsDown.wait(TIMEOUT),
"GW disconnection timeout!")
Trace("Done!")
def Start(self):
Trace("Connecting to GW")
self.celEnvironment.cqgCEL.GWLogon(LOGIN, PASSWORD)
Trace("Waiting for GW connection...")
AssertMessage(self.eventGatewayIsUp.wait(TIMEOUT),
"GW connection timeout!")
self.celEnvironment.cqgCEL.AccountSubscriptionLevel = constants.aslAccountUpdatesAndOrders
Trace("Waiting for accounts coming...")
AssertMessage(self.eventAccountIsReady.wait(TIMEOUT),
"Accounts coming timeout!")
Trace("Select the first account (it should be authorized to trade {})".
format(SYMBOL))
accounts = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.Accounts)
self.account = win32com.client.Dispatch(accounts.ItemByIndex(0))
Trace("{} instrument requesting...".format(SYMBOL))
self.celEnvironment.cqgCEL.NewInstrument(SYMBOL)
Trace("{} instrument waiting...".format(SYMBOL))
AssertMessage(self.eventInstrumentIsReady.wait(TIMEOUT),
"Instrument resolution timeout!")
instrument = win32com.client.Dispatch(self.instrument)
offsetCount = instrument.DiscretionaryOffsetCount
Trace("Symbol {} has {} discretionary offset count".format(
instrument.FullName, offsetCount))
AssertMessage(
offsetCount != 0,
"Symbol does not have discretionary prices. Select another one.")
bestBid = instrument.Bid
AssertMessage(bestBid.IsValid,
"Error! Can't set an order price due to invalid BBA")
Trace("Best bid value is {}".format(bestBid.Price))
Trace("Calculating a price that below the market by 10 tick sizes")
buyOrderPrice = bestBid.Price - 10 * instrument.TickSize
Trace("It is {}".format(buyOrderPrice))
Trace("Create Buy limit order")
buyOrder = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.CreateOrder(constants.otLimit,
self.instrument,
self.account, 1,
constants.osdUndefined,
buyOrderPrice))
Trace("Set discretionary offset for the order price")
buyOrder.DiscretionaryOffset = offsetCount - 1
properties = win32com.client.Dispatch(buyOrder.Properties)
executionInstructions = properties(constants.opExecutionInstructions)
executionInstructions.Value = constants.oeiDiscretion
Trace("Place order")
buyOrder.Place()
Trace("Waiting for order placing...")
AssertMessage(self.eventOrderPlaced.wait(TIMEOUT),
"Order placing timeout!")
Trace("Logoff from GW")
self.eventGatewayIsDown.clear()
self.celEnvironment.cqgCEL.GWLogoff()
AssertMessage(self.eventGatewayIsDown.wait(TIMEOUT),
"GW disconnection timeout!")
Trace("Done!")
def Start(self):
Trace("Connecting to GW")
self.celEnvironment.cqgCEL.GWLogon(LOGIN, PASSWORD)
Trace("Waiting for GW connection...")
AssertMessage(self.eventGatewayIsUp.wait(TIMEOUT),
"GW connection timeout!")
self.celEnvironment.cqgCEL.AccountSubscriptionLevel = constants.aslAccountUpdatesAndOrders
Trace("Waiting for accounts coming...")
AssertMessage(self.eventAccountIsReady.wait(TIMEOUT),
"Accounts coming timeout!")
Trace("Select the first account")
accounts = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.Accounts)
self.account = win32com.client.Dispatch(accounts.ItemByIndex(0))
Trace("Requesting instrument {}".format(SYMBOL))
self.celEnvironment.cqgCEL.NewInstrument(SYMBOL)
Trace("Waiting for instrument {} ...".format(SYMBOL))
AssertMessage(self.eventInstrumentIsReady.wait(TIMEOUT),
"Instrument resolution timeout!")
instrument = win32com.client.Dispatch(self.instrument)
bestBid = instrument.Bid
AssertMessage(bestBid.IsValid,
"Error! Can't set a fill price due to invalid BBA")
Trace("Best bid value is {}".format(bestBid.Price))
Trace("Calculating a price that above the market by 10 tick sizes")
buyOrderPrice = bestBid.Price - 10 * instrument.TickSize
Trace("It is {}".format(buyOrderPrice))
statementTime = datetime.now(timezone.utc)
Trace("Creating a request for manual fill adding and fill it")
manualFillRequest = win32com.client.Dispatch(
self.celEnvironment.cqgCEL.CreateManualFillRequest(
constants.mfutAdd, None))
manualFillRequest.GWAccountID = self.account.GWAccountID
manualFillRequest.InstrumentName = instrument.FullName
manualFillRequest.Note = "Hi from API!"
manualFillRequest.Price = buyOrderPrice
manualFillRequest.Quantity = 1
manualFillRequest.Side = constants.osdUndefined
manualFillRequest.StatementDate = statementTime
manualFillRequest.TradeTimestamp = statementTime
manualFillRequest.SpeculationType = constants.sptSpeculation
Trace("Invoking the request")
self.celEnvironment.cqgCEL.RequestManualFillUpdate(manualFillRequest)
Trace("Waiting for manual fill adding...")
AssertMessage(self.eventManualFillUpdateResolved.wait(TIMEOUT),
"Manual fill adding timeout!")
Trace("Requesting manual fills for account {}".format(
self.account.GWAccountID))
self.celEnvironment.cqgCEL.RequestManualFills(self.account.GWAccountID,
constants.mfdlSnapshot)
Trace("Waiting for manual fills receiving...")
AssertMessage(self.eventManualFillsResolved.wait(TIMEOUT),
"Manual fills receiving timeout!")
Trace("Logoff from GW")
self.eventGatewayIsDown.clear()
self.celEnvironment.cqgCEL.GWLogoff()
AssertMessage(self.eventGatewayIsDown.wait(TIMEOUT),
"GW disconnection timeout!")
Trace("Done!")