static void stopProcesses(string key)
{
O.each(O.copy(processes.get(key)), process => {
if (!process.HasExited)
{
LogC.info("killing pid " + process.Id);
process.Kill();
}
processes.get(key).Remove(process);
});
LogC.info("all processes killed for " + key);
}
void populateSlippageCache(Symbol symbol)
{
var manager = new SpudManager();
var bars = bars_[symbol];
var spud = new BarSpud(manager);
var calculator = symbol.slippageCalculator(spud);
each(sort(bars.Keys), date => {
spud.set(bars[date]);
slippageCache.get(date)[symbol] = calculator.slippage();
manager.newBar();
});
}
void addTrade(Position position, Trade trade)
{
if (position.isEntry(trade))
{
positions.Add(position);
positionsInfo.add(position);
Action <Bar> onNewBar = bar => positionsInfo.get(position).add(simulator.pnlForPosition(position, 0.0));
simulator.addNewBarListener(position.symbol, onNewBar);
position.onPositionClosed += () => {
simulator.removeNewBarListener(position.symbol, onNewBar);
positionsInfo.get(position).add(position.pnl(true, simulator.runInNativeCurrency()));
};
}
trades.Add(trade);
}
void nextBar(DateTime date, Dictionary <Symbol, Bar> current, bool isLive)
{
trades.Clear();
if (!isLive) // in live mode, we have already filled orders for the bar we just went through (in the tick processing logic)
{
bridge.setCurrentSlippage(data.currentSlippages(date));
LogC.info("filling orders for bar: " + ymdHuman(date));
fillOrders(current);
}
LogC.info("calling onNewBar for bar: " + ymdHuman(date));
bridge.processBar(current);
processBarComplete();
each(current, (symbol, bar) => { var action = newBarListeners.get(symbol); action(bar); });
dateIndex++;
}
public LiveWatcher(WatcherGui gui)
{
this.gui = gui;
table = new QDataTable {
{ "tag", typeof(string) },
{ "symbol", typeof(string) },
{ "tomahawk", typeof(double) },
{ "aim", typeof(double) },
{ "diff", typeof(double) },
{ "symbolHIDDEN", typeof(Symbol) }
};
table.filter(row => {
var visible = true;
if (filterZeroes)
{
visible = (double)row["aim"] != 0 || (double)row["tomahawk"] != 0;
}
if (!showHidden_)
{
visible &= !isExcludedByTag.get((string)row["tag"]);
}
if (!tagFilter.Equals("ALL"))
{
visible &= row["tag"].Equals(tagFilter);
}
return(visible);
});
}
void updateNode(Topic topic, MsivPv liveMarket, LiveMarketNode node)
{
var averager = ticksReceived.get(liveMarket);
if (!topic.has("ticksReceived"))
{
return;
}
node.ticksReceived = topic.get <int>("ticksReceived");
node.runningOn = topic.get <string>("hostname");
averager.add(node.ticksReceived);
node.tickRate = (float)averager.movingAverage();
node.size = isEqualSizes_ ? 1 : Math.Max(1F, node.tickRate);
node.tickLag = ticks.get(liveMarket).tickLag;
node.color = node.tickLag - 5000;
node.isDown = now().Subtract(date(topic.get <string>("timestamp"))).TotalSeconds < 10;
var downText = node.isDown ? "" : "DOWN ";
node.lastTickProcessed = ticks.get(liveMarket).lastTickProcessed();
node.text =
downText + liveMarket.market() + "\n" +
node.tickRate.ToString("n0") + "/min, " + node.tickLag + "ms\n" +
node.ticksReceived.ToString("n0") + "\n" +
node.lastTickProcessed.ToString("HH:mm:ss") + "\n" +
node.runningOn;
}
public override double fxRate(Symbol symbol)
{
if (arguments().runInNativeCurrency)
{
return(1);
}
return(symbol.currency().isUSD() ? 1 : fxRates.get(symbol)[0].close);
}
public List <QNode> nodes()
{
var bySystem = new LazyDictionary <string, List <LiveSystem> > (system => new List <LiveSystem>());
each(systems, liveSystem => bySystem.get(liveSystem.siv().system()).Add(liveSystem));
var result = list(convert(bySystem.keys(), system => {
var liveSystems = bySystem.get(system);
var systemNode = new QNode(system, liveSystems.Count, 0);
each(liveSystems, liveSystem => {
var liveSystemNode = systemNode.add(new LiveSystemNode(liveSystem, 1, 0));
var liveMarkets = list <MsivPv>(liveSystem.liveMarkets());
each(liveMarkets, liveMarket => {
try {
var symbol = new Symbol(liveMarket.market());
var liveMarketNode = new LiveMarketNode(symbol, 1, 0);
liveSystemNode.add(liveMarketNode);
var topic = new Topic(liveSystem.topicName(OrderTable.prefix, symbol.name + "." + SystemHeartbeat.SUFFIX));
topic.subscribeIfNeeded();
updateModelNodes += () => updateNode(topic, liveMarket, liveMarketNode);
symbol.subscribe(bar => recordMarketDataTickReceived(liveMarket, bar.time));
topic.subscribe(fields => {
var tickTime = fields.time("lastTickProcessed");
ticks.get(liveMarket).systemProcessed(date(tickTime));
});
} catch (Exception ex) {
LogC.err("exception caught subscribing to tick data for " + liveMarket + ", " + system, ex);
gui.alertUser("exception caught susbcribing to data for " + liveMarket + ", " + system + ".\nSkipping... see log for details.");
}
});
