private void SessionHolderOnOrderBook(OrderBookInfo info)
{
if (!ProcessErrorCode(info.RpCode))
{
return;
}
SendOutMessage(new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = info.Symbol,
BoardCode = info.Exchange ?? AssociatedBoardCode
},
Bids = info.Bids.Select(b => new QuoteChange(Sides.Buy, b.Price.ToDecimal() ?? 0, b.Size)
{
BoardCode = b.Exchange
}).ToArray(),
Asks = info.Asks.Select(b => new QuoteChange(Sides.Sell, b.Price.ToDecimal() ?? 0, b.Size)
{
BoardCode = b.Exchange
}).ToArray(),
ServerTime = RithmicUtils.ToTime(info.Ssboe, info.Usecs),
});
}
private void Handle(OrderBookInfo orderBookInfo)
{
if (orderBookInfo.SellLimitOrders != null && orderBookInfo.BuyLimitOrders != null)
{
var isValid = true;
if (orderBookInfo.SellLimitOrders.Any() && orderBookInfo.BuyLimitOrders.Any())
{
isValid = orderBookInfo.SellLimitOrders.Min(o => o.Price) >
orderBookInfo.BuyLimitOrders.Max(o => o.Price);
}
if (isValid)
{
_orderBooksService.Update(new OrderBook
{
AssetPairId = orderBookInfo.AssetPairId,
Timestamp = orderBookInfo.Timestamp,
LimitOrders = orderBookInfo.SellLimitOrders
.OrderByDescending(o => o.Price)
.Union(orderBookInfo.BuyLimitOrders.OrderBy(o => o.Price))
.ToList()
});
}
}
}
public override void LimitOrderBook(OrderBookInfo oInfo)
{
StringBuilder sb = new StringBuilder();
oInfo.Dump(sb);
Console.Out.Write(sb);
}
public override void EndElement(string endElement)
{
if ("instrument" == endElement)
{
long id = GetLongValue(Id, 0L);
String name = GetStringValue(Name);
string symbol = GetStringValue(Symbol);
string isin = GetStringValue(UnderlyingIsin);
string assetClass = GetStringValue(AssetClass);
UnderlyingInfo underlying = new UnderlyingInfo(symbol, isin, assetClass);
DateTime startTime = GetDateTime(StartTime, DateTime.MinValue);
DateTime? expiryTime = GetDateTime(EndTime);
TimeSpan openOffset = GetTimeSpan(OpeningOffset, TimeSpan.MinValue);
TimeSpan closeOffset = GetTimeSpan(ClosingOffset, TimeSpan.MinValue);
string timeZone = GetStringValue(Timezone);
List <DayOfWeek> daysOfWeek = GetDaysOfWeek();
CalendarInfo calendarInfo = new CalendarInfo(startTime, expiryTime, openOffset, closeOffset, timeZone, daysOfWeek);
decimal marginRate = GetDecimalValue(Margin, 0);
decimal maximumPosition = GetDecimalValue(MaximumPositionThreshold, 0);
RiskInfo riskInfo = new RiskInfo(marginRate, maximumPosition);
decimal priceIncrement = GetDecimalValue(PriceIncrement, 0);
decimal quantityIncrement = GetDecimalValue(OrderQuantityIncrement, 0);
decimal volatilityBandPercentage = GetDecimalValue(RetailVolatilityBandPercentage, 0);
OrderBookInfo orderBookInfo = new OrderBookInfo(priceIncrement, quantityIncrement, volatilityBandPercentage);
string currency = GetStringValue(Currency);
decimal unitPrice = GetDecimalValue(UnitPrice, 0);
string unitOfMeasure = GetStringValue(ContractUnitMeasure);
decimal contractSize = GetDecimalValue(ContractSize, 0);
ContractInfo contractInfo = new ContractInfo(currency, unitPrice, unitOfMeasure, contractSize);
decimal minimumCommission = GetDecimalValue(MinimumCommission, 0);
decimal?aggressiveCommissionRate = GetDecimalValue(AggressiveCommisionRate);
decimal?passiveCommissionRate = GetDecimalValue(PassiveCommissionRate);
decimal?aggressiveCommissionPerContract = GetDecimalValue(AggressiveCommissionPerContract);
decimal?passiveCommissionPerContract = GetDecimalValue(PassiveCommissionPerContract);
string fundingBaseRate = GetStringValue(FundingBaseRate);
int dailyInterestRateBasis = GetIntValue(DailyInteresetRateBasis, 0);
decimal?fundingPremiumPercentage = GetDecimalValue(FundingPremiumPercentage);
decimal?fundingReductionPercentage = GetDecimalValue(FundingReductionPercentage);
decimal?longSwapPoints = GetDecimalValue(LongSwapPoints);
decimal?shortSwapPoints = GetDecimalValue(ShortSwapPoints);
CommercialInfo commercialInfo = new CommercialInfo(minimumCommission, aggressiveCommissionRate, passiveCommissionRate,
aggressiveCommissionPerContract, passiveCommissionPerContract,
fundingBaseRate, dailyInterestRateBasis,
fundingPremiumPercentage, fundingReductionPercentage, longSwapPoints, shortSwapPoints);
_instruments.Add(new Instrument(id, name, underlying, calendarInfo, riskInfo, orderBookInfo, contractInfo, commercialInfo));
}
}
/* ----------------------------------------------------------- */
public override void LimitOrderBook(OrderBookInfo oInfo)
