protected void debugMarketSimulationMaofSecsMaof(IWrite iWrite, string cmdName, object[] cmdArguments)
{
int[] ids = marketSimulationMaof.GetSecurities(); //get the list of securities
System.Collections.ArrayList names = new System.Collections.ArrayList();
names.Add("Id");
names.Add("Name");
names.Add("Bid:PriceVolume");
names.Add("Ask:PriceVolume");
int[] columns = JQuant.ArrayUtils.CreateInitializedArray(6, names.Count);
columns[0] = 10;
columns[1] = 16;
columns[2] = 30;
columns[3] = 30;
CommandLineInterface.printTableHeader(iWrite, names, columns);
System.Array.Sort(ids);
foreach (int id in ids)
{
MarketSimulationMaof.Option option = marketSimulationMaof.GetOption(id);
System.Collections.ArrayList values = new System.Collections.ArrayList();
values.Add(id);
values.Add(option.GetName());
values.Add(OrderBook2String(option.GetBookBid(), 9));
values.Add(OrderBook2String(option.GetBookAsk(), 9));
CommandLineInterface.printValues(iWrite, values, columns);
}
}
public void printList()
{
int[] list = marketSimulationMaof.WatchList();
for (int i = 0; i < list.Length; i++)
{
int id = list[i];
MarketSimulationMaof.Option option = marketSimulationMaof.GetOption(id);
string optionName = option.GetName();
System.Collections.ArrayList values = new System.Collections.ArrayList();
values.Add(id);
values.Add(optionName);
CommandLineInterface.printValues(iWrite, values, this.columns);
}
}
protected void placeOrderCallback(MarketSimulation.ReturnCode errorCode, MarketSimulation.ISystemLimitOrder lo, int quantity)
{
MarketSimulationMaof.Option option = marketSimulationMaof.GetOption(lo.SecurityId);
string optionName = option.GetName();
if (errorCode == MarketSimulation.ReturnCode.Fill)
{
System.Console.WriteLine("Tick {6} Order {0} {5} id {1} quantity {3} price {4} got fill at price {2}",
optionName, lo.Id, lo.FillPrice, quantity, lo.Price, lo.SecurityId, lo.FillTick);
}
else
{
System.Console.WriteLine("Tick {5} Order {0} id {1} price {2} quantity {3} failed on {4}",
optionName, lo.Id, lo.Price, quantity, errorCode.ToString(), lo.FillTick);
}
}
/// <summary>
/// This method do two things
/// - get list of securities from the MarketSimulationMaof
/// For every security ask MarketSimulation.Core what the Core thinks about it.
/// </summary>
protected void debugMarketSimulationMaofSecsCore(IWrite iWrite, string cmdName, object[] cmdArguments)
{
int[] ids = marketSimulationMaof.GetSecurities(); //get the list of securities
System.Collections.ArrayList names = new System.Collections.ArrayList();
names.Add("Id");
names.Add("Name");
names.Add("CoreId");
names.Add("Bid:PriceVolume");
names.Add("Ask:PriceVolume");
names.Add("LastTrade");
names.Add("LastTradeSize");
names.Add("DayVolume");
int[] columns = JQuant.ArrayUtils.CreateInitializedArray(6, names.Count);
columns[0] = 9;
columns[1] = 12;
columns[2] = 9;
columns[3] = 30;
columns[4] = 30;
CommandLineInterface.printTableHeader(iWrite, names, columns);
System.Array.Sort(ids);
foreach (int id in ids)
{
// i need MarketSimulationMaof.Option to show the name of the option
// currently I take care only of options
MarketSimulationMaof.Option option = marketSimulationMaof.GetOption(id);
// get information kept in the MrketSimulation.Core
MarketSimulation.MarketData md = marketSimulationMaof.GetSecurity(id);
System.Collections.ArrayList values = new System.Collections.ArrayList();
values.Add(id);
values.Add(option.GetName());
values.Add(md.id);
values.Add(OrderBook2String(md.bid, 9));
values.Add(OrderBook2String(md.ask, 9));
values.Add(md.lastTrade);
values.Add(md.lastTradeSize);
values.Add(md.dayVolume);
CommandLineInterface.printValues(iWrite, values, columns);
}
}
/// <summary>
/// called by MarketSimulation when a change is in the status of the security
/// </summary>
public void callback(MarketSimulation.MarketData md)
{
int id = md.id;
MarketSimulationMaof.Option option = marketSimulationMaof.GetOption(id);
string optionName = option.GetName();
// print everything out - name, bids, asks
MarketSimulation.OrderPair[] bids = md.bid;
MarketSimulation.OrderPair[] asks = md.ask;
System.Collections.ArrayList values = new System.Collections.ArrayList();
values.Add(md.tick);
values.Add(id);
values.Add(optionName);
values.Add(md.lastTrade);
values.Add(md.dayVolume);
values.Add(OrderBook2String(bids, 9));
values.Add(OrderBook2String(asks, 9));
CommandLineInterface.printValues(iWrite, values, this.columns);
}
protected void debugMarketSimulationMaofStatBook(IWrite iWrite, string cmdName, object[] cmdArguments)
{
int[] ids = marketSimulationMaof.GetSecurities(); //get the list of securities
int[] columns = new int[0];
bool firstLoop = true;
System.Collections.ArrayList names = new System.Collections.ArrayList();
names.Add("Name");
System.Array.Sort(ids);
foreach (int id in ids)
{
MarketSimulationMaof.Option option = marketSimulationMaof.GetOption(id);
System.Collections.ArrayList values = new System.Collections.ArrayList();
JQuant.IResourceStatistics bids = marketSimulationMaof.GetOrderBook(id, JQuant.TransactionType.BUY);
