def onLoadInstrumentEnd(self, instrumentName, success):
try:
print "Instrument ", instrumentName, " Loaded."
inst = Context.Context_getInstance().getInstrument(instrumentName)
print "subscribing instrument ", inst.getInstrumentName()
Context.Context_getInstance().subscribe(inst)
except Exception, e:
print e
def onLogin(self, val):
try:
print "************ Got onLogin ********************* ", val
print "Calling Load instrument for ", sd.firstLegSymbol
if val == False:
print "Login Error...."
else:
print "Calling Load instrument for ", sd.firstLegSymbol
Context.Context_getInstance().loadInstrument(sd.firstLegSymbol)
Context.Context_getInstance().loadInstrument(
sd.secondLegSymbol)
print "************** On login End ****************"
except Exception, e:
print e
def cancelFirstLeg(self):
try:
print "\n**************** In cancelFirstLeg *********************\n"
sd.firstLegOrder.setTransactionType(Context.TransactionType_CANCEL)
sd.firstLegOrder.setSymbol(sd.firstLegSymbol)
sd.firstLegOrder.setOrderStatus(Context.OrderStatus_PENDING)
sd.firstLegOrder.setOrigClOrdId(sd.firstLegOrder.getOrigClOrdId())
sd.firstLegOrder.setClOrdId(sd.firstLegOrder.getClOrderId())
Context.Context_getInstance().placeOrder(sd.firstLegOrder)
except Exception, e:
print e
def onExecutionReport(self, execReport):
try:
print "Got on onreportutionReport Event."
execReport.dump()
if execReport.getInstrumentName() == sd.firstLegSymbol:
if execReport.getOrderStatus(
) == Context.OrderStatus_CONFIRMED:
sd.firstLegOrder.setClOrdId(execReport.getClOrderId())
sd.firstLegOrder.setOrigClOrdId(
execReport.getOriginalClOrderId())
sd.firstLegOrder.setOrderStatus(
Context.OrderStatus_CONFIRMED)
sd.isOrderPending = False
elif execReport.getOrderStatus(
) == Context.OrderStatus_REPLACED:
sd.firstLegOrder.setClOrdId(execReport.getClOrderId())
sd.firstLegOrder.setOrigClOrdId(
execReport.getOriginalClOrderId())
sd.firstLegOrder.setOrderStatus(
Context.OrderStatus_CONFIRMED)
sd.isOrderPending = False
elif execReport.getOrderStatus() == Context.OrderStatus_FILLED:
self.placeSecondLegMarket()
sd.isOrderPending = True
elif execReport.getInstrumentName() == sd.secondLegSymbol:
if execReport.getOrderStatus(
) == Context.OrderStatus_CONFIRMED:
sd.secondLegOrder.setClOrdId(execReport.getClOrderId())
sd.secondLegOrder.setOrigClOrdId(
execReport.getOriginalClOrderId())
sd.isOrderPending = False
elif execReport.getOrderStatus() == Context.OrderStatus_FILLED:
print "Strategy completed successfully."
netPos = Context.Portfolio_getInstance().getNetPositions()
firstInst = Context.Context_getInstance().getInstrument(
sd.firstLegSymbol)
firstPos = netPos.getPosition(firstInst, sd.firstLegSide)
print "Qty from net position for first leg : ", firstPos.getQuantity(
)
print "Price from net position for first leg : ", firstPos.getAveragePrice(
)
tradeBook = Context.Portfolio_getInstance().getTradeBook()
trdlst = tradeBook.getTrades()
print "Type ", type(trdlst)
print trdlst
except Exception, e:
print e
def placeSecondLegMarket(self):
try:
print "\n**************** In placeSecondLegMarket ******************\n"
sd.secondLegOrder.setTransactionType(Context.TransactionType_NEW)
sd.secondLegOrder.setSymbol(sd.secondLegSymbol)
sd.secondLegOrder.setOrderMode(sd.secondLegSide)
sd.secondLegOrder.setQuantity(sd.qty)
sd.secondLegOrder.setPrice(0)
sd.secondLegOrder.setSecurityType(Context.InstrumentType_FUTURE)
sd.secondLegOrder.setDisclosedQuantity(sd.qty)
sd.secondLegOrder.setOrderValidity(Context.TimeInForce_DAY)
sd.secondLegOrder.setOrderType(Context.OrderType_MARKET)
sd.secondLegOrder.setOrderStatus(Context.OrderStatus_PENDING)
Context.Context_getInstance().placeOrder(sd.secondLegOrder)
except Exception, e:
print e
def firstLegBid(self):
try:
print "\n**************** In firstLegBid *********************\n"
sd.firstLegOrder.setTransactionType(Context.TransactionType_NEW)
sd.firstLegOrder.setSymbol(sd.firstLegSymbol)
sd.firstLegOrder.setOrderMode(sd.firstLegSide)
sd.firstLegOrder.setQuantity(sd.qty)
sd.firstLegOrder.setPrice(sd.orderPriceFirstLeg)
sd.firstLegOrder.setSecurityType(Context.InstrumentType_FUTURE)
sd.firstLegOrder.setDisclosedQuantity(sd.qty)
sd.firstLegOrder.setOrderValidity(Context.TimeInForce_DAY)
sd.firstLegOrder.setOrderType(Context.OrderType_LIMIT)
sd.firstLegOrder.setOrderStatus(Context.OrderStatus_PENDING)
sd.previousBidPrice = sd.orderPriceFirstLeg
Context.Context_getInstance().placeOrder(sd.firstLegOrder)
except Exception, e:
print e
def modifyOrder(self):
try:
print "\n**************** In modifyOrder *********************\n"
sd.firstLegOrder.setTransactionType(Context.TransactionType_MODIFY)
sd.firstLegOrder.setSymbol(sd.firstLegSymbol)
sd.firstLegOrder.setOrderMode(sd.firstLegSide)
sd.firstLegOrder.setQuantity(sd.qty)
sd.firstLegOrder.setPrice(sd.orderPriceFirstLeg)
sd.firstLegOrder.setSecurityType(Context.InstrumentType_FUTURE)
sd.firstLegOrder.setDisclosedQuantity(sd.qty)
sd.firstLegOrder.setOrderValidity(Context.TimeInForce_DAY)
sd.firstLegOrder.setOrderType(Context.OrderType_LIMIT)
sd.firstLegOrder.setOrderStatus(Context.OrderStatus_PENDING)
sd.firstLegOrder.setOrigClOrdId(sd.firstLegOrder.getOrigClOrdId())
sd.firstLegOrder.setClOrdId(sd.firstLegOrder.getClOrderId())
Context.Context_getInstance().placeOrder(sd.firstLegOrder)
except Exception, e:
print e
tempQty = 0
for i in range(5):
p = md.getPrice(side, i + 1)
q = md.getQty(side, i + 1)
tempPrice = tempPrice + p * q
tempQty = tempQty + q
if tempQty >= qty:
break
if tempQty < qty:
return False, 0
avgPrice = tempPrice / tempQty
print "avgPrice = ", avgPrice
return True, avgPrice
sd = symbolData("ESMNSE INFY 20131031", "ESMNSE ACC 20131031", 267500, 0, 0,
Context.Side_SELL, Context.Side_BUY, False, 1, -1, 0, 250,
Context.Order(), Context.Order(), 0, 0, 0)
a = Bar(sd)
#a = Application()
contxt = Context.Context_getInstance()
contxt.setApplication(a)
host = "10.0.0.31"
passw = "pass2@123"
user = 14
port = 8286
try:
contxt.login(user, passw, host, port, False)
except Exception, e:
print e