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Merge pull request #1136 from Marketcetera/MATP-900
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MATP-900 Add peg-to-midpoint order price
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@colinduplantis
colinduplantis committed Apr 1, 2023
2 parents 75fa3bd + b44e942 commit 8d5fc39
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Showing 2 changed files with 174 additions and 19 deletions.
12 changes: 6 additions & 6 deletions photon/src/main/java/org/marketcetera/ui/marketdata/view/MarketDataListView.java
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Original file line number Diff line number Diff line change
Expand Up @@ -95,7 +95,7 @@ public void onClose()
synchronized(symbolsByRequestId) {
updateViewProperties();
for(String requestId : symbolsByRequestId.keySet()) {
marketdataClient.cancel(requestId);
marketDataClient.cancel(requestId);
}
symbolsByRequestId.clear();
}
Expand All @@ -119,7 +119,7 @@ public String getViewName()
@Override
protected void onStart()
{
marketdataClient = serviceManager.getService(MarketDataClientService.class);
marketDataClient = serviceManager.getService(MarketDataClientService.class);
tradeClient = serviceManager.getService(TradeClientService.class);
rootLayout = new VBox(5);
initializeAddSymbol();
Expand Down Expand Up @@ -228,7 +228,7 @@ private void doMarketDataRequest(String inSymbol)
SLF4JLoggerProxy.debug(this,
"Submitting {}",
request);
marketdataClient.request(request,
marketDataClient.request(request,
rowListener);
updateViewProperties();
}
Expand All @@ -255,7 +255,7 @@ private void initializeAddSymbol()
addSymbolLayout.setAlignment(Pos.CENTER_RIGHT);
providerComboBox = new ComboBox<>();
providerComboBox.getItems().add(ALL_PROVIDERS);
providerComboBox.getItems().addAll(marketdataClient.getProviders());
providerComboBox.getItems().addAll(marketDataClient.getProviders());
addSymbolLayout.getChildren().addAll(providerComboBox,
addSymbolTextField,
addSymbolButton);
Expand Down Expand Up @@ -346,7 +346,7 @@ private void initializeContextMenu()
return;
}
try {
marketdataClient.cancel(marketDataItem.marketDataRequestIdProperty().get());
marketDataClient.cancel(marketDataItem.marketDataRequestIdProperty().get());
} catch (Exception e) {
SLF4JLoggerProxy.warn(this,
e);
Expand Down Expand Up @@ -595,7 +595,7 @@ private MarketDataRowListener(MarketDataItem inMarketDataItem)
/**
* provides access to market data services
*/
private MarketDataClientService marketdataClient;
private MarketDataClientService marketDataClient;
/**
* provides access to trade services
*/
Expand Down
181 changes: 168 additions & 13 deletions photon/src/main/java/org/marketcetera/ui/trade/view/orderticket/OrderTicketView.java
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Original file line number Diff line number Diff line change
Expand Up @@ -13,9 +13,16 @@
import org.marketcetera.algo.BrokerAlgoSpec;
import org.marketcetera.algo.BrokerAlgoTag;
import org.marketcetera.client.Validations;
import org.marketcetera.core.BigDecimalUtil;
import org.marketcetera.core.PlatformServices;
import org.marketcetera.core.XmlService;
import org.marketcetera.event.AskEvent;
import org.marketcetera.event.BidEvent;
import org.marketcetera.event.Event;
import org.marketcetera.fix.ActiveFixSession;
import org.marketcetera.marketdata.Content;
import org.marketcetera.marketdata.MarketDataListener;
import org.marketcetera.marketdata.MarketDataRequestBuilder;
import org.marketcetera.trade.AverageFillPrice;
import org.marketcetera.trade.BrokerID;
