static void ProcessIncomingDataStream(OpenApiMessagesFactory msgFactory, byte[] rawData)
{
var _msg = msgFactory.GetMessage(rawData);
if (isDebugIsOn)
{
Console.WriteLine("ProcessIncomingDataStream() Message received:\n{0}", OpenApiMessagesPresentation.ToString(_msg));
}
if (!_msg.payloadSpecified)
{
return;
}
switch (_msg.payloadType)
{
case (int)ProtoPayloadType.HEARTBEAT_EVENT:
break;
case (int)ProtoOAPayloadType.OA_EXECUTION_EVENT:
var _payload_msg = msgFactory.GetExecutionEvent(rawData);
if (_payload_msg.position != null)
{
testPositionId = _payload_msg.position.positionId;
}
break;
default:
break;
}
;
}
static void ProcessIncomingDataStream(OpenApiMessagesFactory msgFactory, byte[] rawData)
{
var _msg = msgFactory.GetMessage(rawData);
#if TRACE_DATA_INCOMING
if (isDebugIsOn)
{
Console.WriteLine("ProcessIncomingDataStream() Message received:\n{0}", OpenApiMessagesPresentation.ToString(_msg));
}
#endif
if (!_msg.HasPayload)
{
return;
}
switch (_msg.PayloadType)
{
case (int)OpenApiLib.ProtoPayloadType.HEARTBEAT_EVENT:
break;
case (int)OpenApiLib.ProtoOAPayloadType.OA_EXECUTION_EVENT:
var _payload_msg = msgFactory.GetExecutionEvent(rawData);
if (_payload_msg.HasOrder)
{
testOrderId = _payload_msg.Order.OrderId;
}
if (_payload_msg.HasPosition)
{
testPositionId = _payload_msg.Position.PositionId;
}
break;
default:
break;
}
;
}
void ProcessIncomingDataStream(OpenApiMessagesFactory msgFactory, byte[] rawData)
{
var _msg = msgFactory.GetMessage(rawData);
#if TRACE_DATA_INCOMING
if (isDebugIsOn)
{
//if (_msg.PayloadType == (int)OpenApiLib.ProtoOAPayloadType.OA_SPOT_EVENT)
//{
// Console.Write(".");
//}
//else
{
Console.WriteLine("ProcessIncomingDataStream() received: " + OpenApiMessagesPresentation.ToString(_msg));
}
}
#endif
if (!_msg.HasPayload)
{
return;
}
var lastLastHeartBeatReceived = lastHeartBeatReceived;
lastHeartBeatReceived = DateTime.UtcNow;
switch (_msg.PayloadType)
{
case (int)OpenApiLib.ProtoPayloadType.PING_RES:
{
var payload = msgFactory.GetPingResponse(rawData);
if (payload.HasTimestamp)
{
ServerTime = new DateTime((long)payload.Timestamp);
Console.WriteLine("[time] " + Server.Time.ToShortTimeString());
//Server.Time = DateTime.FromFileTimeUtc();
}
break;
}
case (int)OpenApiLib.ProtoPayloadType.HEARTBEAT_EVENT:
//var _payload_msg = msgFactory.GetHeartbeatEvent(rawData);
var timeBetween = (lastHeartBeatReceived - lastLastHeartBeatReceived).TotalSeconds;
Console.WriteLine($"<3 ({timeBetween.ToString("N1")}s)");
break;
case (int)OpenApiLib.ProtoOAPayloadType.OA_EXECUTION_EVENT:
{
var msg = "";
var _payload_msg = msgFactory.GetExecutionEvent(rawData);
if (_payload_msg.HasReasonCode)
{
var executionType = _payload_msg.ExecutionType.ToString().Replace("OA_ORDER_", "");
var reason = _payload_msg.HasReasonCode ? $"({_payload_msg.ReasonCode})" : "";
msg += $"*** [EXECUTION: {executionType} {reason}] *** ";
}
if (_payload_msg.HasOrder)
{
orderId = _payload_msg.Order.OrderId;
var slPrice = _payload_msg.Order.HasStopLossPrice ? " sl:" + _payload_msg.Order.StopLossPrice : "";
var tpPrice = _payload_msg.Order.HasTakeProfitPrice ? " tp:" + _payload_msg.Order.TakeProfitPrice : "";
