protected static async Task TestRequest(IWebSocketClientConnection connection)
{
// Simple keep-alive mechanism using TestRequest/Heartbeat
long nextExpectedCounter = 0;
bool disconnect = false;
do
{
await Task.Delay(_testRequestDelay);
if (!connection.IsConnected)
{
break;
}
if (!connection.EnableTestRequest)
{
continue;
}
if (nextExpectedCounter > connection.receivedMessageCounter)
{
if (!disconnect)
{
connection.SendTestRequest();
disconnect = true;
}
else
{
// second chance before disconnecting
await Task.Delay(_testRequestDelay);
if (nextExpectedCounter > connection.receivedMessageCounter)
{
connection.OnLogEvent(LogStatusType.ERROR, "Websocket connection not responding");
connection.Shutdown();
break;
}
disconnect = false;
}
}
else
{
disconnect = false;
}
// update expectation for next iteration
nextExpectedCounter = connection.receivedMessageCounter + 1;
} while (connection.IsConnected);
}
private void OnBrokerNotification(object sender, SystemEventArgs evt)
{
IWebSocketClientConnection webSocketConnection = (IWebSocketClientConnection)sender;
try
{
switch (evt.evtType)
{
case SystemEventType.LOGIN_OK:
LogStatus(LogStatusType.INFO, "Processing after succesful LOGON");
this._myUserID = evt.json["UserID"].Value <ulong>();
// disable test request to avoid disconnection during the "slow" market data processing
webSocketConnection.EnableTestRequest = false;
StartInitialRequestsAfterLogon(webSocketConnection);
break;
case SystemEventType.MARKET_DATA_REQUEST_REJECT:
LogStatus(LogStatusType.ERROR, "Unexpected Marketdata Request Reject");
webSocketConnection.Shutdown();
break;
case SystemEventType.MARKET_DATA_FULL_REFRESH:
{
string symbol = evt.json["Symbol"].Value <string>();
// dump the order book
LogStatus(LogStatusType.WARN, _allOrderBooks[symbol].ToString());
// bring back the testrequest keep-alive mechanism after processing the book
webSocketConnection.EnableTestRequest = true;
// run the trading strategy to buy and sell orders based on the top of the book
_tradingStrategy.runStrategy(webSocketConnection, symbol);
// TODO: remove the temp dump bellow
this._vwapForTradingSym.PrintTradesAndTheVWAP();
// example how to notify the application to start
//this._tradingStrategy.OnStart(webSocketConnection);
}
break;
// --- Order Book Management Events ---
case SystemEventType.ORDER_BOOK_CLEAR:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.Clear();
}
else
{
orderBook = new OrderBook(symbol);
_allOrderBooks.Add(symbol, orderBook);
}
}
break;
case SystemEventType.ORDER_BOOK_NEW_ORDER:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.AddOrder(evt.json);
}
else
{
LogStatus(LogStatusType.ERROR,
"Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString());
}
}
break;
case SystemEventType.ORDER_BOOK_DELETE_ORDERS_THRU:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.DeleteOrdersThru(evt.json);
}
else
{
LogStatus(LogStatusType.ERROR,
"Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString()
);
}
}
break;
case SystemEventType.ORDER_BOOK_DELETE_ORDER:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.DeleteOrder(evt.json);
}
else
{
LogStatus(LogStatusType.ERROR,
"Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString()
);
}
}
break;
case SystemEventType.ORDER_BOOK_UPDATE_ORDER:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.UpdateOrder(evt.json);
}
else
{
LogStatus(LogStatusType.ERROR,
"Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString()
);
}
}
break;
// ------------------------------------
case SystemEventType.TRADE_CLEAR:
LogStatus(LogStatusType.WARN, "Receieved Market Data Event " + evt.evtType.ToString());
break;
case SystemEventType.SECURITY_STATUS:
{
LogStatus(LogStatusType.WARN,
"Receieved Market Data Event " +
evt.evtType.ToString() + " " +
(evt.json != null ? evt.json.ToString() : ".")