import org.marketcetera.trade.ExecutionReport;
Expand All @@ -31,10 +38,10 @@
import org.marketcetera.trade.TimeInForce;
import org.marketcetera.trade.client.OrderValidationException;
import org.marketcetera.trade.client.SendOrderResponse;
import org.marketcetera.ui.PhotonApp;
import org.marketcetera.ui.PhotonServices;
import org.marketcetera.ui.events.NewWindowEvent;
import org.marketcetera.ui.events.NotificationEvent;
import org.marketcetera.ui.marketdata.service.MarketDataClientService;
import org.marketcetera.ui.service.ServiceManager;
import org.marketcetera.ui.service.SessionUser;
import org.marketcetera.ui.service.StyleService;
Expand All @@ -43,6 +50,7 @@
import org.marketcetera.ui.view.AbstractContentView;
import org.marketcetera.ui.view.ContentView;
import org.marketcetera.ui.view.ValidatingTextField;
import org.marketcetera.util.log.I18NBoundMessage;
import org.marketcetera.util.log.SLF4JLoggerProxy;
import org.springframework.beans.factory.annotation.Autowired;
import org.springframework.beans.factory.config.ConfigurableBeanFactory;
Expand All @@ -53,8 +61,10 @@

import javafx.application.Platform;
import javafx.beans.property.BooleanProperty;
import javafx.beans.property.ObjectProperty;
import javafx.beans.property.ReadOnlyBooleanWrapper;
import javafx.beans.property.SimpleBooleanProperty;
import javafx.beans.property.SimpleObjectProperty;
import javafx.beans.property.SimpleStringProperty;
import javafx.beans.property.StringProperty;
import javafx.beans.value.ChangeListener;
Expand All @@ -77,9 +87,7 @@
import javafx.scene.control.cell.PropertyValueFactory;
import javafx.scene.control.cell.TextFieldTableCell;
import javafx.scene.input.KeyCode;
import javafx.scene.input.KeyCodeCombination;
import javafx.scene.input.KeyCombination;
import javafx.scene.input.Mnemonic;
import javafx.scene.input.KeyEvent;
import javafx.scene.input.MouseEvent;
import javafx.scene.layout.GridPane;
import javafx.scene.layout.HBox;
Expand Down Expand Up @@ -118,12 +126,21 @@ public String getViewName()
{
return NAME;
}
/* (non-Javadoc)
* @see org.marketcetera.ui.view.AbstractContentView#onClose()
*/
@Override
public void onClose()
{
cancelPegToMidpointMarketDataRequest();
}
/* (non-Javadoc)
* @see org.marketcetera.ui.view.AbstractContentView#onStart()
*/
@Override
protected void onStart()
{
marketDataClient = serviceManager.getService(MarketDataClientService.class);
rootLayout = new VBox();
orderTicketLayout = new GridPane();
// create controls and layouts
Expand Down Expand Up @@ -293,18 +310,29 @@ public void changed(ObservableValue<? extends Side> inObservable,
try {
String symbol = serviceManager.getService(TradeClientService.class).getTreatedSymbol(String.valueOf(inNewValue));
if(symbol == null) {
pegToMidpointCheckBox.setDisable(true);
pegToMidpointLockedCheckBox.setDisable(true);
pegToMidpointCheckBox.selectedProperty().set(false);
pegToMidpointLockedCheckBox.selectedProperty().set(false);
cancelPegToMidpointMarketDataRequest();
return;
}
resolvedInstrument = serviceManager.getService(TradeClientService.class).resolveSymbol(symbol);
if(resolvedInstrument == null) {
symbolTextField.setStyle(PhotonServices.errorStyle);
adviceLabel.textProperty().set("Cannot resolve symbol");
pegToMidpointCheckBox.setDisable(true);
pegToMidpointLockedCheckBox.setDisable(true);
pegToMidpointCheckBox.selectedProperty().set(false);
pegToMidpointLockedCheckBox.selectedProperty().set(false);
cancelPegToMidpointMarketDataRequest();
return;
}
pegToMidpointCheckBox.setDisable(false);
symbolTextField.setStyle(PhotonServices.successStyle);
