internal void Update(SingleAdviser <int> firstAdviser, SingleAdviser <int> secondAdviser)
{
Level2 f = firstAdviser.GetLevel2(m_symbol);
Level2 s = secondAdviser.GetLevel2(m_symbol);
if (!f.Exist || !s.Exist)
{
return;
}
if (!f.HasBeenChanged && !s.HasBeenChanged)
{
return;
}
int key = StrategyPairTransactionInfo.GetKey(firstAdviser.Tag, secondAdviser.Tag);
StrategyPairTransactionInfo sPairs = null;
if (!dictSPairs.TryGetValue(key, out sPairs))
{
sPairs = new StrategyPairTransactionInfo();
{
dictSPairs.Add(key, sPairs);
}
}
Run(firstAdviser, secondAdviser, s, f, ref sPairs.m_firstBidSecondAskArbitrage);
}
internal Order(SingleAdviser <int> adviser, string symbol, double requestedPrice, double requestedVolume, OrderType type, TradeSide side)
{
m_volume = requestedVolume;
m_adviser = adviser;
m_symbol = symbol;
m_requestedPrice = requestedPrice;
m_type = type;
m_side = side;
}
protected override void OnUpdate(SingleAdviser <int> adviser)
{
string symbol = "EUR/USD";
Level2 first = m_first.GetLevel2(symbol);
Order sell = new Order(m_first, symbol, first.Bid, cVolume, OrderType.Market, TradeSide.Sell);
sell.Run();
sell.Join();
}
internal Order(SingleAdviser<int> adviser, string symbol, double requestedPrice, double requestedVolume, OrderType type, TradeSide side)
{
m_volume = requestedVolume;
m_adviser = adviser;
m_symbol = symbol;
m_requestedPrice = requestedPrice;
m_type = type;
m_side = side;
}
internal Transaction(string symbol, SingleAdviser <int> first, SingleAdviser <int> second)
{
m_start = DateTime.UtcNow;
m_first = first.Tag;
m_second = second.Tag;
m_precision = Math.Min(first.Symbols[symbol].Precision, second.Symbols[symbol].Precision);
m_builder.AppendFormat("{0}> symbol = {1}; first bank = {2}; second bank = {3}", UtcNow(m_start), symbol, first.Tag, second.Tag);
m_builder.AppendLine();
}
internal Transaction(string symbol, SingleAdviser<int> first, SingleAdviser<int> second)
{
m_start = DateTime.UtcNow;
m_first = first.Tag;
m_second = second.Tag;
m_precision = Math.Min(first.Symbols[symbol].Precision, second.Symbols[symbol].Precision);
m_builder.AppendFormat("{0}> symbol = {1}; first bank = {2}; second bank = {3}", UtcNow(m_start), symbol, first.Tag, second.Tag);
m_builder.AppendLine();
}
protected override void OnUpdate(SingleAdviser <int> adviser)
{
lock (m_synchronizer)
{
quotesCounter[adviser.Tag]++;
for (int i = 0; i < m_listAdviser.Count; i++)
//Array.For(0, m_listAdviser.Count, i =>
{
if (adviser.Tag != m_listAdviser[i].Tag)
{
Parallel.ForEach <WatcherSymbol>(m_watchers, currSymbolWatcher =>
{
currSymbolWatcher.Update(m_listAdviser[i], adviser);
currSymbolWatcher.Update(adviser, m_listAdviser[i]);
});
}
}
}
}
protected override void OnUpdate(SingleAdviser <int> adviser)
{
lock (obj)
{
foreach (string currSymbol in listSymbols)
{
Level2 level2 = adviser.GetLevel2(currSymbol);
if (!level2.Exist || level2.HasBeenChanged)
{
continue;
}
LastTask = LastTask.ContinueWith(ant =>
{
DataFeedStorage dfs = dictKeyToStorage[GetKey(adviser.Tag, currSymbol)];
dfs.Import(level2.ToQuote().ToEnumerable(), false, true, true);
