public void OnMessage(ExecutionReport message, QuickFix.SessionID session)
{
logger.Info("EP: " + message.ToString());
//System.Windows.Forms.Application.DoEvents();
//try
//{
// //logger.Debug("IN_EP: " + message.ToString());
//}
//catch (Exception ex)
//{
// logger.Error("==ExecutionReport exception==");
// logger.Error(ex.ToString(), ex);
//}
}
protected override void StartImpl()
{
ctSource = new CancellationTokenSource();
var random = new Random();
var nPoints = 10000000;
var gbms =
Instruments.ToDictionary(x => x,
x => new GeometricalBrownianMotion(1.0, 0.95, 1.0, nPoints, 0, random));
streamJob = Task.Run(async() =>
{
OnConnected();
while (!ctSource.IsCancellationRequested)
{
foreach (var instrument in Instruments)
{
try
{
var currentTickPrice = new TickPrice(instrument, DateTime.UtcNow, Math.Round((decimal)gbms[instrument].GenerateNextValue(), 6));
lock (syncRoot)
{
var trades = new List <ExecutionReport>();
var executedOrders = new List <TradingSignal>();
foreach (var tradingSignal in ActualSignals[instrument.Name].Where(x => x.Volume > 0))
{
if (tradingSignal.TradeType == TradeType.Buy &&
currentTickPrice.Ask <= tradingSignal.Price)
{
var trade = new ExecutionReport(
instrument,
DateTime.UtcNow,
tradingSignal.Price.Value,
tradingSignal.Volume,
TradeType.Buy,
tradingSignal.OrderId,
OrderExecutionStatus.Fill);
trades.Add(trade);
executedOrders.Add(tradingSignal);
LykkeLog.WriteInfoAsync(nameof(StubExchange), nameof(StartImpl), nameof(streamJob),
$"EXECUTION of order {tradingSignal} by price {trade.Price}").Wait();
}
else if (tradingSignal.TradeType == TradeType.Sell &&
currentTickPrice.Bid >= tradingSignal.Price)
{
var trade = new ExecutionReport(instrument,
DateTime.UtcNow,
tradingSignal.Price.Value,
tradingSignal.Volume,
TradeType.Sell,
tradingSignal.OrderId,
OrderExecutionStatus.Fill);
trades.Add(trade);
executedOrders.Add(tradingSignal);
LykkeLog.WriteInfoAsync(nameof(StubExchange), nameof(streamJob), trade.ToString(),
$"EXECUTION of order {tradingSignal} by price {trade.Price}").Wait();
}
}
foreach (var signal in executedOrders)
{
ActualSignals[instrument.Name].Remove(signal);
LykkeLog.WriteInfoAsync(nameof(StubExchange), nameof(StartImpl), nameof(streamJob),
$"Trading order {signal} was removed from actual signals as executed").Wait();
}
trades.ForEach(async x =>
{
Positions[instrument.Name].AddTrade(x);
try
{
await _tradeHandler.Handle(x);
}
catch (Exception e)
{
Console.WriteLine(e);
}
});
if (++counter % 100 == 0)
{
LykkeLog.WriteInfoAsync(nameof(StubExchange), nameof(StartImpl), nameof(streamJob),
$"Step {counter}, total PnL: {Positions[instrument.Name].GetPnL(currentTickPrice.Mid)}").Wait();
}
}
// TODO: deal with awaitable. I don't want to wait here for Azure and Rabbit connections
await _tickPriceHandler.Handle(currentTickPrice);
}
catch (Exception e)
{
Console.WriteLine(e);
}
await Task.Delay(config.PricesIntervalInMilliseconds, ctSource.Token);
}
}
OnStopped();
});
}
