public InstrumentModel GetInstrument(string epic)
{
var market = Instruments.FirstOrDefault(m => m.Epic == epic);
if (market == null)
{
var detail = GetMarketDetails(epic);
market = new InstrumentModel();
market.DealingRuleData = detail.dealingRules;
market.InstrumentData = detail.instrument;
market.SnapshotData = detail.snapshot;
market.Epic = epic;
market.InstrumentName = market.InstrumentData.name;
market.Offer = market.SnapshotData.offer;
market.Bid = market.SnapshotData.bid;
market.High = market.SnapshotData.high;
market.Low = market.SnapshotData.low;
Instruments.Add(market);
SubscribeL1WatchlistPrices();
}
return(market);
}
private void Client_ExecutionsError(object sender, InstrumentIdErrorEventArgs e)
{
var i = Instruments.FirstOrDefault(m => m.Id == e.InstrumentId);
if (i != null)
{
i.LastError = (e.Exception.GetBaseException() ?? e.Exception).Message;
}
}
private void StartLoad()
{
try
{
IsConnected = _bitmexApiSocketService.Connect();
}
catch (Exception e)
{
MessageBox.Show(e.Message);
}
if (IsConnected)
{
_bitmexApiSocketService.Subscribe(BitmexApiSubscriptionInfo <IEnumerable <InstrumentDto> > .Create(SubscriptionType.instrument,
dtos =>
{
foreach (var instrumentDto in dtos)
{
lock (_syncObj)
{
var existing = Instruments.FirstOrDefault(a => a.Symbol == instrumentDto.Symbol);
if (existing != null)
{
Mapper.Map <InstrumentDto, InstrumentModel>(instrumentDto, existing);
}
else
{
Instruments.Add(Mapper.Map <InstrumentDto, InstrumentModel>(instrumentDto));
}
}
}
}));
_bitmexApiSocketService.Subscribe(BitmexApiSubscriptionInfo <IEnumerable <OrderDto> > .Create(SubscriptionType.order,
dtos =>
{
foreach (var order in dtos)
{
lock (_syncObjOrders)
{
var existing = OrderUpdates.FirstOrDefault(a => a.OrderId == order.OrderId);
if (existing != null)
{
Mapper.Map <OrderDto, OrderUpdateModel>(order, existing);
}
else
{
OrderUpdates.Add(Mapper.Map <OrderDto, OrderUpdateModel>(order));
}
}
OnPropertyChanged(nameof(OrderUpdates));
}
}));
}
}
private void Client_PositionsReceived(object sender, CollectionReceivedEventArgs <Position> e)
{
var i = Instruments.FirstOrDefault(m => m.Id == e.Data[0].InstrumentId);
if (i != null)
{
i.LastError = null;
lock (Positions)
{
foreach (var m in e.Data)
{
Positions.Add(new PositionEntry(e.Action, i, m));
}
const int MAX = 100;
while (Positions.Count > 100)
{
Positions.RemoveAt(Positions.Count - 1 - MAX);
}
}
lock (ActivePositions)
{
// 対象のInstrumentのポジションのみを対象に副作用を与える
var activePositions = ActivePositions.Where(p => p.Instrument.Id.Equals(i.Id)).ToList();
if (e.Action == NotifyCollectionChangedAction.Add ||
e.Action == NotifyCollectionChangedAction.Replace)
{
// Add,Replace が来たらスナップショット受信とみなして入れ替える
foreach (var ap in activePositions)
{
ActivePositions.Remove(ap);
}
foreach (var m in e.Data)
{
ActivePositions.Add(new PositionEntry(e.Action, i, m));
}
}
else if (e.Action == NotifyCollectionChangedAction.Remove ||
e.Action == NotifyCollectionChangedAction.Reset)
{
// Remove,Reset が来たらポジションが全て決済されたとみなして削除する
foreach (var ap in activePositions)
{
ActivePositions.Remove(ap);
}
}
else if (e.Action == NotifyCollectionChangedAction.Move)
{
}
}
}
}
// TODO: wamp sends strange tickprices with ask=bid, temporary switch to direct rabbitmq connection
// private void StartWampConnection()
// {
// var wampSettings = new WampSubscriberSettings()
