//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);
}
}
private void Adapter_StatsChanged(string name, OrderStats stats)
{
if (name == "*" || Name == name)
{
Stats = stats;
PublishToConsole(Name + " Stats: " + stats);
PublishStats(stats);
}
}
public void StatsRecalcNeeded(string name)
{
if (Stats.ContainsKey(name))
{
OrderStats stats = Stats[name];
if (stats != null)
{
stats._statsRecalcNeeded = true;
}
}
}
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;
}
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;
}
}
}
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);
}
// 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);
}
}
}
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();
}
}
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);
}
}
}