/// <summary>
/// Write Data to file
/// </summary>
/// <param name="dataObject"> Tick Or Bar Object</param>
public void Write(MarketDataEvent dataObject)
{
try
{
//TODO: Safty Cast
if (dataObject is DetailBar)
{
//TODO : NULL Reference Check For CreateDirectoryPath
var newBar = (DetailBar)dataObject;
using (var fileStream = new FileStream(CreateDirectoryPathForBarObject(newBar.Security.Symbol, newBar, newBar.MarketDataProvider) + ".obj", FileMode.Append))
{
var bFormatter = new BinaryFormatter();
bFormatter.Serialize(fileStream, newBar);
fileStream.Close();
}
}
else if (dataObject is Tick)
{
var newTick = (Tick)dataObject;
using (var fileStream = new FileStream(CreateDirectoryPath(newTick.Security.Symbol, MarketDataType.Tick, newTick.MarketDataProvider) + ".obj", FileMode.Append))
{
var bFormatter = new BinaryFormatter();
bFormatter.Serialize(fileStream, newTick);
fileStream.Close();
}
}
}
catch (Exception exception)
{
Logger.Error(exception, _oType.FullName, "Write");
}
}
/// <summary>
/// Check all orders in the pending queue, and execute if price condition is met.
/// This is called by the OrderEvents websocket
/// </summary>
/// <param name="currency"></param>
/// <param name="data"></param>
public static void CheckPendingOrders(string currency, MarketDataEvent data)
{
Parallel.ForEach(Pending, order =>
{
var price = decimal.Parse(order.Price);
if (order.Symbol == currency)
{
if (order.Side == "buy")
{
/* If currenct price is above the stop-buy price, execute */
if (price <= data.Price)
{
order.Price = (data.Price + 0.01M).ToString();
order.ClientOrderID += "STOP";
order.Options = new string[] { "immediate-or-cancel" };
GeminiClient.PlaceOrder(order);
Pending.Remove(order);
}
}
else
{
/* if curenct price is below the stop-loss price, execute */
if (price >= data.Price)
{
/* Decrease by 10, since this is still viewed as a limit order
* by the server, and this increases our chances of getting filled */
order.Price = (data.Price - 0.01M).ToString();
order.ClientOrderID += "STOP";
GeminiClient.PlaceOrder(order);
Pending.Remove(order);
}
}
}
});
}
private string price_str(string currency, MarketDataEvent e)
{
if (LastTrades[currency] != null)
{
var diff = " (" + (e.Price - LastTrades[currency].Price).ToString("+0.00;-0.00") + ")";
return(e.Price.ToString() + diff);
}
return(e.Price.ToString());
}
/// <summary>
/// Update the connection status label with current prices
/// </summary>
private void UpdateTicker(string currency, MarketDataEvent e)
{
var ticker = Symbols
.Aggregate(new StringBuilder(), (sb, s) => sb.Append(String.Format("{0}: {1} ", s.ToUpper(), s == currency ? e.Price : LastTrades[s]?.Price)), sb => sb.ToString());
connectionStatusLabel.Text = String.Format("Connected: {0} {1}", GeminiClient.Wallet.Key(), ticker);
if (currency == null)
{
tbBtcUsdPrice.Text = LastTrades["btcusd"]?.Price.ToString();
tbEthUsdPrice.Text = LastTrades["ethusd"]?.Price.ToString();
tbEthBtcPrice.Text = LastTrades["ethbtc"]?.Price.ToString();
}
else if (currency == "btcusd")
{
tbBtcUsdPrice.Text = price_str(currency, e);
if (e.Price - LastTrades[currency].Price > 0)
{
tbBtcUsdPrice.ForeColor = System.Drawing.Color.Green;
}
else
{
tbBtcUsdPrice.ForeColor = System.Drawing.Color.Red;
}
}
else if (currency == "ethbtc")
{
tbEthBtcPrice.Text = price_str(currency, e);
if (e.Price - LastTrades[currency].Price > 0)
{
tbEthBtcPrice.ForeColor = System.Drawing.Color.Green;
}
else
{
tbEthBtcPrice.ForeColor = System.Drawing.Color.Red;
}
}
else if (currency == "ethusd")
{
tbEthUsdPrice.Text = price_str(currency, e);
if (e.Price - LastTrades[currency].Price > 0)
{
tbEthUsdPrice.ForeColor = System.Drawing.Color.Green;
}
else
{
tbEthUsdPrice.ForeColor = System.Drawing.Color.Red;
}
}
tbBtcUsdVwap.Text = V["btcusd"] != 0 ? Math.Round(PV["btcusd"] / V["btcusd"], 2).ToString() : "Calculating";
tbEthUsdVwap.Text = V["ethusd"] != 0 ? Math.Round(PV["ethusd"] / V["ethusd"], 2).ToString() : "Calculating";
tbEthBtcVwap.Text = V["ethbtc"] != 0 ? Math.Round(PV["ethbtc"] / V["ethbtc"], 4).ToString() : "Calculating";
}
/// <summary>
/// Seed the last trade dictionary
/// </summary>
public void InitialPrices()
{
Parallel.ForEach(Symbols, s =>
{
var t = GeminiClient.GetTicker(s);
LastTrades[s] = new MarketDataEvent()
{
Price = t.Last,
};
PV[s] = t.Volume.Currency2;
V[s] = t.Volume.Currency1;
});
UpdateTicker(null, null);
}
/// <summary>
/// Handles market data request reject
/// </summary>
/// <param name="reject"></param>
/// <param name="sessionId"></param>
private void OnMessage(QuickFix.FIX43.MarketDataRequestReject reject, SessionID sessionId)
{
try
{
//MarketDataReject marketDataReject = new MarketDataReject(reject.MDReqID.getValue(), reject.MDReqRejReason.getValue(), reject.Text.getValue());
MarketDataEvent marketDataReject = new MarketDataEvent(new Security(), _provider);
if (MarketDataRejectionArrived != null)
{
MarketDataRejectionArrived(marketDataReject);
}
}
catch (Exception exception)
{
Logger.Error(exception.ToString(), _type.FullName, "OnMessage");
}
}
/// <summary>
/// Writes Data to csv file.
/// Main Purpose of this Methord is to
/// check that if data is Bar or Tick
/// and handle is Respectively
/// </summary>
/// <param name="dataObject">Bar Or Tick</param>
public void Write(MarketDataEvent dataObject)
{
try
{
if (dataObject is HistoricBarData)
{
WriteHistoricBarsToFile(dataObject as HistoricBarData);
}
else if (dataObject is Bar)
{
WriteBarDataToCsvFile(dataObject as DetailBar);
}
else if (dataObject is Tick)
{
var newTick = dataObject as Tick;
WriteTickToCsvFile(newTick);
}
}
catch (Exception exception)
{
Logger.Error(exception, _oType.FullName, "WriteToFile");
}
}
private static void ApplicationControlOnDataArrived(MarketDataEvent newdata)
{
Console.WriteLine(newdata);
}
