public static MarketDataRequest MakeMarketDataRequest()
{
//let ms = System.DateTimeOffset.Now.ToUnixTimeMilliseconds()
//let mdr = MkMarketDataRequest(
// MDReqID(sprintf "MDRQ-%d" ms),
// SubscriptionRequestType.SnapshotPlusUpdates,
// MarketDepth 1,
// [MDEntryType.Bid; MDEntryType.Offer] |> List.map MkNoMDEntryTypesGrp,
// [MkInstrument(Fix44.Fields.Symbol "EUR/USD")] |> List.map MkMarketDataRequestNoRelatedSymGrp
// )
var msg = new MarketDataRequest();
//var ms = System.DateTimeOffset.Now.ToUnixTimeMilliseconds();
var ms = 1489416392996;
msg.MDReqID = new MDReqID($"MDRQ-{ms}");
msg.SubscriptionRequestType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES);
msg.MarketDepth = new MarketDepth(1);
var entryTypesGroup = new MarketDataRequest.NoMDEntryTypesGroup();
entryTypesGroup.MDEntryType = new MDEntryType(MDEntryType.BID);
msg.AddGroup(entryTypesGroup);
entryTypesGroup.MDEntryType = new MDEntryType(MDEntryType.OFFER);
msg.AddGroup(entryTypesGroup);
var symGroup = new MarketDataRequest.NoRelatedSymGroup();
symGroup.Symbol = new Symbol("EUR/USD");
msg.AddGroup(symGroup);
return(msg);
}
protected override CMState ProcessMarketDataOrderBookRequest(Wrapper wrapper)
{
try
{
MarketDataRequest mdr = MarketDataRequestConverter.GetMarketDataRequest(wrapper);
if (mdr.SubscriptionRequestType == SubscriptionRequestType.Snapshot)
{
throw new Exception(string.Format("@{0}: Market Data Order Book snaphsot not implemented for symbol {1}", BitmexConfiguration.Name, mdr.Security.Symbol));
}
else if (mdr.SubscriptionRequestType == SubscriptionRequestType.SnapshotAndUpdates)
{
return(ProcessMarketDataRequestOrderBook(wrapper));
}
else if (mdr.SubscriptionRequestType == SubscriptionRequestType.Unsuscribe)
{
CancelMarketDataOrderBook(mdr.Security);
return(CMState.BuildSuccess());
}
else
{
throw new Exception(string.Format("@{0}: Value not recognized for subscription type {1} for symbol {2}", BitmexConfiguration.Name, mdr.SubscriptionRequestType.ToString(), mdr.Security.Symbol));
}
}
catch (Exception ex)
{
return(CMState.BuildFail(ex));
}
}
public MarketDataRequest unsubscribeIncrementalRequest(string symbol)
{
MarketDataRequest tickerRequest = new MarketDataRequest();
MarketDataRequest.NoRelatedSymGroup symbolGroup = new MarketDataRequest.NoRelatedSymGroup();
symbolGroup.SetField(new Symbol(symbol));
tickerRequest.AddGroup(symbolGroup);
tickerRequest.Set(new MDReqID("123"));
tickerRequest.Set(new SubscriptionRequestType('2'));
tickerRequest.Set(new MarketDepth(0));
addMDType(tickerRequest, '0');
addMDType(tickerRequest, '1');
addMDType(tickerRequest, '2');
addMDType(tickerRequest, '3');
addMDType(tickerRequest, '4');
addMDType(tickerRequest, '5');
addMDType(tickerRequest, '6');
addMDType(tickerRequest, '7');
addMDType(tickerRequest, '8');
addMDType(tickerRequest, '9');
addMDType(tickerRequest, 'A');
addMDType(tickerRequest, 'B');
addMDType(tickerRequest, 'C');
return(tickerRequest);
}
public void RequestMarketData(object state)
{
try
{
// So pra teste, aguarda 5 segundo antes de enviar request
Thread.Sleep(15000);
if (_marketDataRequested < _channelUmdfConfig.Markets.Count)
{
QuickFix.SessionID session = (QuickFix.SessionID)state;
ConflatedSecurityList secList = _channelUmdfConfig.Markets[_marketDataRequested];
logger.Info("Requisitando snapshot MD [" + secList.Product + "] Type [" + secList.SecurityType + "]");
QuickFix.FIX44.MarketDataRequest mktDataReq = new MarketDataRequest();
mktDataReq.Product = new QuickFix.Fields.Product(Convert.ToInt32(secList.Product)); //EQUITIES
mktDataReq.SubscriptionRequestType = new QuickFix.Fields.SubscriptionRequestType('1'); // Subscribe + update
mktDataReq.MDReqID = new QuickFix.Fields.MDReqID(secList.SecurityReqIDPrefix + DateTime.Now.ToString("yyyyMMddHHmmssfff"));
mktDataReq.SecurityType = new QuickFix.Fields.SecurityType(secList.SecurityType);
mktDataReq.MDBookType = new QuickFix.Fields.MDBookType(3); //MBO
Session.SendToTarget(mktDataReq, session);
_marketDataRequested++;
}
}
catch (Exception ex)
{
logger.Error("RequestMarketData: " + ex.Message, ex);
}
}
/// <summary>
/// Gets the quotes for the symbol
/// </summary>
private List <MarketDataSnapshot> GetQuotes(List <string> fxcmSymbols)
{
// get current quotes for the instrument
var request = new MarketDataRequest();
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
foreach (var fxcmSymbol in fxcmSymbols)
{
request.addRelatedSymbol(_fxcmInstruments[fxcmSymbol]);
}
AutoResetEvent autoResetEvent;
lock (_locker)
{
_currentRequest = _gateway.sendMessage(request);
autoResetEvent = new AutoResetEvent(false);
_mapRequestsToAutoResetEvents[_currentRequest] = autoResetEvent;
}
if (!autoResetEvent.WaitOne(ResponseTimeout))
{
throw new TimeoutException("FxcmBrokerage.GetQuotes(): Operation took longer than " +
$"{((decimal)ResponseTimeout / 1000).ToStringInvariant()} seconds."
);
}
return(_rates.Where(x => fxcmSymbols.Contains(x.Key)).Select(x => x.Value).ToList());
}
/// <summary>
/// Creates and returns a new <see cref="MarketDataRequest"/> FIX message.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="marketDepth">The market depth.</param>
/// <param name="timeNow">The time now.</param>
/// <returns>The FIX message.</returns>
public static MarketDataRequest Create(string symbol, int marketDepth, ZonedDateTime timeNow)
{
Debug.NotEmptyOrWhiteSpace(symbol, nameof(symbol));
Debug.NotNegativeInt32(marketDepth, nameof(marketDepth));
Debug.NotDefault(timeNow, nameof(timeNow));
var marketDataEntryGroup1 = new MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup1.Set(new MDEntryType(MDEntryType.BID));
var marketDataEntryGroup2 = new MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup2.Set(new MDEntryType(MDEntryType.OFFER));
var symbolGroup = new MarketDataRequest.NoRelatedSymGroup();
symbolGroup.SetField(new Symbol(symbol));
var message = new MarketDataRequest(
new MDReqID($"MD_{timeNow.TickOfDay.ToString()}"),
new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES),
new MarketDepth(marketDepth));
message.Set(new MDUpdateType(0)); // val:1 to receive shortened message
message.AddGroup(marketDataEntryGroup1);
message.AddGroup(marketDataEntryGroup2);
message.Set(new NoRelatedSym(1));
message.AddGroup(symbolGroup);
return(message);
}
/// <summary>
/// Removes the specified symbols to the subscription
/// </summary>
/// <param name="job">Job we're processing.</param>
/// <param name="symbols">The symbols to be removed keyed by SecurityType</param>
public void Unsubscribe(LiveNodePacket job, IDictionary <SecurityType, List <string> > symbols)
{
var symbolsToUnsubscribe = (from secType in symbols
from symbol in secType.Value
where _subscribedSymbols.Contains(symbol)
select symbol).ToList();
if (symbolsToUnsubscribe.Count == 0)
{
return;
}
Log.Trace("FxcmBrokerage.Unsubscribe(): {0}", string.Join(",", symbolsToUnsubscribe));
var request = new MarketDataRequest();
foreach (var symbol in symbolsToUnsubscribe)
{
request.addRelatedSymbol(_fxcmInstruments[ConvertSymbolToFxcmSymbol(symbol)]);
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.UNSUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
lock (_locker)
{
_gateway.sendMessage(request);
}
foreach (var symbol in symbolsToUnsubscribe)
{
_subscribedSymbols.Remove(symbol);
}
}
/// <summary>
/// The retrieve market traded volume.
/// </summary>
/// <param name="mostRecentTrade">
/// The most recent trade.
/// </param>
/// <param name="tradingHours">
/// The trading hours.
/// </param>
/// <param name="activeHistory">
/// The active history.
/// </param>
/// <returns>
/// The <see cref="long?"/>.
