public void recvOrderbookNotification(IOrderbook_Matcher ob, IOrderbookEvent evt)
{
String line = "";
if (evt is IOrderbookEvent_AddOrder)
{
// log an Add row
IOrderbookEvent_AddOrder addEvt = (IOrderbookEvent_AddOrder)evt;
IOrder order = addEvt.getOrder();
string status = "Add";
string time = "" + String.Format("{0:.###}", Scheduler.GetTime());
string price = "" + (ob.getNumBids() > 0 ? String.Format("{0:.###}", ob.getHighestBid()) : "?")
+ "," + (ob.getNumAsks() > 0 ? String.Format("{0:.###}", ob.getLowestAsk()) : "?");
string direction = "" + (order.isBid() ? "BID" : "ASK");
string orderprice = "" + String.Format("{0:.###}", order.getPrice());
string ordersize = "" + order.getVolume();
string owner = "\"" + order.getOwner().ToString() + "\"";
line = status + "," + time + "," + price + "," + direction + "," + orderprice + "," + ordersize + "," + owner;
Console.WriteLine(line);
}
else if (evt is IOrderbookEvent_CancelOrder)
{
// log a Cancel
IOrderbookEvent_CancelOrder cancelEvt = (IOrderbookEvent_CancelOrder)evt;
IOrder order = cancelEvt.getOrder();
string status = "Cancel";
string time = "" + String.Format("{0:.###}", Scheduler.GetTime());
string price = "" + (ob.getNumBids() > 0 ? String.Format("{0:.###}", ob.getHighestBid()) : "?")
+ "," + (ob.getNumAsks() > 0 ? String.Format("{0:.###}", ob.getLowestAsk()) : "?"); string direction = "" + (order.isBid() ? "BID" : "ASK");
string orderprice = "" + String.Format("{0:.###}", order.getPrice());
string ordersize = "" + order.getVolume();
string owner = "\"" + order.getOwner().ToString() + "\"";
line = status + "," + time + "," + price + "," + direction + "," + orderprice + "," + ordersize + "," + owner;
Console.WriteLine(line);
}
else if (evt is IOrderbookEvent_FillOrder)
{
// no op
IOrderbookEvent_FillOrder fillEvt = (IOrderbookEvent_FillOrder)evt;
IOrder order = fillEvt.getOrder();
string status = "Fill";
string time = "" + String.Format("{0:.###}", Scheduler.GetTime());
string price = "" + (ob.getNumBids() > 0 ? String.Format("{0:.###}", ob.getHighestBid()) : "?")
+ "," + (ob.getNumAsks() > 0 ? String.Format("{0:.###}", ob.getLowestAsk()) : "?"); string direction = "" + (order.isBid() ? "BID" : "ASK");
string orderprice = "" + String.Format("{0:.###}", order.getPrice());
string ordersize = "" + order.getVolume();
string owner = "\"" + order.getOwner().ToString() + "\"";
line = status + "," + time + "," + price + "," + direction + "," + orderprice + "," + ordersize + "," + owner;
Console.WriteLine(line);
}
OrderbookBoundaries newbdy = new OrderbookBoundaries();
newbdy.process(ob);
if (_bdy.differentFrom(newbdy))
{
Console.WriteLine("*** OB boundaries changed!! " + newbdy.ToString());
}
_bdy = newbdy;
using (FileStream fs = new FileStream("frames/OB-" + _tag + ".txt", FileMode.Append, FileAccess.Write))
using (StreamWriter sw = new StreamWriter(fs)) {
sw.WriteLine(line);
}
if (Scheduler.GetTime() - _LastDumpTime > DUMP_INTERVAL)
{
_LastDumpTime = Scheduler.GetTime();
using (FileStream fs = new FileStream("frames/BIDS-" + _tag + "-" + _DumpNumber + ".dat", FileMode.Append, FileAccess.Write))
using (StreamWriter sw = new StreamWriter(fs)) {
if (_Virgin)
{
sw.WriteLine("#===================================");
_Virgin = true;
}
IDictionary <double, IList <IOrder_Mutable> > bids = ob.getBids_Mutable();
sw.WriteLine("# num bid: " + bids.Keys.Count);
sw.WriteLine("# low bid: " + (ob.getNumBids() > 0 ? "" + ob.getLowestBid():"?"));
sw.WriteLine("# high bid: " + (ob.getNumBids() > 0 ? "" + ob.getHighestBid():"?"));
foreach (double price in bids.Keys)
{
IList <IOrder_Mutable> orders = bids[price];
double vol = 0;
foreach (IOrder_Mutable o in orders)
{
vol += o.getVolume();
}
sw.WriteLine("" + price + "," + vol + "");
}
}
using (FileStream fs = new FileStream("frames/ASKS-" + _tag + "-" + _DumpNumber + ".dat", FileMode.Append, FileAccess.Write))
using (StreamWriter sw = new StreamWriter(fs)) {
if (_Virgin)
{
sw.WriteLine("#===================================");
_Virgin = true;