adviceLabel.textProperty().set("");
symbolTextField.setTooltip(new Tooltip(resolvedInstrument.toString()));
// TODO if peg-to-midpoint is checked, we need to change the market data subscription
doPegToMidpointMarketDataRequest();
} finally {
adjustSendButton();
}
Expand Down Expand Up @@ -333,8 +361,10 @@ public void changed(ObservableValue<? extends OrderType> inObservable,
isMarket = value.isMarketOrder();
}
if(isMarket) {
cancelPegToMidpointMarketDataRequest();
priceTextField.setText("");
pegToMidpointCheckBox.selectedProperty().set(false);
pegToMidpointLockedCheckBox.selectedProperty().set(false);
}
priceTextField.setDisable(isMarket);
pegToMidpointCheckBox.setDisable(isMarket);
Expand Down Expand Up @@ -441,15 +471,22 @@ public void changed(ObservableValue<? extends OrderType> inObservable,
pegToMidpointLabel.setId(getClass().getCanonicalName() + ".pegToMidpointLabel");
pegToMidpointCheckBox.setId(getClass().getCanonicalName() + ".pegToMidpointCheckBox");
pegToMidpointCheckBox.setTooltip(new Tooltip("Price pegged to the midpoint of the spread when the order is routed"));
pegToMidpointBidEventProperty.addListener((observableValue,oldValue,newValue) -> updatePegToMidpointPrice());
pegToMidpointAskEventProperty.addListener((observableValue,oldValue,newValue) -> updatePegToMidpointPrice());
pegToMidpointCheckBox.setDisable(true);
pegToMidpointLockedCheckBox.setDisable(true);
pegToMidpointCheckBox.selectedProperty().addListener((observable, oldValue, newValue) -> {
boolean value = newValue;
pegToMidpointLockedCheckBox.setDisable(!value);
// enable/disable price if the peg-to-midpoint is selected
priceTextField.setDisable(value);
if(!value) {
pegToMidpointLockedCheckBox.selectedProperty().set(false);
cancelPegToMidpointMarketDataRequest();
adjustSendButton();
return;
}
// TODO need to subscribe to market data (if we have a symbol)
doPegToMidpointMarketDataRequest();
});
styleService.addStyleToAll(pegToMidpointLabel,
pegToMidpointCheckBox);
Expand Down Expand Up @@ -537,14 +574,14 @@ public void handle(MouseEvent inEvent)
styleService.addStyleToAll(customFieldsAccordion,
customFieldsPane,
customFieldsTable);
// send button
KeyCombination sendKeyCombination = new KeyCodeCombination(KeyCode.ENTER);
Mnemonic sendMnemonic = new Mnemonic(sendButton,
sendKeyCombination);
sendButton.setMnemonicParsing(true);
PhotonApp.getPrimaryStage().getScene().addMnemonic(sendMnemonic);
buttonLayout.getChildren().addAll(sendButton,
clearButton);
clearButton);
rootLayout.addEventHandler(KeyEvent.KEY_PRESSED, event -> {
if(event.getCode() == KeyCode.ENTER && !sendButton.disabledProperty().get()) {
sendButton.fire();
event.consume();
}
});
sendButton.setOnMouseClicked(inEvent -> {
NewOrReplaceOrder newOrder;
if(replaceExecutionReportOption.isPresent()) {
Expand Down Expand Up @@ -764,6 +801,108 @@ public void run()
);
}
}
private void updatePegToMidpointPrice()
{
if(pegToMidpointBidEventProperty.get() == null || pegToMidpointAskEventProperty.get() == null) {
priceTextField.textProperty().set("");
return;
}
BigDecimal askPrice = pegToMidpointAskEventProperty.get().getPrice();
BigDecimal bidPrice = pegToMidpointBidEventProperty.get().getPrice();
try {
BigDecimal midpointPirce = askPrice.add(bidPrice).divide(new BigDecimal(2),
PlatformServices.divisionContext);
priceTextField.textProperty().set(BigDecimalUtil.renderCurrency(midpointPirce));
} catch (Exception e) {
SLF4JLoggerProxy.warn(this,
e,
"Cannot set peg-to-midpoint price, will try again shortly");
}
}
/**
* Handle an error that occurred while requesting market data for peg-to-midpoint.
