/// <summary>
/// Creates orders in the simulated order book.
/// </summary>
private static void OrderHandler()
{
// This thread will create orders in the simulated order book from destination orders placed in the queue. This thread
// is necessary due to the locking architecture that prevents accessing the data model during a commit operation (which
// is where the event indicating a new or changed destination order originates).
while (MarketSimulator.IsBrokerSimulatorThreadRunning)
{
// This thread will wait here until a destination order is available in the queue.
DataModel.DestinationOrderRow destinationOrderRow = MarketSimulator.orderQueue.Dequeue();
// The code that adds an order to the simulated book must have exclusive access to the simulated data model.
lock (MarketSimulator.syncRoot)
{
// The primary data model needs to be accessed also for ancillary data associated with the new order.
using (TransactionScope transactionScope = new TransactionScope())
{
try
{
// This context is used to keep track of the locks aquired for the ancillary data.
DataModelTransaction dataModelTransaction = DataModel.CurrentTransaction;
// Lock the destination order.
destinationOrderRow.AcquireReaderLock(dataModelTransaction.TransactionId, DataModel.LockTimeout);
dataModelTransaction.AddLock(destinationOrderRow);
// Lock the Security.
DataModel.SecurityRow securityRow = destinationOrderRow.SecurityRowByFK_Security_DestinationOrder_SecurityId;
securityRow.AcquireReaderLock(dataModelTransaction.TransactionId, DataModel.LockTimeout);
dataModelTransaction.AddLock(securityRow);
// The working order row must be locked to examine the flags
DataModel.WorkingOrderRow workingOrderRow = destinationOrderRow.WorkingOrderRow;
workingOrderRow.AcquireReaderLock(dataModelTransaction.TransactionId, DataModel.LockTimeout);
dataModelTransaction.AddLock(workingOrderRow);
// Lock the Entity.
DataModel.EntityRow entityRow = securityRow.EntityRow;
entityRow.AcquireReaderLock(dataModelTransaction.TransactionId, DataModel.LockTimeout);
dataModelTransaction.AddLock(entityRow);
// Calculate the quantity executed on this order (some orders are created with executions, such as crossed orders.)
Decimal quantityExecuted = 0.0M;
foreach (DataModel.ExecutionRow executionRow in destinationOrderRow.GetExecutionRows())
{
executionRow.AcquireReaderLock(dataModelTransaction);
dataModelTransaction.AddLock(executionRow);
quantityExecuted += executionRow.ExecutionQuantity;
}
// The simulated order is added to the book. This collects all the information required to simulate the execution of this order.
DataSetMarket.OrderRow orderRow = MarketSimulator.dataSetMarket.Order.NewOrderRow();
orderRow.BlotterId = destinationOrderRow.BlotterId;
orderRow.DestinationOrderId = destinationOrderRow.DestinationOrderId;
orderRow.OrderTypeCode = OrderTypeMap.FromId(destinationOrderRow.OrderTypeId);
orderRow.QuantityOrdered = destinationOrderRow.OrderedQuantity;
orderRow.QuantityExecuted = quantityExecuted;
orderRow.SideCode = SideMap.FromId(destinationOrderRow.SideId);
orderRow.Symbol = securityRow.Symbol;
orderRow.TimeInForceCode = TimeInForceMap.FromId(destinationOrderRow.TimeInForceId);
MarketSimulator.dataSetMarket.Order.AddOrderRow(orderRow);
// Adding the first order to the simulated order book will enable the simulation thread to begin processing the orders. The order
// simulation thread will continue until the book is filled.
if (MarketSimulator.dataSetMarket.Order.Count == 1)
{
MarketSimulator.orderEvent.Set();
}
}
catch { }
// The locks are no longer required.
transactionScope.Complete();
}
}
}
}
/// <summary>
/// Simulation of brokers executing destination orders.
/// </summary>
private static void SimulateBroker()
{
// This will seed the random number generator.
Random random = new Random(DateTime.Now.Millisecond);
// An instance of the data model is required to update it.
DataModel dataModel = new DataModel();
// This set of claims gives the current thread the authority to update the price table.
List <Claim> listClaims = new List <Claim>();
listClaims.Add(new Claim(Teraque.ClaimTypes.Create, Teraque.Resources.Application, Rights.PossessProperty));
listClaims.Add(new Claim(Teraque.ClaimTypes.Update, Teraque.Resources.Application, Rights.PossessProperty));
listClaims.Add(new Claim(Teraque.ClaimTypes.Read, Teraque.Resources.Application, Rights.PossessProperty));
ClaimSet adminClaims = new DefaultClaimSet(null, listClaims);
// Thread.CurrentPrincipal = new ClaimsPrincipal(new GenericIdentity("Broker Service"), adminClaims);
// Every execution requires a user identifier (the user who created the execution) and the broker who executed the
// trade. These values are hard coded at the moment but should be more intelligently assigned in the future.