}
);
//listCodeToBankSaver[adviser.Tag].AddQuote(level2);
}
}
}
internal void Update(SingleAdviser<int> firstAdviser, SingleAdviser<int> secondAdviser)
{
Level2 f = firstAdviser.GetLevel2(m_symbol);
Level2 s = secondAdviser.GetLevel2(m_symbol);
if (!f.Exist || !s.Exist)
{
return;
}
if (!f.HasBeenChanged && !s.HasBeenChanged)
{
return;
}
int key = StrategyPairTransactionInfo.GetKey(firstAdviser.Tag, secondAdviser.Tag);
StrategyPairTransactionInfo sPairs = null;
if (!dictSPairs.TryGetValue(key, out sPairs))
{
sPairs = new StrategyPairTransactionInfo();
{
dictSPairs.Add(key, sPairs);
}
}
Run(firstAdviser, secondAdviser, s, f, ref sPairs.m_firstBidSecondAskArbitrage);
}
private void Run(SingleAdviser<int> first, SingleAdviser<int> second, Level2 f, Level2 s, ref Arbitrage arb)
{
if ( f.Bids.Count == 0 || s.Asks.Count == 0 || s.Ask - f.Bid > -float.Epsilon)
{
if (null != arb)
{
arb.EndDateTime = DateTime.UtcNow;
arb.Duration = (arb.EndDateTime - arb.StartDateTime).TotalMilliseconds;
ArbitrageDetail prevArbDetail = arb.ArbitrageDetails.Last();
prevArbDetail.EndTickTime = arb.EndDateTime;
prevArbDetail.duration = (prevArbDetail.EndTickTime - prevArbDetail.StartTickTime).TotalMilliseconds;
double test = Math.Abs(arb.ArbitrageDetails.Sum(p => p.duration));
if (test - arb.Duration > 0.0000000001)
{
Console.WriteLine("DurationError");
}
Arbitrage refArbitrage = arb;
//Task.Factory.StartNew(() =>
//{
// using (Model.ArbitrageContext arbContext = new Model.ArbitrageContext())
// {
// arbContext.Arbitrages.Add(refArbitrage);
// arbContext.SaveChanges();
// }
//});
arb = null;
if (!dictSPairs.Any(p => p.Value.m_firstBidSecondAskArbitrage != null))
{
ArbitrageTimeStatistics ars = ArbitrageTimeStatistics.Instance(f.Symbol);
ars.TotalSecondsArbitradge += (DateTime.UtcNow - ars.StartArbitrageDateTime).TotalSeconds;
ars.StartArbitrageDateTime = DateTime.MinValue;
Console.WriteLine("Symbol={3}; ArbitrageTime={0} seconds; Percent={1}%; InHourSeconds={2}", ars.TotalSecondsArbitradge,
ars.TotalSecondsArbitradge * 100 / (DateTime.UtcNow - ArbitrageTimeStatistics.StartAppDateTime).TotalSeconds,
ars.TotalSecondsArbitradge * 3600 / (DateTime.UtcNow - ArbitrageTimeStatistics.StartAppDateTime).TotalSeconds,
f.Symbol);
}
}
}
else
{
DateTime utcNow = DateTime.UtcNow;
if (arb == null)
arb = new Arbitrage(utcNow, first.Tag, second.Tag, m_symbol);
ArbitrageDetail arbDetail = new ArbitrageDetail(utcNow);
if (f.Asks.Count > 0)
{
arbDetail.B1Ask1 = f.Asks[0].Price;
arbDetail.B1Ask1Volume = f.Asks[0].Volume;
}
arbDetail.B1Bid1 = f.Bids[0].Price;
arbDetail.B1Bid1Volume = f.Bids[0].Volume;
arbDetail.B2Ask1 = s.Asks[0].Price;
arbDetail.B2Ask1Volume = s.Asks[0].Volume;
if (s.Bids.Count > 0)
{
arbDetail.B2Bid1 = s.Bids[0].Price;
arbDetail.B2Bid1Volume = s.Bids[0].Volume;
}
if (arb.ArbitrageDetails.Count != 0)
{
ArbitrageDetail previos = arb.ArbitrageDetails.Last();
previos.EndTickTime = arbDetail.StartTickTime;
previos.duration = (previos.EndTickTime - previos.StartTickTime).TotalMilliseconds;
}
arbDetail.spread = s.Ask - f.Bid;
arb.ArbitrageDetails.Add(arbDetail);