);
SecurityStatus securityStatus = new SecurityStatus();
securityStatus.Market = evt.json["Market"].Value <string>();
securityStatus.Symbol = evt.json["Symbol"].Value <string>();
securityStatus.LastPx = evt.json["LastPx"].Value <ulong>();
securityStatus.HighPx = evt.json["HighPx"].Value <ulong>();
if (evt.json["BestBid"].Type != JTokenType.Null)
{
securityStatus.BestBid = evt.json["BestBid"].Value <ulong>();
}
else
{
securityStatus.BestBid = 0;
}
if (evt.json["BestAsk"].Type != JTokenType.Null)
{
securityStatus.BestAsk = evt.json["BestAsk"].Value <ulong>();
}
else
{
securityStatus.BestAsk = 0;
}
if (evt.json["LowPx"].Type != JTokenType.Null)
{
securityStatus.LowPx = evt.json["LowPx"].Value <ulong>();
}
else
{
securityStatus.LowPx = 0;
}
securityStatus.SellVolume = evt.json["SellVolume"].Value <ulong>();
securityStatus.BuyVolume = evt.json["BuyVolume"].Value <ulong>();
// update the security status information
string securityKey = securityStatus.Market + ":" + securityStatus.Symbol;
_securityStatusEntries[securityKey] = securityStatus;
// update the strategy when a new market information arrives
_tradingStrategy.runStrategy(webSocketConnection, _tradingSymbol);
}
break;
case SystemEventType.TRADE:
{
JObject msg = evt.json;
LogStatus(LogStatusType.WARN, "Receieved Market Data Event " + evt.evtType.ToString() + msg);
_vwapForTradingSym.pushTrade(
new ShortPeriodTickBasedVWAP.Trade(
msg["TradeID"].Value <ulong>(),
msg["Symbol"].Value <string>(),
msg["MDEntryPx"].Value <ulong>(),
msg["MDEntrySize"].Value <ulong>(),
String.Format("{0} {1}", msg["MDEntryDate"].Value <string>(), msg["MDEntryTime"].Value <string>())
)
);
/*
* LogStatus(
* LogStatusType.INFO,
* String.Format(
* "New Trade : VWAP = {0} | LastPx = {1} - {2} | Size = {3}",
* _vwapForTradingSym.calculateVWAP(),
* _vwapForTradingSym.getLastPx(),
* msg["MDEntryPx"].Value<ulong>(),
* msg["MDEntrySize"].Value<ulong>()
* )
* );
*/
}
break;
case SystemEventType.TRADING_SESSION_STATUS:
break;
case SystemEventType.MARKET_DATA_INCREMENTAL_REFRESH:
LogStatus(LogStatusType.WARN, "Receieved Market Data Incremental Refresh : " + evt.evtType.ToString());
// update the strategy when an incremental message is processed
_tradingStrategy.runStrategy(webSocketConnection, _tradingSymbol);
break;
// --- Order Entry Replies ---
case SystemEventType.EXECUTION_REPORT:
{
LogStatus(LogStatusType.WARN, "Receieved " + evt.evtType.ToString() + "\n" + evt.json.ToString());
MiniOMS.IOrder order = ProcessExecutionReport(evt.json);
_tradingStrategy.OnExecutionReport(webSocketConnection, order);
}
break;
case SystemEventType.ORDER_LIST_RESPONSE:
{
// process the requested list of orders
JObject msg = evt.json;
LogStatus(LogStatusType.WARN,
"Received " + evt.evtType.ToString() + " : " + "Page=" + msg["Page"].Value <string>()
);
JArray ordersLst = msg["OrdListGrp"].Value <JArray>();
if (ordersLst != null && ordersLst.Count > 0)
{
var columns = msg["Columns"].Value <JArray>();
Dictionary <string, int> indexOf = new Dictionary <string, int>();
int index = 0;
foreach (JToken col in columns)
{
indexOf.Add(col.Value <string>(), index++);
}
foreach (JArray data in ordersLst)
{
MiniOMS.Order order = new MiniOMS.Order();
order.ClOrdID = data[indexOf["ClOrdID"]].Value <string>();
order.OrderID = data[indexOf["OrderID"]].Value <ulong>();
order.Symbol = data[indexOf["Symbol"]].Value <string>();
order.Side = data[indexOf["Side"]].Value <char>();
order.OrdType = data[indexOf["OrdType"]].Value <char>();
order.OrdStatus = data[indexOf["OrdStatus"]].Value <char>();
order.AvgPx = data[indexOf["AvgPx"]].Value <ulong>();
order.Price = data[indexOf["Price"]].Value <ulong>();
order.OrderQty = data[indexOf["OrderQty"]].Value <ulong>();
order.OrderQty = data[indexOf["LeavesQty"]].Value <ulong>();
order.CumQty = data[indexOf["CumQty"]].Value <ulong>();