// {
// Address = Config.WampEndpoint.Url,
// Realm = Config.WampEndpoint.PricesRealm,
// Topics = Instruments.SelectMany(i => new string[] {
// String.Format(Config.WampEndpoint.PricesTopic, i.Name.ToLowerInvariant(), "ask", "sec"),
// String.Format(Config.WampEndpoint.PricesTopic, i.Name.ToLowerInvariant(), "bid", "sec") }).ToArray()
// };
//
// this.wampSubscriber = new WampSubscriber<Candle>(wampSettings, this.LykkeLog)
// .Subscribe(HandlePrice);
//
// this.wampSubscriber.Start();
// }
/// <summary>
/// Called on incoming prices
/// </summary>
/// <param name="candle">Incoming candlestick</param>
/// <remarks>Can be called simultaneously from multiple threads</remarks>
private async Task HandlePrice(Candle candle)
{
var instrument = Instruments.FirstOrDefault(i => string.Equals(i.Name, candle.Asset, StringComparison.InvariantCultureIgnoreCase));
if (instrument != null)
{
var tickPrice = new TickPrice(
instrument,
candle.Timestamp,
ask: candle.L,
bid: candle.H);
await _tickPriceHandler.Handle(tickPrice);
}
}
private void PopulateJobs()
{
var dataUpdateJobKeys = _scheduler.GetJobKeys(GroupMatcher <JobKey> .AnyGroup());
foreach (JobKey job in dataUpdateJobKeys)
{
IJobDetail jobDetails = _scheduler.GetJobDetail(job);
if (job.Group == JobTypes.DataUpdate)
{
try
{
var jd = JsonConvert.DeserializeObject <DataUpdateJobSettings>((string)jobDetails.JobDataMap["settings"]);
if (jd.InstrumentID.HasValue)
{
jd.Instrument = Instruments.FirstOrDefault(x => x.ID == jd.InstrumentID.Value);
}
if (jd.TagID.HasValue)
{
jd.Tag = Tags.FirstOrDefault(x => x.ID == jd.TagID.Value);
}
Jobs.Add(new DataUpdateJobViewModel(jd, _scheduler));
}
catch (Exception e)
{
_logger.Error(e, "Failed to deserialize data update job");
}
}
else if (job.Group == JobTypes.EconomicRelease)
{
try
{
var jd = JsonConvert.DeserializeObject <EconomicReleaseUpdateJobSettings>((string)jobDetails.JobDataMap["settings"]);
Jobs.Add(new EconomicReleaseUpdateJobViewModel(jd, _scheduler));
}
catch (Exception e)
{
_logger.Error(e, "Failed to deserialize economic release update job");
}
}
}
}
private void Client_ExecutionsReceived(object sender, CollectionReceivedEventArgs <Execution> e)
{
var i = Instruments.FirstOrDefault(m => m.Id == e.Data[0].InstrumentId);
if (i != null)
{
i.LastError = null;
lock (Executions)
{
foreach (var m in e.Data)
{
Executions.Add(new ExecutionEntry(e.Action, i, m));
}
const int MAX = 100;
while (Executions.Count > 100)
{
Executions.RemoveAt(Executions.Count - 1 - MAX);
}
}
}
}
private void BitFlyer_ChildOrdersReceived(object sender, CollectionReceivedEventArgs <BitFlyerChildOrder> e)
{
var i = Instruments.FirstOrDefault(m => m.Id == e.Data[0].InstrumentId);
if (i != null)
{
i.LastError = null;
lock (ChildOrders)
{
foreach (var m in e.Data)
{
ChildOrders.Add(new ChildOrderEntry(e.Action, i, m));
}
const int MAX = 100;
while (ChildOrders.Count > 100)
{
ChildOrders.RemoveAt(ChildOrders.Count - 1 - MAX);
}
}
}
}
private async Task HandleOrderBook(OrderBook orderBook)
{
var instrument = Instruments.FirstOrDefault(x => string.Compare(x.Name, orderBook.AssetPair, StringComparison.InvariantCultureIgnoreCase) == 0);
if (instrument == null && Config.UseSupportedCurrencySymbolsAsFilter == false)
{
instrument = new Instrument(Name, orderBook.AssetPair);
}
if (instrument != null)
{