/// </returns>
private long?RetrieveMarketTradedVolume(Order mostRecentTrade, ITradingHours tradingHours, Stack <Order> activeHistory)
{
var closeTime =
this.source == DataSource.AnyIntraday
? UniverseDateTime
: tradingHours.ClosingInUtcForDay(UniverseDateTime);
var marketDataRequest =
new MarketDataRequest(
mostRecentTrade.Market?.MarketIdentifierCode,
mostRecentTrade.Instrument.Cfi,
mostRecentTrade.Instrument.Identifiers,
tradingHours.OpeningInUtcForDay(UniverseDateTime.Subtract(this.TradeBackwardWindowSize)),
closeTime,
RuleCtx.Id(),
this.source);
var hadMissingData = false;
long?marketTradedVolume = null;
switch (this.source)
{
case DataSource.AnyInterday:
var securityResultInterday = UniverseEquityInterdayCache.GetMarkets(marketDataRequest);
hadMissingData = securityResultInterday.HadMissingData;
if (!hadMissingData)
{
marketTradedVolume = this.InterdayMarketTradedVolume(securityResultInterday);
}
break;
case DataSource.AnyIntraday:
var securityResultIntraday = UniverseEquityIntradayCache.GetMarkets(marketDataRequest);
hadMissingData = securityResultIntraday.HadMissingData;
if (!hadMissingData)
{
marketTradedVolume = this.IntradayMarketTradedVolume(securityResultIntraday);
}
break;
}
if (hadMissingData && RunMode == RuleRunMode.ForceRun)
{
this.UpdatePassedFilterWithOrders(activeHistory);
return(null);
}
if (hadMissingData && RunMode == RuleRunMode.ValidationRun)
{
this.logger.LogInformation($"market traded volume was not calculable for {mostRecentTrade.Instrument.Identifiers} due to missing data");
this.hadMissingData = true;
return(null);
}
return(marketTradedVolume);
}
/// <summary>
/// Adds the specified symbols to the subscription
/// </summary>
/// <param name="job">Job we're subscribing for:</param>
/// <param name="symbols">The symbols to be added keyed by SecurityType</param>
public void Subscribe(LiveNodePacket job, IDictionary<SecurityType, List<Symbol>> symbols)
{
var symbolsToSubscribe = (from secType in symbols
from symbol in secType.Value
where !_subscribedSymbols.Contains(symbol)
select symbol).ToList();
if (symbolsToSubscribe.Count == 0)
return;
Log.Trace("FxcmBrokerage.Subscribe(): {0}", string.Join(",", symbolsToSubscribe));
var request = new MarketDataRequest();
foreach (var symbol in symbolsToSubscribe)
{
request.addRelatedSymbol(_fxcmInstruments[ConvertSymbolToFxcmSymbol(symbol)]);
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
lock (_locker)
{
_gateway.sendMessage(request);
}
foreach (var symbol in symbolsToSubscribe)
{
_subscribedSymbols.Add(symbol);
}
}
public async Task CreateDataRequest(MarketDataRequest request)
{
this._logger.LogInformation(
$"repository recording request for {request.MarketIdentifierCode} from {request.UniverseEventTimeFrom} to {request.UniverseEventTimeTo} for {request.Identifiers}.");
if (string.IsNullOrWhiteSpace(request.Identifiers.Id) ||
string.IsNullOrWhiteSpace(request.SystemProcessOperationRuleRunId))
{
this._logger.LogError(
$"CreateDataRequest had a null or empty id for identifiers for financial instrument. {request.Identifiers.Id} - {request.SystemProcessOperationRuleRunId}");
return;
}
try
{
this._logger.LogTrace(
$"CreateDataRequest about to save request for {request.Identifiers} at {request.UniverseEventTimeFrom} to {request.UniverseEventTimeTo}");
var dtoRequest = new MarketDataRequestDto(request);
using (var dbConnection = this._dbConnectionFactory.BuildConn())
using (var conn = dbConnection.ExecuteAsync(CreateDataRequestSql, dtoRequest))
{
await conn;
this._logger.LogTrace(
$"CreateDataRequest has saved request for {request.Identifiers} at {request.UniverseEventTimeFrom} to {request.UniverseEventTimeTo}");
}
}
catch (Exception e)
{
this._logger.LogError(e, $"repository error for CreateDataRequest");
}
}
public async Task DataRequestsForSystemOperation_StoredOperationId_ReturnsDataRequests()
{
var repo = new RuleRunDataRequestRepository(new ConnectionStringFactory(this._configuration), this._logger);
var id = "1";
var marketDataRequest = new MarketDataRequest(
null,
"XLON",
"entsbp",
new InstrumentIdentifiers {
Id = "1"
},
DateTime.UtcNow,
DateTime.UtcNow.AddHours(1),
id,
true,
DataSource.Bmll);
await repo.CreateDataRequest(marketDataRequest);
var dataRequests = await repo.DataRequestsForSystemOperation("11");
Assert.IsNotNull(dataRequests);
Assert.AreEqual(dataRequests.Count, 1);
}
/// <summary>
/// Adds the specified symbols to the subscription
/// </summary>
/// <param name="symbols">The symbols to be added keyed by SecurityType</param>
private bool Subscribe(IEnumerable <Symbol> symbols)
{
var request = new MarketDataRequest();
foreach (var symbol in symbols)
{
TradingSecurity fxcmSecurity;
if (_fxcmInstruments.TryGetValue(_symbolMapper.GetBrokerageSymbol(symbol), out fxcmSecurity))
{
request.addRelatedSymbol(fxcmSecurity);
// cache exchange time zone for symbol
DateTimeZone exchangeTimeZone;
if (!_symbolExchangeTimeZones.TryGetValue(symbol, out exchangeTimeZone))
{
exchangeTimeZone = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.FXCM, symbol, symbol.SecurityType).TimeZone;
_symbolExchangeTimeZones.Add(symbol, exchangeTimeZone);
}
}
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
lock (_locker)
{
_gateway.sendMessage(request);
}
return(true);
}
/// <summary>
/// Adds the specified symbols to the subscription
/// </summary>
/// <param name="job">Job we're subscribing for:</param>
/// <param name="symbols">The symbols to be added keyed by SecurityType</param>
public void Subscribe(LiveNodePacket job, IEnumerable<Symbol> symbols)
{
var symbolsToSubscribe = (from symbol in symbols
where !_subscribedSymbols.Contains(symbol) && CanSubscribe(symbol)
select symbol).ToList();
if (symbolsToSubscribe.Count == 0)
return;
Log.Trace("FxcmBrokerage.Subscribe(): {0}", string.Join(",", symbolsToSubscribe));
var request = new MarketDataRequest();
foreach (var symbol in symbolsToSubscribe)
{
TradingSecurity fxcmSecurity;
if (_fxcmInstruments.TryGetValue(_symbolMapper.GetBrokerageSymbol(symbol), out fxcmSecurity))
{
request.addRelatedSymbol(fxcmSecurity);
}
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
lock (_locker)
{
_gateway.sendMessage(request);
}
foreach (var symbol in symbolsToSubscribe)
{
_subscribedSymbols.Add(symbol);
}
}
public MarketDataResponse GetData(MarketDataRequest request)
{
_client.QueryString.Clear();
_client.QueryString.Add("typeid", request.TypeId);
_client.QueryString.Add("sethours", request.Duration);
if (request.SystemId != null)
{
_client.QueryString.Add("usesystem", request.SystemId);
}
if (request.MinimumQuantity != null)
{
_client.QueryString.Add("setminQ", request.MinimumQuantity);
}
string result = _client.DownloadString(_host);
XDocument data = XDocument.Parse(result);
var responseData = (from item in data.Root.Descendants("quicklook")
let sellOrders = item.Descendants("sell_orders").Descendants("order").OrderBy(arg => arg.Element("price").Value)
let buyOrders = item.Descendants("buy_orders").Descendants("order").OrderByDescending(arg => arg.Element("price").Value)
select new MarketDataResponse
{
Commodity = item.Element("itemname").Value,
BuyOrders = buyOrders.Select(order => MarketOrder.Load(order)).ToList(),
SellOrders = sellOrders.Select(order => MarketOrder.Load(order)).ToList()
}).FirstOrDefault();
return(responseData);
}
private static void ResolveMarketDataRequest(MarketDataRequest message, out Symbol symbol, out char bidAskObj, out string currencyCodeObj)
{
MDReqID mdReqId = new MDReqID();
message.Get(mdReqId);
SubscriptionRequestType subType = new SubscriptionRequestType();
message.Get(subType);
MarketDepth marketDepth = new MarketDepth();
message.Get(marketDepth);
var symbolGroup = new FixSpec.MarketDataRequest.NoRelatedSymGroup();
message.GetGroup(1, symbolGroup);
symbol = new Symbol();
symbolGroup.Get(symbol);
FixSpec.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new FixSpec.MarketDataRequest.NoMDEntryTypesGroup();
message.GetGroup(1, marketDataEntryGroup);
var mDEntryType = new MDEntryType();
marketDataEntryGroup.Get(mDEntryType);
bidAskObj = mDEntryType.Obj;
currencyCodeObj = symbol.Obj;
var marketDepthObj = marketDepth.Obj;
}
private GetMinuteBarsRequest GetMinuteBarsRequest(MarketDataRequest request)
{
if (request == null || (!request?.IsValid() ?? true))
{
this._logger.LogError(
$"{nameof(BmllDataRequestsManager)} had a null request or a request that did not pass data request validation for {request?.Identifiers}");
return(null);
}
if (string.IsNullOrWhiteSpace(request.Identifiers.Figi))
{
this._logger.LogError($"{nameof(BmllDataRequestsManager)} asked to process a security without a figi");
return(null);
}
return(new GetMinuteBarsRequest
{
Figi = request.Identifiers.Figi,
From = request.UniverseEventTimeFrom.Value.Date,
To = request.UniverseEventTimeTo.Value.Date.AddDays(1).AddMilliseconds(-1),
Interval = "1min"
});
}
/// <summary>
/// Adds the specified symbols to the subscription
/// </summary>
/// <param name="job">Job we're subscribing for:</param>
/// <param name="symbols">The symbols to be added keyed by SecurityType</param>
public void Subscribe(LiveNodePacket job, IEnumerable <Symbol> symbols)
{
var symbolsToSubscribe = (from symbol in symbols
where !_subscribedSymbols.Contains(symbol)
select symbol).ToList();
if (symbolsToSubscribe.Count == 0)
{
return;
}
Log.Trace("FxcmBrokerage.Subscribe(): {0}", string.Join(",", symbolsToSubscribe));
var request = new MarketDataRequest();
foreach (var symbol in symbolsToSubscribe)
{
request.addRelatedSymbol(_fxcmInstruments[_symbolMapper.GetBrokerageSymbol(symbol)]);
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
lock (_locker)
{
_gateway.sendMessage(request);
}
foreach (var symbol in symbolsToSubscribe)
{
_subscribedSymbols.Add(symbol);
}
}
void OnMarketDataRequest(int reqId, IBContract contract)
{
Server?.OnMarketDataRequest(this, reqId, contract);
MarketDataRequest?.Invoke(this, new TWSMarketDataRequestEventArgs(this, reqId, contract));
_marketDataSubscriptions.Add(reqId, contract);
}
public IObservable <HistoricalDataMessage> Request(MarketDataRequest request)
{
Logger.LogDebug("Request: {0}", RequestId);
var stream = Construct();
IbClient.ClientSocket.ReqHistoricalData(RequestId, request);
return(stream);
}
/// <summary>
/// The check daily volume breach.
/// </summary>
/// <param name="opposingPosition">
/// The opposing position.
