private void FIXRequestSessionStatus(MessageFIX4_2 packet)
{
if (packet.TradingSessionId != "TSSTATE")
{
throw new ApplicationException("Expected TSSTATE for trading session id but was: " + packet.TradingSessionId);
}
if (!packet.TradingSessionRequestId.Contains(sender) || !packet.TradingSessionRequestId.Contains(packet.Sequence.ToString()))
{
throw new ApplicationException("Expected unique trading session request id but was:" + packet.TradingSessionRequestId);
}
requestSessionStatus = true;
if (onlineNextTime)
{
ProviderSimulator.SetOrderServerOnline();
onlineNextTime = false;
}
if (ProviderSimulator.IsOrderServerOnline)
{
SendSessionStatusOnline();
}
else
{
SendSessionStatus("3");
}
onlineNextTime = true;
}
public bool SendSessionStatus(string status)
{
switch (status)
{
case "2":
ProviderSimulator.SetOrderServerOnline();
break;
case "3":
ProviderSimulator.SetOrderServerOffline();
break;
default:
throw new ApplicationException("Unknown session status:" + status);
}
var mbtMsg = FixFactory.Create();
mbtMsg.AddHeader("h");
mbtMsg.SetTradingSessionId("TSSTATE");
mbtMsg.SetTradingSessionStatus(status);
if (debug)
{
log.Debug("Sending order server status: " + mbtMsg);
}
SendMessage(mbtMsg);
return(true);
}
private void ProcessChangeOrder(CreateOrChangeOrder order)
{
SendExecutionReport(order, "E", 0.0, 0, 0, 0, (int)order.Size, TimeStamp.UtcNow);
SendPositionUpdate(order.Symbol, ProviderSimulator.GetPosition(order.Symbol));
SendExecutionReport(order, "5", 0.0, 0, 0, 0, (int)order.Size, TimeStamp.UtcNow);
SendPositionUpdate(order.Symbol, ProviderSimulator.GetPosition(order.Symbol));
}
private void FIXCreateOrder(MessageFIX4_2 packet)
{
if (debug)
{
log.Debug("FIXCreateOrder() for " + packet.Symbol + ". Client id: " + packet.ClientOrderId);
}
var symbol = Factory.Symbol.LookupSymbol(packet.Symbol);
var order = ConstructOrder(packet, packet.ClientOrderId);
if (!ProviderSimulator.IsOrderServerOnline)
{
if (debug)
{
log.Debug(symbol + ": Rejected " + packet.ClientOrderId + ". Order server offline.");
}
OnRejectOrder(order, symbol + ": Order Server Offline.");
return;
}
var simulator = simulators[SimulatorType.RejectSymbol];
if (FixFactory != null && simulator.CheckFrequencyAndSymbol(symbol))
{
if (debug)
{
log.Debug("Simulating create order reject of 35=" + packet.MessageType);
}
OnRejectOrder(order, "Testing reject of create order");
return;
}
simulator = simulators[SimulatorType.ServerOfflineReject];
if (FixFactory != null && simulator.CheckFrequency())
{
if (debug)
{
log.Debug("Simulating order server offline business reject of 35=" + packet.MessageType);
}
OnBusinessRejectOrder(packet.ClientOrderId, "Server offline for create order.");
ProviderSimulator.SwitchBrokerState("offline", false);
ProviderSimulator.SetOrderServerOffline();
return;
}
if (packet.Symbol == "TestPending")
{
log.Info("Ignoring FIX order since symbol is " + packet.Symbol);
}
else
{
if (string.IsNullOrEmpty(packet.ClientOrderId))
{
System.Diagnostics.Debugger.Break();
}
ProviderSimulator.CreateOrder(order);
ProcessCreateOrder(order);
ProviderSimulator.TryProcessAdustments(order);
}
return;
}
private void ProcessCancelOrder(CreateOrChangeOrder cancelOrder)
{
var origOrder = cancelOrder.OriginalOrder;
var randomOrder = random.Next(0, 10) < 5 ? cancelOrder : origOrder;
SendExecutionReport(randomOrder, "6", 0.0, 0, 0, 0, (int)origOrder.Size, TimeStamp.UtcNow);
SendPositionUpdate(cancelOrder.Symbol, ProviderSimulator.GetPosition(cancelOrder.Symbol));
