//We update an orderBook in memory and publish
protected void UpdateOrderBook(WebSocketSubscriptionEvent subscrEvent)
{
if (subscrEvent is WebSocketErrorMessage)
{
ProcessSubscrError((WebSocketErrorMessage)subscrEvent);
return;
}
WebSocketOrderBookL2Event orderBookEvent = (WebSocketOrderBookL2Event)subscrEvent;
try
{
zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.OrderBookEntry[] bids = orderBookEvent.data.Where(x => x.IsBuy()).OrderByDescending(x => x.price).ToArray();
zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.OrderBookEntry[] asks = orderBookEvent.data.Where(x => x.IsSell()).OrderBy(x => x.price).ToArray();
SendOrderBookEntries(orderBookEvent.action, bids, asks);
OrderBookHandler.DoUpdateOrderBooks(orderBookEvent.action, bids, asks);
//string symbol = "";
//if (bids.Length > 0)
// symbol = bids[0].symbol;
//else if (asks.Length > 0)
// symbol = asks[0].symbol;
//else
// return;
//if (ActiveSecuritiesQuotes.Values.Any(x => x.Symbol == symbol) && OrderBookHandler.OrderBooks.ContainsKey(symbol))
//{
// Security sec = ActiveSecuritiesQuotes.Values.Where(x => x.Symbol == symbol).FirstOrDefault();
// OrderBookDictionary dict = OrderBookHandler.OrderBooks[symbol];
// zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.OrderBookEntry bestBid = dict.Entries.Values.Where(x => x.IsBuy() && x.size > 0).OrderByDescending(x => x.price).FirstOrDefault();
// zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.OrderBookEntry bestAsk = dict.Entries.Values.Where(x => x.IsSell() && x.size > 0).OrderBy(x => x.price).FirstOrDefault();
// sec.MarketData.BestBidPrice = Convert.ToDouble(bestBid.price);
// sec.MarketData.BestBidSize = Convert.ToInt64(bestBid.size);
// sec.MarketData.BestAskPrice = Convert.ToDouble(bestAsk.price);
// sec.MarketData.BestAskSize = Convert.ToInt64(bestAsk.size);
// //DoLog(string.Format("@{5}:Publishing Market Data for symbol {0}: Best Bid Size={1} Best Bid Price={2} Best Ask Size={3} Best Ask Price={4}",
// // symbol, bestBid.size.ToString("##.########"), bestBid.price.ToString("##.##"),
// // bestAsk.size.ToString("##.########"), bestAsk.price.ToString("##.##"),
// // BitmexConfiguration.Name), Main.Common.Util.Constants.MessageType.Information);
// MarketDataWrapper wrapper = new MarketDataWrapper(sec, GetConfig());
// OnMessageRcv(wrapper);
//}
}
catch (Exception ex)
{
DoLog(string.Format("@{0}:Error processing order book :{1}", BitmexConfiguration.Name, ex.Message), Main.Common.Util.Constants.MessageType.Error);
}
}
public async Task OpenAndClosePrices()
{
var listForPrices = new List <TickPrice>();
var listForBooks = new List <OrderBook>();
var tickPriceHandler = new TickPriceHandler(listForPrices);
var orderBookHandler = new OrderBookHandler(listForBooks);
Exchange = new LykkeExchange(config, null, tickPriceHandler, orderBookHandler, _tradeHandler, new LogToConsole());
var exchange = Exchange;
exchange.Start();
await Task.Delay(TimeSpan.FromSeconds(10));
exchange.Stop();
Assert.True(listForPrices.Any());
}
public override bool Initialize(OnMessageReceived pOnMessageRcv, OnLogMessage pOnLogMsg, string configFile)
{
try
{
this.OnMessageRcv += pOnMessageRcv;
this.OnLogMsg += pOnLogMsg;
if (LoadConfig(configFile))
{
DoLog("Initializing WSMarketDataManager @ BitMexInstructionBasedMarketClient", Main.Common.Util.Constants.MessageType.Information);
WSMarketDataManager = new MarketDataManager(BitmexConfiguration.WebsocketURL, true);
RESTMarketDataManager = new zHFT.InstructionBasedMarketClient.BitMex.DAL.MarketDataManager(BitmexConfiguration.RESTURL);
DoLog(string.Format("Connected: {0} - Error Message: {1}", WSMarketDataManager.AuthSubscriptionResult.Success, WSMarketDataManager.AuthSubscriptionResult.ErrorMessage), Main.Common.Util.Constants.MessageType.Information);
DoLog("Initializing SecurityListManager @ BitMexInstructionBasedMarketClient", Main.Common.Util.Constants.MessageType.Information);
SecurityListManager = new DAL.REST.SecurityListManager(BitmexConfiguration.RESTURL);
PriceLevelHandler = new PriceLevelHandler();
//Securities = SecurityListManager.GetActiveSecurityList();
//ProcessContractSize(Securities);
DoLog("Assigning events @ BitMexInstructionBasedMarketClient", Main.Common.Util.Constants.MessageType.Information);
OrderBookHandler = new OrderBookHandler();
WSMarketDataManager.SubscribeResponseRequest(
BaseManager._ORDERBOOK_L2,
OrderBookSubscriptionResponse,
new object[] { });
WSMarketDataManager.SubscribeResponseRequest(
BaseManager._TRADE,
TradeSubscriptionResponse,
new object[] { });
WSMarketDataManager.SubscribeResponseRequest(
BaseManager._QUOTE,
QuoteSubscriptionResponse,
new object[] { });
WSMarketDataManager.SubscribeEvents(BaseManager._ORDERBOOK_L2, UpdateOrderBook);
WSMarketDataManager.SubscribeEvents(BaseManager._TRADE, UpdateTrade);
WSMarketDataManager.SubscribeEvents(BaseManager._QUOTE, UpdateQuotes);
ActiveSecuritiesQuotes = new Dictionary <int, Security>();
ActiveSecuritiesTrades = new Dictionary <int, Security>();
ActiveSecuritiesOrderBook = new Dictionary <int, Security>();
ContractsTimeStamps = new Dictionary <int, DateTime>();
return(true);
}
else
{
DoLog("Error initializing config file " + configFile, Main.Common.Util.Constants.MessageType.Error);
return(false);
}
}
catch (Exception ex)
{
DoLog("Critical error initializing " + configFile + ":" + ex.Message, Main.Common.Util.Constants.MessageType.Error);
return(false);
}
}
