public void StartSymbol(Receiver receiver, SymbolInfo symbol, object eventDetail)
{
TickIO tickIO = Factory.TickUtil.TickIO();
tickIO.Initialize();
tickIO.SetSymbol(symbol.BinaryIdentifier);
tickIO.SetTime(new TimeStamp(2000, 1, 1));
tickIO.SetQuote(100D, 100D);
while (!receiver.OnEvent(symbol, (int)EventType.StartHistorical, symbol))
{
Factory.Parallel.Yield();
}
var binaryBox = tickPool.Create();
binaryBox.TickBinary = tickIO.Extract();
while (!receiver.OnEvent(symbol, (int)EventType.Tick, binaryBox))
{
Factory.Parallel.Yield();
}
tickIO.Initialize();
tickIO.SetSymbol(symbol.BinaryIdentifier);
tickIO.SetTime(new TimeStamp(2000, 1, 2));
tickIO.SetQuote(101D, 101D);
binaryBox = tickPool.Create();
binaryBox.TickBinary = tickIO.Extract();
while (!receiver.OnEvent(symbol, (int)EventType.Tick, binaryBox))
{
Factory.Parallel.Yield();
}
while (!receiver.OnEvent(symbol, (int)EventType.EndHistorical, symbol))
{
Factory.Parallel.Yield();
}
}
public void SendQuote()
{
if (isQuoteInitialized || VerifyQuote())
{
if (isRunning)
{
if (Symbol.QuoteType != QuoteType.Level1)
{
if (!errorWrongLevel1Type)
{
log.Error("Received " + QuoteType.Level1 + " quote but " + Symbol + " is configured for QuoteType = " + Symbol.QuoteType + " in the symbol dictionary.");
errorWrongLevel1Type = true;
}
}
else if (Bid == 0D)
{
log.Error("Found quote bid was set to " + Bid + " so skipping this tick.");
return;
}
else if (Ask == 0D)
{
log.Error("Found quote ask was set to " + Ask + " so skipping this tick.");
return;
}
else
{
tickIO.Initialize();
tickIO.SetSymbol(Symbol.BinaryIdentifier);
tickIO.SetTime(Time);
tickIO.SetQuote(Bid, Ask, (short)BidSize, (short)AskSize);
var box = tickPool.Create(tickPoolCallerId);
var tickId = box.TickBinary.Id;
box.TickBinary = tickIO.Extract();
box.TickBinary.Id = tickId;
quotesLatency.TryUpdate(box.TickBinary.Symbol, box.TickBinary.UtcTime);
var eventItem = new EventItem(symbol, EventType.Tick, box);
agent.SendEvent(eventItem);
Interlocked.Increment(ref tickCount);
if (Diagnose.TraceTicks)
{
Diagnose.AddTick(diagnoseMetric, ref box.TickBinary);
}
if (trace)
{
log.Trace("Sent quote for " + Symbol + ": " + tickIO);
}
}
}
}
}
private bool DequeueTick()
{
LatencyManager.IncrementSymbolHandler();
var result = false;
if (tickPool.AllocatedCount >= tickPool.Capacity / 2)
{
return(false);
}
while (!quoteSimulatorSupport.QuotePacketQueue.IsFull)
{
if (!reader.TryReadTick(temporaryTick))
{
if (onEndTick != null)
{
onEndTick(id);
}
else
{
throw new ApplicationException("OnEndTick was null");
}
queueTask.Stop();
return(result);
}
tickCounter++;
if (isFirstTick)
{
currentTick.Inject(temporaryTick.Extract());
}
else
{
currentTick.Inject(nextTick.Extract());
}
isFirstTick = false;
FillSimulator.StartTick(currentTick);
nextTick.Inject(temporaryTick.Extract());
if (FillSimulator.IsChanged)
{
FillSimulator.ProcessOrders();
}
if (trace)
{
log.Trace("Dequeue tick " + nextTick.UtcTime + "." + nextTick.UtcTime.Microsecond);
}
ProcessOnTickCallBack();
result = true;
}
return(result);
}
public void SendQuote()
{
if (isInitialized)
{
if (symbol.QuoteType == QuoteType.Level1)
{
tickIO.Initialize();
tickIO.SetSymbol(symbol.BinaryIdentifier);
tickIO.SetTime(TimeStamp.UtcNow);
tickIO.SetQuote(Bid, Ask, (ushort)BidSize, (ushort)AskSize);
TickBinary binary = tickIO.Extract();
receiver.OnSend(ref binary);
}
}
else
{
VerifyInitialized();
}
}
public bool TryAdd(TickIO tickIO)
{
if (!isInitialized)
{
throw new ApplicationException("Please initialized TickWriter first.");
}
TickBinary tick = tickIO.Extract();
return(writeQueue.TryEnqueue(ref tick));
}
public void SendQuote()
