private void QuotesLogin(MessageMbtQuotes message)
{
var writePacket = QuoteSocket.MessageFactory.Create();
string textMessage = "G|100=DEMOXJSP;8055=demo01\n";
if (debug)
{
log.Debug("Login response: " + textMessage);
}
writePacket.DataOut.Write(textMessage.ToCharArray());
QuotePacketQueue.Enqueue(writePacket, message.SendUtcTime);
}
private unsafe void SymbolRequest(LimeQuoteMessage message)
{
LimeQuotesInterop.subscription_request_msg *subRequest = (LimeQuotesInterop.subscription_request_msg *)message.Ptr;
String symbol = "";
for (int i = 0; subRequest->syb_symbols[i] != 0; i++)
{
symbol += (char)subRequest->syb_symbols[i];
}
var symbolInfo = Factory.Symbol.LookupSymbol(symbol);
log.Info("Lime: Received symbol request for " + symbolInfo);
ProviderSimulator.AddSymbol(symbolInfo.Symbol);
var writePacket = (LimeQuoteMessage)QuoteSocket.MessageFactory.Create();
LimeQuotesInterop.subscription_reply_msg *reply = (LimeQuotesInterop.subscription_reply_msg *)writePacket.Ptr;
reply->msg_type = LimeQuotesInterop.limeq_message_type.SUBSCRIPTION_REPLY;
var msg_len = (ushort)sizeof(LimeQuotesInterop.subscription_reply_msg);
reply->msg_len = Reverse(msg_len);
writePacket.Length = msg_len;
reply->outcome = LimeQuotesInterop.subscription_outcome.SUBSCRIPTION_SUCCESSFUL;
for (int i = 0; i < 4; i++)
{
reply->qsid[i] = subRequest->qsid[i];
}
QuotePacketQueue.Enqueue(writePacket, message.SendUtcTime);
var bookRebuildMessage = (LimeQuoteMessage)QuoteSocket.MessageFactory.Create();
LimeQuotesInterop.book_rebuild_msg *book = (LimeQuotesInterop.book_rebuild_msg *)bookRebuildMessage.Ptr;
book->msg_type = LimeQuotesInterop.limeq_message_type.BOOK_REBUILD;
msg_len = (ushort)sizeof(LimeQuotesInterop.book_rebuild_msg);
book->msg_len = Reverse(msg_len);
bookRebuildMessage.Length = msg_len;
book->symbol_index = (uint)symbolInfo.BinaryIdentifier;
for (int i = 0; i < symbol.Length; i++)
{
book->symbol[i] = (byte)symbol[i];
}
QuotePacketQueue.Enqueue(bookRebuildMessage, message.SendUtcTime);
}
private unsafe void QuotesLogin(LimeQuoteMessage packetQuotes)
{
LimeQuotesInterop.login_request_msg *message = (LimeQuotesInterop.login_request_msg *)packetQuotes.Ptr;
if (Reverse(message->msg_len) != 80 || message->msg_type != LimeQuotesInterop.limeq_message_type.LOGIN_REQUEST ||
message->ver_major != LimeQuotesInterop.LIMEQ_MAJOR_VER ||
message->ver_minor != LimeQuotesInterop.LIMEQ_MINOR_VER ||
message->session_type != LimeQuotesInterop.app_type.CPP_API ||
message->auth_type != LimeQuotesInterop.auth_types.CLEAR_TEXT ||
message->heartbeat_interval != LimeQuotesInterop.heartbeat)
{
log.Error("Login message not matched");
}
string userName = "";;
for (int i = 0; i < LimeQuotesInterop.UNAME_LEN && message->uname[i] > 0; i++)
{
userName += (char)message->uname[i];
}
string password = "";;
for (int i = 0; i < LimeQuotesInterop.PASSWD_LEN && message->passwd[i] > 0; i++)
{
password += (char)message->passwd[i];
}
var writePacket = (LimeQuoteMessage)QuoteSocket.MessageFactory.Create();
LimeQuotesInterop.login_response_msg *reseponse = (LimeQuotesInterop.login_response_msg *)writePacket.Ptr;
reseponse->msg_type = LimeQuotesInterop.limeq_message_type.LOGIN_RESPONSE;
reseponse->msg_len = Reverse(8);
writePacket.Length = 8;
reseponse->ver_minor = message->ver_minor;
reseponse->ver_major = message->ver_major;
reseponse->heartbeat_interval = message->heartbeat_interval;
reseponse->timeout_interval = message->timeout_interval;
reseponse->response_code = LimeQuotesInterop.reject_reason_code.LOGIN_SUCCEEDED;
QuotePacketQueue.Enqueue(writePacket, packetQuotes.SendUtcTime);
}
unsafe private void SendSide(SymbolInfo symbol, TickIO tick, bool isSell)