/// </param>
/// <param name="mostRecentTrade">
/// The most recent trade.
/// </param>
/// <returns>
/// The <see cref="RuleBreachDescription"/>.
/// </returns>
private RuleBreachDescription CheckDailyVolumeBreach(
ITradePosition opposingPosition,
Order mostRecentTrade)
{
var tradingHoursManager = this.tradingHoursService.GetTradingHoursForMic(mostRecentTrade.Market.MarketIdentifierCode);
if (!tradingHoursManager.IsValid)
{
this.logger.LogInformation($"unable to fetch market data for ({mostRecentTrade.Market.MarketIdentifierCode}) for the most recent trade {mostRecentTrade?.Instrument?.Identifiers} the market data did not contain the security indicated as trading in that market");
this.hadMissingData = true;
return(RuleBreachDescription.False());
}
var marketRequest =
new MarketDataRequest(
mostRecentTrade.Market.MarketIdentifierCode,
mostRecentTrade.Instrument.Cfi,
mostRecentTrade.Instrument.Identifiers,
tradingHoursManager.OpeningInUtcForDay(UniverseDateTime.Subtract(this.TradeBackwardWindowSize)),
tradingHoursManager.ClosingInUtcForDay(UniverseDateTime),
this.ruleContext?.Id(),
DataSource.AnyInterday);
var marketResult = UniverseEquityInterdayCache.Get(marketRequest);
if (marketResult.HadMissingData)
{
this.logger.LogInformation($"unable to fetch market data for ({mostRecentTrade.Market.MarketIdentifierCode}) for the most recent trade {mostRecentTrade?.Instrument?.Identifiers} the market data did not contain the security indicated as trading in that market");
this.hadMissingData = true;
return(RuleBreachDescription.False());
}
var marketSecurityData = marketResult.Response;
if (marketSecurityData?.DailySummaryTimeBar?.DailyVolume.Traded <= 0 ||
opposingPosition.TotalVolumeOrderedOrFilled() <= 0)
{
this.logger.LogInformation($"unable to evaluate for {mostRecentTrade?.Instrument?.Identifiers} either the market daily volume data was not available or the opposing position had a bad total volume value (daily volume){marketSecurityData?.DailySummaryTimeBar?.DailyVolume.Traded} - (opposing position){opposingPosition.TotalVolumeOrderedOrFilled()}");
this.hadMissingData = true;
return(RuleBreachDescription.False());
}
var percentageDailyVolume = (decimal)opposingPosition.TotalVolumeOrderedOrFilled() / (decimal)marketSecurityData?.DailySummaryTimeBar?.DailyVolume.Traded;
if (percentageDailyVolume >= this.equitiesParameters.PercentageOfMarketDailyVolume)
{
return(new RuleBreachDescription
{
RuleBreached = true,
Description = $" Percentage of market daily volume traded within a {this.equitiesParameters.Windows.BackwardWindowSize.TotalSeconds} second window exceeded the layering window threshold of {this.equitiesParameters.PercentageOfMarketDailyVolume * 100}%."
});
}
return(RuleBreachDescription.False());
}
public string EnviarAssinaturaMarketDataConflated(string instrumento, string securityType, string product, string cfiCode)
{
string mdReqID = "MDREQ";
try
{
logger.InfoFormat("Requisitando snapshot MD Instrumento[{0}] Produto [{1}] Type [{2}] CFI[{3}]",
instrumento,
product,
securityType,
cfiCode);
QuickFix.FIX44.MarketDataRequest mktDataReq = new MarketDataRequest();
if (!String.IsNullOrEmpty(instrumento))
{
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup noRelatedSym = new MarketDataRequest.NoRelatedSymGroup();
noRelatedSym.SecurityExchange = new QuickFix.Fields.SecurityExchange("BVMF");
noRelatedSym.SecurityIDSource = new QuickFix.Fields.SecurityIDSource("8");
noRelatedSym.SecurityID = new QuickFix.Fields.SecurityID(instrumento);
mktDataReq.AddGroup(noRelatedSym);
mdReqID += "-" + instrumento;
}
if (!String.IsNullOrEmpty(product) && !product.Equals("0"))
{
mktDataReq.Product = new QuickFix.Fields.Product(Convert.ToInt32(product));
mdReqID += "-" + product;
}
if (!String.IsNullOrEmpty(securityType))
{
mktDataReq.SecurityType = new QuickFix.Fields.SecurityType(securityType);
}
if (!String.IsNullOrEmpty(cfiCode))
{
mktDataReq.CFICode = new QuickFix.Fields.CFICode(cfiCode);
}
mdReqID += "-" + DateTime.Now.ToString("yyyyMMddHHmmssfff");
mktDataReq.MDReqID = new QuickFix.Fields.MDReqID(mdReqID);
mktDataReq.SubscriptionRequestType = new QuickFix.Fields.SubscriptionRequestType(QuickFix.Fields.SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES); // Subscribe + update
mktDataReq.MDBookType = new QuickFix.Fields.MDBookType(QuickFix.Fields.MDBookType.ORDER_DEPTH); //MBO
Session.SendToTarget(mktDataReq, _session);
}
catch (Exception ex)
{
logger.Error("RequestMarketData: " + ex.Message, ex);
}
return(mdReqID);
}
public async Task ShouldReceiveOrderBooks()
{
await _connector.ConnectAsync(CancellationToken.None);
WaitForState(FixConnectorState.Connected, 30);
var symbols = new[] { "USDCHF", "EURUSD" };
var request = new MarketDataRequest()
{
MDReqID = new MDReqID(DateTime.UtcNow.Ticks.ToString()),
SubscriptionRequestType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES),
MarketDepth = new MarketDepth(50),
MDUpdateType = new MDUpdateType(MDUpdateType.FULL_REFRESH),
NoMDEntryTypes = new NoMDEntryTypes(2),
NoRelatedSym = new NoRelatedSym(symbols.Length)
};
var bidGroup = new MarketDataRequest.NoMDEntryTypesGroup
{
MDEntryType = new MDEntryType(MDEntryType.BID)
};
var askGroup = new MarketDataRequest.NoMDEntryTypesGroup
{
MDEntryType = new MDEntryType(MDEntryType.OFFER)
};
foreach (var symb in symbols)
{
var noRelatedSymGroup = new MarketDataRequest.NoRelatedSymGroup
{
Symbol = new Symbol(symb)
};
request.AddGroup(noRelatedSymGroup);
}
request.AddGroup(bidGroup);
request.AddGroup(askGroup);
await _connector.SendRequestAsync(request, CancellationToken.None);
for (int i = 0; i < symbols.Length; i++)
{
var resp = await _connector.GetResponseAsync(CancellationToken.None);
if (resp is MarketDataSnapshotFullRefresh snapshot)
{
var symbol = snapshot.Symbol.Obj;
for (int j = 1; j <= snapshot.NoMDEntries.Obj; j++)
{
var ob = resp.GetGroup(j, new MarketDataSnapshotFullRefresh.NoMDEntriesGroup());
var dir = ob.GetField(new MDEntryType()).Obj;
var price = ob.GetField(new MDEntryPx()).Obj;
var size = ob.GetField(new MDEntrySize()).Obj;
await _output.WriteInfoAsync("", "", $"Sym:{symbol} side:{dir} price:{price} size:{size}");
}
}
}
}
/// <summary>
/// The check window volume traded.
/// </summary>
/// <param name="securities">
/// The securities.
/// </param>
/// <returns>
/// The <see cref="VolumeBreach"/>.
/// </returns>
private VolumeBreach CheckWindowVolumeTraded(Stack <Order> securities)
{
if (!securities.Any())
{
return(new VolumeBreach());
}
var tradingHours = this.tradingHoursService.GetTradingHoursForMic(securities.Peek().Market?.MarketIdentifierCode);
if (!tradingHours.IsValid)
{
this.logger.LogError($"Request for trading hours was invalid. MIC - {securities.Peek().Market?.MarketIdentifierCode}");
return(new VolumeBreach());
}
var tradingDates = this.tradingHoursService.GetTradingDaysWithinRangeAdjustedToTime(
tradingHours.OpeningInUtcForDay(UniverseDateTime.Subtract(this.TradeBackwardWindowSize)),
tradingHours.ClosingInUtcForDay(UniverseDateTime),
securities.Peek().Market?.MarketIdentifierCode);
var marketDataRequest =
new MarketDataRequest(
securities.Peek().Market.MarketIdentifierCode,
securities.Peek().Instrument.Cfi,
securities.Peek().Instrument.Identifiers,
UniverseDateTime.Subtract(this.TradeBackwardWindowSize), // implicitly correct (market closure event trigger)
UniverseDateTime,
this.ruleContext?.Id(),
DataSource.AnyIntraday);
// marking the close should not have windows exceeding a few hours
var marketResult = UniverseEquityIntradayCache.GetMarketsForRange(marketDataRequest, tradingDates, RunMode);
if (marketResult.HadMissingData)
{
this.hadMissingData = true;
return(new VolumeBreach());
}
var securityUpdates = marketResult.Response;
var securityVolume = securityUpdates.Sum(su => su.SpreadTimeBar.Volume.Traded);
var thresholdVolumeTraded = securityVolume * this.equitiesParameters.PercentageThresholdWindowVolume;
if (thresholdVolumeTraded == null)
{
this.hadMissingData = true;
return(new VolumeBreach());
}
var result =
this.CalculateVolumeBreaches(
securities,
thresholdVolumeTraded.GetValueOrDefault(0),
securityVolume);
return(result);
}
public void Query_Calls_Cache()
{
var cacheStrategy = new EquityInterDayMarketCacheStrategy(this._cache);
var dataRequest = MarketDataRequest.Null();
cacheStrategy.Query(dataRequest);
A.CallTo(() => this._cache.Get(dataRequest)).MustHaveHappenedOnceExactly();
}
private FactsetSecurityRequestItem Project(MarketDataRequest req)
{
return(new FactsetSecurityRequestItem
{
Figi = req?.Identifiers.Figi,
From = req?.UniverseEventTimeFrom?.AddDays(-1) ?? DateTime.UtcNow,
To = req?.UniverseEventTimeTo?.AddDays(1) ?? DateTime.UtcNow
});
}
/// <summary>
/// The window volume check.
