public static Task <bool> OnTargetEvent(TMSRemote.TMSRemoteClient client, TargetEvent response)
{
switch (response.EventCase)
{
case TargetEvent.EventOneofCase.Added:
{
var target = response.Added;
Console.WriteLine("Target " +
target.Fields.NumericFields.GetValueOrDefault("TgtID", double.NaN) + ", " +
target.Fields.StringFields.GetValueOrDefault("Portfolio", "-") + ", " +
target.Fields.StringFields.GetValueOrDefault("Instrument", "-") + ", " +
target.Fields.NumericFields.GetValueOrDefault("Side", double.NaN) + ", " +
target.Fields.NumericFields.GetValueOrDefault("TgtQty", double.NaN) + ", " +
target.Fields.NumericFields.GetValueOrDefault("FillQty", double.NaN)
);
break;
}
case TargetEvent.EventOneofCase.FeedStatus:
{
if (response.FeedStatus == FeedStatus.InitialStateReceived)
{
return(Task.FromResult(false));
}
break;
}
default:
break;
}
return(Task.FromResult(true));
}
public StreamingCall(TMSRemote.TMSRemoteClient client, AsyncDuplexStreamingCall <TRequest, TResponse> streamingCall, Listener listener)
{
client_ = client;
streamingCall_ = streamingCall;
listener_ = listener;
cancellationTokenSource_ = new CancellationTokenSource();
readerTask_ = ReadAsync(cancellationTokenSource_.Token);
}
public static async Task <bool> OnOrderEvent(TMSRemote.TMSRemoteClient client, OrderEvent response)
{
switch (response.EventCase)
{
case OrderEvent.EventOneofCase.Added:
{
var order = response.Added;
var orderId = order.OrderId;
var instrument = order.Fields.StringFields.GetValueOrDefault("Instrument", "-");
var ordQty = order.Fields.NumericFields.GetValueOrDefault("OrdQty", 0);
var ordPx = order.Fields.NumericFields.GetValueOrDefault("OrdPx", double.NaN);
Console.WriteLine("Order added: " + orderId + " " + instrument + " " + ordQty + " " + ordPx);
// modify order
var fixFields = new FIXFields();
fixFields.NumericFields[(int)FIXTag.Price] = Math.Round(ordPx * 1.05, 2);
await client.modifyOrdersAsync(new ModifyOrdersRequest {
OrderId = { orderId },
Message = { fixFields }
});
break;
}
case OrderEvent.EventOneofCase.Updated:
{
var order = response.Updated;
var orderId = order.OrderId;
var leaves = order.Fields.NumericFields.GetValueOrDefault("Leaves", double.NaN);
if (double.IsFinite(leaves) && leaves == 0)
{
Console.WriteLine("Order closed: " + orderId);
}
break;
}
default:
break;
}
return(true);
}
static async Task Main(string[] args)
{
var channelCredentials = new SslCredentials(File.ReadAllText("cert.pem"));
var channel = new Channel(SERVER, GRPCPORT, channelCredentials);
var client = new TMSRemote.TMSRemoteClient(channel);
client.login(new LoginRequest {
User = USER, Password = PASSWORD
});
// subscribe for orders
var ordersStreamingCall = new StreamingCall <SubscribeForOrdersRequest, OrderEvent>(client, client.subscribeForOrders(), OnOrderEvent);
await ordersStreamingCall.SendAsync(new SubscribeForOrdersRequest {
Filter = "Portfolio = '" + PORTFOLIO + "'",
Field = { "TgtID", "Instrument", "Leaves", "OrdPx", "OrdQty" }
});
try
{
// create market portfolio
try
{
var status = client.createMarketPortfolio(new CreateMarketPortfolioRequest {
Name = PORTFOLIO,
Type = PortfolioType.Pure
});
}
catch (RpcException ex)
{
var errorCode = ex.Trailers.GetValue("errorcode");
if (!"CannotCreatePortfolio".Equals(errorCode))
{
throw ex;
}
Console.WriteLine("Portfolio already exists");
}
// add market targets
var targets = new List <Fields>();
foreach (var instrument in new string[] { "IBM", "GOOG" })
{
var target = new Fields();
target.StringFields["Instrument"] = instrument;
target.NumericFields["Side"] = (double)Side.Buy;
target.NumericFields["TgtQty"] = 500;
target.NumericFields["TgtOrdType"] = (double)OrdType.Limit;
target.StringFields["SetPxTo"] = "BidPx:AskPx";
targets.Add(target);
}
var targetIds = client.addMarketTargets(new AddMarketTargetsRequest {
Portfolio = PORTFOLIO,
Fields = { targets }
});
// modify market targets
var fields = new Fields();
fields.StringFields["TrnDestination"] = "Simulator1";
fields.NumericFields["WaveSizeType"] = (double)WaveSizeType.PctTgtQty;
fields.NumericFields["WaveSize"] = 10;
client.modifyMarketTargets(new ModifyTargetsRequest {
TargetId = { targetIds.TargetId },
Fields = { fields }
});
// send target orders
client.sendOrders(new SendOrdersRequest {
TargetId = { targetIds.TargetId },
});
// send target orders with params
var messages = new List <FIXFields>();
for (int i = 0; i < targetIds.TargetId.Count; i++)
{
var fixFields = new FIXFields();
fixFields.NumericFields[(int)FIXTag.OrderQty] = 200;
messages.Add(fixFields);
}
client.sendOrders(new SendOrdersRequest {
TargetId = { targetIds.TargetId },
Message = { messages }
});
// list targets
var targetsStreamingCall = new StreamingCall <SubscribeForTargetsRequest, TargetEvent>(client, client.subscribeForMarketTargets(), OnTargetEvent);
try
{
await targetsStreamingCall.SendAsync(new SubscribeForTargetsRequest {
Field = { "TgtID", "Portfolio", "Instrument", "Side", "TgtQty", "FillQty" }
});
await targetsStreamingCall.GetReaderTask();
}
finally
{
await targetsStreamingCall.DisposeAsync();
}
await Task.Delay(60_000);
Console.WriteLine("Done.");
}
catch (RpcException ex)
{
var exceptionClass = ex.Trailers.GetValue("exceptionclass");
var errorCode = ex.Trailers.GetValue("errorcode");
Console.WriteLine("Exception class: " + exceptionClass + ", errorCode: " + errorCode);
if (int.TryParse(ex.Trailers.GetValue("childexceptionscount"), out int childExceptionsCount))
{
for (int i = 0; i < Math.Min(childExceptionsCount, 10); i++) //only 10 child exceptions have details sent remotely
{
Console.WriteLine(" Child exception " + i + ": " + ex.Trailers.Get("childexceptionmessage_" + i).Value);
}
}
throw ex;
}
finally
{
await ordersStreamingCall.DisposeAsync();
}
}