protected override void DoRequestMarketDataOrderBook(Object param)
{
string symbol = (string)param;
try
{
DoLog(string.Format("@{0}:Requesting market data order book por symbol {1}", BitmexConfiguration.Name, symbol), Main.Common.Util.Constants.MessageType.Information);
if (ActiveSecuritiesOrderBook.Values.Where(x => x.Active).Any(x => x.Symbol == symbol))
{
lock (tLock)
{
PriceLevelHandler.GetPriceLevelDict(symbol).Clear();
WSMarketDataManager.SubscribeOrderBookL2(symbol);
}
}
else
{
DoLog(string.Format("@{0}:Unsubscribing market data order book for symbol {1}", BitmexConfiguration.Name, symbol), Main.Common.Util.Constants.MessageType.Information);
}
}
catch (Exception ex)
{
DoLog(string.Format("@{0}: Error Requesting market data order book por symbol {1}:{2}", BitmexConfiguration.Name, symbol, ex.Message), Main.Common.Util.Constants.MessageType.Error);
}
}
protected void CancelMarketDataOrderBook(Security sec)
{
DoLog(string.Format("@{0}:Requesting Unsubscribe Market Data order book On Demand for Symbol: {0}", GetConfig().Name, sec.Symbol), Main.Common.Util.Constants.MessageType.Information);
if (ActiveSecuritiesOrderBook.Values.Any(x => x.Symbol == sec.Symbol))
{
lock (ActiveSecuritiesOrderBook)
{
DoRemove(ActiveSecuritiesOrderBook, sec.Symbol);
WSMarketDataManager.UnsubscribeOrderBookL2(sec.Symbol);
PriceLevelHandler.GetPriceLevelDict(sec.Symbol).Clear();
}
}
else
{
throw new Exception(string.Format("@{0}: Could not find active security to unsubscribe order book for symbol {1}", GetConfig().Name, sec.Symbol));
}
}
protected void ProcessPriceLevelIds(string action, zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.OrderBookEntry entry)
{
//First we have to process the price level Ids
if (action == "partial")
{
if (!PriceLevelHandler.GetPriceLevelDict(entry.symbol).ContainsKey(entry.id))
{
PriceLevelHandler.GetPriceLevelDict(entry.symbol).Add(entry.id, entry.price);
}
else
{
DoLog(string.Format("@{0}:WARNING1:Received PARTIAL Price Level for a price leven that already existed", BitmexConfiguration.Name), Main.Common.Util.Constants.MessageType.Error);
}
}
else if (action == "insert")
{
if (!PriceLevelHandler.GetPriceLevelDict(entry.symbol).ContainsKey(entry.id))
{
PriceLevelHandler.GetPriceLevelDict(entry.symbol).Add(entry.id, entry.price);
}
else
{
DoLog(string.Format("@{0}:WARNING1:Received INSERT Price Level for a price leven that already existed", BitmexConfiguration.Name), Main.Common.Util.Constants.MessageType.Error);
}
}
else if (action == "update" || action == "delete")
{
if (PriceLevelHandler.GetPriceLevelDict(entry.symbol).ContainsKey(entry.id))
{
decimal priceLevel = PriceLevelHandler.GetPriceLevelDict(entry.symbol)[entry.id];
entry.price = priceLevel;
}
else
{
DoLog(string.Format("@{0}:WARNING2 :Received UPDATE/REMOVE Price Level for a price leven that did not existed", BitmexConfiguration.Name), Main.Common.Util.Constants.MessageType.Error);
}
}
else
{
DoLog(string.Format("Received message for unknown action : {0}", action), Main.Common.Util.Constants.MessageType.Error);
}
}
public override bool Initialize(OnMessageReceived pOnMessageRcv, OnLogMessage pOnLogMsg, string configFile)
{
try
{
this.OnMessageRcv += pOnMessageRcv;
this.OnLogMsg += pOnLogMsg;
if (LoadConfig(configFile))
{
DoLog("Initializing WSMarketDataManager @ BitMexInstructionBasedMarketClient", Main.Common.Util.Constants.MessageType.Information);
WSMarketDataManager = new MarketDataManager(BitmexConfiguration.WebsocketURL, true);
RESTMarketDataManager = new zHFT.InstructionBasedMarketClient.BitMex.DAL.MarketDataManager(BitmexConfiguration.RESTURL);
DoLog(string.Format("Connected: {0} - Error Message: {1}", WSMarketDataManager.AuthSubscriptionResult.Success, WSMarketDataManager.AuthSubscriptionResult.ErrorMessage), Main.Common.Util.Constants.MessageType.Information);
DoLog("Initializing SecurityListManager @ BitMexInstructionBasedMarketClient", Main.Common.Util.Constants.MessageType.Information);
SecurityListManager = new DAL.REST.SecurityListManager(BitmexConfiguration.RESTURL);
PriceLevelHandler = new PriceLevelHandler();
//Securities = SecurityListManager.GetActiveSecurityList();
//ProcessContractSize(Securities);
DoLog("Assigning events @ BitMexInstructionBasedMarketClient", Main.Common.Util.Constants.MessageType.Information);
OrderBookHandler = new OrderBookHandler();
WSMarketDataManager.SubscribeResponseRequest(
BaseManager._ORDERBOOK_L2,
OrderBookSubscriptionResponse,
new object[] { });
WSMarketDataManager.SubscribeResponseRequest(
BaseManager._TRADE,
TradeSubscriptionResponse,
new object[] { });
WSMarketDataManager.SubscribeResponseRequest(
BaseManager._QUOTE,
QuoteSubscriptionResponse,
new object[] { });
WSMarketDataManager.SubscribeEvents(BaseManager._ORDERBOOK_L2, UpdateOrderBook);
WSMarketDataManager.SubscribeEvents(BaseManager._TRADE, UpdateTrade);
WSMarketDataManager.SubscribeEvents(BaseManager._QUOTE, UpdateQuotes);
ActiveSecuritiesQuotes = new Dictionary <int, Security>();
ActiveSecuritiesTrades = new Dictionary <int, Security>();
ActiveSecuritiesOrderBook = new Dictionary <int, Security>();
ContractsTimeStamps = new Dictionary <int, DateTime>();
return(true);
}
else
{
DoLog("Error initializing config file " + configFile, Main.Common.Util.Constants.MessageType.Error);
return(false);
}
}
catch (Exception ex)
{
DoLog("Critical error initializing " + configFile + ":" + ex.Message, Main.Common.Util.Constants.MessageType.Error);
return(false);
}
}