if (orderBook.Prices.Any())
{
decimal bestBid = 0;
decimal bestAsk = 0;
if (orderBook.IsBuy)
{
_lastBids[instrument.Name] = bestBid = orderBook.Prices.Select(x => x.Price).OrderByDescending(x => x).First();
bestAsk = _lastAsks.ContainsKey(instrument.Name) ? _lastAsks[instrument.Name] : 0;
}
else
{
_lastAsks[instrument.Name] = bestAsk = orderBook.Prices.Select(x => x.Price).OrderBy(x => x).First();
bestBid = _lastBids.ContainsKey(instrument.Name) ? _lastBids[instrument.Name] : 0;
}
if (bestBid > 0 && bestAsk > 0)
{
var tickPrice = new TickPrice(instrument, orderBook.Timestamp, bestAsk, bestBid);
await _tickPriceHandler.Handle(tickPrice);
await _orderBookHandler.Handle(orderBook);
}
}
}
}
private void StartLoad()
{
try
{
IsConnected = _bitmexApiSocketService.Connect();
}
catch (Exception e)
{
MessageBox.Show(e.Message);
}
if (IsConnected)
{
_bitmexApiSocketService.Subscribe(BitmetSocketSubscriptions.CreateInstrumentSubsription(
message =>
{
foreach (var instrumentDto in message.Data)
{
lock (_syncObj)
{
var existing = Instruments.FirstOrDefault(a => a.Symbol == instrumentDto.Symbol);
if (existing != null && message.Action == BitmexActions.Update)
{
Mapper.Map <InstrumentDto, InstrumentModel>(instrumentDto, existing);
}
else if (message.Action != BitmexActions.Partial && message.Action != BitmexActions.Delete)
{
Instruments.Add(Mapper.Map <InstrumentDto, InstrumentModel>(instrumentDto));
}
}
}
}));
_bitmexApiSocketService.Subscribe(BitmetSocketSubscriptions.CreateOrderSubsription(
message =>
{
foreach (var order in message.Data)
{
lock (_syncObjOrders)
{
var existing = OrderUpdates.FirstOrDefault(a => a.OrderId == order.OrderId);
if (existing != null && message.Action == BitmexActions.Update)
{
Mapper.Map <OrderDto, OrderUpdateModel>(order, existing);
}
else if (message.Action != BitmexActions.Partial && message.Action != BitmexActions.Delete)
{
OrderUpdates.Add(Mapper.Map <OrderDto, OrderUpdateModel>(order));
}
}
OnPropertyChanged(nameof(OrderUpdates));
}
}));
_bitmexApiSocketService.Subscribe(BitmetSocketSubscriptions.CreateOrderBook10Subsription(
message =>
{
foreach (var dto in message.Data)
{
if (dto.Symbol != "XBTUSD")
{
continue;
}
lock (_syncObjOrderBook10)
{
OrderBook10 = dto.Asks.Select(a =>
new OrderBookModel {
Direction = "Sell", Price = a[0], Size = a[1]
})
.Union(dto.Asks.Select(a =>
new OrderBookModel {
Direction = "Buy", Price = a[0], Size = a[1]
})).ToList();
}
OnPropertyChanged(nameof(OrderBook10));
}
}));
_bitmexApiSocketService.Subscribe(BitmetSocketSubscriptions.CreateOrderBookL2Subsription(
message =>
{
foreach (var dto in message.Data)
{
if (dto.Symbol != "XBTUSD")
{
continue;
}
lock (_syncObjOrderBookL2)
{
if (message.Action == BitmexActions.Insert || message.Action == BitmexActions.Partial)
{
OrderBookL2.Add(Mapper.Map <OrderBookDto, OrderBookModel>(dto));
}
if (message.Action == BitmexActions.Delete)
{
var existing = OrderBookL2.FirstOrDefault(a => a.Id == dto.Id);
if (existing != null)
{
OrderBookL2.Remove(existing);
}
}
if (message.Action == BitmexActions.Update)
{
var existing = OrderBookL2.FirstOrDefault(a => a.Id == dto.Id);
if (existing == null)
{
OrderBookL2.Add(Mapper.Map <OrderBookDto, OrderBookModel>(dto));
}
else
{
Mapper.Map <OrderBookDto, OrderBookModel>(dto, existing);
}
}
}
OnPropertyChanged(nameof(OrderBook10));
}
}));
}
}