SendExecutionReport(randomOrder, "4", 0.0, 0, 0, 0, (int)origOrder.Size, TimeStamp.UtcNow);
SendPositionUpdate(cancelOrder.Symbol, ProviderSimulator.GetPosition(cancelOrder.Symbol));
}
public virtual void SendSessionStatusOnline()
{
if (debug)
{
log.Debug("Sending session status online.");
}
var wasOrderServerOnline = ProviderSimulator.IsOrderServerOnline;
SendSessionStatus("2");
if (!wasOrderServerOnline)
{
ProviderSimulator.SwitchBrokerState("online", true);
}
ProviderSimulator.FlushFillQueues();
}
private void ProcessCreateOrder(CreateOrChangeOrder order)
{
SendExecutionReport(order, "A", 0.0, 0, 0, 0, (int)order.Size, TimeStamp.UtcNow);
SendPositionUpdate(order.Symbol, ProviderSimulator.GetPosition(order.Symbol));
if (order.Symbol.FixSimulationType == FIXSimulationType.BrokerHeldStopOrder &&
(order.Type == OrderType.BuyStop || order.Type == OrderType.StopLoss))
{
SendExecutionReport(order, "A", "D", 0.0, 0, 0, 0, (int)order.Size, TimeStamp.UtcNow);
SendPositionUpdate(order.Symbol, ProviderSimulator.GetPosition(order.Symbol));
}
else
{
SendExecutionReport(order, "0", 0.0, 0, 0, 0, (int)order.Size, TimeStamp.UtcNow);
SendPositionUpdate(order.Symbol, ProviderSimulator.GetPosition(order.Symbol));
}
}
private unsafe void SymbolRequest(LimeQuoteMessage message)
{
LimeQuotesInterop.subscription_request_msg *subRequest = (LimeQuotesInterop.subscription_request_msg *)message.Ptr;
String symbol = "";
for (int i = 0; subRequest->syb_symbols[i] != 0; i++)
{
symbol += (char)subRequest->syb_symbols[i];
}
var symbolInfo = Factory.Symbol.LookupSymbol(symbol);
log.Info("Lime: Received symbol request for " + symbolInfo);
ProviderSimulator.AddSymbol(symbolInfo.Symbol);
var writePacket = (LimeQuoteMessage)QuoteSocket.MessageFactory.Create();
LimeQuotesInterop.subscription_reply_msg *reply = (LimeQuotesInterop.subscription_reply_msg *)writePacket.Ptr;
reply->msg_type = LimeQuotesInterop.limeq_message_type.SUBSCRIPTION_REPLY;
var msg_len = (ushort)sizeof(LimeQuotesInterop.subscription_reply_msg);
reply->msg_len = Reverse(msg_len);
writePacket.Length = msg_len;
reply->outcome = LimeQuotesInterop.subscription_outcome.SUBSCRIPTION_SUCCESSFUL;
for (int i = 0; i < 4; i++)
{
reply->qsid[i] = subRequest->qsid[i];
}
QuotePacketQueue.Enqueue(writePacket, message.SendUtcTime);
var bookRebuildMessage = (LimeQuoteMessage)QuoteSocket.MessageFactory.Create();
LimeQuotesInterop.book_rebuild_msg *book = (LimeQuotesInterop.book_rebuild_msg *)bookRebuildMessage.Ptr;
book->msg_type = LimeQuotesInterop.limeq_message_type.BOOK_REBUILD;
msg_len = (ushort)sizeof(LimeQuotesInterop.book_rebuild_msg);
book->msg_len = Reverse(msg_len);
bookRebuildMessage.Length = msg_len;
book->symbol_index = (uint)symbolInfo.BinaryIdentifier;
for (int i = 0; i < symbol.Length; i++)
{
book->symbol[i] = (byte)symbol[i];
}
QuotePacketQueue.Enqueue(bookRebuildMessage, message.SendUtcTime);
}
private void SymbolRequest(MessageMbtQuotes message)
{
var symbolInfo = Factory.Symbol.LookupSymbol(message.Symbol);
log.Info("Received symbol request for " + symbolInfo);
ProviderSimulator.AddSymbol(symbolInfo.Symbol);
switch (message.FeedType)
{
case "20000": // Level 1
if (symbolInfo.QuoteType != QuoteType.Level1)
{
throw new ApplicationException("Requested data feed of Level1 but Symbol.QuoteType is " + symbolInfo.QuoteType);
}
break;
case "20001": // Level 2
if (symbolInfo.QuoteType != QuoteType.Level2)
{
throw new ApplicationException("Requested data feed of Level2 but Symbol.QuoteType is " + symbolInfo.QuoteType);