order.CxlQty = data[indexOf["CxlQty"]].Value <ulong>();
order.Volume = data[indexOf["Volume"]].Value <ulong>();
order.OrderDate = data[indexOf["OrderDate"]].Value <string>();
order.TimeInForce = data[indexOf["TimeInForce"]].Value <char>();
LogStatus(LogStatusType.WARN,
"Adding Order to MiniOMS -> ClOrdID = " + order.ClOrdID.ToString() +
" OrdStatus = " + order.OrdStatus
);
try
{
_miniOMS.AddOrder(order);
}
catch (System.ArgumentException)
{
}
}
// check and request the next page
if (ordersLst.Count >= msg["PageSize"].Value <int>())
{
LogStatus(LogStatusType.INFO, "Requesting Page " + msg["Page"].Value <int>() + 1);
SendRequestForOpenOrders(webSocketConnection, msg["Page"].Value <int>() + 1);
}
else
{
LogStatus(LogStatusType.INFO, "EOT - no more Order List pages to process.");
// notify application that all requestes where replied,
// assuming the ORDER_LIST_REQUEST was the last in the StartInitialRequestsAfterLogon
//_tradingStrategy.OnStart(webSocketConnection);
}
}
}
break;
case SystemEventType.BALANCE_RESPONSE:
if (evt.json != null)
{
//JObject receivedBalances = evt.json[_brokerId.ToString()].Value<JObject>();
foreach (var rb in evt.json[_brokerId.ToString()].Value <JObject>())
{
try
{
this._balances[rb.Key] = rb.Value.Value <ulong>();
}
catch (System.OverflowException)
{
// TODO: find a better solution for this kind of conversion problem
// {"4": {"BRL_locked": -1, "BTC_locked": 0, "BRL": 48460657965, "BTC": 50544897}, "MsgType": "U3", "ClientID": 90826379, "BalanceReqID": 3}
this._balances[rb.Key] = 0;
}
}
// update the strategy when the balance is updated
_tradingStrategy.runStrategy(webSocketConnection, _tradingSymbol);
}
break;
case SystemEventType.TRADE_HISTORY_RESPONSE:
{
JObject msg = evt.json;
LogStatus(LogStatusType.WARN,
"Received " + evt.evtType.ToString() + " : " + "Page=" + msg["Page"].Value <string>()
);
/*
* JArray all_trades = msg["TradeHistoryGrp"].Value<JArray>();
*
* if (all_trades != null && all_trades.Count > 0)
* {
* var columns = msg["Columns"].Value<JArray>();
* Dictionary<string, int> indexOf = new Dictionary<string, int>();
* int index = 0;
* foreach (JToken col in columns)
* {
* indexOf.Add(col.Value<string>(), index++);
* }
*
* foreach (JArray trade in all_trades)
* {
* _vwapForTradingSym.pushTrade(
* new ShortPeriodTickBasedVWAP.Trade(
* trade[indexOf["TradeID"]].Value<ulong>(),
* trade[indexOf["Market"]].Value<string>(),
* trade[indexOf["Price"]].Value<ulong>(),
* trade[indexOf["Size"]].Value<ulong>(),
* trade[indexOf["Created"]].Value<string>()
* )
* );
* }
*
* // check and request the next page
* if (all_trades.Count >= msg["PageSize"].Value<int>())
* {
* LogStatus(LogStatusType.INFO, "TODO: Requesting Page " + msg["Page"].Value<int>() + 1);
* //TODO: create a function to call here and request a new page if requested period in minutes is not satified
* }
* else
* {
* LogStatus(LogStatusType.INFO, "EOT - no more Trade History pages to process.");
* }
*
* LogStatus(LogStatusType.INFO, String.Format("VWAP = {0}", _vwapForTradingSym.calculateVWAP()));
* }
*/
}
//
break;
case SystemEventType.CLOSED:
// notify the application the connection was broken
//_tradingStrategy.OnClose(webSocketConnection);
break;
// Following events are ignored because inheritted behaviour is sufficient for this prototype
case SystemEventType.OPENED:
case SystemEventType.ERROR:
case SystemEventType.LOGIN_ERROR:
case SystemEventType.HEARTBEAT:
break;
default:
LogStatus(LogStatusType.WARN, "Unhandled Broker Notification Event : " + evt.evtType.ToString());
break;
}
}
catch (Exception ex)
{
LogStatus(LogStatusType.ERROR,
" OnBrokerNotification Event Handler Error : " + ex.Message.ToString() + "\n" + ex.StackTrace
);
}
}
public void OnMessage(string message, IWebSocketClientConnection connection)
{
JObject msg = JsonConvert.DeserializeObject <JObject>(message);
