public GetQuoteReply GetQuote(string venueName, string stockName)
{
Venue venue = GetVenue(venueName);
if (venue != null)
{
Stock stock = venue.GetStock(stockName);
if (stock != null)
{
SortedList <DateTime, GetQuoteReply> quote;
if (!Quotes.ContainsKey(stock))
{
GetQuoteReply reply = venue.GetQuote(stock);
quote = new SortedList <DateTime, GetQuoteReply> {
{ reply.LastTrade, reply }
};
Quotes.Add(stock, quote);
return(reply);
}
if (Quotes.TryGetValue(stock, out quote))
{
return(quote.Last().Value);
}
}
}
return(null);
}
public void Execute()
{
GameManager manager = new GameManager();
StartReply level = manager.StartLevel("first_steps");
int instance = level.InstanceId;
string account = level.Account;
string venueName = level.Venues[0];
string symbol = level.Stocks[0];
Market market = new Market(account, level.Venues);
market.MonitorStock(venueName, symbol);
for (int i = 0; i < 100; i++)
{
GetQuoteReply quote = market.GetQuote(venueName, symbol);
market.PlaceOrder(venueName, symbol, new Fill(quote.AskSize, 1, Utils.Direction.Buy), Utils.OrderType.Limit);
}
Console.ReadKey();
//var values = market.GetQuotes(venueName, symbol).Where(x => x.Ask != 0 && x.Bid != 0);
//string csv = string.Join(Environment.NewLine, values.Select(d => d.LastTrade.ToString("HH:mm:ss.ffffff") + "," + d.Ask + "," + d.Bid + "," + d.Last));
manager.StopLevel(instance);
}
private void UpdateQuote(GetQuoteReply reply)
{
//EventHandler<GetQuoteReply> handler = QuoteUpdated;
//if (handler != null)
//{
// handler(null, reply);
//}
_dataAccess.UpdateQuote(reply);
}
public GetQuoteReply GetQuote(Stock stock)
{
GetQuote request = new GetQuote(Name, stock);
bool success = request.Execute();
GetQuoteReply reply = (request.Reply as GetQuoteReply) ?? new GetQuoteReply(false);
if (success)
{
UpdateQuote(reply);
return(reply);
}
return(null);
}
private void UpdateMonitoringParameters(GetQuoteReply quote)
{
Stock stock = _venue.GetStock(quote.Symbol);
MonitoringParameter parameter;
Dictionary <Direction, MonitoringParameter> parameterSides;
if (!_monitoringParameters.TryGetValue(stock, out parameterSides))
{
parameter = new MonitoringParameter();
parameter.Update(quote);
parameterSides = new Dictionary <Direction, MonitoringParameter>
{
{ Direction.Buy, parameter },
{ Direction.Sell, parameter }
};
_monitoringParameters.Add(stock, parameterSides);
}
else
{
Direction direction = Direction.Buy;
if (!parameterSides.TryGetValue(direction, out parameter))
{
parameter = new MonitoringParameter();
parameter.Update(quote);
parameterSides.Add(direction, parameter);
}
else
{
parameter.Update(quote);
_monitoringParameters[stock][direction] = parameter;
}
direction = Direction.Sell;
if (!parameterSides.TryGetValue(direction, out parameter))
{
parameter = new MonitoringParameter();
parameter.Update(quote);
parameterSides.Add(direction, parameter);
}
else
{
parameter.Update(quote);
_monitoringParameters[stock][direction] = parameter;
}
}
}
public List <GetQuoteReply> GetQuotes(string venueName, string symbol)
{
Stock stock = GetStock(venueName, symbol);
if (stock != null)
{
SortedList <DateTime, GetQuoteReply> quotes;
if (!Quotes.ContainsKey(stock))
{
GetQuoteReply reply = GetQuote(venueName, symbol);
return(new List <GetQuoteReply> {
reply
});
}
if (Quotes.TryGetValue(stock, out quotes))
{
return(quotes.Select(q => q.Value).ToList());
}
}
return(null);
}
private void UpdateQuote(GetQuoteReply getQuoteReply)
{
Stock stock = GetStock(getQuoteReply.Venue, getQuoteReply.Symbol);
// Use last trade rather than quote time
DateTime timestamp = getQuoteReply.LastTrade;
SortedList <DateTime, GetQuoteReply> stockQuotes;
if (!Quotes.TryGetValue(stock, out stockQuotes))
{
stockQuotes = new SortedList <DateTime, GetQuoteReply>
{
{ timestamp, getQuoteReply }
};
Quotes.Add(stock, stockQuotes);
}
else
{
if (!stockQuotes.ContainsKey(timestamp))
{
Quotes[stock].Add(timestamp, getQuoteReply);
}
}
}
public void UpdateQuote(GetQuoteReply quote)
{
}
public void Update(GetQuoteReply args)
{
}