/// </summary>
/// <param name="mostRecentTrade">
/// The most recent trade.
/// </param>
/// <param name="tradedVolume">
/// The traded volume.
/// </param>
/// <returns>
/// The <see cref="BreachDetails"/>.
/// </returns>
private HighVolumeRuleBreach.BreachDetails WindowVolumeCheck(Order mostRecentTrade, decimal tradedVolume)
{
var tradingHours = this.TradingHoursService.GetTradingHoursForMic(mostRecentTrade.Market?.MarketIdentifierCode);
if (!tradingHours.IsValid)
{
this.Logger.LogError($"Request for trading hours was invalid. MIC - {mostRecentTrade.Market?.MarketIdentifierCode}");
}
var tradingDates = this.TradingHoursService.GetTradingDaysWithinRangeAdjustedToTime(
tradingHours.OpeningInUtcForDay(UniverseDateTime.Subtract(this.TradeBackwardWindowSize)),
tradingHours.ClosingInUtcForDay(UniverseDateTime),
mostRecentTrade.Market?.MarketIdentifierCode);
var marketRequest =
new MarketDataRequest(
mostRecentTrade.Market?.MarketIdentifierCode,
mostRecentTrade.Instrument.Cfi,
mostRecentTrade.Instrument.Identifiers,
tradingHours.OpeningInUtcForDay(UniverseDateTime.Subtract(this.TradeBackwardWindowSize)),
tradingHours.ClosingInUtcForDay(UniverseDateTime),
this.RuleCtx?.Id(),
DataSource.AnyIntraday);
var marketResult = this.UniverseEquityIntradayCache.GetMarketsForRange(marketRequest, tradingDates, RunMode);
if (marketResult.HadMissingData)
{
this.Logger.LogTrace($"Unable to fetch market data frames for {mostRecentTrade.Market.MarketIdentifierCode} at {UniverseDateTime}.");
this.HadMissingData = true;
return(HighVolumeRuleBreach.BreachDetails.None());
}
var securityDataTicks = marketResult.Response;
var windowVolume = securityDataTicks.Sum(sdt => sdt.SpreadTimeBar.Volume.Traded);
var threshold = (long)Math.Ceiling(this.EquitiesParameters.HighVolumePercentageWindow.GetValueOrDefault(0) * windowVolume);
var breachPercentage =
windowVolume != 0 && tradedVolume != 0
? (decimal)tradedVolume / (decimal)windowVolume
: 0;
if (threshold <= 0)
{
this.HadMissingData = true;
this.Logger.LogInformation($"Window volume threshold of {threshold} was recorded.");
return(HighVolumeRuleBreach.BreachDetails.None());
}
if (tradedVolume >= threshold)
{
return(new HighVolumeRuleBreach.BreachDetails(true, breachPercentage, threshold, mostRecentTrade.Market));
}
return(HighVolumeRuleBreach.BreachDetails.None());
}
public static void Main2(string[] args)
{
BTCCFIXClientApp app = new BTCCFIXClientApp();
string sessionFile = Environment.CurrentDirectory + "/session_client.txt";
SessionSettings settings = new SessionSettings(sessionFile);
IMessageStoreFactory storeFactory = new FileStoreFactory(settings);
ILogFactory logFactory = new FileLogFactory(settings);
QuickFix.Transport.SocketInitiator initiator = new QuickFix.Transport.SocketInitiator(app, storeFactory, settings, logFactory);
initiator.Start();
BTCCMarketDataRequest btccDataRequest = new BTCCMarketDataRequest();
System.Threading.Thread.Sleep(5000);
//request full snapshot
MarketDataRequest dataRequest = btccDataRequest.marketDataFullSnapRequest("BTCCNY");
bool ret = Session.SendToTarget(dataRequest, app.m_sessionID);
Console.WriteLine("SendToTarget ret={0}", ret);
dataRequest = btccDataRequest.marketDataFullSnapRequest("LTCCNY");
ret = Session.SendToTarget(dataRequest, app.m_sessionID);
Console.WriteLine("SendToTarget ret={0}", ret);
dataRequest = btccDataRequest.marketDataFullSnapRequest("LTCBTC");
ret = Session.SendToTarget(dataRequest, app.m_sessionID);
Console.WriteLine("SendToTarget ret={0}", ret);
System.Threading.Thread.Sleep(15000);
//request incremental request
dataRequest = btccDataRequest.marketDataIncrementalRequest("BTCCNY");
ret = Session.SendToTarget(dataRequest, app.m_sessionID);
Console.WriteLine("SendToTarget ret={0}", ret);
dataRequest = btccDataRequest.marketDataIncrementalRequest("LTCCNY");
ret = Session.SendToTarget(dataRequest, app.m_sessionID);
Console.WriteLine("SendToTarget ret={0}", ret);
dataRequest = btccDataRequest.marketDataIncrementalRequest("LTCBTC");
ret = Session.SendToTarget(dataRequest, app.m_sessionID);
Console.WriteLine("SendToTarget ret={0}", ret);
System.Threading.Thread.Sleep(40000);
//unsubscribe incremental request
dataRequest = btccDataRequest.unsubscribeIncrementalRequest("BTCCNY");
ret = Session.SendToTarget(dataRequest, app.m_sessionID);
Console.WriteLine("SendToTarget ret={0}", ret);
dataRequest = btccDataRequest.unsubscribeIncrementalRequest("LTCCNY");
ret = Session.SendToTarget(dataRequest, app.m_sessionID);
Console.WriteLine("SendToTarget ret={0}", ret);
dataRequest = btccDataRequest.unsubscribeIncrementalRequest("LTCBTC");
ret = Session.SendToTarget(dataRequest, app.m_sessionID);
Console.WriteLine("SendToTarget ret={0}", ret);
}
public void Query_Returns_Interday_Market_Data_Response()
{
var cacheStrategy = new EquityInterDayMarketCacheStrategy(this._cache);
var dataRequest = MarketDataRequest.Null();
var response = cacheStrategy.Query(dataRequest);
Assert.IsNotNull(response);
Assert.IsInstanceOf <EquityInterDayMarketDataResponse>(response);
}
private IEnumerator MarketDataRequest(Request r)
{
yield return(new WaitForSeconds(_loadTime));
MarketDataRequest m = r as MarketDataRequest;
m.Datas = _marketManager.GetBuyOrders(m.ResourceType);
FinishRequest(m);
}
/// <summary>
/// The daily volume check.
/// </summary>
/// <param name="mostRecentTrade">
/// The most recent trade.
/// </param>
/// <param name="tradedVolume">
/// The traded volume.
/// </param>
/// <returns>
/// The <see cref="BreachDetails"/>.
/// </returns>
private HighVolumeRuleBreach.BreachDetails DailyVolumeCheck(Order mostRecentTrade, decimal tradedVolume)
{
if (mostRecentTrade == null)
{
return(HighVolumeRuleBreach.BreachDetails.None());
}
var tradingHours = this.TradingHoursService.GetTradingHoursForMic(mostRecentTrade.Market?.MarketIdentifierCode);
if (!tradingHours.IsValid)
{
this.Logger.LogError($"Request for trading hours was invalid. MIC - {mostRecentTrade.Market?.MarketIdentifierCode}");
}
var marketDataRequest = new MarketDataRequest(
mostRecentTrade.Market?.MarketIdentifierCode,
mostRecentTrade.Instrument.Cfi,
mostRecentTrade.Instrument.Identifiers,
tradingHours.OpeningInUtcForDay(UniverseDateTime.Subtract(this.TradeBackwardWindowSize)),
tradingHours.ClosingInUtcForDay(UniverseDateTime),
this.RuleCtx?.Id(),
DataSource.AnyInterday);
var securityResult = UniverseEquityInterdayCache.Get(marketDataRequest);
if (securityResult.HadMissingData)
{
this.HadMissingData = true;
this.Logger.LogWarning($"Missing data for {marketDataRequest}.");
return(HighVolumeRuleBreach.BreachDetails.None());
}
var security = securityResult.Response;
var threshold = (long)Math.Ceiling(
this.EquitiesParameters.HighVolumePercentageDaily.GetValueOrDefault(0) * security.DailySummaryTimeBar.DailyVolume.Traded);
if (threshold <= 0)
{
this.HadMissingData = true;
this.Logger.LogInformation($"Daily volume threshold of {threshold} was recorded.");
return(HighVolumeRuleBreach.BreachDetails.None());
}
var breachPercentage =
security.DailySummaryTimeBar.DailyVolume.Traded != 0 && tradedVolume != 0
? (decimal)tradedVolume / (decimal)security.DailySummaryTimeBar.DailyVolume.Traded
: 0;
if (tradedVolume >= threshold)
{
return(new HighVolumeRuleBreach.BreachDetails(true, breachPercentage, threshold, mostRecentTrade.Market));
}
return(HighVolumeRuleBreach.BreachDetails.None());
}
public MarketDataResponse <EquityInstrumentInterDayTimeBar> Get(MarketDataRequest request)
{
if (request == null || !request.IsValid())
{
this._logger.LogError("UniverseEquityInterDayCache received either a null or invalid request");
return(MarketDataResponse <EquityInstrumentInterDayTimeBar> .MissingData());
}
this._logger.LogInformation(
$"UniverseEquityInterDayCache fetching for market {request?.MarketIdentifierCode} from {request?.UniverseEventTimeFrom} to {request?.UniverseEventTimeTo} as part of rule run {request?.SystemProcessOperationRuleRunId}");
if (!this._latestExchangeFrameBook.ContainsKey(request.MarketIdentifierCode))
{
this._dataRequestRepository.CreateDataRequest(request);
this._logger.LogInformation(
$"UniverseEquityInterDayCache was not able to find the MIC {request.MarketIdentifierCode} in the latest exchange frame book. Recording missing data.");
return(MarketDataResponse <EquityInstrumentInterDayTimeBar> .MissingData());
}
this._latestExchangeFrameBook.TryGetValue(request.MarketIdentifierCode, out var exchangeFrame);
if (exchangeFrame == null)
{
this._dataRequestRepository.CreateDataRequest(request);
this._logger.LogInformation(
$"UniverseEquityInterDayCache was not able to find the MIC {request.MarketIdentifierCode} in the latest exchange frame book. Recording missing data.");
return(MarketDataResponse <EquityInstrumentInterDayTimeBar> .MissingData());
}
var security =
exchangeFrame.Securities.FirstOrDefault(sec => Equals(sec.Security.Identifiers, request.Identifiers));
if (security == null)
{
this._dataRequestRepository.CreateDataRequest(request);
this._logger.LogInformation(
$"UniverseEquityInterDayCache was not able to find the security {request.Identifiers} for MIC {request.MarketIdentifierCode} in the latest exchange frame book. Recording missing data.");
return(MarketDataResponse <EquityInstrumentInterDayTimeBar> .MissingData());
