/// <summary>
/// Generates random Price movements.
/// </summary>
private static void ExecutionThread(params object[] argument)
{
// Extract the thread arguments. The simulator will execute orders placed with this broker.
int brokerId = (int)argument[0];
// Continually execute trades from the local order book when they exist.
while (true)
{
// Wait until there is something in the order book to execute.
Broker.orderBookEvent.WaitOne();
// These parameters are used to create the filled execution.
int blockOrderId = 0;
decimal quantity = 0.0M;
decimal price = 0.0M;
DateTime tradeDate = DateTime.MinValue;
DateTime settlementDate = DateTime.MinValue;
// This will insure that we survive any single error on a random execution.
try
{
// Lock the Order Book.
Broker.orderBookLock.AcquireWriterLock(CommonTimeout.LockWait);
// Lock the tables.
Debug.Assert(!ServerMarketData.AreLocksHeld);
ServerMarketData.DebtLock.AcquireReaderLock(Timeout.Infinite);
ServerMarketData.ExecutionLock.AcquireWriterLock(Timeout.Infinite);
ServerMarketData.EquityLock.AcquireReaderLock(Timeout.Infinite);
ServerMarketData.HolidayLock.AcquireReaderLock(Timeout.Infinite);
ServerMarketData.PriceLock.AcquireReaderLock(Timeout.Infinite);
ServerMarketData.SecurityLock.AcquireReaderLock(Timeout.Infinite);
// Now that the tables are locked, the trade and settlement dates can be calcualted.
tradeDate = Trading.TradeDate(0, 0, DateTime.Now);
settlementDate = Trading.SettlementDate(0, 0, tradeDate);
// Pick a random order to fill.
if (Broker.orderBook.Order.Rows.Count > 0)
{
int orderIndex = Random.Next(0, Broker.orderBook.Order.Rows.Count);
OrderBook.OrderRow orderRow = Broker.orderBook.Order[orderIndex];
blockOrderId = orderRow.BlockOrderId;
// Find the security associated with this placement.
ServerMarketData.SecurityRow securityRow = ServerMarketData.Security.FindBySecurityId(orderRow.SecurityId);
if (securityRow == null)
{
continue;
}
// A settlement Price is required to find the Price of a security. For many issues, the default can
// be found from the defaults. If a settlement currency isn't available, this issue can't be executed.
object settlementId = null;
foreach (ServerMarketData.DebtRow debtsRow in securityRow.GetDebtRowsByFKSecurityDebtDebtId())
{
settlementId = debtsRow.SettlementId;
}
foreach (ServerMarketData.EquityRow equityRow in securityRow.GetEquityRowsByFKSecurityEquityEquityId())
{
settlementId = equityRow.SettlementId;
}
if (settlementId == null)
{
continue;
}
// Simulate an executed quantity for this order.
decimal quantityLeaves = orderRow.QuantityOrdered - orderRow.QuantityExecuted;
if (quantityLeaves >= 100.0M)
{
quantity = Random.Next(100, Convert.ToInt32((quantityLeaves > maxExecution) ? maxExecution : quantityLeaves));
quantity = Math.Round(quantity / 100.0M) * 100.0M;
}
// When the quantity is zero, the order has been filled and can be removed from the local order book. When
// the book is empty, then this thread can be paused until a new order is generated from a new placement.
// In either event, when there are no shares in the order book, there can be no executions. When there's
// nothing to execute, delete the order and go look for another order to fill.
if (quantity == 0.0M)
{
orderRow.Delete();
orderRow.AcceptChanges();
if (orderBook.Order.Rows.Count == 0)
{
Broker.orderBookEvent.Reset();
}
continue;
}
// Update the amount executed on this order.
orderRow.QuantityExecuted += quantity;
// Select a Price for the execution.
ServerMarketData.PriceRow priceRow = ServerMarketData.Price.FindBySecurityIdCurrencyId(securityRow.SecurityId,
(int)settlementId);
if (priceRow != null)
{
price = priceRow.LastPrice;
}
}
}
catch (Exception exception)
{
// Display the error.
Debug.WriteLine(exception.Message);
}
finally
{
// Release the order book.
if (Broker.orderBookLock.IsWriterLockHeld)
{
Broker.orderBookLock.ReleaseWriterLock();
}
// Release the tables.
if (ServerMarketData.DebtLock.IsReaderLockHeld)
{
ServerMarketData.DebtLock.ReleaseReaderLock();
}
if (ServerMarketData.EquityLock.IsReaderLockHeld)
{
ServerMarketData.EquityLock.ReleaseReaderLock();
}
if (ServerMarketData.ExecutionLock.IsWriterLockHeld)
{
ServerMarketData.ExecutionLock.ReleaseWriterLock();
}
if (ServerMarketData.HolidayLock.IsReaderLockHeld)
{
ServerMarketData.HolidayLock.ReleaseReaderLock();
}
if (ServerMarketData.PriceLock.IsReaderLockHeld)
{
ServerMarketData.PriceLock.ReleaseReaderLock();
}
if (ServerMarketData.SecurityLock.IsReaderLockHeld)
{
ServerMarketData.SecurityLock.ReleaseReaderLock();
}
Debug.Assert(!ServerMarketData.AreLocksHeld);
}
// Create an execution record for this fill.