{
if (isQuoteInitialized || VerifyQuote())
{
if (isRunning)
{
if (symbol.QuoteType != QuoteType.Level1)
{
if (!errorWrongLevel1Type)
{
log.Error("Received " + QuoteType.Level1 + " quote but " + symbol + " is configured for QuoteType = " + symbol.QuoteType + " in the symbol dictionary.");
errorWrongLevel1Type = true;
}
}
else if (Bid == 0D)
{
log.Error("Found quote bid was set to " + Bid + " so skipping this tick.");
return;
}
else if (Ask == 0D)
{
log.Error("Found quote ask was set to " + Ask + " so skipping this tick.");
return;
}
else
{
tickIO.Initialize();
tickIO.SetSymbol(symbol.BinaryIdentifier);
tickIO.SetTime(Time);
tickIO.SetQuote(Bid, Ask, (short)BidSize, (short)AskSize);
var box = tickPool.Create();
box.TickBinary = tickIO.Extract();
receiver.OnEvent(symbol, (int)EventType.Tick, box);
if (trace)
{
log.Trace("Sent tick for " + symbol + ": " + tickIO);
}
}
}
}
}
private void SendTick()
{
lastTick.Copy(tick, tick.ContentMask);
TickBinary binary = new TickBinary();
binary = tick.Extract();
lastChangeTime = Environment.TickCount;
receiver.OnEvent(symbol, (int)EventType.Tick, binary);
if (debug)
{
log.Debug("Sent Tick: " + tick);
}
}
private void DequeueTick()
{
LatencyManager.IncrementSymbolHandler();
if (!reader.TryReadTick(temporaryTick))
{
if (onEndTick == null)
{
throw new ApplicationException("OnEndTick was null");
}
onEndTick(id);
endOfTickData = true;
queueTask.Resume();
if (debug)
{
log.Debug("End Of Tick Data.");
}
return;
}
tickCounter++;
if (isFirstTick)
{
currentTick.Inject(temporaryTick.Extract());
}
else
{
currentTick.Inject(nextTick.Extract());
}
isFirstTick = false;
FillSimulator.StartTick(currentTick);
nextTick.Inject(temporaryTick.Extract());
tickSync.AddTick(nextTick);
if (trace)
{
log.Trace("Dequeue tick " + nextTick.UtcTime + "." + nextTick.UtcTime.Microsecond);
}
ProcessOnTickCallBack();
}
public bool TryAdd(TickIO tickIO)
{
if (!isInitialized)
{
throw new ApplicationException("Please initialized TickWriter first.");
}
TickBinary tick = tickIO.Extract();
var result = writeQueue.TryEnqueue(ref tick);
if (result)
{
Interlocked.Increment(ref appendCounter);
}
return(result);
}
private Yield DequeueTick()
{
LatencyManager.IncrementSymbolHandler();
var result = Yield.NoWork.Repeat;
if (isFirstTick)
{
if (!reader.TryReadTick(currentTick))
{
return(result);
}
}
else
{
currentTick.Inject(nextTick.Extract());
if (!reader.TryReadTick(nextTick))
{
return(result);
}
}
tickCounter++;
if (isFirstTick)
{
playbackOffset = fixSimulatorSupport.GetRealTimeOffset(currentTick.UtcTime.Internal);
prevTickTime = TimeStamp.UtcNow.Internal + 5000000;
}
currentTick.SetTime(new TimeStamp(GetNextUtcTime(currentTick.lUtcTime)));
prevTickTime = currentTick.UtcTime.Internal;
if (tickCounter > 10)
{
intervalTime = 1000;
}
isFirstTick = false;
FillSimulator.StartTick(currentTick);
if (trace)
{
log.Trace("Dequeue tick " + nextTick.UtcTime + "." + nextTick.UtcTime.Microsecond);
}
return(Yield.DidWork.Invoke(ProcessTick));
}
protected override void TrySendTick(SymbolInfo symbol, TickIO tick)
{
SendSide(symbol, tick, true);
if (tick.IsQuote)
{
#if NOTUSED
bool result;
if (!isFirstTick.TryGetValue(symbol.BinaryIdentifier, out result))
{
isFirstTick.Add(symbol.BinaryIdentifier, true);
}
else
{
var tickSync = SyncTicks.GetTickSync(symbol.BinaryIdentifier);
tickSync.AddTick(tick);
}
#endif
SendSide(symbol, tick, false);
}
var lastTick = lastTicks[symbol.BinaryIdentifier];
lastTick.Inject(tick.Extract());
}
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));
}
}
public void Copy(TickIO tick)
{
Copy(tick, tick.Extract().contentMask);
}