}
if (exchangeFrame.Epoch.Date >= request.UniverseEventTimeTo.GetValueOrDefault() &&
exchangeFrame.Epoch.Date <= request.UniverseEventTimeFrom.GetValueOrDefault())
{
this._dataRequestRepository.CreateDataRequest(request);
this._logger.LogInformation(
$"UniverseEquityInterDayCache was not able to find the security {request.Identifiers} for MIC {request.MarketIdentifierCode} in the latest exchange frame book within a suitable data range to {request.UniverseEventTimeTo} from {request.UniverseEventTimeFrom}. Recording missing data.");
return(MarketDataResponse <EquityInstrumentInterDayTimeBar> .MissingData());
}
this._logger.LogInformation(
$"UniverseEquityInterDayCache was able to find a match for {request.Identifiers} returning data.");
return(new MarketDataResponse <EquityInstrumentInterDayTimeBar>(security, false, false));
}
public async Task DataRequestsForSystemOperation_UpdateToCompleteWithDuplicates_UpdatesRelevantRequests()
{
var repo = new RuleRunDataRequestRepository(new ConnectionStringFactory(this._configuration), this._logger);
var id = "11";
var start = DateTime.UtcNow;
var end = DateTime.UtcNow.AddHours(1);
var marketDataRequest1 = new MarketDataRequest(
null,
"TESTME",
"entsbp",
new InstrumentIdentifiers {
Id = "1"
},
start,
end,
"1",
false,
DataSource.Bmll);
await repo.CreateDataRequest(marketDataRequest1);
var marketDataRequest2 = new MarketDataRequest(
null,
"TESTME",
"entsbp",
new InstrumentIdentifiers {
Id = "1"
},
start,
end,
"2",
false,
DataSource.Bmll);
await repo.CreateDataRequest(marketDataRequest2);
var dataRequests = (await repo.DataRequestsForSystemOperation(id))
.Where(_ => _.MarketIdentifierCode == "TESTME").ToList();
Assert.IsNotNull(dataRequests);
Assert.AreEqual(dataRequests.Count, 2);
Assert.IsFalse(dataRequests.All(_ => _.IsCompleted));
var oneDataRequest = new[] { dataRequests.FirstOrDefault() };
await repo.UpdateToCompleteWithDuplicates(oneDataRequest);
var dataRequests2 = (await repo.DataRequestsForSystemOperation(id))
.Where(_ => _.MarketIdentifierCode == "TESTME").ToList();
Assert.IsTrue(dataRequests2.All(_ => _.IsCompleted));
}
/// <summary>
/// Gets the quotes for the symbol
/// </summary>
public List<MarketDataSnapshot> GetQuotes(List<string> fxcmSymbols)
{
// get current quotes for the instrument
var request = new MarketDataRequest();
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
foreach (var fxcmSymbol in fxcmSymbols)
{
request.addRelatedSymbol(_fxcmInstruments[fxcmSymbol]);
}
AutoResetEvent autoResetEvent;
lock (_locker)
{
_currentRequest = _gateway.sendMessage(request);
autoResetEvent = new AutoResetEvent(false);
_mapRequestsToAutoResetEvents[_currentRequest] = autoResetEvent;
}
if (!autoResetEvent.WaitOne(ResponseTimeout))
throw new TimeoutException(string.Format("FxcmBrokerage.GetQuotes(): Operation took longer than {0} seconds.", (decimal)ResponseTimeout / 1000));
return _rates.Where(x => fxcmSymbols.Contains(x.Key)).Select(x => x.Value).ToList();
}
/// <summary>
/// Gets the history for the requested securities
/// </summary>
/// <param name="requests">The historical data requests</param>
/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
public IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
{
foreach (var request in requests)
{
var interval = ToFxcmInterval(request.Resolution);
// download data
var history = new List<BaseData>();
var end = request.EndTimeUtc;
var attempt = 1;
while (end > request.StartTimeUtc)
{
_lastHistoryChunk.Clear();
var mdr = new MarketDataRequest();
mdr.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
mdr.setResponseFormat(IFixMsgTypeDefs.__Fields.MSGTYPE_FXCMRESPONSE);
mdr.setFXCMTimingInterval(interval);
mdr.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
mdr.setFXCMStartDate(new UTCDate(ToJavaDateUtc(request.StartTimeUtc)));
mdr.setFXCMStartTime(new UTCTimeOnly(ToJavaDateUtc(request.StartTimeUtc)));
mdr.setFXCMEndDate(new UTCDate(ToJavaDateUtc(end)));
mdr.setFXCMEndTime(new UTCTimeOnly(ToJavaDateUtc(end)));
mdr.addRelatedSymbol(_fxcmInstruments[_symbolMapper.GetBrokerageSymbol(request.Symbol)]);
AutoResetEvent autoResetEvent;
lock (_locker)
{
_currentRequest = _gateway.sendMessage(mdr);
autoResetEvent = new AutoResetEvent(false);
_mapRequestsToAutoResetEvents[_currentRequest] = autoResetEvent;
_pendingHistoryRequests.Add(_currentRequest);
}
if (!autoResetEvent.WaitOne(HistoryResponseTimeout))
{
// no response
if (++attempt > MaximumHistoryRetryAttempts)
{
break;
}
continue;
}
// Add data
lock (_locker)
{
history.InsertRange(0, _lastHistoryChunk);
}
var firstDateUtc = _lastHistoryChunk[0].Time.ConvertToUtc(_configTimeZone);
if (end != firstDateUtc)
{
// new end date = first datapoint date.
end = request.Resolution == Resolution.Tick ? firstDateUtc.AddMilliseconds(-1) : firstDateUtc.AddSeconds(-1);
if (request.StartTimeUtc.AddSeconds(1) >= end)
break;
}
else
{
break;
}
}
DataPointCount += history.Count;
foreach (var data in history)
{
yield return new Slice(data.EndTime, new[] { data });
}
}
}
public void Subscribe(string symbol, SessionID sessionId)
{
var marketDataRequest = new MarketDataRequest
{
MDReqID = new MDReqID(symbol),
SubscriptionRequestType = new SubscriptionRequestType('1'),
//incremental refresh
MarketDepth = new MarketDepth(1), //yes market depth need
MDUpdateType = new MDUpdateType(1) //
};
var relatedSymbol = new MarketDataRequest.NoRelatedSymGroup { Symbol = new Symbol(symbol) };
marketDataRequest.AddGroup(relatedSymbol);
var noMdEntryTypes = new MarketDataRequest.NoMDEntryTypesGroup();
var mdEntryTypeBid = new MDEntryType('0');
noMdEntryTypes.MDEntryType = mdEntryTypeBid;
marketDataRequest.AddGroup(noMdEntryTypes);
noMdEntryTypes = new MarketDataRequest.NoMDEntryTypesGroup();
var mdEntryTypeOffer = new MDEntryType('1');
noMdEntryTypes.MDEntryType = mdEntryTypeOffer;
marketDataRequest.AddGroup(noMdEntryTypes);
//Send message
Session.SendToTarget(marketDataRequest, sessionId);
}
public static void HistTradeRequest(string traderName, string companyName, string brokerName,
string instrumentName, string commodityName, string firstSeqName,
DateTime fromDate, DateTime toDate)
{
int nrFilter = 0;
MarketDataRequest request;
request = new MarketDataRequest();
// @@@ filter inputs for reasonable values, i.e. warning for many days etc...
request.DataType = MarketDataTypeEnum.Deals;
request.FilterRules = new FilterRule[
(traderName == "All"? 0 : 1) +
(companyName == "All"? 0 : 1) +
(brokerName == "All"? 1 : 1) +
(instrumentName == "All" && commodityName == "All"? 0 : 1) +
(firstSeqName == "All" ? 0 : 1) +
+ 1]; // +1 Dates// @@@ how to filter for gas as commodity
// Date Filter
DateFilterRule dateFilter = new DateFilterRule();
dateFilter.StartDate = fromDate;
dateFilter.EndDate = toDate;
request.FilterRules[nrFilter] = dateFilter; nrFilter+=1;
// Trader Filter
if(traderName != "All")
{
TraderNameFilterRule traderFilter = new TraderNameFilterRule();
traderFilter.Action = FilterRuleActionEnum.Add;
traderFilter.TraderName = traderName;
request.FilterRules[nrFilter] = traderFilter; nrFilter += 1;
}
// Instrument Filter == Product, e.g. NBP, not tenor!
// We introduced Commodity which is a collection of intruments; setting an Instrument Type will supersede the Commodity
if (instrumentName != "All")
{
InstrumentsFilterRule instrumentsFilter = new InstrumentsFilterRule();
InstrumentFilterRule[] iGroup = new InstrumentFilterRule[1]; // @@@ extend >1 later
InstrumentFilterRule iRule = new InstrumentFilterRule();
iRule.Action = FilterRuleActionEnum.Add;
iRule.InstrumentName = instrumentName;
iGroup[0] = iRule;
instrumentsFilter.InstrumentRules = iGroup;
request.FilterRules[nrFilter] = instrumentsFilter; nrFilter += 1;
}
else if (commodityName != "All")
{
List<string> _instNames;
if (CommodityGrouper.CommodityClassList.Contains(commodityName))
{
_instNames = TP_SetupData.Commodities.Values.Where(k => k.CommodityClass == commodityName).Select(k => k.InstName).ToList();
}
else if (CommodityGrouper.CommodityList.Contains(commodityName))
{
_instNames = TP_SetupData.Commodities.Values.Where(k => k.Commodity == commodityName).Select(k => k.InstName).ToList();
}
else
{
throw new ArgumentOutOfRangeException("Commodity = " + commodityName + " unknown.");
}
InstrumentsFilterRule instrumentsFilter = new InstrumentsFilterRule();
InstrumentFilterRule[] iGroup = new InstrumentFilterRule[_instNames.Count];
InstrumentFilterRule iRule;
for (int i = 0; i < _instNames.Count; i++)
{
iRule = new InstrumentFilterRule();
iRule.Action = FilterRuleActionEnum.Add;
iRule.InstrumentName = _instNames[i];
iGroup[i] = iRule;
}
instrumentsFilter.InstrumentRules = iGroup;
request.FilterRules[nrFilter] = instrumentsFilter; nrFilter += 1;
}
// FirstSqeuenceName Filter, e.g. Sep-16, Win 16-17, ...
if (firstSeqName != "All")
{
SequenceFilterRule iRule = new SequenceFilterRule(); // multiple not possible
iRule.Action = FilterRuleActionEnum.Add;
iRule.SequenceItemName = firstSeqName;
request.FilterRules[nrFilter] = iRule; nrFilter += 1;
}
// Company Filter
if (companyName != "All")
{
CompaniesFilterRule companiesFilter = new CompaniesFilterRule();
CompanyFilterRule[] cGroup = new CompanyFilterRule[1]; // @@@ extend >1 later (possible?)
