protected override void OnMessageReceived(object sender, MessageReceivedEventArgs e)
{
if (!IsInitialised)
{
return;
}
DateTime niffleTimeStamp = DateTime.FromBinary(e.Message.TimeStamp);
RoutingKey routingKey = new RoutingKey(e.EventArgs.RoutingKey);
string source = routingKey.GetSource();
string action = routingKey.GetAction();
string _event = routingKey.GetEvent();
//Service messages received will be notify
if (e.Message.Type == Niffle.Types.Type.Service)
{
if (e.Message.Service != null)
{
if (e.Message.Service.Success)
{
ReportExecution(source, action, _event, Utils.FormatDateTimeWithSeparators(niffleTimeStamp));
//If Strategy ended then report.
if (source == nameof(OnTerminateTime))
{
Report();
//Reset();
}
}
}
}
//Position message will be for Position Opened or Closed
if (e.Message.Type == Niffle.Types.Type.Position)
{
if (e.Message.Position != null)
{
if (routingKey.GetEventAsEnum() == Event.ONPOSITIONCLOSED)
{
if (e.Message.Position.StateChange == Messaging.Protobuf.Position.Types.StateChange.Closed)
{
ReportPositionClosed(e.Message.Position);
}
}
if (routingKey.GetEventAsEnum() == Event.ONPOSITIONOPENED)
{
if (e.Message.Position.StateChange == Messaging.Protobuf.Position.Types.StateChange.Opened)
{
ReportPositionOpened(e.Message.Position);
}
}
if (routingKey.GetEventAsEnum() == Event.ONPOSITIONMODIFIED)
{
if (e.Message.Position.StateChange == Messaging.Protobuf.Position.Types.StateChange.Modified)
{
ReportPositionModified(e.Message.Position, Utils.FormatDateTimeWithSeparators(niffleTimeStamp));
}
}
}
}
//Orders messages will be for Orders Placed, Cancelled or Modified
if (e.Message.Type == Niffle.Types.Type.Order)
{
if (e.Message.Order != null)
{
if (routingKey.GetEventAsEnum() == Event.ONORDERPLACED)
{
if (e.Message.Order.StateChange == Messaging.Protobuf.Order.Types.StateChange.Filled)
{
ReportOrderPlaced(e.Message.Order);
}
}
if (routingKey.GetEventAsEnum() == Event.ONORDERCANCELLED)
{
if (e.Message.Order.StateChange == Messaging.Protobuf.Order.Types.StateChange.Canceled)
{
ReportOrderCancelled(e.Message.Order, Utils.FormatDateTimeWithSeparators(niffleTimeStamp));
}
}
//Need to work out how to determine if order has been modified
if (routingKey.GetEventAsEnum() == Event.ONORDERMODIFIED)
{
if (e.Message.Order.StateChange == Messaging.Protobuf.Order.Types.StateChange.Filled)
{
ReportOrderModified(e.Message.Order, Utils.FormatDateTimeWithSeparators(niffleTimeStamp));
}
}
}
}
//Error messages
if (e.Message.Type == Niffle.Types.Type.Error)
{
if (e.Message.Error != null)
{
ReportError(source, e.Message.Error, Utils.FormatDateTimeWithSeparators(niffleTimeStamp));
}
}
}
protected override void OnMessageReceived(object sender, MessageReceivedEventArgs e)
{
if (!IsInitialised)
{
return;
}
DateTime niffleTimeStamp = DateTime.FromBinary(e.Message.Timestamp);
RoutingKey routingKey = new RoutingKey(e.EventArgs.RoutingKey);
string source = routingKey.GetSource();
string action = routingKey.GetAction();
string _event = routingKey.GetEvent();
//Service messages received will be notify
if (e.Message.Type == Niffle.Types.Type.Service)
{
if (e.Message.Service != null)
{
if (e.Message.Service.Success)
{
ReportExecution(source, action, _event, Utils.FormatDateTimeWithSeparators(niffleTimeStamp));
}
}
}
//Positions messages will be for Position Opened, Closed or Modified.