}
break;
case "20002": // Level 1 & Level 2
if (symbolInfo.QuoteType != QuoteType.Level2)
{
throw new ApplicationException("Requested data feed of Level1 and Level2 but Symbol.QuoteType is " + symbolInfo.QuoteType);
}
break;
case "20003": // Trades
if (symbolInfo.TimeAndSales != TimeAndSales.ActualTrades)
{
throw new ApplicationException("Requested data feed of Trades but Symbol.TimeAndSale is " + symbolInfo.TimeAndSales);
}
break;
case "20004": // Option Chains
break;
default:
throw new ApplicationException("Sorry, unknown data type: " + message.FeedType);
}
}
public override void OnPhysicalFill(PhysicalFill fill, CreateOrChangeOrder order)
{
if (order.Symbol.FixSimulationType == FIXSimulationType.BrokerHeldStopOrder &&
(order.Type == OrderType.BuyStop || order.Type == OrderType.SellStop))
{
order.Type = order.Type == OrderType.BuyStop ? OrderType.BuyMarket : OrderType.SellMarket;
var marketOrder = Factory.Utility.PhysicalOrder(order.Action, order.OrderState,
order.Symbol, order.Side, order.Type, OrderFlags.None, 0,
order.Size, order.LogicalOrderId,
order.LogicalSerialNumber,
order.BrokerOrder, null, TimeStamp.UtcNow);
SendExecutionReport(marketOrder, "0", 0.0, 0, 0, 0, (int)marketOrder.Size, TimeStamp.UtcNow);
}
if (debug)
{
log.Debug("Converting physical fill to FIX: " + fill);
}
SendPositionUpdate(order.Symbol, ProviderSimulator.GetPosition(order.Symbol));
var orderStatus = fill.CumulativeSize == fill.TotalSize ? "2" : "1";
SendExecutionReport(order, orderStatus, "F", fill.Price, fill.TotalSize, fill.CumulativeSize, fill.Size, fill.RemainingSize, fill.UtcTime);
}
private void FIXCancelOrder(MessageFIX4_2 packet)
{
var symbol = Factory.Symbol.LookupSymbol(packet.Symbol);
if (!ProviderSimulator.IsOrderServerOnline)
{
throw new LimeException("Order server offline testing for Lime not yet implemeneted");
if (debug)
{
log.Debug(symbol + ": Cannot cancel order by client id: " + packet.OriginalClientOrderId + ". Order Server Offline.");
}
OnRejectCancel(packet.Symbol, packet.ClientOrderId, packet.OriginalClientOrderId, symbol + ": Order Server Offline");
return;
}
var simulator = simulators[SimulatorType.RejectSymbol];
if (FixFactory != null && simulator.CheckFrequencyAndSymbol(symbol))
{
if (debug)
{
log.Debug("Simulating cancel order reject of 35=" + packet.MessageType);
}
OnRejectCancel(packet.Symbol, packet.ClientOrderId, packet.OriginalClientOrderId, "Testing reject of cancel order.");
return;
}
simulator = simulators[SimulatorType.ServerOfflineReject];
if (FixFactory != null && simulator.CheckFrequency())
{
throw new LimeException("Order server offline testing for Lime not yet implemeneted");
if (debug)
{
log.Debug("Simulating order server offline business reject of 35=" + packet.MessageType);
}
OnBusinessRejectOrder(packet.ClientOrderId, "Server offline for cancel order.");
ProviderSimulator.SwitchBrokerState("offline", false);
ProviderSimulator.SetOrderServerOffline();
return;
}
if (debug)
{
log.Debug("FIXCancelOrder() for " + packet.Symbol + ". Original client id: " + packet.OriginalClientOrderId);
}
CreateOrChangeOrder origOrder = null;
try
{
long origClientId;
if (!long.TryParse(packet.OriginalClientOrderId, out origClientId))
{
log.Error("original client order id " + packet.OriginalClientOrderId +
" cannot be converted to long: " + packet);
origClientId = 0;
}
origOrder = ProviderSimulator.GetOrderById(symbol, origClientId);
}
catch (ApplicationException)
{
if (debug)
{
