}//TryChangeOrderPriceAndQty()
//
// *********************************************
// **** Try Process Order Update Request() ****
// *********************************************
//
/// <summary>
/// Called by an external thread to process an update request for one
/// of our orders.
/// </summary>
/// <param name="orderUpdateReq"></param>
/// <returns></returns>
public virtual bool TryProcessOrderUpdateRequest(EventArgs orderUpdateReq)
{
bool isSuccess = false;
if (orderUpdateReq is RequestEventArg <OrderRequestType> )
{
RequestEventArg <OrderRequestType> request = (RequestEventArg <OrderRequestType>)orderUpdateReq;
InstrumentName instrName = (InstrumentName)request.Data[0];
OrderInstrument orderInstr;
if (m_OrderInstruments.TryGetValue(instrName, out orderInstr))
{ // we found the order instrument
//orderInstr.ProcessRequest(request);
isSuccess = true;
}
else
{
Log.NewEntry(LogLevel.Warning, "TryProcessOrderUpdateRequest: Order Instrument for {0} not found", instrName);
}
if (request.Data.Count > 3 && request.Data[3] is Order) // this mean an order is attached to this request.
{
m_OrderRecycleFactory.Recycle((Order)request.Data[3]); // recycle it here prior to recycling the request
}
m_OrderRequests.Recycle(request); // recycle all requests
}
return(isSuccess);
}
}// HubEventHandler()
//
//
// *********************************************************************
// **** Process Write Now() ****
// *********************************************************************
/// <summary>
/// Force a write of the contents of the message queue to the output file now.
/// </summary>
private void ProcessFlushNow()
{
if (string.IsNullOrEmpty(this.FilePath) || m_WriteQueue.Count == 0)
{
return;
}
if (Log != null)
{
Log.NewEntry(LogLevel.Minor, "{0}.ProcessFlushNow: ", this.m_HubName);
}
try
{
using (System.IO.StreamWriter writer = new System.IO.StreamWriter(this.FilePath, true, Encoding.ASCII))
{
DropQueueWriterEventArgs e;
while (m_WriteQueue.TryDequeue(out e))
{
writer.WriteLine(e.Message);
m_Factory.Recycle(e);
}
writer.Close();
}//using StreamWriter
}
catch (Exception e)
{
if (Log != null)
{
Log.NewEntry(LogLevel.Error, "{0}: Exception writing to drop file. {1}", this.m_HubName, e.Message);
}
}
}// ProcessWriteNow().
//
//
#endregion//Constructors
#region no Properties
// *****************************************************************
// **** Properties ****
// *****************************************************************
//
//
#endregion//Properties
#region Public Methods
// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
//
//
// *************************************************
// **** SendMessage() ****
// *************************************************
/// <summary>
/// Simple method to send a Message to a specific ServiceManager
/// on a specific socket conversation.
/// </summary>
/// <param name="conversationId">Conversation to send message on, -1 means all conversations.</param>
/// <param name="msg"></param>
/// <returns></returns>
public bool SendMessage(int conversationId, Message msg)
{
string s = string.Format("{0}\n", Stringifiable.Stringify(msg, null, false));
m_Messages.Recycle(msg);
if (conversationId >= 0)
{
return(m_Socket.Send(s, conversationId));
}
else
{
return(m_Socket.Send(s));
}
}
//
//
#endregion//Constructors
#region Hub Event Handler Overrides
// *****************************************************************
// **** Hub Event Handler ****
// *****************************************************************
//
//
//
//
// *******************************************************
// **** HubEvent Handler ****
// *******************************************************
protected override void HubEventHandler(EventArgs[] eventArgList)
{
foreach (EventArgs eventArg in eventArgList)
{
Type eArgType = eventArg.GetType();
if (eArgType == typeof(DataHubRequest))
{
DataHubRequest requestArg = (DataHubRequest)eventArg;
switch (requestArg.Request)
{
case RequestCode.ServiceStateChange:
// Process this!
break;
case RequestCode.Connect:
// Process this!
break;
case RequestCode.RequestProductsToRecord:
ProcessProductsToRecord(requestArg);
break;
default:
Log.NewEntry(LogLevel.Error, "HubEventHandler: DataHubRequest {0} not implemented", requestArg.ToString());
break;
}//switch(Request)
m_RequestFactory.Recycle(requestArg);
}
else if (eArgType == typeof(FoundServiceEventArg))
{
ProcessFoundResources((FoundServiceEventArg)eventArg);
}
else if (eArgType == typeof(DatabaseWriterEventArgs))
{
Log.NewEntry(LogLevel.Major, "Write Completed {0}", eArgType.ToString());
}
else if (eArgType == typeof(MarketStatusChangedEventArg))
{
ProcessMarketStatusChangedEvent((MarketStatusChangedEventArg)eventArg);
}
else if (eArgType == typeof(DatabaseWriterHub.WriteStatusEventArgs))
{
Log.NewEntry(LogLevel.Major, "Write Status {0}", eArgType.ToString());
}
else
{ // unknown event.
