public override void PositionChange(Receiver receiver, SymbolInfo symbol, int desiredPosition, Iterable <LogicalOrder> inputOrders)
{
if (!IsRecovered)
{
if (HasFirstRecovery)
{
log.Warn("PositionChange event received while FIX was offline or recovering. Current connection status is: " + ConnectionStatus);
return;
}
else
{
throw new ApplicationException("PositionChange event received prior to completing FIX recovery. Current connection status is: " + ConnectionStatus);
}
}
var count = inputOrders == null ? 0 : inputOrders.Count;
if (debug)
{
log.Debug("PositionChange " + symbol + ", desired " + desiredPosition + ", order count " + count);
}
var algorithm = GetAlgorithm(symbol.BinaryIdentifier);
algorithm.SetDesiredPosition(desiredPosition);
algorithm.SetLogicalOrders(inputOrders);
CompareLogicalOrders(symbol);
var tickSync = SyncTicks.GetTickSync(symbol.BinaryIdentifier);
if (SyncTicks.Enabled)
{
tickSync.RemovePositionChange();
}
}
private Yield FIXCancelOrder(PacketFIX4_4 packet)
{
var symbol = Factory.Symbol.LookupSymbol(packet.Symbol);
if (debug)
{
log.Debug("FIXCancelOrder() for " + packet.Symbol + ". Original client id: " + packet.OriginalClientOrderId);
}
PhysicalOrder order = null;
try {
order = GetOrderById(symbol, packet.OriginalClientOrderId);
} catch (ApplicationException) {
if (debug)
{
log.Debug(symbol + ": Cannot cancel order by client id: " + packet.OriginalClientOrderId + ". Probably already filled or canceled. Should send a reject in this case.");
}
if (SyncTicks.Enabled)
{
var tickSync = SyncTicks.GetTickSync(symbol.BinaryIdentifier);
tickSync.RemovePhysicalOrder();
}
return(Yield.DidWork.Return);
}
// log.Info( packet.Symbol + ": Canceling order for client id: " + packet.OriginalClientOrderId);
CancelOrder(symbol, order.BrokerOrder);
SendExecutionReport(order, "6", 0.0, 0, 0, 0, (int)order.Size, TimeStamp.UtcNow, packet);
SendPositionUpdate(order.Symbol, GetPosition(order.Symbol));
SendExecutionReport(order, "4", 0.0, 0, 0, 0, (int)order.Size, TimeStamp.UtcNow, packet);
SendPositionUpdate(order.Symbol, GetPosition(order.Symbol));
return(Yield.DidWork.Repeat);
}
public void OnCancelBrokerOrder(SymbolInfo symbol, object origBrokerOrder)
{
PhysicalOrder physicalOrder;
try {
physicalOrder = GetOrderById(origBrokerOrder);
} catch (ApplicationException ex) {
log.Warn("Order probably already canceled. " + ex.Message);
if (SyncTicks.Enabled)
{
var tickSync = SyncTicks.GetTickSync(symbol.BinaryIdentifier);
tickSync.RemovePhysicalOrder();
}
return;
}
physicalOrder.OrderState = OrderState.Pending;
if (debug)
{
log.Debug("OnCancelBrokerOrder " + physicalOrder);
}
var fixMsg = (FIXMessage4_4)FixFactory.Create();
string newClientOrderId = physicalOrder.LogicalOrderId + "." + GetUniqueOrderId();
fixMsg.SetOriginalClientOrderId((string)origBrokerOrder);
fixMsg.SetClientOrderId(newClientOrderId);
fixMsg.SetAccount(AccountNumber);
fixMsg.SetSide(GetOrderSide(physicalOrder.Side));
fixMsg.AddHeader("F");
fixMsg.SetSymbol(physicalOrder.Symbol.Symbol);
fixMsg.SetTransactTime(TimeStamp.UtcNow);
SendMessage(fixMsg);
}
protected override void ResendMessage(FIXTMessage1_1 textMessage)
{
var mbtMsg = (FIXMessage4_2)textMessage;
if (SyncTicks.Enabled && !IsRecovered && mbtMsg.Type == "8")
{
switch (mbtMsg.OrderStatus)
{
case "E":
case "6":
case "A":
var symbolInfo = Factory.Symbol.LookupSymbol(mbtMsg.Symbol);
var tickSync = SyncTicks.GetTickSync(symbolInfo.BinaryIdentifier);
//if (symbolInfo.FixSimulationType == FIXSimulationType.BrokerHeldStopOrder &&
// mbtMsg.ExecutionType == "D") // restated
//{
// // Ignored order count.