CompanyFilterRule cRule = new CompanyFilterRule();
cRule.Action = FilterRuleActionEnum.Add;
cRule.CompanyName = companyName;
cGroup[0] = cRule;
companiesFilter.CompanyRules = cGroup;
request.FilterRules[nrFilter] = companiesFilter; nrFilter += 1;
}
// Broker Filter
BrokersFilterRule brokersFilter= new BrokersFilterRule();
BrokerFilterRule[] bGroup;
BrokerFilterRule bRule;
if (brokerName == "All")
{
//char[] firstLetters = "SPI".ToCharArray();
//bGroup = new BrokerFilterRule[firstLetters.Length];
//for (int i = 0; i < firstLetters.Length; i++)
//{
// bRule = new BrokerFilterRule();
// bRule.Action = FilterRuleActionEnum.Add;
// bRule.CombineBrokers = true;
// bRule.BrokerName = firstLetters[i].ToString();
// bGroup[i] = bRule;
//}
bGroup = new BrokerFilterRule[1];
bRule = new BrokerFilterRule();
bRule.Action = FilterRuleActionEnum.Add;
bRule.CombineBrokers = true;
bRule.BrokerName = "";
bGroup[0] = bRule;
}
else
{
bGroup = new BrokerFilterRule[1];
bRule = new BrokerFilterRule();
bRule.Action = FilterRuleActionEnum.Add;
bRule.CombineBrokers = true;
bRule.BrokerName = brokerName;
bGroup[0] = bRule;
}
brokersFilter.BrokerRules = bGroup;
request.FilterRules[nrFilter] = brokersFilter; nrFilter += 1;
DealsServiceSoapClient api = new DealsServiceSoapClient();
MarketDataResponse response = api.GetDeals(request);
Debugger.AddDebugLine("Query executed.");
// convert data into our structure
Deal[] deals = response.Deals.Deals;
GV8APIDATA data = new GV8APIDATA();
data.TRADE = new TradeData[deals.Length];
for(int i = 0; i < deals.Length; i++)
{
TradeData tpDeal = new TradeData();
TrayportDeal srcDeal = (TrayportDeal)deals[i];
tpDeal.TradeID = srcDeal.DealId;
tpDeal.DateTime = srcDeal.DealDate; tpDeal._DateTime = tpDeal.DateTime.ToString("s", System.Globalization.CultureInfo.InvariantCulture);
tpDeal.Price = srcDeal.Price;
tpDeal.Volume = srcDeal.Quantity;
tpDeal.INSTSPECIFIER = new InstspecifierData();
tpDeal.INSTSPECIFIER.InstID = srcDeal.InstrumentId;
tpDeal.INSTSPECIFIER.InstName = srcDeal.InstrumentName;
tpDeal.INSTSPECIFIER.FirstSequenceID = srcDeal.FirstSequenceId;
tpDeal.INSTSPECIFIER.FirstSequenceItemName = srcDeal.FirstSequenceItemName;
tpDeal.INSTSPECIFIER.SecondSequenceItemName = srcDeal.SecondSequenceItemName;
tpDeal.InitiatorCompany = srcDeal.InitiatorCompany; //@@@ name or ID? check
tpDeal.InitiatorBroker = srcDeal.InitiatorBroker; // @@@
tpDeal.InitiatorTrader= srcDeal.InitiatorTrader; // @@@
tpDeal.InitiatorAction = srcDeal.InitiatorAction; // @@@
tpDeal.AggressorCompany = srcDeal.AggressorCompany; //@@@
tpDeal.AggressorBroker = srcDeal.AggressorBroker; // @@@
tpDeal.AggressorTrader = srcDeal.AggressorTrader; // @@@
tpDeal.AggressorAction = srcDeal.AggressorAction; // @@@
tpDeal.LastUpdate = srcDeal.LastUpdate; tpDeal._LastUpdate = tpDeal.LastUpdate.ToString("s", System.Globalization.CultureInfo.InvariantCulture);
tpDeal.InitiatorUser = srcDeal.InitiatorUser; //@@@
tpDeal.AggressorUser = srcDeal.AggressorUser; //@@@
tpDeal.ManualDeal = srcDeal.ManualDeal.HasValue? srcDeal.ManualDeal.Value : false;
tpDeal._ManualDeal = srcDeal.ManualDeal.HasValue ? srcDeal.ManualDeal.Value.ToString() : null;
tpDeal.VoiceDeal = srcDeal.VoiceDeal.HasValue ? srcDeal.VoiceDeal.Value : false;
tpDeal._VoiceDeal = srcDeal.VoiceDeal.HasValue ? srcDeal.VoiceDeal.Value.ToString() : null;
tpDeal.InitSleeve = srcDeal.InitSleeve.HasValue ? srcDeal.InitSleeve.Value : false;
tpDeal._InitSleeve = srcDeal.InitSleeve.HasValue ? srcDeal.InitSleeve.Value.ToString() : null;
tpDeal.AggSleeve = srcDeal.AggSleeve.HasValue ? srcDeal.AggSleeve.Value : false;
tpDeal._AggSleeve = srcDeal.AggSleeve.HasValue ? srcDeal.AggSleeve.Value.ToString() : null;
tpDeal.PNC = srcDeal.PNC.HasValue ? srcDeal.PNC.Value : false;
tpDeal._PNC = srcDeal.PNC.HasValue ? srcDeal.PNC.Value.ToString() : null;
/* 3 more I cannot find in the normal TP responses for current trades:
* tpDeal.INSTSPECIFIER.e = srcDeal.ExchangeDealId.HasValue ? srcDeal.ExchangeDealId.Value : 0;
* private string sCoTAOriginField;
* private string sCoTADeliveryPointField;
*/
data.TRADE[i] = tpDeal;
}
Adaptor.HistTrades = data;
string name = "HistTrades";
Trayport_API.XmlHandler.Save2Data(XmlHandler.SerializeToXml(request).OuterXml, name + ".query");
// @@@skip writing? excessive ....
//Trayport_API.XmlHandler.Save2Data(XmlHandler.SerializeToXml(data).OuterXml, name + ".data");
}
/// <summary>
/// Removes the specified symbols to the subscription
/// </summary>
/// <param name="job">Job we're processing.</param>
/// <param name="symbols">The symbols to be removed keyed by SecurityType</param>
public void Unsubscribe(LiveNodePacket job, IEnumerable<Symbol> symbols)
{
var symbolsToUnsubscribe = (from symbol in symbols
where _subscribedSymbols.Contains(symbol)
select symbol).ToList();
if (symbolsToUnsubscribe.Count == 0)
return;
Log.Trace("FxcmBrokerage.Unsubscribe(): {0}", string.Join(",", symbolsToUnsubscribe));
var request = new MarketDataRequest();
foreach (var symbol in symbolsToUnsubscribe)
{
request.addRelatedSymbol(_fxcmInstruments[_symbolMapper.GetBrokerageSymbol(symbol)]);
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.UNSUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
lock (_locker)
{
_gateway.sendMessage(request);
}
foreach (var symbol in symbolsToUnsubscribe)
{
_subscribedSymbols.Remove(symbol);
}
}
public void Run()
{
_gateway = GatewayFactory.createGateway();
// register the generic message listener with the gateway
_gateway.registerGenericMessageListener(this);
// register the status message listener with the gateway
_gateway.registerStatusMessageListener(this);
// attempt to login with the local login properties
Console.WriteLine("Logging in...");
var loginProperties = new FXCMLoginProperties(UserName, Password, Terminal, Server);
// disable the streaming rates (default automatic subscriptions)
loginProperties.addProperty(IConnectionManager.__Fields.MSG_FLAGS, IFixDefs.__Fields.CHANNEL_MARKET_DATA.ToString());
_gateway.login(loginProperties);
Console.WriteLine("Logged in.\n");
// get instrument list
Console.WriteLine("Requesting trading session status...");
lock (_locker)
{
_currentRequest = _gateway.requestTradingSessionStatus();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestTradingSessionStatusEvent.WaitOne();
Console.WriteLine("Instruments: {0}\n", _securities.Count);
foreach (var pair in _securities)
{
var security = pair.Value;
Console.WriteLine(security.getSymbol() + " " +
security.getCurrency() + " " +
security.getFXCMSubscriptionStatus() + " " +
security.getRoundLot() + " " +
security.getContractMultiplier() + " " +
security.getFXCMMinQuantity() + " " +
security.getFXCMMaxQuantity() + " " +
security.getFXCMSymPointSize() + " " +
security.getFactor() + " " +
security.getFXCMSymPrecision() + " " +
security.getProduct() + " " +
security.getFXCMProductID() + " " +
(security.getFXCMProductID() == IFixValueDefs.__Fields.FXCMPRODUCTID_FOREX ? "Forex" : "CFD"));
}
Console.WriteLine();
// get account list
Console.WriteLine("Requesting account list...");
lock (_locker)
{
_currentRequest = _gateway.requestAccounts();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestAccountListEvent.WaitOne();
Console.WriteLine("Accounts: {0}\n", _accounts.Count);
// use first account
var accountId = _accounts.Keys.First();
// we are unable to continue if Hedging enabled
if (_accounts[accountId].getParties().getFXCMPositionMaintenance() != "N")
throw new NotSupportedException("The Lean engine does not support accounts with Hedging enabled. Please contact FXCM support to disable Hedging and try again.");
// get open order list
Console.WriteLine("Requesting open order list...");
lock (_locker)
{
_currentRequest = _gateway.requestOpenOrders();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Open orders: {0}\n", _orders.Keys.Count);
// cancel all open orders
if (_orders.Keys.Count > 0)
{
Console.WriteLine("Cancelling open orders...");
foreach (var order in _orders.Values.ToList())
{
Console.WriteLine("Cancelling order {0}...", order.getOrderID());
var request = MessageGenerator.generateOrderCancelRequest("", order.getOrderID(), order.getSide(), order.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(request);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Order {0} cancelled.", order.getOrderID());
}
_orders.Clear();
Console.WriteLine("Open orders cancelled.\n");
}
// get open position list
Console.WriteLine("Requesting open position list...");
lock (_locker)
{
_currentRequest = _gateway.requestOpenPositions();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestPositionListEvent.WaitOne();
Console.WriteLine("Open position list complete.\n");
// get closed position list
Console.WriteLine("Requesting closed position list...");