if (e.Message.Type == Niffle.Types.Type.Positions)
{
if (e.Message.Positions != null)
{
Messaging.Protobuf.Positions positions = e.Message.Positions;
for (int count = 0; count < positions.Count; count++)
{
if (routingKey.GetEventAsEnum() == Event.ONPOSITIONCLOSED)
{
if (positions.Position[count].StateChange == Messaging.Protobuf.Position.Types.StateChange.Closed)
{
ReportPositionClosed(positions.Position[count]);
}
}
if (routingKey.GetEventAsEnum() == Event.ONPOSITIONOPENED)
{
if (positions.Position[count].StateChange == Messaging.Protobuf.Position.Types.StateChange.Opened)
{
ReportPositionOpened(positions.Position[count]);
}
}
if (routingKey.GetEventAsEnum() == Event.ONPOSITIONMODIFIED)
{
if (positions.Position[count].StateChange == Messaging.Protobuf.Position.Types.StateChange.Modified)
{
ReportPositionModified(positions.Position[count], Utils.FormatDateTimeWithSeparators(niffleTimeStamp));
}
}
}
}
}
//Orders messages will be for Orders Placed, Cancelled or Modified
if (e.Message.Type == Niffle.Types.Type.Orders)
{
if (e.Message.Orders != null)
{
Messaging.Protobuf.Orders orders = e.Message.Orders;
for (int count = 0; count < orders.Count; count++)
{
if (routingKey.GetEventAsEnum() == Event.ONORDERPLACED)
{
if (orders.Order[count].StateChange == Messaging.Protobuf.Order.Types.StateChange.Placed)
{
ReportOrderPlaced(orders.Order[count]);
}
}
if (routingKey.GetEventAsEnum() == Event.ONORDERCANCELLED)
{
if (orders.Order[count].StateChange == Messaging.Protobuf.Order.Types.StateChange.Cancelled)
{
ReportOrderCancelled(orders.Order[count], Utils.FormatDateTimeWithSeparators(niffleTimeStamp));
}
}
if (routingKey.GetEventAsEnum() == Event.ONORDERMODIFIED)
{
if (orders.Order[count].StateChange == Messaging.Protobuf.Order.Types.StateChange.Modified)
{
ReportOrderModified(orders.Order[count], Utils.FormatDateTimeWithSeparators(niffleTimeStamp));
}
}
}
}
}
//Error messages
if (e.Message.Type == Niffle.Types.Type.Orders)
{
if (e.Message.Error != null)
{
ReportError(source, e.Message.Error, Utils.FormatDateTimeWithSeparators(niffleTimeStamp));
}
}
}
protected override void OnMessageReceived(object sender, MessageReceivedEventArgs e)
{
DateTime niffleTimeStamp = DateTime.FromBinary(e.Message.TimeStamp);
RoutingKey routingKey = new RoutingKey(e.EventArgs.RoutingKey);
string action = routingKey.GetAction();
string _event = routingKey.GetEvent();
Trade trade = e.Message.Trade;
switch (routingKey.GetActionAsEnum())
{
case Messaging.RabbitMQ.Action.TRADEMANAGEMENT:
//Save the trade to execute against the Linked Trade label
StateManager.UpdateStateLinkedTradeAsync(trade.LinkedTradeLabel, trade.Order.Label, trade);
break;
}
// Need to have another transforming service if FIX service only publishes raw messages
// Need to have a service that listens for routing key FIXServiceName.*.*
// This service will then have to unpack the FIX API message and construct the appropriate msg and routing key
switch (routingKey.GetEventAsEnum())
{
case Messaging.RabbitMQ.Event.ONPOSITIONCLOSED:
switch (e.Message.Trade.Order.StateChange)
{
case Order.Types.StateChange.Filled: //The stateChange should be used to set the routing key and not needed here.
//Check if this is a linked trade
if (trade.IsLinkedTrade)
{
//Save the state of the filled linked trade
StateManager.UpdateStateLinkedTradeAsync(trade.LinkedTradeLabel, trade.Order.Label, trade);
//Find all other linked trades and cancel them
StateManager.FindAllLinkedTradesExcludingAsync(trade.LinkedTradeLabel, trade.Order.Label, CancelTradeOperation);
}
//This is a masker trade therefore place any linked SL and TP trades
else
{
//Find all linked trades and excute them
StateManager.FindAllLinkedTradesAsync(trade.LinkedTradeLabel, trade.Order.PosMaintRptID, ExecuteTradeOperation);
}
break;
case Order.Types.StateChange.Canceled:
//If this is a masker trade then cancel any linked SL and TP trades
if (!trade.IsLinkedTrade)
{
//Find all linked trades and cancel them
StateManager.FindAllLinkedTradesAsync(trade.LinkedTradeLabel, trade.Order.PosMaintRptID, CancelTradeOperation);
}
break;
}
//Order filled
if (e.Message.Trade.Order.StateChange == Order.Types.StateChange.Filled)
{
}
break;
default:
return;
}
;
}