updateModelNodes += () => updateNode(liveSystem, liveSystemNode);
});
updateModelNodes += () => updateNode(systemNode);
return(systemNode);
}));
timerManager().everyMillis(1000, updateModelNodes, out timer);
LiveLauncher.subscribeHeartbeat(gui.launcherAvailable);
LogC.ignore(timer);
return(result);
}
public void addToFerret(Fields fields, OrderSubmitter submitter)
{
fields.put("SYMBOL", symbol.name);
details.addToFerret(fields);
duration.addToFerret(fields);
ferretSubmission = new OrderSubmission();
ferretSubmission.addToFerretOrderSubmit(fields);
fields.put("SIDE", direction.longShort("BUY", "SELL"));
fields.put("QUANTITY", size);
var config = configs.get(symbol.type());
fields.put("PLATFORM", config.platform());
fields.put("ROUTE", config.route());
fields.put("SECURITYTYPE", symbol.type().Equals("Future") ? "FUTURES" : "EQUITY");
fields.put("STATUS", "NEW");
fields.put("MESSAGETYPE", "NewOrder");
}
public void initialize()
{
each(StatusTracker.allLiveSystems(), liveSystem => {
var tag = liveSystem.bloombergTag();
var tagTotals = tags.get(tag);
each(list <MsivPv>(liveSystem.liveMarkets()), liveMarket => {
var symbol = new Symbol(new Market(liveMarket.market()));
if (!tagTotals.has(symbol))
{
var myRow = addRow(tag, nameString(symbol), rowKey(tag, symbol));
myRow["symbolHIDDEN"] = symbol;
}
var symbolTotals = tagTotals.get(symbol);
symbolTotals[liveSystem] = 0;
new Topic(liveSystem.topicName("TOMAHAWK", symbol.name + ".optimalPosition")).subscribe(fields => {
lock (symbolTotals) {
symbolTotals[liveSystem] = fields.numeric("liveValue");
lastUpdateTime.get(tag)[liveMarket] = date(fields.time("liveTimestamp"));
var total = sum(symbolTotals.Values);
gui.runOnGuiThread(() => {
var myRow = row(tag, symbol);
myRow["tomahawk"] = total;
update(myRow);
});
}
});
});
});
new Topic("Positions.QMF.>", positionsBroker_).subscribe(fields => {
var tag = fields.text("level1TagName");
var ticker = fields.text("ticker");
if (isEmpty(ticker))
{
ticker = fields.text("securityId");
}
var yellowKey = Strings.javaClassify(fields.text("yellowKey").ToLower());
gui.runOnGuiThread(() => {
var myRow = row(tag, ticker, yellowKey);
myRow["aim"] = fields.numeric("currentPosition");
update(myRow);
});
});
}
void runSystem(Producer <SystemRunInfo> info, bool goLive)
{
try {
gui.disableRunButton();
runInfo = info();
simulator = runInfo.newSimulator((symbol, definition) => plots.get(symbol).Add(definition));
each(simulator.symbols, symbol => simulator.addCollectible(symbol));
simulator.addNewTradeListener(addTrade);
simulator.processBars();
} catch (Exception e) {
gui.logAndAlert("failed during simulation run", e);
return;
} finally {
runThread = null;
gui.enableRunButton();
}
gui.reportResults(this);
if (goLive)
{
simulator.goLive();
}
}
public Currency currency(Symbol symbol)
{
return(Bomb.ifNull(currencies.get(symbol), () => "can't get currency for " + symbol));
}
public virtual void cancelOrder(Order o)
{
o.cancel();
orders_.get(o.symbol).Remove(o);
}
public virtual List <Position> positions(Symbol symbol)
{
return(positions_.get(symbol));
}
public List <MarketPeriod> activePeriods(Symbol symbol)
{
return(activePeriods_.get(symbol));
}
protected void addSystem(T key, S system)
{
systems_[key] = system;
each(key.symbols(), symbol => systemsBySymbol.get(symbol).Add(system));
}
public object this[int index] {
get { return(cache.get(runs()[index])); }
set { throw new NotImplementedException(); }
}
public MarketSession session(Symbol symbol, string name)
{
return(sessions.get(symbol).get(name));
}
public Dictionary <Symbol, Bar> currentBars(DateTime date)
{
return(dictionary(symbols, s => bars.get(s)[0]));
}
Type slippageCalculator(Symbol symbol)
{
return(slippageCalculators.get(symbol));
}
public FakeBarLoader(IEnumerable <Symbol> symbols)
{
this.symbols = symbols;
bars = new LazyDictionary <Symbol, BarSpud>(s => barSpud());
slippageCalculators = new LazyDictionary <Symbol, SlippageCalculator>(s => s.slippageCalculator(bars.get(s)));
}
public string bloombergTicker(Symbol symbol)
{
return(bloombergTickers.get(symbol));
}
public Dictionary <Symbol, double> currentSlippages(DateTime date)
{
return(dictionary(symbols, s => slippageCalculators.get(s).slippage()));
}
public string type(Symbol symbol)
{
return(types.get(symbol));
}
public void subscribe(Symbol symbol, TickListener listener)
{
tickListeners.get(symbol).add(listener);
}
public void subscribe(Symbol symbol, ObservationListener listener)
{
observationListeners.get(symbol).add(listener);
}
public void addTo(LazyDictionary <Symbol, List <Pair> > dictionary)
{
dictionary.get(left).Add(this);
dictionary.get(right).Add(this);
}
public override double slippage()
{
return(fixedSlippages.get(symbol));
}