log.Debug(symbol + ": Cannot cancel order by client id: " + packet.OriginalClientOrderId + ". Probably already filled or canceled.");
}
OnRejectCancel(packet.Symbol, packet.ClientOrderId, packet.OriginalClientOrderId, "No such order");
return;
}
var cancelOrder = ConstructCancelOrder(packet, packet.ClientOrderId);
cancelOrder.OriginalOrder = origOrder;
ProviderSimulator.CancelOrder(cancelOrder);
ProcessCancelOrder(cancelOrder);
ProviderSimulator.TryProcessAdustments(cancelOrder);
return;
}
private void FIXChangeOrder(MessageFIX4_2 packet)
{
var symbol = Factory.Symbol.LookupSymbol(packet.Symbol);
var order = ConstructOrder(packet, packet.ClientOrderId);
if (!ProviderSimulator.IsOrderServerOnline)
{
throw new LimeException("Order server offline testing for Lime not yet implemeneted");
log.Info(symbol + ": Rejected " + packet.ClientOrderId + ". Order server offline.");
OnRejectOrder(order, symbol + ": Order Server Offline.");
return;
}
var simulator = simulators[SimulatorType.RejectSymbol];
if (FixFactory != null && simulator.CheckFrequencyAndSymbol(symbol))
{
if (debug)
{
log.Debug("Simulating create order reject of 35=" + packet.MessageType);
}
OnRejectOrder(order, "Testing reject of change order.");
return;
}
simulator = simulators[SimulatorType.ServerOfflineReject];
if (FixFactory != null && simulator.CheckFrequency())
{
throw new LimeException("Order server offline testing for Lime not yet implemeneted");
if (debug)
{
log.Debug("Simulating order server offline business reject of 35=" + packet.MessageType);
}
OnBusinessRejectOrder(packet.ClientOrderId, "Server offline for change order.");
ProviderSimulator.SwitchBrokerState("offline", false);
ProviderSimulator.SetOrderServerOffline();
return;
}
CreateOrChangeOrder origOrder = null;
if (debug)
{
log.Debug("FIXChangeOrder() for " + packet.Symbol + ". Client id: " + packet.ClientOrderId + ". Original client id: " + packet.OriginalClientOrderId);
}
try
{
long origClientId;
if (!long.TryParse(packet.OriginalClientOrderId, out origClientId))
{
log.Error("original client order id " + packet.OriginalClientOrderId + " cannot be converted to long: " + packet);
origClientId = 0;
}
origOrder = ProviderSimulator.GetOrderById(symbol, origClientId);
}
catch (ApplicationException ex)
{
if (debug)
{
log.Debug(symbol + ": Rejected " + packet.ClientOrderId + ". Cannot change order: " + packet.OriginalClientOrderId + ". Already filled or canceled. Message: " + ex.Message);
}
OnRejectOrder(order, symbol + ": Cannot change order. Probably already filled or canceled.");
return;
}
order.OriginalOrder = origOrder;
#if VERIFYSIDE
if (order.Side != origOrder.Side)
{
var message = symbol + ": Cannot change " + origOrder.Side + " to " + order.Side;
log.Error(message);
OnRejectOrder(order, false, message);
return;
}
if (order.Type != origOrder.Type)
{
var message = symbol + ": Cannot change " + origOrder.Type + " to " + order.Type;
log.Error(message);
OnRejectOrder(order, false, message);
return;
}
#endif
ProviderSimulator.ChangeOrder(order);
ProcessChangeOrder(order);
}
public void SendMessage(FIXTMessage1_1 fixMessage)
{
FixFactory.AddHistory(fixMessage);
if (isConnectionLost)
{
RemoveTickSync(fixMessage);
return;
}
var simulator = simulators[SimulatorType.SendDisconnect];
if (simulator.CheckSequence(fixMessage.Sequence))
{
if (debug)
{
log.Debug("Ignoring message: " + fixMessage);
}
ProviderSimulator.SwitchBrokerState("disconnect", false);
isConnectionLost = true;
return;
}
if (simulateSendFailed && IsRecovered && random.Next(50) == 4)