{
var symbolID = symbol.BinaryIdentifier;
var lastTick = lastTicks[symbol.BinaryIdentifier];
var message = QuoteSocket.MessageFactory.Create();
var quoteMessage = (LimeQuoteMessage)message;
var isTrade = tick.IsTrade;
var isQuote = tick.IsQuote;
if (trace)
{
log.TraceFormat("quote isTrade={0} isQuote={1}", isTrade, isQuote);
}
if (isTrade)
{
var trade = (LimeQuotesInterop.trade_msg *)quoteMessage.Ptr;
trade->common.msg_type = LimeQuotesInterop.limeq_message_type.TRADE;
var msg_len = (ushort)sizeof(LimeQuotesInterop.trade_msg);
trade->common.msg_len = Reverse(msg_len);
quoteMessage.Length = msg_len;
trade->common.shares = LimeQuotesProvider.Reverse((uint)tick.Size);
trade->total_volume = LimeQuotesProvider.Reverse((uint)tick.Volume);
switch (tick.Side)
{
case TradeSide.Buy:
trade->common.side = LimeQuotesInterop.quote_side.BUY;
break;
case TradeSide.Sell:
trade->common.side = LimeQuotesInterop.quote_side.SELL;
break;
default:
trade->common.side = LimeQuotesInterop.quote_side.NONE;
break;
}
Int32 mantissa;
sbyte exponent;
LimeQuoteMessage.DoubleToPrice(tick.Price, out mantissa, out exponent);
trade->common.price_mantissa = mantissa;
trade->common.price_exponent = exponent;
trade->common.symbol_index = (uint)symbolID;
// We steal the order_id field to send the upper 32 bits of the timaestamp
trade->common.timestamp = (uint)tick.UtcTime.Internal;
trade->common.order_id = (uint)(tick.UtcTime.Internal >> 32);
}
else if (isQuote)
{
bool priceChanged = true;
if (isSell && tick.Bid != lastTick.Bid)
{
priceChanged = true;
}
else if (!isSell && tick.Ask != lastTick.Ask)
{
priceChanged = true;
}
if (priceChanged)
{
var order = (LimeQuotesInterop.order_msg *)quoteMessage.Ptr;
order->common.msg_type = LimeQuotesInterop.limeq_message_type.ORDER;
var msg_len = (ushort)sizeof(LimeQuotesInterop.order_msg);
order->common.msg_len = Reverse(msg_len);
quoteMessage.Length = msg_len;
order->common.quote_flags = 1;
order->common.shares = LimeQuotesProvider.Reverse((uint)Math.Max(tick.Size, 1));
Int32 mantissa;
sbyte exponent;
if (isSell)
{
order->common.side = LimeQuotesInterop.quote_side.SELL;
}
else
{
order->common.side = LimeQuotesInterop.quote_side.BUY;
}
if (order->common.side == LimeQuotesInterop.quote_side.BUY)
{
LimeQuoteMessage.DoubleToPrice(tick.Bid, out mantissa, out exponent);
order->common.price_mantissa = mantissa;
order->common.price_exponent = exponent;
if (trace)
{
log.TraceFormat("Sending Ask {0}", tick.Bid);
}
}
else if (order->common.side == LimeQuotesInterop.quote_side.SELL)
{
LimeQuoteMessage.DoubleToPrice(tick.Ask, out mantissa, out exponent);
order->common.price_mantissa = mantissa;
order->common.price_exponent = exponent;
if (trace)
{
log.TraceFormat("Sending Bid {0}", tick.Ask);
}
}
order->common.symbol_index = (uint)symbolID;
// We steal the order_id field to send the upper 32 bits of the timaestamp
order->common.timestamp = (uint)tick.UtcTime.Internal;
order->common.order_id = (uint)(tick.UtcTime.Internal >> 32);
QuotePacketQueue.Enqueue(quoteMessage, tick.UtcTime.Internal);
if (trace)
{
log.Trace("Enqueued tick packet: " + new TimeStamp(tick.UtcTime.Internal));
}
}
}
else
{
throw new NotImplementedException("Tick is neither Trade nor Quote");
}
}
protected override void TrySendTick(SymbolInfo symbol, TickIO tick)
{
if (trace)
{
log.Trace("TrySendTick( " + symbol + " " + tick + ")");
}
var quoteMessage = QuoteSocket.MessageFactory.Create();
var lastTick = lastTicks[symbol.BinaryIdentifier];
var buffer = quoteMessage.Data.GetBuffer();
var position = quoteMessage.Data.Position;
quoteMessage.Data.SetLength(1024);
if (tick.IsTrade)
{
var index = 0;