}
IDictionary <double, IList <IOrder_Mutable> > asks = ob.getAsks_Mutable();
sw.WriteLine("# num ask: " + asks.Keys.Count);
sw.WriteLine("# low ask: " + (ob.getNumAsks() > 0 ? "" + ob.getLowestAsk():"?"));
sw.WriteLine("# high ask: " + (ob.getNumAsks() > 0 ? "" + ob.getHighestAsk():"?"));
foreach (double price in asks.Keys)
{
IList <IOrder_Mutable> orders = asks[price];
double vol = 0;
foreach (IOrder_Mutable o in orders)
{
vol += o.getVolume();
}
sw.WriteLine("" + price + "," + vol);
}
}
using (FileStream fs = new FileStream("frames/GP-" + _tag + "-" + _DumpNumber + ".gp", FileMode.Append, FileAccess.Write))
using (StreamWriter sw = new StreamWriter(fs)) {
sw.WriteLine("set terminal postscript eps color");
sw.WriteLine("set output \"EPS-" + _tag + "-" + String.Format("{0:00000000}", _DumpNumber) + ".eps\"");
sw.WriteLine("set title \"Orderbook at time=" + Scheduler.GetTime() + " in " + _tag + "\"");
sw.WriteLine("set ylabel \"Orders (count)\"");
sw.WriteLine("set xlabel \"Price\"");
sw.WriteLine("binwidth=0.125");
sw.WriteLine("set boxwidth binwidth");
sw.WriteLine("bin(x,width)=width*floor(x/width) + binwidth/2.0");
sw.WriteLine("plot 'Asks-" + _tag + "-" + _DumpNumber + ".dat' using (bin($1,binwidth)):(1.0) smooth freq with boxes t \"ASKS " + _tag + "-" + _DumpNumber + "\" fs solid 0.50, 'Bids-" + _tag + "-" + _DumpNumber + ".dat' using (bin($1,binwidth)):(1.0) smooth freq with boxes t \"BIDS " + _tag + "-" + _DumpNumber + "\" fill empty");
}
_DumpNumber++;
}
}
private void fill(IOrder_Mutable order, double p, IOrderbook_Matcher ob)
{
IDictionary <double, IList <IOrder_Mutable> > asksDict = ob.getAsks_Mutable();
IDictionary <double, IList <IOrder_Mutable> > bidsDict = ob.getBids_Mutable();
IList <IOrder_Mutable> orderlist;
if (!order.isBid())
{
orderlist = bidsDict[p];
}
else
{
orderlist = asksDict[p];
}
// use the dual orders at p to fill the pending order
while (orderlist != null && orderlist.Count > 0)
{
IOrder_Mutable o2 = orderlist[0];
int tradeVolume = Math.Min(o2.getVolume(), order.getVolume());
// collide o2 against the order
double executionPrice;
// symmetrized logic
if (order.isAsk())
{
// an Ask arrived
// the execution price is the Bid price (per conversation with KD)
executionPrice = o2.getPrice();
}
else
{
// a Bid arrived
// the execution price is the Ask price (per conversation with KD)
executionPrice = o2.getPrice();
}
_logger.DebugLog(SOURCE, "Matcher pairs: (A) " + order + " and (B) " + o2 + " -- tradeVol=" + tradeVolume + " price=" + executionPrice);
o2.setFilled(tradeVolume, executionPrice);
order.setFilled(tradeVolume, executionPrice);
_logger.DebugLog(SOURCE, "Matcher post trade: (A) " + order + " and (B) " + o2);
// if o2 gets filled, keep going through other orders at p
if (o2.isFilled())
{
ob.flushOrder(o2);
if (!order.isBid())
{
if (bidsDict.ContainsKey(p))
{
orderlist = bidsDict[p];
}
else
{
orderlist = null;
}
}
else
{
if (asksDict.ContainsKey(p))
{
orderlist = asksDict[p];
}
else
{
orderlist = null;
}
}
// notify o2's owner of fill
_NumFillsSent++;
_logger.DebugLog(SOURCE, "Matcher notify o2's owner of fill");
ob.notifyObserverSynchronous(new OrderbookEvent_FillOrder(o2, executionPrice, tradeVolume, true));
}
else
{
// notify o2's owener of partial fill
_NumPartialFillsSent++;
_logger.DebugLog(SOURCE, "Matcher notify o2's owner of partial fill");
ob.notifyObserverSynchronous(new OrderbookEvent_FillOrder(o2, executionPrice, tradeVolume, false));
}
// if order get filled
if (order.isFilled())
{
ob.flushOrder(order);
// notify order's owner of fill
_NumFillsSent++;
_logger.DebugLog(SOURCE, "Matcher notify o2's owner of fill");
ob.notifyObserverSynchronous(new OrderbookEvent_FillOrder(order, executionPrice, tradeVolume, true));
break;
}
else
{
// notify order's owner of partial fill
_NumPartialFillsSent++;
_logger.DebugLog(SOURCE, "Matcher notify o2's owner of partial fill");
ob.notifyObserverSynchronous(new OrderbookEvent_FillOrder(order, executionPrice, tradeVolume, false));
}
}
}