SmartQuant Discussion
http://www.smartquant.com/forums/

Trading Technologies API - Sending Orders
http://www.smartquant.com/forums/viewtopic.php?f=60&t=14866
Page 1 of 1

Author:  zbxxxx [ Thu Nov 01, 2018 3:55 pm ]
Post subject:  Trading Technologies API - Sending Orders

Hi,

Have tried to send an order into the market using TTAPI ..
Appears that some fields are missing which should have been picked up from Customer Defaults.
The log file spits out the following.

10:44:15.67751 [Execution] SendOrder: Profile={DisclosedQuantityMode:"None" StopTriggerQuantityMode:"None" ParentWatThresholdQuantityMode:"None" ParentWatThreshold:"0" SyntheticOrderModifier:"None" PositionReserveOrderKey:"" QuoteQuantityCondition:"None" AccumulateTriggerQuantity:"None" SyntheticActionCode:"None" TicksDeep:"-4096" RejectImmediateTrigger:"None" TrailingOffset:"-4096" LimitOffset:"-4096" RetryInterval:"0" NumberOfRetries:"0" InterSliceVolume:"0" InterSliceVolumeQuantityMode:"None" InterSliceDelay:"0" InterSliceDelayTimeUnits:"None" OverrideExchangeRules:"False" LeftoverActionTime:"None" LeftoverAction:"None" PayupTicks:"-4096" PriceVariance:"-268435456" VariancePercentage:"0" SlicerType:"None" PriceMode:"None" LimitPriceType:"None" TriggerPriceType:"None" PriceTrigger:"None" EndTimeAction:"None" TotalVolume:"0" TotalDuration:"00:00:00" EndTime:"01/01/1970 00:00:00.000" StartTime:"01/01/1970 00:00:00.000" MonitoringUserName:"" SubUserId:"" OrderTag:"" UserTag:"" CounterpartyTraderId:"" CounterpartyGroupId:"" CounterpartyMemberId:"" StopTriggerQuantity:"0" DeviationQuantity:"0" RoundTripId:"00000000-0000-0000-0000-000000000000" Destination:"" UserName:"" SiteOrderKey:"0L0YW4002" GiveUp:"" AccountName:"LGBET950" AccountType:"A1" AlgorithmId:"" CommDerivIndicator:"None" LiquidityProvision:"None" DirectEAccess:"None" TradingCapacityInfo:"None" InvestmentDecisionMakerIsAlgo:"False" InvestmentDecision:"" ExecutionDecisionMakerIsAlgo:"False" ExecutionDecision:"" Client:"" FFT6:"" FFT5:"" FFT4:"" FFT3:"" FFT2:"" TimeInForce:"01/01/0001 00:00:00.000 GoodTillDay" Modifiers:"None" StopPrice:"" LimitPrice:"11530.0" DisclosedQuantity:"0" MinimumQuantity:"0" QuantityToWork:"1" OrderQuantity:"1" OpenClose:"Open" IsAutomated:"True" PriceCheck:"True" BuySell:"Buy" Restriction:"None" OrderType:"Limit" Action:"Add" IsOnHold:"False" Status:"None" InstrumentKey:"Eurex FDAX (FUTURE) FDAX122018" FeedConnectionKey:"Eurex-E (154) BrokerKey: , CompanyKey: , M: TTORDTO, G: E13, T: ZBXXXX I: 55590"}
10:44:15.76569 [Execution] OrderRejected: Message=EX: Missing required field OrderAttributeLiquidityProvision Order={IsChild:"False" IsParent:"False" RejectReasonDetail:"NoDetails" RelatedOrderKeyType:"None" RelatedOrderKey:"" SyntheticOrderKey:"" IsHoldInRejectedOrder:"False" IsPositionReserveOrder:"False" IsExchangeOrder:"True" IsSynthetic:"False" IsEngineManaged:"False" IsExpired:"False" Message:"EX: Missing required field OrderAttributeLiquidityProvision" FeeType:"None" StatusHistory:"None" IsDownloaded:"False" ExchangeTransactionNumber:"" TradeSession:"0" Processed:"11/01/2018 11:44:15.800" Received:"11/01/2018 11:44:15.800" Sent:"11/01/2018 10:44:15.729" OldOrderNumber:"0" FillQuantity:"0" ExchangeStamp:"01/01/0001 00:00:00.000" RiskAccount:"LGBET950" OriginalAction:"Add" StatusModifier:"None" RoundTripId:"eda2f061-8e4a-4eb0-88fb-ea776eac02dd" TradeState:"Unknown" SubUserId:"" SenderRegionCode:"" SenderCountryCode:"" OrderTag:"" UserTag:"" HoldOrderFeatures:"None" CounterpartyTraderId:"" CounterpartyGroupId:"" CounterpartyMemberId:"" StopTriggerQuantity:"0" DeviationQuantity:"0" Approval:"Yes" Destination:"" MonitoringUserName:"ZBXXXX" UserName:"ZBXXXX" SiteOrderKey:"0L0YW4002" ExchangeOrderId:"0" GiveUp:"" ExchangeTraderId:"005" ExchangeGroupId:"ORA" ExchangeMemberId:"TCLZI" TraderId:"ZBXXXX" GroupId:"E13" MemberId:"TTORDTO" AccountName:"LGBET950" AccountType:"A1" AlgorithmId:"" TradingCapacityInfo:"None" LiquidityProvision:"None" CommDerivIndicator:"None" DirectEAccess:"None" ExecutionDecisionMakerIsAlgo:"False" ExecutionDecision:"" InvestmentDecisionMakerIsAlgo:"False" InvestmentDecision:"" Client:"" FFT6:"" FFT5:"" FFT4:"" FFT3:"" FFT2:"" TimeInForce:"01/01/0001 00:00:00.000 GoodTillDay" Modifiers:"None" OrderKey:"10988783090784010277" OrderNumber:"0" StopPrice:"" LimitPrice:"11530.0" DisclosedQuantity:"0" MinimumQuantity:"0" PendingFillQuantity:"0" CanceledQuantity:"0" WorkingQuantity:"0" OrderQuantity:"1" IsAutomated:"True" OpenClose:"Open" PriceCheck:"True" BuySell:"Buy" Restriction:"None" OrderType:"Limit" Action:"Add" IsOnHold:"False" Status:"Rejected" InstrumentKey:"Eurex FDAX (FUTURE) FDAX122018" CompanyKey:"" BrokerKey:"" FeedConnectionKey:"Eurex-E (154) BrokerKey: , CompanyKey: , M: TTORDTO, G: E13, T: ZBXXXX I: 55590"}