Guid userId = Guid.Empty;
Guid brokerId = Guid.Empty;
// Operating values are required for the simulation that come from the data model.
using (TransactionScope transactionScope = new TransactionScope())
{
// The middle tier context allows ADO operations to participate in the transaction.
DataModelTransaction dataModelTransaction = DataModel.CurrentTransaction;
// The broker for all the executions is hard coded.
DataModel.EntityRow brokerRow = DataModel.Entity.EntityKeyExternalId0.Find(new object[] { "ZODIAC SECURITIES" });
brokerRow.AcquireReaderLock(dataModelTransaction.TransactionId, DataModel.LockTimeout);
dataModelTransaction.AddLock(brokerRow);
brokerId = brokerRow.EntityId;
// The user who creates these executions is hard coded.
DataModel.EntityRow userRow = DataModel.Entity.EntityKeyExternalId0.Find(new object[] { "ADMINISTRATOR" });
userRow.AcquireReaderLock(dataModelTransaction.TransactionId, DataModel.LockTimeout);
dataModelTransaction.AddLock(userRow);
userId = userRow.EntityId;
// The data model doesn't need to be locked any more.
transactionScope.Complete();
}
// This thread will run until an external thread sets this property to 'false'.
while (MarketSimulator.IsBrokerSimulatorThreadRunning)
{
// Wait for orders to show up in the simulated order book.
MarketSimulator.orderEvent.WaitOne();
// The simulator parameters need to be locked for each batch of simulated price changes.
try
{
Monitor.Enter(MarketSimulator.syncRoot);
// This will select a random price in the table and change the price by a random amount.
if (MarketSimulator.dataSetMarket.Order.Rows.Count > 0)
{
// Select a random row from the order book.
int orderIndex = random.Next(MarketSimulator.dataSetMarket.Order.Rows.Count);
DataSetMarket.OrderRow orderRow = MarketSimulator.dataSetMarket.Order[orderIndex];
if (orderRow.IsBusy)
{
Thread.Sleep(0);
continue;
}
orderRow.IsBusy = true;
// This transaction is required to add the new execution.
using (TransactionScope transactionScope = new TransactionScope())
{
// The middle tier context allows ADO operations to participate in the transaction.
DataModelTransaction dataModelTransaction = DataModel.CurrentTransaction;
// This will simulate a random selection of a price change is quoted. The 'quoteColumn' variable can be
// used to reference the selected quote from any price row. Below, a random row will be selected for
// the price change.
int actionTypeIndex = random.Next(Enum.GetValues(typeof(ActionType)).Length);
switch ((ActionType)Enum.GetValues(typeof(ActionType)).GetValue(actionTypeIndex))
{
case ActionType.Execute:
// This creates a random execution of the remaining shares on the order.
DateTime dateTime = DateTime.Now;
Guid blotterId = orderRow.BlotterId;
Decimal quantityLeaves = orderRow.QuantityOrdered - orderRow.QuantityExecuted;
Decimal quantityExecuted = quantityLeaves <= 100 ?
quantityLeaves :
Convert.ToDecimal(random.Next(1, Convert.ToInt32(quantityLeaves / 100.0M))) * 100.0M;
DataSetMarket.PriceRow priceRow =
MarketSimulator.dataSetMarket.Price.FindByConfigurationIdSymbol("US TICKER", orderRow.Symbol);
Decimal executionPrice = 0.0M;
if (priceRow != null)
{
executionPrice = orderRow.SideCode == SideCode.Buy || orderRow.SideCode == SideCode.BuyCover ?
priceRow.BidPrice :
priceRow.AskPrice;
}
Guid executionId = Guid.NewGuid();
Guid destinationOrderId = orderRow.DestinationOrderId;
// When the order is completed, it is removed from the order book. When the order book is empty, the thread goes to sleep
// until another thread puts something in the order queue.
orderRow.QuantityExecuted += quantityExecuted;
if (orderRow.QuantityOrdered == orderRow.QuantityExecuted)
{
MarketSimulator.dataSetMarket.Order.RemoveOrderRow(orderRow);
if (MarketSimulator.dataSetMarket.Order.Count == 0)
{
MarketSimulator.orderEvent.Reset();
}
}
if (quantityExecuted > 0)
{
Monitor.Exit(MarketSimulator.syncRoot);
dataModel.CreateExecution(
0.0M,
blotterId,
null,
brokerId,
0.0M,
dateTime,
userId,
destinationOrderId,
StateMap.FromCode(StateCode.Acknowledged),
executionId,
executionPrice,
quantityExecuted,
null,
null,
false,
dateTime,
userId,
null,
null,
null,
null,
StateMap.FromCode(StateCode.Acknowledged),
0.0M,
0.0M,
0.0M,
0.0M);
Monitor.Enter(MarketSimulator.syncRoot);
}
break;
}
// This will commit the changes to the order book.
transactionScope.Complete();
}
// This allows another thread to work the order.
orderRow.IsBusy = false;
}
}
finally
{
Monitor.Exit(MarketSimulator.syncRoot);
}
// This allows other threads the chance to run.
Thread.Sleep(0);
}
}