{
if (debug)
{
log.Debug("Skipping send of sequence # " + fixMessage.Sequence + " to simulate lost message. " + fixMessage);
}
if (fixMessage.Type == "1")
{
isHeartbeatPending = TimeStamp.MaxValue;
}
if (debug)
{
log.Debug("Message type is: " + fixMessage.Type);
}
return;
}
var writePacket = fixSocket.MessageFactory.Create();
var message = fixMessage.ToString();
writePacket.DataOut.Write(message.ToCharArray());
writePacket.SendUtcTime = TimeStamp.UtcNow.Internal;
if (debug)
{
log.Debug("Simulating FIX Message: " + fixMessage);
}
try
{
fixPacketQueue.Enqueue(writePacket, writePacket.SendUtcTime);
}
catch (QueueException ex)
{
if (ex.EntryType == EventType.Terminate)
{
log.Warn("fix packet queue returned queue exception " + ex.EntryType + ". Dropping message due to dispose.");
Dispose();
}
else
{
throw;
}
}
simulator = simulators[SimulatorType.SendServerOffline];
if (IsRecovered && FixFactory != null && simulator.CheckSequence(fixMessage.Sequence))
{
if (debug)
{
log.Debug("Skipping message: " + fixMessage);
}
ProviderSimulator.SwitchBrokerState("offline", false);
ProviderSimulator.SetOrderServerOffline();
if (requestSessionStatus)
{
SendSessionStatus("3");
}
else
{
log.Info("RequestSessionStatus is false so not sending order server offline message.");
}
}
}
private bool ProcessMessage(MessageFIXT1_1 packetFIX)
{
if (isConnectionLost)
{
if (debug)
{
log.Debug("Ignoring message: " + packetFIX);
}
RemoveTickSync(packetFIX);
return(true);
}
var simulator = simulators[SimulatorType.ReceiveDisconnect];
if (FixFactory != null && simulator.CheckSequence(packetFIX.Sequence))
{
if (debug)
{
log.Debug("Ignoring message: " + packetFIX);
}
// Ignore this message. Pretend we never received it AND disconnect.
// This will test the message recovery.)
ProviderSimulator.SwitchBrokerState("disconnect", false);
isConnectionLost = true;
return(true);
}
if (simulateReceiveFailed && FixFactory != null && random.Next(50) == 1)
{
// Ignore this message. Pretend we never received it.
// This will test the message recovery.
if (debug)
{
log.Debug("Ignoring fix message sequence " + packetFIX.Sequence);
}
return(Resend(packetFIX));
}
simulator = simulators[SimulatorType.ReceiveServerOffline];
if (IsRecovered && FixFactory != null && simulator.CheckSequence(packetFIX.Sequence))
{
if (debug)
{
log.Debug("Skipping message: " + packetFIX);
}
ProviderSimulator.SwitchBrokerState("disconnect", false);
ProviderSimulator.SetOrderServerOffline();
if (requestSessionStatus)
{
SendSessionStatus("3"); //offline
}
else
{
log.Info("RequestSessionStatus is false so not sending order server offline message.");
}
return(true);
}
simulator = simulators[SimulatorType.SystemOffline];
if (IsRecovered && FixFactory != null && simulator.CheckSequence(packetFIX.Sequence))
{
SendSystemOffline();
return(true);
}
if (debug)
{
log.Debug("Processing message with " + packetFIX.Sequence + ". So updating remote sequence...");
}
RemoteSequence = packetFIX.Sequence + 1;
switch (packetFIX.MessageType)
{
case "G":
case "D":
simulator = simulators[SimulatorType.BlackHole];
break;
case "F":
simulator = simulators[SimulatorType.CancelBlackHole];
break;
}
if (FixFactory != null && simulator.CheckFrequency())
{
if (debug)
{
log.Debug("Simulating order 'black hole' of 35=" + packetFIX.MessageType + " by incrementing sequence to " + RemoteSequence + " but ignoring message with sequence " + packetFIX.Sequence);
}
return(true);
}
ParseFIXMessage(_fixReadMessage);
return(true);
}