Log.NewEntry(LogLevel.Error, "Unknown event type {0}", eArgType.ToString());
}
}
}//end HubEvent
}// MarketInstrumentChanged()
//
//
//
//
// *****************************************************
// **** Process Synthetic Order() ****
// *****************************************************
/// <summary>
/// Process fills from Strategy to PricingEngines.
/// </summary>
/// <param name="syntheticOrder"></param>
/// <param name="newFills"></param>
/// <returns>True if update required</returns>
public virtual bool ProcessSyntheticOrder(SyntheticOrder syntheticOrder, List <Fill> newFills)
{
if (newFills == null || newFills.Count == 0)
{
return(false);
}
// Collect all fills into work spaces.
Log.BeginEntry(LogLevel.Major, "Quote.ProcessSynthOrder: {0} Fills=", ParentStrategy.Name);
w_NewFills[0].Clear();
w_NewFills[1].Clear();
foreach (Fill fill in newFills)
{
int tradeSide = QTMath.MktSignToMktSide(fill.Qty);
w_NewFills[tradeSide].Add(fill);
m_BuySellQty[tradeSide] += fill.Qty; // this records the raw fills as they come in.
Log.AppendEntry(" [{0}]", fill);
}
int[] position = new int[2]; // this will be updated during allocation of fills.
m_Position.CopyTo(position, 0);
Log.AppendEntry(". ");
// Prepare entry for database write.
DateTime localTime = ParentStrategy.StrategyHub.GetLocalTime();
UV.Lib.DatabaseReaderWriters.Queries.FillsQuery query = new Lib.DatabaseReaderWriters.Queries.FillsQuery();
// -----------------------------------------------------
// Pass: distribute fills to stops
// -----------------------------------------------------
for (int tradeSide = 0; tradeSide < 2; ++tradeSide)
{
int exitingSide = QTMath.MktSideToActiveMktSide(tradeSide);
if (w_NewFills[tradeSide].Count == 0 || m_FillQty[exitingSide].Count == 0)
{
continue;
}
List <Quote> exitList = m_QuoteListRecycling.Get(); // get empty list.
exitList.Clear();
foreach (KeyValuePair <PricingEngine, int> kv in m_FillQty[exitingSide])
{
Quote quote;
if (m_Quotes[tradeSide].TryGetValue(kv.Key, out quote) && quote.Reason == QuoteReason.Stop && quote.Qty != 0)
{
exitList.Add(quote);
}
}
if (exitList.Count > 0)
{
Log.AppendEntry(" Distribute to {0} stop quoters:", exitList.Count);
DistributeFillsToQuoters(ref w_NewFills[tradeSide], ref exitList, ref query, ref w_DistributedFills, ref position);
Log.AppendEntry(". ");
}
exitList.Clear();
m_QuoteListRecycling.Recycle(exitList);
}//next tradeSide
// -----------------------------------------------------
// Pass: distribute fills to quoters who want them.
// -----------------------------------------------------
for (int tradeSide = 0; tradeSide < 2; ++tradeSide)
{
if (w_NewFills[tradeSide].Count == 0)
{
continue;
}
int exitingSide = QTMath.MktSideToOtherSide(tradeSide);
int tradeSign = QTMath.MktSideToMktSign(tradeSide);
List <Quote> quotesToFill = m_QuoteListRecycling.Get(); // get empty lists for entry quotes.
Log.AppendEntry(" Distribute to working quoters");
List <int> iPriceKeys = new List <int>(m_QuotesByPrice[tradeSide].Keys);
int priceLevel = 0;
while (w_NewFills[tradeSide].Count > 0 && priceLevel < iPriceKeys.Count)
{
// On each interation, update our "pos" so we know the remaining qty.
int allowedEntryQty = tradeSign * Math.Max(0, m_MaxPosition - Math.Abs(position[tradeSide]));
// Load entry/exit quoters for this price level.