Transaction transaction = new Transaction();
Shadows.WebService.Trading.Execution.Insert(transaction);
transaction.BeginTransaction();
try
{
long rowVersion = 0L;
Shadows.WebService.Trading.Execution.Insert(transaction, blockOrderId, brokerId, ref rowVersion, quantity, price, null,
null, null, null, null, null, tradeDate, settlementDate);
transaction.Commit();
}
catch
{
transaction.Rollback();
}
transaction.EndTransaction();
// Sleep for a random amount of time between execution.
Thread.Sleep(Random.Next(50, 300));
}
}
/// <summary>
/// This thread takes placements off the queue and creates orders in the local order book for them.
/// </summary>
private static void PlacementHandler()
{
while (true)
{
// Wait here for the next tick to come in.
Broker.placementQueue.WaitOne();
// Get the next placement from the queue.
int placementId = Broker.placementQueue.Dequeue();
try
{
// Lock the Order Book.
Broker.orderBookLock.AcquireWriterLock(CommonTimeout.LockWait);
// Lock the tables.
Debug.Assert(!ServerMarketData.AreLocksHeld);
ServerMarketData.BlockOrderLock.AcquireReaderLock(Timeout.Infinite);
ServerMarketData.PlacementLock.AcquireReaderLock(Timeout.Infinite);
// Find the placement row.
ServerMarketData.PlacementRow placementRow = ServerMarketData.Placement.FindByPlacementId(placementId);
if (placementRow == null)
{
return;
}
// Information about the security is found in the block. It isn't part of the placement so a BlockOrder
// record is needed to get some of the ancillary data.
ServerMarketData.BlockOrderRow blockOrderRow = placementRow.BlockOrderRow;
// The execution quantity needs to be calculated to prevent over execution when the simulator is
// restarted. Count up the quantity executed against this placement. While this calcuation isn't
// perfect -- it will miss when there are multiple placements to the same broker -- it is good enough for
// the simulator to restart itself.
decimal quantityExecuted = 0.0M;
foreach (ServerMarketData.ExecutionRow executionRow in blockOrderRow.GetExecutionRows())
{
if (executionRow.BrokerId == placementRow.BrokerId)
{
quantityExecuted += executionRow.Quantity;
}
}
// Create a new order book record and copy the data from the placement into the order.
OrderBook.OrderRow orderRow = Broker.orderBook.Order.NewOrderRow();
orderRow.BlockOrderId = placementRow.BlockOrderId;
orderRow.BrokerId = placementRow.BrokerId;
orderRow.SecurityId = blockOrderRow.SecurityId;
orderRow.QuantityOrdered = placementRow.Quantity;
orderRow.QuantityExecuted = quantityExecuted;
orderRow.TimeInForceCode = placementRow.TimeInForceCode;
orderRow.OrderTypeCode = placementRow.OrderTypeCode;
if (!placementRow.IsPrice1Null())
{
orderRow.Price1 = placementRow.Price1;
}
if (!placementRow.IsPrice2Null())
{
orderRow.Price2 = placementRow.Price2;
}
// Add the new record to the book and accept the changes.
Broker.orderBook.Order.AddOrderRow(orderRow);
orderRow.AcceptChanges();
// Signal to the execution thread that there are orders in the local book to be filled.
Broker.orderBookEvent.Set();
}
catch (Exception exception)
{
// Write the error and stack trace out to the debug listener
Debug.WriteLine(String.Format("{0}, {1}", exception.Message, exception.StackTrace));
}
finally
{
// Release the order book.
if (Broker.orderBookLock.IsWriterLockHeld)
{
Broker.orderBookLock.ReleaseWriterLock();
}
// Release the global tables.
if (ServerMarketData.BlockOrderLock.IsReaderLockHeld)
{
ServerMarketData.BlockOrderLock.ReleaseReaderLock();
}
if (ServerMarketData.PlacementLock.IsReaderLockHeld)
{
ServerMarketData.PlacementLock.ReleaseReaderLock();
}
Debug.Assert(!ServerMarketData.AreLocksHeld);
}
}
}
