public Reader()
{
lock (readerListLocker) {
readerList.Add(this);
}
tickFile = Factory.TickUtil.TickFile();
}
public TickWriterDefault(bool eraseFileToStart)
{
this.eraseFileToStart = eraseFileToStart;
tickFile = Factory.TickUtil.TickFile();
writeQueue = Factory.Parallel.TickQueue(typeof(TickWriter));
writeQueue.StartEnqueue = Start;
var property = "PriceDataFolder";
priceDataFolder = Factory.Settings[property];
if (priceDataFolder == null)
{
throw new ApplicationException("Must set " + property + " property in app.config");
}
property = "AppDataFolder";
appDataFolder = Factory.Settings[property];
if (appDataFolder == null)
{
throw new ApplicationException("Must set " + property + " property in app.config");
}
}
public SimulateSymbolPlayback(FIXSimulatorSupport fixSimulatorSupport,
QuoteSimulatorSupport quoteSimulatorSupport,
string symbolString,
Action <Message, SymbolInfo, Tick> onTick,
Action <PhysicalFill, CreateOrChangeOrder> onPhysicalFill,
Action <CreateOrChangeOrder, string> onRejectOrder)
{
log.Register(this);
this.fixSimulatorSupport = fixSimulatorSupport;
this.quoteSimulatorSupport = quoteSimulatorSupport;
this.onTick = onTick;
this.symbol = Factory.Symbol.LookupSymbol(symbolString);
reader = Factory.TickUtil.TickFile();
this.symbolString = symbolString;
reader.Initialize("Test\\MockProviderData", symbolString, TickFileMode.Read);
fillSimulator = Factory.Utility.FillSimulator("FIX", Symbol, false, true, null);
fillSimulator.EnableSyncTicks = SyncTicks.Enabled;
FillSimulator.OnPhysicalFill = onPhysicalFill;
FillSimulator.OnRejectOrder = onRejectOrder;
}
public SimulateSymbolSyncTicks(FIXSimulatorSupport fixSimulatorSupport,
QuoteSimulatorSupport quoteSimulatorSupport,
string symbolString,
PartialFillSimulation partialFillSimulation,
TimeStamp endTime,
long id)
{
log.Register(this);
this.id = id;
this.fixSimulatorSupport = fixSimulatorSupport;
this.quoteSimulatorSupport = quoteSimulatorSupport;
this.onTick = quoteSimulatorSupport.OnTick;
this.onEndTick = quoteSimulatorSupport.OnEndTick;
this.PartialFillSimulation = partialFillSimulation;
this.symbolString = symbolString;
this.symbol = Factory.Symbol.LookupSymbol(symbolString);
fillSimulator = Factory.Utility.FillSimulator("FIX", Symbol, false, true, null);
fillSimulator.EnableSyncTicks = SyncTicks.Enabled;
FillSimulator.OnPhysicalFill = fixSimulatorSupport.OnPhysicalFill;
FillSimulator.OnRejectOrder = fixSimulatorSupport.OnRejectOrder;
fillSimulator.PartialFillSimulation = partialFillSimulation;
tickSync = SyncTicks.GetTickSync(Symbol.BinaryIdentifier);
latency = new LatencyMetric("SimulateSymbolSyncTicks-" + symbolString.StripInvalidPathChars());
diagnoseMetric = Diagnose.RegisterMetric("Simulator");
if (debug)
{
log.Debug("Opening tick file for reading.");
}
reader = Factory.TickUtil.TickFile();
try
{
reader.Initialize("Test\\MockProviderData", symbolString, TickFileMode.Read);
reader.EndTime = endTime;
}
catch (FileNotFoundException ex)
{
log.Info("File for symbol " + symbolString + " not found: " + ex.Message);
}
}
private void writeATick(double insertPrice, int volume)
{
if (tsBits[1].Length <= 3)
{
tickTime = new TimeStamp(tsBits[0] + " " + tsBits[1] + ":00");
}
else
{
tickTime = new TimeStamp(tsBits[0] + " " + tsBits[1]);
}
utcTime = tickTime;
utcTime.AddSeconds(-GetUtcOffset(tickTime));
double price = insertPrice;
tickIO.SetTime(utcTime);
if (volume >= 1)
{
tickIO.SetTrade(price, volume);
}
else
{
// tickIO.SetQuote(price, price);
tickIO.SetTrade(price, volume);
}
if (tickWriter == null)
{
tickWriter = Factory.TickUtil.TickFile();
string folder = "DataCache";
tickWriter.EraseFileToStart = true;
tickWriter.Initialize(folder, symbol.Symbol, TickFileMode.Write);
}
// Console.WriteLine(tickIO);
tickWriter.WriteTick(tickIO);
countTicksOut++;
}