lock (_currentRequest)
{
_currentRequest = _gateway.requestClosedPositions();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestPositionListEvent.WaitOne();
Console.WriteLine("Closed position list complete.\n");
// get current quotes for the instrument
if (_securities.ContainsKey(Symbol))
{
Console.WriteLine("Requesting market data for " + Symbol + "...");
var request = new MarketDataRequest();
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
request.addRelatedSymbol(_securities[Symbol]);
lock (_locker)
{
_currentRequest = _gateway.sendMessage(request);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestMarketDataEvent.WaitOne();
Console.WriteLine(Symbol + " - Bid: {0} Ask: {1}\n", _rates[Symbol].getBidClose(), _rates[Symbol].getAskClose());
}
// submit limit order
Console.WriteLine("Submitting limit order...");
var limitOrderRequest = MessageGenerator.generateOpenOrder(0.7, accountId, 10000, SideFactory.BUY, Symbol, "");
limitOrderRequest.setOrdType(OrdTypeFactory.LIMIT);
limitOrderRequest.setTimeInForce(TimeInForceFactory.GOOD_TILL_CANCEL);
lock (_locker)
{
_currentRequest = _gateway.sendMessage(limitOrderRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Limit order submitted.\n");
var limitOrder = _orderRequests[_currentRequest];
// update limit order
Console.WriteLine("Updating limit order...");
var orderReplaceRequest = MessageGenerator.generateOrderReplaceRequest("", limitOrder.getOrderID(), limitOrder.getSide(), limitOrder.getOrdType(), 0.8, limitOrder.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(orderReplaceRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Limit order updated.\n");
// cancel limit order
Console.WriteLine("Cancelling limit order...");
var orderCancelRequest = MessageGenerator.generateOrderCancelRequest("", limitOrder.getOrderID(), limitOrder.getSide(), limitOrder.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(orderCancelRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Limit order cancelled.\n");
// submit stop market order
Console.WriteLine("Submitting stop market order...");
var stopMarketOrderRequest = MessageGenerator.generateOpenOrder(0.7, accountId, 10000, SideFactory.SELL, Symbol, "");
stopMarketOrderRequest.setOrdType(OrdTypeFactory.STOP);
stopMarketOrderRequest.setTimeInForce(TimeInForceFactory.GOOD_TILL_CANCEL);
lock (_locker)
{
_currentRequest = _gateway.sendMessage(stopMarketOrderRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Stop market order submitted.\n");
var stopMarketOrder = _orderRequests[_currentRequest];
// cancel stop market order
Console.WriteLine("Cancelling stop market order...");
orderCancelRequest = MessageGenerator.generateOrderCancelRequest("", stopMarketOrder.getOrderID(), stopMarketOrder.getSide(), stopMarketOrder.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(orderCancelRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Stop market order cancelled.\n");
// submit stop limit order
Console.WriteLine("Submitting stop limit order...");
var stopLimitOrderRequest = MessageGenerator.generateOpenOrder(0.7, accountId, 10000, SideFactory.SELL, Symbol, "");
stopLimitOrderRequest.setOrdType(OrdTypeFactory.STOP_LIMIT);
stopLimitOrderRequest.setStopPx(0.695);
stopLimitOrderRequest.setTimeInForce(TimeInForceFactory.GOOD_TILL_CANCEL);
lock (_locker)
{
_currentRequest = _gateway.sendMessage(stopLimitOrderRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Stop limit order submitted.\n");
var stopLimitOrder = _orderRequests[_currentRequest];
// cancel stop limit order
Console.WriteLine("Cancelling stop limit order...");
orderCancelRequest = MessageGenerator.generateOrderCancelRequest("", stopLimitOrder.getOrderID(), stopLimitOrder.getSide(), stopLimitOrder.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(orderCancelRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Stop limit order cancelled.\n");
// submit market order (buy)
Console.WriteLine("Submitting buy market order...");
var buyOrder = MessageGenerator.generateMarketOrder(accountId, 10000, SideFactory.BUY, Symbol, "");
lock (_locker)
{
_currentRequest = _gateway.sendMessage(buyOrder);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Buy market order submitted.\n");
// submit market order (sell)
Console.WriteLine("Submitting sell market order...");
var sellOrder = MessageGenerator.generateMarketOrder(accountId, 10000, SideFactory.SELL, Symbol, "");
lock (_locker)
{
_currentRequest = _gateway.sendMessage(sellOrder);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Sell market order submitted.\n");
Console.WriteLine();
Console.WriteLine("Press Return to Logout and exit.\n");
Console.ReadKey();
// log out
Console.WriteLine("Logging out...");
_gateway.logout();
Console.WriteLine("Logged out.");
// remove the generic message listener, stop listening to updates
_gateway.removeGenericMessageListener(this);
// remove the status message listener, stop listening to status changes
_gateway.removeStatusMessageListener(this);
}
public MarketDataRequest unsubscribeIncrementalRequest(string symbol)
{
MarketDataRequest tickerRequest = new MarketDataRequest();
MarketDataRequest.NoRelatedSymGroup symbolGroup = new MarketDataRequest.NoRelatedSymGroup();
symbolGroup.SetField(new Symbol(symbol));
tickerRequest.AddGroup(symbolGroup);
tickerRequest.Set(new MDReqID("123"));
tickerRequest.Set(new SubscriptionRequestType('2'));
tickerRequest.Set(new MarketDepth(0));
addMDType(tickerRequest, '0');
addMDType(tickerRequest, '1');
addMDType(tickerRequest, '2');
addMDType(tickerRequest, '3');
addMDType(tickerRequest, '4');
addMDType(tickerRequest, '5');
addMDType(tickerRequest, '6');
addMDType(tickerRequest, '7');
addMDType(tickerRequest, '8');
addMDType(tickerRequest, '9');
addMDType(tickerRequest, 'A');
addMDType(tickerRequest, 'B');
addMDType(tickerRequest, 'C');
return tickerRequest;
}
public virtual void Send(FIXMarketDataRequest Request)
{
Console.WriteLine(BeAEwTZGlZaeOmY5cm.J00weU3cM6(992));
MarketDataRequest marketDataRequest = new MarketDataRequest(new MDReqID(Request.MDReqID), new SubscriptionRequestType(Request.SubscriptionRequestType), new MarketDepth(Request.MarketDepth));
if (Request.ContainsField(265))
marketDataRequest.set(new MDUpdateType(Request.MDUpdateType));
MarketDataRequest.NoMDEntryTypes noMdEntryTypes = new MarketDataRequest.NoMDEntryTypes();
for (int i = 0; i < Request.NoMDEntryTypes; ++i)
{
noMdEntryTypes.set(new MDEntryType(Request.GetMDEntryTypesGroup(i).MDEntryType));
marketDataRequest.addGroup((Group)noMdEntryTypes);
}
noMdEntryTypes.Dispose();
MarketDataRequest.NoRelatedSym noRelatedSym = new MarketDataRequest.NoRelatedSym();
for (int i = 0; i < Request.NoRelatedSym; ++i)
{
FIXRelatedSymGroup relatedSymGroup = Request.GetRelatedSymGroup(i);
noRelatedSym.set(new Symbol(relatedSymGroup.Symbol));
if (relatedSymGroup.ContainsField(65))
noRelatedSym.set(new SymbolSfx(relatedSymGroup.SymbolSfx));
if (relatedSymGroup.ContainsField(48))
noRelatedSym.set(new SecurityID(relatedSymGroup.SecurityID));
if (relatedSymGroup.ContainsField(22))
noRelatedSym.set(new IDSource(relatedSymGroup.SecurityIDSource));
if (relatedSymGroup.ContainsField(167))
noRelatedSym.set(new QuickFix.SecurityType(relatedSymGroup.SecurityType));
if (relatedSymGroup.ContainsField(200))
noRelatedSym.set(new MaturityMonthYear(relatedSymGroup.MaturityMonthYear));
if (relatedSymGroup.ContainsField(202))
noRelatedSym.set(new StrikePrice(relatedSymGroup.StrikePrice));
if (relatedSymGroup.ContainsField(206))
noRelatedSym.set(new OptAttribute(relatedSymGroup.OptAttribute));
if (relatedSymGroup.ContainsField(231))
noRelatedSym.set(new ContractMultiplier(relatedSymGroup.ContractMultiplier));
if (relatedSymGroup.ContainsField(223))
noRelatedSym.set(new CouponRate(relatedSymGroup.CouponRate));
if (relatedSymGroup.ContainsField(207))
noRelatedSym.set(new SecurityExchange(relatedSymGroup.SecurityExchange));
if (relatedSymGroup.ContainsField(106))
noRelatedSym.set(new Issuer(relatedSymGroup.Issuer));
if (relatedSymGroup.ContainsField(348))
noRelatedSym.set(new EncodedIssuerLen(relatedSymGroup.EncodedIssuerLen));
if (relatedSymGroup.ContainsField(349))
noRelatedSym.set(new EncodedIssuer(relatedSymGroup.EncodedIssuer));
if (relatedSymGroup.ContainsField(107))
noRelatedSym.set(new SecurityDesc(relatedSymGroup.SecurityDesc));
if (relatedSymGroup.ContainsField(350))
noRelatedSym.set(new EncodedSecurityDescLen(relatedSymGroup.EncodedSecurityDescLen));
if (relatedSymGroup.ContainsField(351))
noRelatedSym.set(new EncodedSecurityDesc(relatedSymGroup.EncodedSecurityDesc));
marketDataRequest.addGroup((Group)noRelatedSym);
}
noRelatedSym.Dispose();
try
{
Session.sendToTarget((QuickFix.Message)marketDataRequest, this.fSessionID);