string msgType = msg["MsgType"].Value <string>();
switch (msgType)
{
case "BF": //Login response:
{
if (msg.GetValue("UserReqTyp") != null && msg.GetValue("UserReqTyp").Value <int>() == 3)
{
Debug.Assert(connection.IsLoggedOn);
DispatchEvent(SystemEventType.CHANGE_PASSWORD_RESPONSE, connection, msg);
break;
}
if (msg["UserStatus"].Value <int>() == 1)
{
Debug.Assert(!connection.IsLoggedOn);
connection.IsLoggedOn = true;
OnLogEvent(LogStatusType.INFO, "Received LOGIN_OK response");
DispatchEvent(SystemEventType.LOGIN_OK, connection, msg);
}
else
{
connection.IsLoggedOn = false;
OnLogEvent(LogStatusType.WARN,
"Received LOGIN_ERROR response : " + msg["UserStatusText"].Value <string>()
);
DispatchEvent(SystemEventType.LOGIN_ERROR, connection, msg);
connection.Shutdown();
}
break;
}
case "W":
Debug.Assert(connection.IsLoggedOn);
if (msg["MarketDepth"].Value <int>() != 1) // Has Market Depth
{
DispatchEvent(SystemEventType.ORDER_BOOK_CLEAR, connection, msg);
DispatchEvent(SystemEventType.TRADE_CLEAR, connection, msg);
foreach (JObject entry in msg["MDFullGrp"])
{
entry["MDReqID"] = msg["MDReqID"];
switch (entry["MDEntryType"].Value <char>())
{
case '0': // Bid
case '1': // Offer
entry["Symbol"] = msg["Symbol"];
DispatchEvent(SystemEventType.ORDER_BOOK_NEW_ORDER, connection, entry);
break;
case '2': // Trade
DispatchEvent(SystemEventType.TRADE, connection, entry);
break;
case '4': // Trading Session Status
DispatchEvent(SystemEventType.TRADING_SESSION_STATUS, connection, entry);
break;
}
}
}
DispatchEvent(SystemEventType.MARKET_DATA_FULL_REFRESH, connection, msg);
break;
case "X":
if (msg["MDBkTyp"].Value <int>() == 3) // Order Depth
{
foreach (JObject entry in msg["MDIncGrp"])
{
entry["MDReqID"] = msg["MDReqID"];
switch (entry["MDEntryType"].Value <char>())
{
case '0': // Bid
case '1': // Offer
switch (entry["MDUpdateAction"].Value <char>())
{
case '0':
DispatchEvent(SystemEventType.ORDER_BOOK_NEW_ORDER, connection, entry);
break;
case '1':
DispatchEvent(SystemEventType.ORDER_BOOK_UPDATE_ORDER, connection, entry);
break;
case '2':
DispatchEvent(SystemEventType.ORDER_BOOK_DELETE_ORDER, connection, entry);
break;
case '3':
DispatchEvent(SystemEventType.ORDER_BOOK_DELETE_ORDERS_THRU, connection, entry);
break;
}
break;
case '2': // Trade
DispatchEvent(SystemEventType.TRADE, connection, entry);
break;
case '4': // Trading Session Status
DispatchEvent(SystemEventType.TRADING_SESSION_STATUS, connection, entry);
break;
}
}
}
else
{
// TODO: Top of the book handling.
}
DispatchEvent(SystemEventType.MARKET_DATA_INCREMENTAL_REFRESH, connection, msg);
break;
case "Y":
DispatchEvent(SystemEventType.MARKET_DATA_REQUEST_REJECT, connection, msg);
break;
case "f":
DispatchEvent(SystemEventType.SECURITY_STATUS, connection, msg);
break;
case "U3":
DispatchEvent(SystemEventType.BALANCE_RESPONSE, connection, msg);
break;
case "U5":
DispatchEvent(SystemEventType.ORDER_LIST_RESPONSE, connection, msg);
break;
case "8": //Execution Report
if (msg.GetValue("Volume") == null || msg.GetValue("Volume").Type == JTokenType.Null)
{
if (msg.GetValue("AvgPx") != null && msg.GetValue("AvgPx").Type != JTokenType.Null && msg.GetValue("AvgPx").Value <ulong>() > 0)
{
msg["Volume"] = (ulong)(msg["CumQty"].Value <ulong>() * (float)(msg["AvgPx"].Value <ulong>() / 1e8));
}
else
{
msg["Volume"] = 0;
}
}
DispatchEvent(SystemEventType.EXECUTION_REPORT, connection, msg);
break;
case "U33": // Trade History Response
DispatchEvent(SystemEventType.TRADE_HISTORY_RESPONSE, connection, msg);
break;
case "0":
DispatchEvent(SystemEventType.HEARTBEAT, connection, msg);
break;
case "ERROR":
OnLogEvent(LogStatusType.ERROR, msg.ToString());
DispatchEvent(SystemEventType.ERROR, connection, msg);
connection.Shutdown();
break;
default:
{
Debug.Assert(connection.IsLoggedOn);
OnLogEvent(LogStatusType.WARN, "Unhandled message type : " + msgType);
break;
}
}
}