var limitPrice = _payload_msg.Order.HasLimitPrice ? " limit:" + _payload_msg.Order.LimitPrice : "";
var stopPrice = _payload_msg.Order.HasStopPrice ? " stop:" + _payload_msg.Order.StopPrice : "";
msg += $"[ORDER {orderId}] {_payload_msg.Order.TradeSide} {_payload_msg.Order.RequestedVolume} {_payload_msg.Order.SymbolName} {limitPrice}{stopPrice} {slPrice}{tpPrice}";
}
else if (_payload_msg.HasPosition)
{
positionId = _payload_msg.Position.PositionId;
var p = _payload_msg.Position;
msg += $"[POSITION {positionId}] {p.TradeSide} {p.Volume} {p.SymbolName} @ {p.EntryPrice}";
}
else
{
}
Console.WriteLine(msg);
}
break;
case (int)OpenApiLib.ProtoOAPayloadType.OA_AUTH_RES:
//var payload = msgFactory.GetAuthorizationResponse(rawData);
IsAuthorized = true;
Console.WriteLine("[authorized]");
break;
case (int)OpenApiLib.ProtoOAPayloadType.OA_SPOT_EVENT:
{
if (rawData.Length > 40)
{
Console.WriteLine("================= GOT LONG SPOT EVENT: " + rawData.Length + " ===================");
}
var payload = msgFactory.GetSpotEvent(rawData);
WriteUnknownFields(_msg.PayloadType, payload);
//var timestamp = timestampField.VarintList[0];
//var time = new DateTime(1970, 1, 1) + TimeSpan.FromMilliseconds(timestamp);
var time = new DateTime(1970, 1, 1) + TimeSpan.FromMilliseconds(payload.Timestamp);
if (payload.TrendbarCount > 0 || payload.TrendbarList.Count > 0)
{
foreach (var bar in payload.TrendbarList)
{
Console.WriteLine($"*********************** TRENDBAR: {bar.Period} o:{bar.Open} h:{bar.High} l:{bar.Low} c:{bar.Close} [v:{bar.Volume}]");
if (bar.Period == ProtoOATrendbarPeriod.H1)
{
AccountStats.Increment(StatEventType.H1Bar);
}
else if (bar.Period == ProtoOATrendbarPeriod.H1)
{
AccountStats.Increment(StatEventType.H1Bar);
}
else
{
AccountStats.Increment(StatEventType.Other);
}
throw new Exception("***** got a trendbar! Celebrate!");
}
}
var tick = new SymbolTick
{
Symbol = payload.SymbolName,
Ask = payload.HasAskPrice ? payload.AskPrice : double.NaN,
Bid = payload.HasBidPrice ? payload.BidPrice : double.NaN,
Time = time
};
if (payload.HasAskPrice || payload.HasBidPrice)
{
AccountStats.Increment(StatEventType.Tick);
#if DEBUG
//if (AccountStats.Totals.Ticks % 100 == 0)
//{
// Debug.WriteLine($"[stats] {AccountStats.Totals.Ticks} ticks received");
//}
#endif
}
var symbol = (ISymbolInternal)GetSymbol(payload.SymbolName);
symbol.OnTick(tick);
break;
}
case (int)OpenApiLib.ProtoOAPayloadType.OA_SUBSCRIBE_FOR_SPOTS_RES:
{
var payload = msgFactory.GetSubscribeForSpotsResponse(rawData);
uint?subId = payload.HasSubscriptionId ? (uint?)payload.SubscriptionId : null;
#if TRACE_SUBSCRIPTIONS
Console.WriteLine($"[SUBSCRIBED] {subId}");
#endif
#if GET_SUBS_AFTER_SUB
SendGetSpotSubscriptionReq(subId);
SendGetAllSpotSubscriptionsReq();
#endif
WriteUnknownFields(_msg.PayloadType, payload);
break;
}
case (int)OpenApiLib.ProtoOAPayloadType.OA_UNSUBSCRIBE_FROM_SPOTS_RES:
{
var payload = msgFactory.GetUnsubscribeFromSpotsResponse(rawData);
//uint? subId = payload. ? (uint?)payload.SubscriptionId : null;
Debug.WriteLine($"[UNSUBSCRIBED]");
#if GET_SUBS_AFTER_SUB
SendGetAllSpotSubscriptionsReq();
#endif
WriteUnknownFields(_msg.PayloadType, payload);
break;
}