}
catch (Exception ex)
{
Console.WriteLine(BeAEwTZGlZaeOmY5cm.J00weU3cM6(1096) + ex.Message);
}
}
/// <summary>
/// TradingSessionStatus message handler
/// </summary>
private void OnTradingSessionStatus(TradingSessionStatus message)
{
if (message.getRequestID() == _currentRequest)
{
// load instrument list into a dictionary
var securities = message.getSecurities();
while (securities.hasMoreElements())
{
var security = (TradingSecurity)securities.nextElement();
_fxcmInstruments[security.getSymbol()] = security;
}
// create map from QuantConnect symbols to FXCM symbols
foreach (var fxcmSymbol in _fxcmInstruments.Keys)
{
var symbol = ConvertFxcmSymbolToSymbol(fxcmSymbol);
_mapInstrumentSymbols[symbol] = fxcmSymbol;
}
// get account base currency
_fxcmAccountCurrency = message.getParameter("BASE_CRNCY").getValue();
_mapRequestsToAutoResetEvents[_currentRequest].Set();
_mapRequestsToAutoResetEvents.Remove(_currentRequest);
// unsubscribe all instruments
var request = new MarketDataRequest();
foreach (var fxcmSymbol in _fxcmInstruments.Keys)
{
request.addRelatedSymbol(_fxcmInstruments[fxcmSymbol]);
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.UNSUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
_gateway.sendMessage(request);
}
}
/// <summary>
/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
/// </summary>
/// <param name="symbol">Symbol for the data we're looking for.</param>
/// <param name="resolution">Resolution of the data request</param>
/// <param name="startUtc">Start time of the data in UTC</param>
/// <param name="endUtc">End time of the data in UTC</param>
/// <returns>Enumerable of base data for this symbol</returns>
public IEnumerable<BaseData> Get(Symbol symbol, Resolution resolution, DateTime startUtc, DateTime endUtc)
{
if (!_symbolMapper.IsKnownLeanSymbol(symbol))
throw new ArgumentException("Invalid symbol requested: " + symbol.Value);
if (symbol.ID.SecurityType != SecurityType.Forex && symbol.ID.SecurityType != SecurityType.Cfd)
throw new NotSupportedException("SecurityType not available: " + symbol.ID.SecurityType);
if (endUtc <= startUtc)
throw new ArgumentException("The end date must be greater than the start date.");
Console.WriteLine("Logging in...");
// create the gateway
_gateway = GatewayFactory.createGateway();
// register the message listeners with the gateway
_gateway.registerGenericMessageListener(this);
_gateway.registerStatusMessageListener(this);
// create local login properties
var loginProperties = new FXCMLoginProperties(_userName, _password, _terminal, _server);
// log in
_gateway.login(loginProperties);
// initialize session
RequestTradingSessionStatus();
Console.WriteLine("Downloading {0} data from {1} to {2}...", resolution, startUtc.ToString("yyyyMMdd HH:mm:ss"), endUtc.ToString("yyyyMMdd HH:mm:ss"));
// Find best FXCM parameters
var interval = FxcmBrokerage.ToFxcmInterval(resolution);
var totalTicks = (endUtc - startUtc).Ticks;
// download data
var totalBaseData = new List<BaseData>();
var end = endUtc;
do //
{
//show progress
progressBar(Math.Abs((end - endUtc).Ticks), totalTicks, Console.WindowWidth / 2,'█');
_currentBaseData.Clear();
var mdr = new MarketDataRequest();
mdr.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
mdr.setResponseFormat(IFixMsgTypeDefs.__Fields.MSGTYPE_FXCMRESPONSE);
mdr.setFXCMTimingInterval(interval);
mdr.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
mdr.setFXCMStartDate(new UTCDate(FxcmBrokerage.ToJavaDateUtc(startUtc)));
mdr.setFXCMStartTime(new UTCTimeOnly(FxcmBrokerage.ToJavaDateUtc(startUtc)));
mdr.setFXCMEndDate(new UTCDate(FxcmBrokerage.ToJavaDateUtc(end)));
mdr.setFXCMEndTime(new UTCTimeOnly(FxcmBrokerage.ToJavaDateUtc(end)));
mdr.addRelatedSymbol(_fxcmInstruments[_symbolMapper.GetBrokerageSymbol(symbol)]);
AutoResetEvent autoResetEvent;
lock (_locker)
{
_currentRequest = _gateway.sendMessage(mdr);
autoResetEvent = new AutoResetEvent(false);
_mapRequestsToAutoResetEvents[_currentRequest] = autoResetEvent;
}
if (!autoResetEvent.WaitOne(1000 * 5))
{
// no response, exit
break;
}
// Add data
totalBaseData.InsertRange(0, _currentBaseData.Where(x => x.Time.Date >= startUtc.Date));
if (end != _currentBaseData[0].Time)
{
// new end date = first datapoint date.
end = _currentBaseData[0].Time;
}
else
{
break;
}
} while (end > startUtc);
Console.WriteLine("\nLogging out...");
// log out
_gateway.logout();
// remove the message listeners
_gateway.removeGenericMessageListener(this);
_gateway.removeStatusMessageListener(this);
return totalBaseData.ToList();
}
/// <summary>
/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
/// </summary>
/// <param name="symbol">Symbol for the data we're looking for.</param>
/// <param name="resolution">Resolution of the data request</param>
/// <param name="startUtc">Start time of the data in UTC</param>
/// <param name="endUtc">End time of the data in UTC</param>
/// <returns>Enumerable of base data for this symbol</returns>
public IEnumerable<BaseData> Get(Symbol symbol, Resolution resolution, DateTime startUtc, DateTime endUtc)
{
if (!_symbolMapper.IsKnownLeanSymbol(symbol))
throw new ArgumentException("Invalid symbol requested: " + symbol.Value);
if (resolution == Resolution.Tick)
throw new NotSupportedException("Resolution not available: " + resolution);
if (symbol.ID.SecurityType != SecurityType.Forex && symbol.ID.SecurityType != SecurityType.Cfd)
throw new NotSupportedException("SecurityType not available: " + symbol.ID.SecurityType);
if (endUtc < startUtc)
throw new ArgumentException("The end date must be greater or equal than the start date.");
Console.WriteLine("Logging in...");
// create the gateway
_gateway = GatewayFactory.createGateway();
// register the message listeners with the gateway
_gateway.registerGenericMessageListener(this);
_gateway.registerStatusMessageListener(this);
// create local login properties
var loginProperties = new FXCMLoginProperties(_userName, _password, _terminal, _server);
// log in
_gateway.login(loginProperties);
// initialize session
RequestTradingSessionStatus();
Console.WriteLine("Downloading data from {0} to {1}...", startUtc.ToShortDateString(), endUtc.ToShortDateString());
// download bars
var totalBars = new List<TradeBar>();
// calculate the maximum time span for one request (using 10-second bars)
const int maxBarsPerRequest = 300;
var timeSpanPerRequest = TimeSpan.FromSeconds(maxBarsPerRequest * 10);
var start = startUtc;
var end = startUtc + timeSpanPerRequest;
// request loop
while (start < endUtc.AddDays(1))
{
_currentBars.Clear();
var mdr = new MarketDataRequest();
mdr.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
mdr.setResponseFormat(IFixMsgTypeDefs.__Fields.MSGTYPE_FXCMRESPONSE);
mdr.setFXCMTimingInterval(FXCMTimingIntervalFactory.SEC10);
mdr.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
mdr.setFXCMStartDate(new UTCDate(ToJavaDateUtc(start)));
mdr.setFXCMStartTime(new UTCTimeOnly(ToJavaDateUtc(start)));
mdr.setFXCMEndDate(new UTCDate(ToJavaDateUtc(end)));
mdr.setFXCMEndTime(new UTCTimeOnly(ToJavaDateUtc(end)));
mdr.addRelatedSymbol(_fxcmInstruments[_symbolMapper.GetBrokerageSymbol(symbol)]);
AutoResetEvent autoResetEvent;
lock (_locker)
{
_currentRequest = _gateway.sendMessage(mdr);
autoResetEvent = new AutoResetEvent(false);
_mapRequestsToAutoResetEvents[_currentRequest] = autoResetEvent;
}
if (!autoResetEvent.WaitOne(1000))
{
// no response, continue loop
start = end.AddSeconds(10);
// if saturday, fast-forward to sunday
if (start.DayOfWeek == DayOfWeek.Saturday) start = start.AddDays(1);
end = start + timeSpanPerRequest;
continue;
}
var lastBarTime = _currentBars[_currentBars.Count - 1].Time;
if (lastBarTime < start)
{
// no more data available, exit loop
break;
}
// add bars received
totalBars.AddRange(_currentBars.Where(x => x.Time.Date <= endUtc.Date));
// calculate time span for next request
start = lastBarTime.AddSeconds(10);
end = start + timeSpanPerRequest;
if (start >= DateTime.UtcNow)
{
// data in the future not available, exit loop
break;
}
}
Console.WriteLine("Logging out...");
// log out
_gateway.logout();
// remove the message listeners
_gateway.removeGenericMessageListener(this);
_gateway.removeStatusMessageListener(this);
switch (resolution)
{
case Resolution.Second:
foreach (var bar in totalBars)
yield return bar;
break;
case Resolution.Minute:
case Resolution.Hour:
case Resolution.Daily:
foreach (var bar in AggregateBars(symbol, totalBars, resolution.ToTimeSpan()))
yield return bar;
break;
}
}
private static void addMDType(MarketDataRequest tickerRequest, char type)
{
MarketDataRequest.NoMDEntryTypesGroup g0 = new MarketDataRequest.NoMDEntryTypesGroup();
g0.Set(new MDEntryType(type));
tickerRequest.AddGroup(g0);
}