*
* @param inMessage a <code>String</code> value
*/
private void handleMarketDataRequestError(String inMessage)
{
uiMessageService.post(new NotificationEvent("Peg-to-Midpoint Market Data Request",
"Unable to request market data for peg-to-midpoint price: " + inMessage,
AlertType.ERROR));
pegToMidpointCheckBox.selectedProperty().set(false);
priceTextField.textProperty().set("");
cancelPegToMidpointMarketDataRequest();
}
/**
* Executes the peg-to-midpoint market data request, if appropriate.
*/
private void doPegToMidpointMarketDataRequest()
{
if(!pegToMidpointCheckBox.selectedProperty().get()) {
return;
}
cancelPegToMidpointMarketDataRequest();
if(symbolTextField.textProperty().get() != null) {
pegToMidpointMarketDataRequestId = marketDataClient.request(MarketDataRequestBuilder.newRequest().withSymbols(symbolTextField.textProperty().get()).withContent(Content.TOP_OF_BOOK).create(),
new MarketDataListener() {
/* (non-Javadoc)
* @see org.marketcetera.marketdata.MarketDataListener#receiveMarketData(org.marketcetera.event.Event)
*/
@Override
public void receiveMarketData(Event inEvent)
{
if(inEvent instanceof BidEvent) {
pegToMidpointBidEventProperty.set((BidEvent)inEvent);
} else if(inEvent instanceof AskEvent) {
pegToMidpointAskEventProperty.set((AskEvent)inEvent);
} else {
handleMarketDataRequestError("Received unexpected peg-to-midpoint event: " + inEvent.getClass());
}
}
/* (non-Javadoc)
* @see org.marketcetera.marketdata.MarketDataListener#onError(java.lang.Throwable)
*/
@Override
public void onError(Throwable inThrowable)
{
handleMarketDataRequestError(PlatformServices.getMessage(inThrowable));
}
/* (non-Javadoc)
* @see org.marketcetera.marketdata.MarketDataListener#onError(org.marketcetera.util.log.I18NBoundMessage)
*/
@Override
public void onError(I18NBoundMessage inMessage)
{
handleMarketDataRequestError(inMessage.getText());
}
/* (non-Javadoc)
* @see org.marketcetera.marketdata.MarketDataListener#onError(java.lang.String)
*/
@Override
public void onError(String inMessage)
{
handleMarketDataRequestError(inMessage);
}
});
}
}
/**
* Cancels the extant market data request for peg-to-midpoint, if any.
*/
private void cancelPegToMidpointMarketDataRequest()
{
SLF4JLoggerProxy.debug(this,
"Canceling market data request: {}",
pegToMidpointMarketDataRequestId);
if(pegToMidpointMarketDataRequestId != null) {
try {
marketDataClient.cancel(pegToMidpointMarketDataRequestId);
} catch (Exception ignored) {
} finally {
pegToMidpointMarketDataRequestId = null;
}
}
}
/**
* Adjust the send button based on the other fields.
*
Expand Down Expand Up @@ -895,6 +1034,18 @@ private StringProperty valueProperty()
*/
private final StringProperty value;
}
/**
* stores the most recent peg-to-midpoint bid event
*/
private final ObjectProperty<BidEvent> pegToMidpointBidEventProperty = new SimpleObjectProperty<>();
/**
* stores the most recent peg-to-midpoint ask event
*/
private final ObjectProperty<AskEvent> pegToMidpointAskEventProperty = new SimpleObjectProperty<>();
/**
* contains the market data request id for peg-to-midpoint requests, if any
*/
private String pegToMidpointMarketDataRequestId;
/**
* root layout of the view
*/
Expand Down Expand Up @@ -1132,6 +1283,10 @@ private StringProperty valueProperty()
* root container for the scene
*/
private GridPane orderTicketLayout;
/**
* provides access to market data services
*/
private MarketDataClientService marketDataClient;
/**
* provides access to style services
*/
Expand Down

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