Log.AppendEntry(" lvl={0}/{1}:", priceLevel, iPriceKeys.Count);
quotesToFill.Clear();
List <Quote> quotes = null;
if (m_QuotesByPrice[tradeSide].TryGetValue(iPriceKeys[priceLevel], out quotes))
{
foreach (Quote quote in quotes)
{
if (quote.Qty != 0)
{
quotesToFill.Add(quote);
}
}
}
if (quotesToFill.Count > 0)
{
Log.AppendEntry(" Filling ({0}):", quotesToFill.Count);
DistributeFillsToQuoters(ref w_NewFills[tradeSide], ref quotesToFill, ref query, ref w_DistributedFills, ref position);
}
//
priceLevel++;
}// next price level
// Clean up.
quotesToFill.Clear();
m_QuoteListRecycling.Recycle(quotesToFill);
Log.AppendEntry(" Finished.");
if (w_NewFills[tradeSide].Count > 0)
{
Log.AppendEntry(" {0} fills remaining.", w_NewFills[tradeSide].Count);
}
else
{
Log.AppendEntry(" No fills remain.");
}
}//tradeSide
// -----------------------------------------------------
// Start emergency processing!
// -----------------------------------------------------
if (w_NewFills[0].Count > 0 || w_NewFills[1].Count > 0)
{
Log.AppendEntry(" Process unwanted fills!");
ProcessUnwantedFills(ref w_NewFills, ref w_DistributedFills);
}
Log.EndEntry(); // end logging for us now, before we call other methods.
// -----------------------------------------------------
// Distribute these fills now.
// -----------------------------------------------------
if (query != null && query.Count != 0)
{
ParentStrategy.StrategyHub.RequestDatabaseWrite(query); // submit all the queries
}
foreach (KeyValuePair <Quote, List <Fill> > kv in w_DistributedFills)
{
int fillQty = 0;
double fillPrice = 0;
foreach (Fill fill in kv.Value)
{
fillQty += fill.Qty;
fillPrice = fill.Price; // TODO: this should be ave fill price
}
int tradeSide = QTMath.MktSignToMktSide(fillQty);
int exitSide = QTMath.MktSideToOtherSide(tradeSide);
if (fillQty == 0)
{
continue;
}
// Update our position counting.
int openPos = 0;
if (m_FillQty[exitSide].TryGetValue(kv.Key.PricingEngine, out openPos))
{ // This is an exit (since this PricingEngine has open position on other side of mkt).
openPos += fillQty;
// Update real position table.
if (openPos * fillQty <= 0)
{
m_FillQty[exitSide].Remove(kv.Key.PricingEngine);// complete exit, possibly a side flip
}
if (openPos != 0)
{ // There is a new position (on other side of mkt).
int posSide = QTMath.MktSignToMktSide(openPos);
m_FillQty[posSide][kv.Key.PricingEngine] = openPos;
}
}
else
{ // This is an entry!
// Update real position table.
if (m_FillQty[tradeSide].ContainsKey(kv.Key.PricingEngine))
{
m_FillQty[tradeSide][kv.Key.PricingEngine] += fillQty; // add to this engines position.
}
else
{
m_FillQty[tradeSide].Add(kv.Key.PricingEngine, fillQty); // store this engines position.
}
}
// Trigger the pricing engine filled event!
foreach (Fill fill in kv.Value)
{
kv.Key.PricingEngine.Filled(fill);
}
}// next filled Quote.
// Update total sum
Log.BeginEntry(LogLevel.Major, "Quote.ProcessSynthOrder {0} Summary: ", ParentStrategy.Name);
for (int tradeSide = 0; tradeSide < 2; tradeSide++)
{
// Add up the current position.
int pos = 0;
foreach (KeyValuePair <PricingEngine, int> kv in m_FillQty[tradeSide])
{
pos += kv.Value;
}
m_Position[tradeSide] = pos;
// Write some logging.
Log.AppendEntry(" {0}-side:", QTMath.MktSideToLongString(tradeSide));
Log.AppendEntry(" Pos={0:+0;-0;0}", m_Position[tradeSide]);
foreach (KeyValuePair <PricingEngine, int> kv in m_FillQty[tradeSide])
{
Log.AppendEntry(" [{1:+0;-0;0} {0}]", kv.Key.EngineName, kv.Value);
}
Log.AppendEntry(" TotalQty={0}", m_BuySellQty[tradeSide]);
// Log undistributed fills too.
if (m_UndistributedFills[tradeSide].Count > 0)
{
Log.AppendEntry(" Undistributed {0}-fills:", QTMath.MktSideToLongString(tradeSide));
foreach (Fill fill in m_UndistributedFills[tradeSide])
{
Log.AppendEntry(" {0}", fill);
}
}
}// next tradeSide
Log.AppendEntry(" |MaxPos|={0}.", m_MaxPosition);
Log.EndEntry();
//
// Clean up work spaces
//
foreach (KeyValuePair <Quote, List <Fill> > kv in w_DistributedFills)
{
kv.Value.Clear();
m_FillListRecycling.Recycle(kv.Value);
}
w_DistributedFills.Clear(); // Quoters and their fills to distribute.
return(true);
}// ProcessSyntheticOrder()