var snippet = tradeSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
// Symbol
var value = symbol.Symbol.ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
++index; snippet = tradeSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
// Price
var len = ConvertPriceToBytes(tick.lPrice);
var pos = len;
for (var i = 0; i < len; i++)
{
buffer[position] = (byte)bytebuffer[--pos];
++position;
}
++index; snippet = tradeSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
// Size
value = tick.Size.ToString().ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
++index; snippet = tradeSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
// Bid
if (tick.lBid != lastTick.lBid)
{
value = ("2003=" + tick.Bid + ";").ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
}
++index; snippet = tradeSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
// Ask
if (tick.lAsk != lastTick.lAsk)
{
value = ("2004=" + tick.Ask + ";").ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
}
++index; snippet = tradeSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
// Ask size
var askSize = Math.Max((int)tick.AskLevel(0), 1);
if (askSize != lastTick.AskLevel(0))
{
value = ("2005=" + askSize + ";").ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
}
++index; snippet = tradeSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
// Bid size
var bidSize = Math.Max((int)tick.BidLevel(0), 1);
if (bidSize != lastTick.BidLevel(0))
{
value = ("2006=" + bidSize + ";").ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
}
++index; snippet = tradeSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
}
else
{
var index = 0;
var snippet = quoteSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
var value = symbol.Symbol.ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
++index; snippet = quoteSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
if (tick.lBid != lastTick.lBid)
{
value = ("2003=" + tick.Bid + ";").ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
}
++index; snippet = quoteSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
if (tick.lAsk != lastTick.lAsk)
{
value = ("2004=" + tick.Ask + ";").ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
}
++index; snippet = quoteSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
var askSize = Math.Max((int)tick.AskLevel(0), 1);
if (askSize != lastTick.AskLevel(0))
{
value = ("2005=" + askSize + ";").ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
}
++index; snippet = quoteSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
var bidSize = Math.Max((int)tick.BidLevel(0), 1);
if (bidSize != lastTick.BidLevel(0))
{
value = ("2006=" + bidSize + ";").ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
}
++index; snippet = quoteSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
}
var strValue = (tick.UtcTime.TimeOfDay + "." + tick.UtcTime.Microsecond.ToString("000") + ";2015=" + tick.UtcTime.Month.ToString("00") +
"/" + tick.UtcTime.Day.ToString("00") + "/" + tick.UtcTime.Year + "\n").ToCharArray();
for (var i = 0; i < strValue.Length; i++)
{
buffer[position] = (byte)strValue[i];
++position;
}
if (trace)
{
var message = Encoding.ASCII.GetString(buffer, 0, (int)position);
log.Trace("Tick message: " + message);
}
quoteMessage.Data.Position = position;
quoteMessage.Data.SetLength(position);
lastTick.Inject(tick.Extract());
if (trace)
{
log.Trace("Added tick to packet: " + tick.UtcTime);
}
quoteMessage.SendUtcTime = tick.UtcTime.Internal;
if (quoteMessage.Data.GetBuffer().Length == 0)
{
return;
}
QuotePacketQueue.Enqueue(quoteMessage, quoteMessage.SendUtcTime);
if (trace)
{
log.Trace("Enqueued tick packet: " + new TimeStamp(quoteMessage.SendUtcTime));
}
}