Beispiel #1
0
 //public void PublishStats()
 //{
 //    if (Publisher != null)
 //    {
 //        Publisher.SendAsync("algo-stats", this.Name, this.Stats);
 //        Debug.WriteLine("Sending state update for " + Name);
 //    }
 //}
 public void PublishStats(OrderStats stats)
 {
     if (Publisher != null)
     {
         Publisher.SendAsync("algo-stats", Name, stats);
         Debug.WriteLine("Sending state update for " + Name);
     }
 }
Beispiel #2
0
 private void Adapter_StatsChanged(string name, OrderStats stats)
 {
     if (name == "*" || Name == name)
     {
         Stats = stats;
         PublishToConsole(Name + " Stats: " + stats);
         PublishStats(stats);
     }
 }
Beispiel #3
0
 public void StatsRecalcNeeded(string name)
 {
     if (Stats.ContainsKey(name))
     {
         OrderStats stats = Stats[name];
         if (stats != null)
         {
             stats._statsRecalcNeeded = true;
         }
     }
 }
Beispiel #4
0
        public RapidAlgo(AlgoMetadata metadata, ITradingSystemAdapter adapter)
        {
            Name                  = metadata.Name;
            Adapter               = adapter;
            Metadata              = metadata;
            Stats                 = new OrderStats();
            Adapter.StatsChanged += Adapter_StatsChanged;


            _timer.Interval = 1000;
            _timer.Elapsed += Timer_Elapsed;
            _timer.Enabled  = true;
        }
Beispiel #5
0
        private void ProcessOrder(OrderRecord order, bool bRequest)
        {
            if (order != null)
            {
                if (order.Type == "UserSubmitStagedOrder")
                {
                    string sDetails = order.GetDetails();
                    if (!bRequest)    // don't want to spam the console at startup...
                    {
                        Console.WriteLine("Received Order Update: " + sDetails);
                    }
                    OrderRecord oldOrder = null;
                    if (_book.ContainsKey(order.OrderID))
                    {
                        oldOrder = _book[order.OrderID];
                    }

                    OrderStats stats = GetOrCreateStats(order.Portfolio);
                    stats.ReplaceOrder(order, oldOrder); // it's ok if oldOrder is null
                    _book[order.OrderID] = order;

                    // I don't like this...
                    if (stats._statsRecalcNeeded)
                    {
                        RecalculateStats(order.Portfolio);
                    }

                    // Fire event to publish the result
                    if (!bRequest)    // only do this here for realtime updates.  Otherwise, do it outside of loop.
                    {
                        StatsChanged?.Invoke(order.Portfolio, stats);
                    }
                    if (!bRequest)
                    {
                        if (_rand.Next(10) == 0)
                        {
                            var IDs = new List <string>();
                            IDs.Add(order.OrderID);
                            AppendMagicDataToOrders(IDs);
                        }
                    }
                }
                else if (order.Type == "UserSubmitOrder")
                {
                    _child_book[order.OrderID] = order;
                }
            }
        }
Beispiel #6
0
        private OrderStats GetOrCreateStats(string name)
        {
            if (name == null || name == "")
            {
                name = "<none>";
            }
            OrderStats stats = null;

            if (Stats.ContainsKey(name))
            {
                stats = Stats[name];
            }
            if (stats == null)
            {
                stats       = new OrderStats();
                Stats[name] = stats;
            }
            return(stats);
        }
Beispiel #7
0
        // Call this to walk the book and recalculate all stats.  May not be necessary anymore, now that we support
        // delta updates for stats.
        public void RecalculateStats(string algoName)
        {
            if (algoName != null && algoName != "")
            {
                if (Stats.ContainsKey(algoName))
                {
                    Stats[algoName] = null;
                }
            }
            else // clear them all
            {
                Stats.Clear();
            }

