private static void ProcessSecurity(int securityId, int currencyId)
{
bool didDataChange = false;
try
{
// Lock the tables.
Debug.Assert(!ServerMarketData.IsLocked);
ServerMarketData.PriceLock.AcquireWriterLock(Timeout.Infinite);
ServerMarketData.SecurityLock.AcquireReaderLock(Timeout.Infinite);
// get the price row associated with this security
ServerMarketData.PriceRow priceRow = ServerMarketData.Price.FindBySecurityId(securityId);
// if the row does not exist add it
if (priceRow == null)
{
priceRow = ServerMarketData.Price.NewPriceRow();
//priceRow.RowVersion = ServerMarketData.RowVersion.Increment();
priceRow.SecurityId = securityId;
priceRow.CurrencyId = currencyId;
priceRow.LastPrice = 1.0M;
priceRow.AskPrice = 1.01M;
priceRow.BidPrice = 0.99M;
priceRow.Volume = 0.0M;
priceRow.VolumeWeightedAveragePrice = priceRow.LastPrice;
priceRow.HighPrice = priceRow.LastPrice;
priceRow.LowPrice = priceRow.LastPrice;
priceRow.OpenPrice = priceRow.LastPrice;
priceRow.ClosePrice = priceRow.LastPrice;
ServerMarketData.Price.AddPriceRow(priceRow);
openingPriceMap.Add(priceRow.SecurityId, priceRow.LastPrice);
}
// if we got a row then process it
if (priceRow != null)
{
// get the opening price
decimal openingPrice = priceRow.LastPrice;
if (openingPriceMap.Contains(securityId))
{
openingPrice = (decimal)openingPriceMap[securityId];
}
if (openingPrice == 0)
{
openingPrice = 10;
}
// if we do not already have a volume or approx every 50th(ish) time update the volume
if (priceRow.Volume <= 0 || (random.Next(50) == 0))
{
// if this security ID is not already in the volume table pick a randon volume divergrance (-50% to 50%)
// and add it to the table
double volumeDivergence = 0.0;
if (volumeDivergenceMap.Contains(securityId))
{
volumeDivergence = (double)volumeDivergenceMap[securityId];
}
else
{
volumeDivergence = (double)random.Next(-50, 50);
}
// increase or decrease by up to 1%
int divergenceChangePercent = random.Next(-100, 100);
// don't go over 50% up or down
volumeDivergence = Math.Max(-50.0, Math.Min(50.0, volumeDivergence + ((double)divergenceChangePercent / 100.0)));
// update the volume divergence table
volumeDivergenceMap[securityId] = volumeDivergence;
// get the estimated volume for this time of day
decimal projectVolume = ProjectedVolume(DateTime.Now, priceRow.SecurityRow.AverageDailyVolume);
// adjust it by the divergence we are using and update the price table
priceRow.Volume = (int)(projectVolume - (int)((double)projectVolume * (volumeDivergence / 100.0)));
didDataChange = true;
}
// base the frequency of price updates to the ADV of the security
int updateFrequency = 10;
if (priceRow.SecurityRow.AverageDailyVolume < 1000000) /* UNDER 1M about every 75 loops*/
{
updateFrequency = 75;
}
else
if (priceRow.SecurityRow.AverageDailyVolume < 5000000) /* 1M to 5M about every 30 loops */
{
updateFrequency = 30;
}
else
{
updateFrequency = 20; /* OVER 5M about every 20 loops*/
}
// about once every X loops update the price
if (random.Next(updateFrequency) == 0)
{
// the anount of change will be based on stock price
// < $10 == always 0.01 (plus or minus)
// $10 - 25 == 0.01 to 0.02 (plus or minus)
// $25 - 100 == 0.01 to 0.03 (plus or minus)
// > $100 == 0.01 to 0.05 (plus or minus)
double priceChange = 0;
if (priceRow.LastPrice < 10)
{
priceChange = 0.01 - ((double)random.Next(3) * 0.01);
}
else
if (priceRow.LastPrice < 25)
{
priceChange = 0.02 - ((double)random.Next(5) * 0.01);
}
else
if (priceRow.LastPrice < 100)
{
priceChange = 0.03 - ((double)random.Next(7) * 0.01);
}
else
{
priceChange = 0.05 - ((double)random.Next(11) * 0.01);
}
// change the last price
decimal newPrice = priceRow.LastPrice + (decimal)priceChange;
decimal lastChange = openingPrice - newPrice;
double lastChangepercent = ((double)(openingPrice - lastChange)) / (double)openingPrice;
// don't let it go over 20% change per day
if (Math.Abs(lastChangepercent) < 20)
{
priceRow.LastPrice = newPrice;
}
// set the spread to be 1 to 5 cents
int spreadInCents = random.Next(1, 5);
decimal spread = (decimal)spreadInCents / 100m;
// set the bid to be 0 to (spread - 1) cents below the price
priceRow.BidPrice = priceRow.LastPrice - ((decimal)random.Next(spreadInCents) / 100m);
// set the ask based on the spread
priceRow.AskPrice = priceRow.BidPrice + spread;
// set the bid ask size
priceRow.BidSize = random.Next(1, 999) * 100;
priceRow.AskSize = random.Next(1, 999) * 100;
// check to see if we are at a new high or low for the day
if (priceRow.LastPrice > priceRow.HighPrice)
{
priceRow.HighPrice = priceRow.LastPrice;
}
if (priceRow.LastPrice < priceRow.LowPrice)
{
priceRow.LowPrice = priceRow.LastPrice;
}
// set the VWAP to be the average of the open and last
// however don't let it be more than 5% from the last
decimal newVwap = (priceRow.LastPrice + priceRow.OpenPrice) / 2;
decimal fivePercentOfLast = priceRow.LastPrice * 0.05M;
priceRow.VolumeWeightedAveragePrice = Math.Max(Math.Min(newVwap, (priceRow.LastPrice + fivePercentOfLast)), (priceRow.LastPrice - fivePercentOfLast));
didDataChange = true;
}
}
// if something changeds update the data model
if (didDataChange)
{
priceRow.RowVersion = ServerMarketData.RowVersion.Increment();
priceRow.AcceptChanges();
}
}
catch (Exception exception)
{
// Write the error and stack trace out to the debug listener
MarkThree.EventLog.Error(String.Format("{0}, {1}", exception.Message, exception.StackTrace));
}
finally
{
// Release the global tables.