Any idea of how I can either get it to retrieve the fields automatically, or failing that, insert these fields directly into either the order or instrument.

Just to save time , the fields in question are :

TradingCapacityInfo:"None"
LiquidityProvision:"None"
DirectEAccess:"None"
ExecutionDecisionMakerIsAlgo:"False"
ExecutionDecision:""
InvestmentDecisionMakerIsAlgo:"False"
InvestmentDecision:""

Can these be set manually in the "Order" class? Happy to do that, if there's no way to interrogate the Customer Profile.

Have also attempted to use code from previous post on this forum :

public Order limitKotes(Instrument inst, OrderSide irany, int db, double limitAr, string szoveg, string RiskAccount) {
Order limitAd;
limitAd=LimitOrder(inst, irany, Math.Abs(db), limitAr, szoveg);
limitAd.Account=RiskAccount;
limitAd.PositionEffect=PositionEffect.Open;
limitAd.TT.ClearingAccount=RiskAccount;
limitAd.TT.TTUserTag=limitAd.Text;
limitAd.TT.TTExchangeGateway="10706";
return limitAd;
}

There are no Order.TT fields available ...

Thanks

Author:  zbxxxx [ Thu Nov 15, 2018 2:52 am ]
Post subject:  Re: Trading Technologies API - Sending Orders

This has been fixed with the new version of OQ date 14 Nov 2018.
Issue was that OQ was not picking up Mifid II fields from customer defaults. All working smoothly

Page 1 of 1 All times are UTC + 3 hours
Powered by phpBB® Forum Software © phpBB Group
https://www.phpbb.com/