Order Log

OrderLogGrid - a graphical component for displaying the order log (OrderLogItem).

Main properties and methods

• OrderLogGrid.LogItems - list of order log items.
• OrderLogGrid.SelectedLogItem - selected order log item.
• OrderLogGrid.SelectedLogItems - selected order log items.

Below are code fragments demonstrating its usage:

<Window x:Class="SampleITCH.OrdersLogWindow"
		xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
		xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
		xmlns:loc="clr-namespace:StockSharp.Localization;assembly=StockSharp.Localization"
		xmlns:xaml="http://schemas.stocksharp.com/xaml"
		Title="{x:Static loc:LocalizedStrings.OrderLog}" Height="750" Width="900">
	<xaml:OrderLogGrid x:Name="OrderLogGrid" x:FieldModifier="public" />
</Window>

public class OrderLogWindow
{
	private readonly Connector _connector;
	private readonly Security _security;
	private Subscription _orderLogSubscription;
	
	public OrderLogWindow(Connector connector, Security security)
	{
		InitializeComponent();
		
		_connector = connector;
		_security = security;
		
		// Subscribe to order log item reception event
		_connector.OrderLogItemReceived += OnOrderLogItemReceived;
		
		// Create a subscription to order log
		_orderLogSubscription = new Subscription(DataType.OrderLog, security);
		
		// Start subscription
		_connector.Subscribe(_orderLogSubscription);
	}
	
	// Handler for order log item reception event
	private void OnOrderLogItemReceived(Subscription subscription, OrderLogItem item)
	{
		// Check if the log item belongs to our subscription
		if (subscription != _orderLogSubscription)
			return;
			
		// Add the item to OrderLogGrid in the user interface thread
		this.GuiAsync(() => OrderLogGrid.LogItems.Add(item));
	}
	
	// Method for unsubscribing when the window is closed
	public void Unsubscribe()
	{
		if (_orderLogSubscription != null)
		{
			_connector.OrderLogItemReceived -= OnOrderLogItemReceived;
			_connector.UnSubscribe(_orderLogSubscription);
			_orderLogSubscription = null;
		}
	}
}

Order log filtering

// Creating a subscription to order log with filtering
public void SubscribeOrderLog(Security security, DateTime from, DateTime to)
{
	// Create a subscription to order log
	var orderLogSubscription = new Subscription(DataType.OrderLog, security)
	{
		MarketData =
		{
			// Specify time period for historical data
			From = from,
			To = to
		}
	};
	
	// Subscribe to order log item reception event
	_connector.OrderLogItemReceived += OnFilteredOrderLogItemReceived;
	
	// Start subscription
	_connector.Subscribe(orderLogSubscription);
}

// Handler for order log item reception event with filtering
private void OnFilteredOrderLogItemReceived(Subscription subscription, OrderLogItem item)
{
	// Check subscription type
	if (subscription.DataType != DataType.OrderLog)
		return;
		
	// Filter by price (example)
	if (item.Price < _minPrice || item.Price > _maxPrice)
		return;
		
	// Add the item to OrderLogGrid in the user interface thread
	this.GuiAsync(() => 
	{
		OrderLogGrid.LogItems.Add(item);
		
		// Limit the number of displayed items
		while (OrderLogGrid.LogItems.Count > _maxItems)
			OrderLogGrid.LogItems.RemoveAt(0);
	});
}

Order log dynamics analysis

// Class for analyzing order log dynamics
public class OrderLogAnalyzer
{
	private readonly Connector _connector;
	private readonly Security _security;
	private readonly OrderLogGrid _orderLogGrid;
	
	// Counters for analysis
	private int _buyCount = 0;
	private int _sellCount = 0;
	private decimal _buyVolume = 0;
	private decimal _sellVolume = 0;
	
	public OrderLogAnalyzer(Connector connector, Security security, OrderLogGrid orderLogGrid)
	{
		_connector = connector;
		_security = security;
		_orderLogGrid = orderLogGrid;
		
		// Subscribe to order log item reception event
		_connector.OrderLogItemReceived += OnOrderLogItemReceived;
		
		// Create a subscription to order log
		var subscription = new Subscription(DataType.OrderLog, security);
		
		// Start subscription
		_connector.Subscribe(subscription);
	}
	
	// Handler for order log item reception event
	private void OnOrderLogItemReceived(Subscription subscription, OrderLogItem item)
	{
		if (item.SecurityId != _security.ToSecurityId())
			return;
			
		// Analyze order log item
		if (item.Side == Sides.Buy)
		{
			_buyCount++;
			_buyVolume += item.Volume;
		}
		else if (item.Side == Sides.Sell)
		{
			_sellCount++;
			_sellVolume += item.Volume;
		}
		
		// Update interface with analysis results
		this.GuiAsync(() => 
		{
			// Add item to OrderLogGrid
			_orderLogGrid.LogItems.Add(item);
			
			// Update statistics
			UpdateStatistics();
		});
	}
	
	// Update statistics
	private void UpdateStatistics()
	{
		BuyCountLabel.Content = $"Buys: {_buyCount}";
		SellCountLabel.Content = $"Sells: {_sellCount}";
		BuyVolumeLabel.Content = $"Buy volume: {_buyVolume}";
		SellVolumeLabel.Content = $"Sell volume: {_sellVolume}";
		
		// Calculate imbalance
		var volumeImbalance = _buyVolume - _sellVolume;
		var imbalancePercent = (_buyVolume + _sellVolume) > 0 
			? volumeImbalance / (_buyVolume + _sellVolume) * 100 
			: 0;
			
		ImbalanceLabel.Content = $"Imbalance: {volumeImbalance:F2} ({imbalancePercent:F2}%)";
	}
}