if (ServerMarketData.PriceLock.IsWriterLockHeld)
{
ServerMarketData.PriceLock.ReleaseWriterLock();
}
if (ServerMarketData.SecurityLock.IsReaderLockHeld)
{
ServerMarketData.SecurityLock.ReleaseReaderLock();
}
Debug.Assert(!ServerMarketData.IsLocked);
}
}
public static void OnUpdateSymbolDM(object wrapper, DMUpdateSymbolArgs args)
{
// StockInfo object holding the new symbol data for this update
StockInfo stockInfo = args.stockInfo;
try
{
// Lock the tables.
Debug.Assert(!ServerMarketData.IsLocked);
ServerMarketData.EquityLock.AcquireReaderLock(Timeout.Infinite);
ServerMarketData.PriceLock.AcquireWriterLock(Timeout.Infinite);
ServerMarketData.SecurityLock.AcquireReaderLock(Timeout.Infinite);
// make sure the symbol is in the hash table - and that we added it to the data manager
if (!symbolToSecurityIdTable.ContainsKey(stockInfo.Symbol))
{
throw new Exception("Received update for unknown symbol: " + stockInfo.Symbol);
}
// get the security id of the symbol
int securityID = (int)symbolToSecurityIdTable[stockInfo.Symbol];
// get the security row
ServerMarketData.SecurityRow securityRow = ServerMarketData.Security.FindBySecurityId(securityID);
if (securityRow == null)
{
throw new Exception("Warning: Could not find security row for symbol: " + stockInfo.Symbol);
}
//int equityId = Security.FindRequiredKey(configurationId, "equityId", externalEquityId);
// Only Equities are priced by this simulator. All others are ignored.
ServerMarketData.EquityRow equityRow = ServerMarketData.Equity.FindByEquityId(securityRow.SecurityId);
if (equityRow != null)
{
// Find a price that matches the equity's default settlement. This is the price record that will be updated
// with the simulated market conditions.
ServerMarketData.PriceRow priceRow = ServerMarketData.Price.FindBySecurityId(securityRow.SecurityId);
if (priceRow == null)
{
priceRow = ServerMarketData.Price.NewPriceRow();
//priceRow.RowVersion = ServerMarketData.RowVersion.Increment();
priceRow.SecurityId = equityRow.EquityId;
priceRow.CurrencyId = equityRow.SettlementId;
priceRow.LastPrice = 0.0M;
priceRow.AskPrice = 0.0M;
priceRow.BidPrice = 0.0M;
priceRow.Volume = 0.0M;
priceRow.ClosePrice = 0.0M;
priceRow.VolumeWeightedAveragePrice = 0.0M;
priceRow.HighPrice = 0.0M;
priceRow.LowPrice = 0.0M;
ServerMarketData.Price.AddPriceRow(priceRow);
}
// set the new values from the real time event into the price row
priceRow.BidSize = stockInfo.BidSize;
priceRow.BidPrice = Convert.ToDecimal(stockInfo.BidPrice);
priceRow.AskPrice = Convert.ToDecimal(stockInfo.AskPrice);
priceRow.AskSize = Convert.ToDecimal(stockInfo.AskSize);
priceRow.LastPrice = Convert.ToDecimal(stockInfo.LastPrice);
priceRow.LastSize = stockInfo.TradeVolume;
priceRow.Volume = Convert.ToDecimal(stockInfo.TotalVolume);
priceRow.VolumeWeightedAveragePrice = (Convert.ToDecimal(stockInfo.LastPrice) + Convert.ToDecimal(stockInfo.OpenPrice)) / 2;
priceRow.OpenPrice = Convert.ToDecimal(stockInfo.OpenPrice);
priceRow.LowPrice = Convert.ToDecimal(stockInfo.LowPrice);
priceRow.HighPrice = Convert.ToDecimal(stockInfo.HighPrice);
priceRow.ClosePrice = Convert.ToDecimal(stockInfo.PreviousPrice);
// increment the RowVersion so the client notices!!!
priceRow.RowVersion = ServerMarketData.RowVersion.Increment();
// commit the changes
priceRow.AcceptChanges();
}
}
catch (Exception exception)
{
String msg = String.Format("{0}, {1}", exception.Message, exception.StackTrace);
// Write the error and stack trace out to the debug listener
//Debug.WriteLine(msg);
MarkThree.EventLog.Warning(msg);
}
finally
{
// Release the global tables.
if (ServerMarketData.EquityLock.IsReaderLockHeld)
{
ServerMarketData.EquityLock.ReleaseReaderLock();
}
if (ServerMarketData.PriceLock.IsWriterLockHeld)
{
ServerMarketData.PriceLock.ReleaseWriterLock();
}
if (ServerMarketData.SecurityLock.IsReaderLockHeld)
{
ServerMarketData.SecurityLock.ReleaseReaderLock();
}
Debug.Assert(!ServerMarketData.IsLocked);
}
}