System.Collections.ArrayList bidValues;
System.Collections.ArrayList bidNames;
bids.GetEventCounters(out bidNames, out bidValues);
JQuant.IResourceStatistics asks = marketSimulationMaof.GetOrderBook(id, JQuant.TransactionType.SELL);
System.Collections.ArrayList askValues;
System.Collections.ArrayList askNames;
asks.GetEventCounters(out askNames, out askValues);
// print table header if this is first loop
if (firstLoop)
{
firstLoop = false;
for (int i = 0; i < bidNames.Count; i++)
{
names.Add(bidNames[i]);
}
for (int i = 0; i < askNames.Count; i++)
{
names.Add(askNames[i]);
}
columns = JQuant.ArrayUtils.CreateInitializedArray(6, names.Count);
columns[0] = 16;
columns[1] = 10;
columns[2] = 6;
columns[3] = 6;
columns[4] = 6;
columns[5] = 10;
columns[6] = 6;
columns[7] = 6;
columns[8] = 6;
CommandLineInterface.printTableHeader(iWrite, names, columns);
}
values.Add(option.GetName());
for (int i = 0; i < bidValues.Count; i++)
{
values.Add(bidValues[i]);
}
for (int i = 0; i < askValues.Count; i++)
{
values.Add(askValues[i]);
}
CommandLineInterface.printValues(iWrite, values, columns);
}
}
/// <summary>
/// This is a magic (aka Trust the force) method which goes through the
/// CLI command arguments and look for a ticker IDs. The emthod recognize
/// different formats of tickers. For example
/// - the unique integer 80613003
/// - partial integer 13003 (if unique)
/// - description 'Call 1800 Nov'
/// - description 'C1800Nov'
/// - description 'Put1800 Nov'
/// - full name 'TA9Z00960C'
/// </summary>
protected bool FindSecurity(string text, out int id)
{
id = 0;
bool res = false;
// get the list of securities
int[] ids = marketSimulationMaof.GetSecurities();
// my key is name of the option and my value is unique option Id (integer)
// On TASE ID is an integer
System.Collections.Generic.Dictionary <string, int> names = new System.Collections.Generic.Dictionary <string, int>(ids.Length);
// i need an array (string) of IDs to look for patial integer IDs
System.Text.StringBuilder idNames = new System.Text.StringBuilder(ids.Length * 10);
// fill the dictionary and string of all IDs
foreach (int i in ids)
{
MarketSimulationMaof.Option option = marketSimulationMaof.GetOption(i);
string name = convertBnoName(option.GetName());
if (name != null)
{
names.Add(name, i);
}
idNames.Append(i); idNames.Append(" ");
}
string idNamesStr = idNames.ToString();
// look in the command for regexp jan|feb)($| +)' first
// Other possibilities are: ' +([0-9]+) *([c,p]) *(jan|feb)($| +)'
// the final case is any set of digits ' +([0-9]+)($| +)'
const string monthPattern = "JAN|FEB|MAR|APR|MAY|JUN|JUL|AUG|SEP|OCT|NOV|DEC";
const string putcallPattern = "c|p|C|P|call|put|CALL|PUT|Call|Put]";
const string pattern1 = " +(" + putcallPattern + ") *([0-9]+) *(" + monthPattern + ")($| +)";
const string pattern2 = " +([0-9]+) *(" + putcallPattern + ") *(" + monthPattern + ")($| +)";
const string pattern3 = " +([0-9]+)($| +)";
System.Text.RegularExpressions.GroupCollection groups;
int matchesCount;
do
{
GetMatchGroups(pattern1, text, out groups, out matchesCount);
if (matchesCount > 1)
{
System.Console.WriteLine("I expect one and only one match for '" + pattern1 + "' instead of " + matchesCount);
break;
}
if (matchesCount == 1)
{
string putcall = groups[1].Captures[0].ToString(); // group[0] is reserved for the whole match
string strike = groups[2].Captures[0].ToString();
string month = groups[3].Captures[0].ToString();
res = FindSecurity(names, putcall, strike, month, out id);
break;
}
GetMatchGroups(pattern2, text, out groups, out matchesCount);
if (matchesCount > 1)
{
System.Console.WriteLine("I expect one and only one match for '" + pattern2 + "' instead of " + matchesCount);
break;
}
if (matchesCount == 1)
{
string strike = groups[2].Captures[0].ToString(); // group[0] is reserved for the whole match
string putcall = groups[1].Captures[0].ToString();
string month = groups[3].Captures[0].ToString();
res = FindSecurity(names, putcall, strike, month, out id);
break;
}
// finally i look just for any sequence of digits
GetMatchGroups(pattern3, text, out groups, out matchesCount);
if (matchesCount > 0)
{
string digits = groups[0].Captures[0].ToString(); // group[0] is reserved for the whole match
int idxFirst = idNamesStr.IndexOf(digits); // idNamesStr is a string containing all existing Ids followed by blank
int idxSecond = idNamesStr.LastIndexOf(digits);
string firstMatch = idNamesStr.Substring(idxFirst, idNamesStr.IndexOf(" ", idxFirst + 1) - idxFirst);
string secondMatch = idNamesStr.Substring(idxSecond, idNamesStr.IndexOf(" ", idxSecond + 1) - idxSecond);
if (idxFirst != idxSecond)
{
System.Console.WriteLine("I have at least two matches '" + firstMatch + "' and '" + secondMatch + "'");
break;
}
// System.Console.WriteLine("firstMatch={0},secondMatch={1},digits={2}",firstMatch,secondMatch,digits);
// i got a single match - convert to ID
id = Int32.Parse(firstMatch);
res = true;
break;
}
res = false;
}while (false);
return(res);
}