if (ArbitrageTimeStatistics.Instance(f.Symbol).StartArbitrageDateTime == DateTime.MinValue)
ArbitrageTimeStatistics.Instance(f.Symbol).StartArbitrageDateTime = DateTime.UtcNow;
//CheckDoubleArbitrage(first.Tag, second.Tag);
}
}
protected override void OnDisconnected(SingleAdviser <int> adviser, string message)
{
string now = DateTime.Now.ToString("HHHH:mm:ss.fff");
Console.WriteLine("{0}: OnDisconnected({1})", now, adviser.Tag);
}
private void Run(SingleAdviser <int> first, SingleAdviser <int> second, Level2 f, Level2 s, ref Arbitrage arb)
{
if (f.Bids.Count == 0 || s.Asks.Count == 0 || s.Ask - f.Bid > -float.Epsilon)
{
if (null != arb)
{
arb.EndDateTime = DateTime.UtcNow;
arb.Duration = (arb.EndDateTime - arb.StartDateTime).TotalMilliseconds;
ArbitrageDetail prevArbDetail = arb.ArbitrageDetails.Last();
prevArbDetail.EndTickTime = arb.EndDateTime;
prevArbDetail.duration = (prevArbDetail.EndTickTime - prevArbDetail.StartTickTime).TotalMilliseconds;
double test = Math.Abs(arb.ArbitrageDetails.Sum(p => p.duration));
if (test - arb.Duration > 0.0000000001)
{
Console.WriteLine("DurationError");
}
Arbitrage refArbitrage = arb;
//Task.Factory.StartNew(() =>
//{
// using (Model.ArbitrageContext arbContext = new Model.ArbitrageContext())
// {
// arbContext.Arbitrages.Add(refArbitrage);
// arbContext.SaveChanges();
// }
//});
arb = null;
if (!dictSPairs.Any(p => p.Value.m_firstBidSecondAskArbitrage != null))
{
ArbitrageTimeStatistics ars = ArbitrageTimeStatistics.Instance(f.Symbol);
ars.TotalSecondsArbitradge += (DateTime.UtcNow - ars.StartArbitrageDateTime).TotalSeconds;
ars.StartArbitrageDateTime = DateTime.MinValue;
Console.WriteLine("Symbol={3}; ArbitrageTime={0} seconds; Percent={1}%; InHourSeconds={2}", ars.TotalSecondsArbitradge,
ars.TotalSecondsArbitradge * 100 / (DateTime.UtcNow - ArbitrageTimeStatistics.StartAppDateTime).TotalSeconds,
ars.TotalSecondsArbitradge * 3600 / (DateTime.UtcNow - ArbitrageTimeStatistics.StartAppDateTime).TotalSeconds,
f.Symbol);
}
}
}
else
{
DateTime utcNow = DateTime.UtcNow;
if (arb == null)
{
arb = new Arbitrage(utcNow, first.Tag, second.Tag, m_symbol);
}
ArbitrageDetail arbDetail = new ArbitrageDetail(utcNow);
if (f.Asks.Count > 0)
{
arbDetail.B1Ask1 = f.Asks[0].Price;
arbDetail.B1Ask1Volume = f.Asks[0].Volume;
}
arbDetail.B1Bid1 = f.Bids[0].Price;
arbDetail.B1Bid1Volume = f.Bids[0].Volume;
arbDetail.B2Ask1 = s.Asks[0].Price;
arbDetail.B2Ask1Volume = s.Asks[0].Volume;
if (s.Bids.Count > 0)
{
arbDetail.B2Bid1 = s.Bids[0].Price;
arbDetail.B2Bid1Volume = s.Bids[0].Volume;
}
if (arb.ArbitrageDetails.Count != 0)
{
ArbitrageDetail previos = arb.ArbitrageDetails.Last();
previos.EndTickTime = arbDetail.StartTickTime;
previos.duration = (previos.EndTickTime - previos.StartTickTime).TotalMilliseconds;
}
arbDetail.spread = s.Ask - f.Bid;
arb.ArbitrageDetails.Add(arbDetail);
if (ArbitrageTimeStatistics.Instance(f.Symbol).StartArbitrageDateTime == DateTime.MinValue)
{
ArbitrageTimeStatistics.Instance(f.Symbol).StartArbitrageDateTime = DateTime.UtcNow;
}
//CheckDoubleArbitrage(first.Tag, second.Tag);
}
}
