public AddTickerResponse AddTicker(String ticker)
{
// TODO: AddTicker preconditions & tests
lock (managers) {
using OrderContext context = orderContextFactory.Create();
OrderManager manager = new OrderManager(context, ticker);
managers.Add(ticker, manager);
AddTickerResponse response = new AddTickerResponse {
BuyOrderCount = manager.Count.Item1,
SellOrderCount = manager.Count.Item2
};
return(response);
}
}
public override Task <Empty> InitializeService(Empty request, ServerCallContext context)
{
Logger.Here().Information("BGN");
tickers.ForEach(ticker => {
Logger.Here().Information("Adding ticker: " + ticker);
try {
AddTickerResponse response = service.AddTicker(ticker);
Logger.Here().Information(String.Format("Added {0} BUY and {1} SELL open orders for {2}",
response.BuyOrderCount, response.SellOrderCount, ticker));
} catch (Exception e) {
Logger.Here().Warning("Error adding ticker " + ticker + " E: " + e.Message);
throw new RpcException(new Status(StatusCode.Internal, e.Message));
}
});
Logger.Here().Information("END");
return(Task.FromResult(new Empty()));
}
private void ExecuteSimulation(string[] args)
{
String msg = "";
int minOrders = 1000;
int numTrades = 0;
bool limitOrders = true;
int numThreads = 10;
Console.WriteLine("\nHello! I am a simulator for DemoExchange\n");
Console.WriteLine("How many orders to seed?: ");
logger.Information("Orders to seed: " + minOrders);
Console.WriteLine("How many trades to execute?: ");
logger.Information("Trades to execute: " + numTrades);
Console.WriteLine("Include limit orders?: ");
logger.Information("Limit orders: " + limitOrders);
Console.WriteLine("How many concurrent threads?: ");
logger.Information("Concurrent threads: " + numThreads);
Console.WriteLine("");
List <String> tickers = new List <String> {
"ERX", "SPY", "DIA", "QQQ", "UPRO", "SPXU", "OILU", "OILD"
};
logger.Information("Tickers: " + String.Join(", ", tickers));
if (minOrders > 0)
{
msg = "\n\n********** SEEDING ORDER BOOK **********\n";
Console.WriteLine(msg);
logger.Information(msg);
ParallelOptions opt = new ParallelOptions()
{
MaxDegreeOfParallelism = tickers.Count
};
Parallel.For(0, tickers.Count, opt, i => {
String ticker = tickers[i];
long seedStart = Now;
int basePrice = rnd.Next(8, 19);
List <IOrderModel> buyOrders = GenerateInitialOrders(minOrders, ticker,
basePrice, true);
List <IOrderModel> sellOrders = GenerateInitialOrders(minOrders, ticker,
basePrice, false);
service.TestPerfAddOrder(ticker, buyOrders, sellOrders);
msg = String.Format("{3}: Added {1} buy orders and {2} sell orders in {0} milliseconds", Stop(seedStart), buyOrders.Count, sellOrders.Count, ticker);
Console.WriteLine(msg);
logger.Information(msg);
});
}
if (numTrades > 0)
{
msg = "\n\n********** LOADING ORDERS **********\n";
Console.WriteLine(msg);
logger.Information(msg);
long loadStart = Now;
ParallelOptions loadOpt = new ParallelOptions()
{
MaxDegreeOfParallelism = tickers.Count
};
bool addTicker = minOrders == 0;
Parallel.For(0, tickers.Count, loadOpt, i => {
String ticker = tickers[i];
Tuple <int, int> result;
long loadStart = Now;
if (addTicker)
{
AddTickerResponse response = service.AddTicker(ticker);
result = new Tuple <int, int>(response.BuyOrderCount, response.SellOrderCount);
}
else
{
result = service.TestPerfLoadOrderBook(ticker);
}
msg = String.Format("Loaded {1} BUY and {2} {3} orders in {0} milliseconds",
Stop(loadStart), result.Item1, result.Item2, ticker);
Console.WriteLine(msg);
logger.Information(msg);
});
msg = "\n\n********** BEGIN TRADING **********\n";
Console.WriteLine(msg);
logger.Information(msg);
long tradeStart = Now;
ParallelOptions opt = new ParallelOptions()
{
MaxDegreeOfParallelism = numThreads
};
Parallel.For(0, numTrades, opt, i => {
int orderType = (rnd.Next(1, limitOrders ? 5 : 3));
String ticker = tickers[rnd.Next(1, tickers.Count + 1) - 1];
Quote quote = (Quote)service.GetQuote(ticker);
int sign = rnd.Next(1, 3) == 1 ? 1 : -1;
long orderStart = Now;
IResponse <IOrderModel, OrderResponse> response;
if (orderType == 1)
{
response = service.SubmitOrder(NewBuyMarketOrder(GetAccountId(), ticker, RandomQuantity));
}
else if (orderType == 2)
{
response = service.SubmitOrder(NewSellMarketOrder(GetAccountId(), ticker, RandomQuantity));
}
else if (orderType == 3)
{
decimal price = Convert.ToDecimal(quote.Ask) + (sign * (rnd.Next(1, 10000) / 10000000M));
response = service.SubmitOrder(NewBuyLimitDayOrder(GetAccountId(),
ticker, RandomQuantity, price));
}
else
{
decimal price = Convert.ToDecimal(quote.Bid) + (sign * (rnd.Next(1, 10000) / 10000000M));
response = service.SubmitOrder(NewSellLimitDayOrder(GetAccountId(),
ticker, RandomQuantity, price));
}
if (response.HasErrors)
{
throw new Exception(response.Errors[0].Description);
}
msg = String.Format("Executed order in {0} milliseconds\n", Stop(orderStart));
Console.WriteLine(msg);
logger.Information(msg);
});
msg = String.Format("Executed {1} trades with {2} threads in {0} milliseconds",
Stop(tradeStart), numTrades, numThreads);
Console.WriteLine(msg);
logger.Information(msg);
}
msg = "\n\n********** END TRADING **********\n";
Console.WriteLine(msg);
logger.Information(msg);
}