{
StringBuilder sb = new StringBuilder();
oInfo.Dump(sb);
debug(sb);
}
public Instrument(long id, string name, UnderlyingInfo underlying, CalendarInfo calendar, RiskInfo risk, OrderBookInfo orderBook, ContractInfo contract, CommercialInfo commercial)
{
this._id = id;
this._name = name;
this._underlying = underlying;
this._calendar = calendar;
this._risk = risk;
this._orderBook = orderBook;
this._contract = contract;
this._commercial = commercial;
}
public void Handle(string brokerId, string symbol, bool isBuy, DateTime timestamp, IReadOnlyList <LimitOrder> limitOrders)
{
lock (_sync)
{
var existed = _dirtyOrderBooks.Get(brokerId, symbol);
if (existed != null)
{
existed.Timestamp = timestamp;
if (isBuy)
{
existed.BuyLimitOrders = limitOrders;
}
else
{
existed.SellLimitOrders = limitOrders;
}
UpdateInOrderBookService(brokerId, existed);
UpdateInPricingService(brokerId, existed);
}
else
{
var newOrderBookInfo = new OrderBookInfo
{
Symbol = symbol,
Timestamp = timestamp
};
if (isBuy)
{
newOrderBookInfo.BuyLimitOrders = limitOrders;
}
else
{
newOrderBookInfo.SellLimitOrders = limitOrders;
}
_dirtyOrderBooks.Update(brokerId, symbol, newOrderBookInfo);
//todo: на инициализации надо сделать подругому - не надо записыват в кеш промежуточные данные, надо пройти всю инициализацию и тока потом записать в кеш все
// да и вообще надо отказаться от локального кеша и исползовать тока mynosql
UpdateInOrderBookService(brokerId, newOrderBookInfo);
UpdateInPricingService(brokerId, newOrderBookInfo);
}
}
}
private void UpdateInPricingService(string brokerId, OrderBookInfo orderBookInfo)
{
decimal?ask = null;
decimal?bid = null;
if (orderBookInfo.SellLimitOrders != null && orderBookInfo.SellLimitOrders.Any())
{
ask = orderBookInfo.SellLimitOrders.Min(o => o.Price);
}
if (orderBookInfo.BuyLimitOrders != null && orderBookInfo.BuyLimitOrders.Any())
{
bid = orderBookInfo.BuyLimitOrders.Max(o => o.Price);
}
if (ask.HasValue && bid.HasValue && ask.Value <= bid.Value)
{
return;
}
_pricingService.Update(brokerId, orderBookInfo.Symbol, orderBookInfo.Timestamp, ask, bid);
}
private void UpdateInOrderBookService(string brokerId, OrderBookInfo orderBookInfo)
{
if (orderBookInfo.SellLimitOrders != null && orderBookInfo.BuyLimitOrders != null)
{
var isValid = true;
if (orderBookInfo.SellLimitOrders.Any() && orderBookInfo.BuyLimitOrders.Any())
{
isValid = orderBookInfo.SellLimitOrders.Min(o => o.Price) >
orderBookInfo.BuyLimitOrders.Max(o => o.Price);
}
if (!isValid)
{
return;
}
}
var orders = new List <LimitOrder>();
if (orderBookInfo.SellLimitOrders != null && orderBookInfo.SellLimitOrders.Any())
{
orders.AddRange(orderBookInfo.SellLimitOrders.OrderByDescending(o => o.Price));
}
if (orderBookInfo.BuyLimitOrders != null && orderBookInfo.BuyLimitOrders.Any())
{
orders.AddRange(orderBookInfo.BuyLimitOrders.OrderBy(o => o.Price));
}
_orderBooksService.Update(brokerId, new OrderBook
{
Symbol = orderBookInfo.Symbol,
Timestamp = orderBookInfo.Timestamp,
LimitOrders = orders
});
}
public override void LimitOrderBook(OrderBookInfo info)
{
_client.OrderBook.WithDump(_receiver).WithError(MarketDataError).SafeInvoke(info);
}
private void SessionHolderOnOrderBook(OrderBookInfo info)
{
if (!ProcessErrorCode(info.RpCode))
return;
SendOutMessage(new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = info.Symbol,
BoardCode = info.Exchange ?? AssociatedBoardCode
},
Bids = info.Bids.Select(b => new QuoteChange(Sides.Buy, b.Price.ToDecimal() ?? 0, b.Size) { BoardCode = b.Exchange }).ToArray(),
Asks = info.Asks.Select(b => new QuoteChange(Sides.Sell, b.Price.ToDecimal() ?? 0, b.Size) { BoardCode = b.Exchange }).ToArray(),
ServerTime = RithmicUtils.ToTime(info.Ssboe, info.Usecs),
});
}
public override void LimitOrderBook(OrderBookInfo oInfo)
{
}
public override void LimitOrderBook(OrderBookInfo oInfo)
{
StringBuilder sb = new StringBuilder();
oInfo.Dump(sb);
Console.Out.Write(sb);
}
public override void LimitOrderBook(OrderBookInfo oInfo)
{
}
public override void LimitOrderBook(OrderBookInfo info)
{
_client.OrderBook.WithDump(_receiver).WithError(MarketDataError).SafeInvoke(info);
}
/* ----------------------------------------------------------- */
public override void LimitOrderBook(OrderBookInfo oInfo)
{
StringBuilder sb = new StringBuilder();
oInfo.Dump(sb);
debug(sb);
}