case (int)OpenApiLib.ProtoOAPayloadType.OA_GET_ALL_SPOT_SUBSCRIPTIONS_RES:
{
#if TRACE_SUBSCRIPTIONS
Debug.WriteLine($"--- GET_ALL_SPOT_SUBSCRIPTIONS_RES: ---");
var payload = msgFactory.GetGetAllSpotSubscriptionsResponse(rawData);
foreach (var x in payload.SpotSubscriptionsList)
{
foreach (var y in x.SubscribedSymbolsList)
{
Debug.Write($" - subscription {x.SubscriptionId}: {y.SymbolName} periods: ");
foreach (var z in y.PeriodList)
{
Debug.Write($" {z.ToString()}");
}
Debug.WriteLine();
}
}
Debug.WriteLine($"--------------------------------------- ");
#endif
}
break;
case (int)OpenApiLib.ProtoOAPayloadType.OA_GET_SPOT_SUBSCRIPTION_RES:
{
#if TRACE_SUBSCRIPTIONS
var payload = msgFactory.GetGetSpotSubscriptionResponse(rawData);
Debug.WriteLine($"--- GET_SPOT_SUBSCRIPTION_RES for subscription {payload.SpotSubscription.SubscriptionId}: --- ");
foreach (var y in payload.SpotSubscription.SubscribedSymbolsList)
{
Debug.Write($" - {y.SymbolName} periods: ");
foreach (var z in y.PeriodList)
{
Debug.Write($"{z.ToString()} ");
}
Debug.WriteLine();
}
Debug.WriteLine($"------------------------------------------------------ ");
#endif
}
break;
case (int)OpenApiLib.ProtoOAPayloadType.OA_SUBSCRIBE_FOR_TRADING_EVENTS_RES:
{
var payload = msgFactory.GetSubscribeForTradingEventsResponse(rawData);
Console.WriteLine("[TRADE EVENTS] SUBSCRIBED");
}
break;
default:
Console.WriteLine("UNHANDLED MESSAGE: " + _msg.PayloadType);
break;
}
;
}
// listener thread
private void Listen(SslStream sslStream, Queue messagesQueue)
{
isShutdown = false;
while (!isShutdown)
{
Thread.Sleep(1);
byte[] _length = new byte[sizeof(int)];
int readBytes = 0;
do
{
Thread.Sleep(0);
readBytes += sslStream.Read(_length, readBytes, _length.Length - readBytes);
} while (readBytes < _length.Length);
int length = BitConverter.ToInt32(_length.Reverse().ToArray(), 0);
if (length <= 0)
{
continue;
}
if (length > MaxMessageSize)
{
string exceptionMsg = "Message length " + length.ToString() + " is out of range (0 - " + MaxMessageSize.ToString() + ")";
throw new System.IndexOutOfRangeException();
}
byte[] _message = new byte[length];
readBytes = 0;
do
{
Thread.Sleep(0);
readBytes += sslStream.Read(_message, readBytes, _message.Length - readBytes);
} while (readBytes < length);
var msgFactory = new OpenApiMessagesFactory();
var protoMessage = msgFactory.GetMessage(_message);
messagesQueue.Enqueue("Received: " + OpenApiMessagesPresentation.ToString(protoMessage));
switch ((ProtoOAPayloadType)protoMessage.PayloadType)
{
case ProtoOAPayloadType.PROTO_OA_EXECUTION_EVENT:
var _payload_msg = msgFactory.GetExecutionEvent(_message);
if (_payload_msg.HasOrder)
{
testOrderId = _payload_msg.Order.OrderId;
}
if (_payload_msg.HasPosition)
{
testPositionId = _payload_msg.Position.PositionId;
}
break;
case ProtoOAPayloadType.PROTO_OA_GET_ACCOUNTS_BY_ACCESS_TOKEN_RES:
var _accounts_list = ProtoOAGetAccountListByAccessTokenRes.CreateBuilder().MergeFrom(protoMessage.Payload).Build();
_accounts = _accounts_list.CtidTraderAccountList;
break;
case ProtoOAPayloadType.PROTO_OA_TRADER_RES:
var trader = ProtoOATraderRes.CreateBuilder().MergeFrom(protoMessage.Payload).Build();
_traders.Add(trader.Trader);
break;
default:
break;
}
;
}
}