//}
//else
//{
// tickSync.AddPhysicalOrder("resend");
//}
break;
case "2":
case "1":
symbolInfo = Factory.Symbol.LookupSymbol(mbtMsg.Symbol);
tickSync = SyncTicks.GetTickSync(symbolInfo.BinaryIdentifier);
//tickSync.AddPhysicalFill("resend");
break;
}
}
ResendMessageProtected(textMessage);
}
public void SendFill(MessageFIX4_2 packetFIX)
{
var clientOrderId = 0L;
long.TryParse(packetFIX.ClientOrderId, out clientOrderId);
var originalClientOrderId = 0L;
long.TryParse(packetFIX.ClientOrderId, out originalClientOrderId);
if (debug)
{
log.Debug("SendFill( " + packetFIX.ClientOrderId + ")");
}
var symbolInfo = Factory.Symbol.LookupSymbol(packetFIX.Symbol);
var timeZone = new SymbolTimeZone(symbolInfo);
SymbolAlgorithm algorithm;
if (!TryGetAlgorithm(symbolInfo.BinaryIdentifier, out algorithm))
{
log.Info("Fill received but OrderAlgorithm not found for " + symbolInfo + ". Ignoring.");
return;
}
var fillPosition = packetFIX.LastQuantity * SideToSign(packetFIX.Side);
if (GetSymbolStatus(symbolInfo))
{
CreateOrChangeOrder order;
if (OrderStore.TryGetOrderById(clientOrderId, out order))
{
TimeStamp executionTime;
if (UseLocalFillTime)
{
executionTime = TimeStamp.UtcNow;
}
else
{
executionTime = new TimeStamp(packetFIX.TransactionTime);
}
var configTime = executionTime;
configTime.AddSeconds(timeZone.UtcOffset(executionTime));
var fill = Factory.Utility.PhysicalFill(fillPosition, packetFIX.LastPrice, configTime, executionTime, order.BrokerOrder, false, packetFIX.OrderQuantity, packetFIX.CumulativeQuantity, packetFIX.LeavesQuantity, IsRecovered, true);
if (debug)
{
log.Debug("Sending physical fill: " + fill);
}
algorithm.OrderAlgorithm.ProcessFill(fill);
algorithm.OrderAlgorithm.ProcessOrders();
TrySendStartBroker(symbolInfo, "position sync on fill");
}
else
{
algorithm.OrderAlgorithm.IncreaseActualPosition(fillPosition);
log.Notice("Fill id " + packetFIX.ClientOrderId + " not found. Must have been a manual trade.");
if (SyncTicks.Enabled)
{
var tickSync = SyncTicks.GetTickSync(symbolInfo.BinaryIdentifier);
tickSync.RemovePhysicalFill(packetFIX.ClientOrderId);
}
}
}
}
public void SetSymbol(string symbolString)
{
symbol = Factory.Symbol.LookupSymbol(symbolString);
if (SyncTicks.Enabled)
{
tickSync = SyncTicks.GetTickSync(symbol.BinaryIdentifier);
}
}
public FillSimulatorPhysical(string name, SymbolInfo symbol, bool createSimulatedFills)
{
this.symbol = symbol;
this.minimumTick = symbol.MinimumTick.ToLong();
this.tickSync = SyncTicks.GetTickSync(symbol.BinaryIdentifier);
this.createSimulatedFills = createSimulatedFills;
this.log = Factory.SysLog.GetLogger(typeof(FillSimulatorPhysical).FullName + "." + symbol.Symbol.StripInvalidPathChars() + "." + name);
}
public OrderAlgorithmDefault(string name, SymbolInfo symbol, PhysicalOrderHandler brokerOrders)
{
this.log = Factory.SysLog.GetLogger(typeof(OrderAlgorithmDefault).FullName + "." + symbol.Symbol.StripInvalidPathChars() + "." + name);
this.symbol = symbol;
this.tickSync = SyncTicks.GetTickSync(symbol.BinaryIdentifier);
this.physicalOrderHandler = brokerOrders;
this.originalLogicals = new ActiveList <LogicalOrder>();
this.bufferedLogicals = new ActiveList <LogicalOrder>();
this.originalPhysicals = new ActiveList <PhysicalOrder>();