            foreach (KeyValuePair <string, OrderRecord> entry in _book)
            {
                if (algoName == null || algoName.Length == 0 || entry.Value.Portfolio == algoName)
                {
                    OrderStats stats = GetOrCreateStats(entry.Value.Portfolio);
                    stats.AddOrder(entry.Value);
                }
            }
        }
Beispiel #8
0
        private void Timer_Elapsed(object sender, ElapsedEventArgs e)
        {
            if (this.Enabled && _rand.Next(Metadata.FrequencySec) == 0)
            {
                // Prevent crazy huge number of trades.
                if (Stats.Total > 10000)
                {
                    Enabled = false;
                }
                var numTrades      = _rand.Next(Metadata.MinBatchSize, Metadata.MaxBatchSize);
                var tradesToCreate = new List <Trade>();
                for (int i = 0; i < numTrades; i++)
                {
                    var trade = new Trade()
                    {
                        Symbol  = Metadata.Symbols[_rand.Next(0, Metadata.Symbols.Count)],
                        Side    = (_rand.Next(100) < Metadata.BuyShortRatio) ? "Buy" : "Short",
                        Amount  = _rand.Next(1, 60) * 100,
                        Trader  = "JEFF",
                        Manager = "FO",
                        Algo    = Name
                    };
                    tradesToCreate.Add(trade);
                    PublishToConsole(Name + " created trade: " + trade.ToString());
                }

                Adapter.CreateTrades(tradesToCreate);

                OrderStats EmsStats = Adapter.GetStats(Name);
                StampHistory();
            }
            else
            {
                // do nothing, just record history;
                StampHistory();
            }
        }
Beispiel #9
0
        private void ProcessDataBlock(IDataBlock block, bool bRequest)
        {
            foreach (Row row in block)
            {
                OrderRecord order = new OrderRecord();
                foreach (Field f in row)
                {
                    if (f.FieldInfo.Name == "TYPE")
                    {
                        order.Type = f.StringValue;
                    }
                    else if (f.FieldInfo.Name == "ORDER_ID")
                    {
                        order.OrderID = f.StringValue;
                    }
                    else if (f.FieldInfo.Name == "CURRENT_STATUS")
                    {
                        order.Status = f.StringValue;
                    }
                    else if (f.FieldInfo.Name == "DISP_NAME")
                    {
                        order.Symbol = f.StringValue;
                    }
                    else if (f.FieldInfo.Name == "VOLUME")
                    {
                        order.lQty = f.IntValue;
                    }
                    else if (f.FieldInfo.Name == "VOLUME_TRADED")
                    {
                        order.lQtyTraded = f.IntValue;
                    }
                    else if (f.FieldInfo.Name == "BUYORSELL")
                    {
                        order.Side = f.StringValue;
                    }
                    else if (f.FieldInfo.Name == "AVG_PRICE")
                    {
                        order.dPrice = f.DoubleValue;
                    }
                    else if (f.FieldInfo.Name == "WORKING_QTY")
                    {
                        order.lWorking = f.LongValue;
                    }
                    else if (f.FieldInfo.Name == "ORDER_TAG")
                    {
                        order.OrderTag = f.StringValue;
                    }
                    else if (f.FieldInfo.Name == "PORTFOLIO_NAME")
                    {
                        order.Portfolio = f.StringValue;
                    }
                    else if (f.FieldInfo.Name == "TRDPRC_1")
                    {
                        order.ArrivalPrice = f.PriceValue;
                    }
                    else if (f.FieldInfo.Name == "TS3_CONVERSION_RULE_FLAGS")
                    {
                        order.ConversionRuleFlags = (ulong)f.LongValue;
                    }
                    else if (f.FieldInfo.Name == "TICKET_ID")
                    {
                        order.TicketID = f.StringValue;
                    }
                }
                ProcessOrder(order, bRequest);
            }

            if (bRequest)   // when we get a data refesh, re-publish all stats
            {
                foreach (KeyValuePair <string, OrderStats> s in Stats)
                {
                    OrderStats stats = s.Value;
                    // Fire event to publish the result
                    StatsChanged?.Invoke(s.Key, stats);
                }
            }
        }