this.logicalOrders = new ActiveList <LogicalOrder>();
this.physicalOrders = new ActiveList <PhysicalOrder>();
}
public long Wait(SymbolInfo symbol, int expectedTicks, int timeout)
{
if (debug)
{
log.Debug("Wait");
}
if (SyncTicks.Enabled)
{
tickSync = SyncTicks.GetTickSync(symbol.BinaryIdentifier);
}
long startTime = Factory.Parallel.TickCount;
count = 0;
while (Factory.Parallel.TickCount - startTime < timeout * 1000)
{
if (propagateException != null)
{
throw propagateException;
}
try {
if (tickQueue.TryDequeue(ref tickBinary))
{
tickIO.Inject(tickBinary);
if (debug && countLog < 5)
{
log.Debug("Received a tick " + tickIO);
countLog++;
}
count++;
lastTick.Copy(tickIO);
if (SyncTicks.Enabled)
{
tickSync.RemoveTick();
}
if (count >= expectedTicks)
{
break;
}
}
else
{
Thread.Sleep(100);
}
} catch (QueueException ex) {
if (HandleQueueException(ex))
{
break;
}
}
}
return(count);
}
public bool VerifyState(BrokerState expectedBrokerState,
ReceiverState expectedSymbolState,
SymbolInfo symbol,
int timeout)
{
if (debug)
{
log.Debug("VerifyFeed");
}
if (SyncTicks.Enabled)
{
tickSync = SyncTicks.GetTickSync(symbol.BinaryIdentifier);
}
long startTime = Factory.TickCount;
count = 0;
TickBinary binary = new TickBinary();
while (Factory.TickCount - startTime < timeout * 1000)
{
if (propagateException != null)
{
throw propagateException;
}
try {
if (!tickQueue.TryDequeue(ref binary))
{
Thread.Sleep(100);
}
else
{
if (SyncTicks.Enabled)
{
tickSync.RemoveTick();
}
}
} catch (QueueException ex) {
if (HandleQueueException(ex))
{
break;
}
}
if (brokerState == expectedBrokerState && receiverState == expectedSymbolState)
{
return(true);
}
}
return(false);
}
public FillSimulatorPhysical(string name, SymbolInfo symbol, bool createSimulatedFills, bool createActualFills, TriggerController triggers)
{
this.symbol = symbol;
this.name = name;
this.triggers = triggers;
this.minimumTick = symbol.MinimumTick.ToLong();
this.tickSync = SyncTicks.GetTickSync(symbol.BinaryIdentifier);
this.createSimulatedFills = createSimulatedFills;
this.log = Factory.SysLog.GetLogger(typeof(FillSimulatorPhysical).FullName + "." + symbol.Symbol.StripInvalidPathChars() + "." + name);
this.log.Register(this);
this.createActualFills = createActualFills;
fillLogic = new FillSimulatorLogic(name, symbol, FillCallback);
IsChanged = true;
PartialFillSimulation = symbol.PartialFillSimulation;
}
private void FIXChangeOrder(PacketFIX4_4 packet)
{
var symbol = Factory.Symbol.LookupSymbol(packet.Symbol);
PhysicalOrder origOrder = null;
if (debug)
{
log.Debug("FIXChangeOrder() for " + packet.Symbol + ". Client id: " + packet.ClientOrderId + ". Original client id: " + packet.OriginalClientOrderId);
}
try {
origOrder = GetOrderById(symbol, packet.OriginalClientOrderId);
} catch (ApplicationException) {
log.Warn(symbol + ": Cannot change order by client id: " + packet.OriginalClientOrderId + ". Probably already filled or canceled. Should send a reject in this case.");
if (SyncTicks.Enabled)
{
var tickSync = SyncTicks.GetTickSync(symbol.BinaryIdentifier);
tickSync.RemovePhysicalOrder();
}
return;
}
var order = ConstructOrder(packet, packet.ClientOrderId);
if (order.Side != origOrder.Side)
{
var message = "Cannot change " + origOrder.Side + " to " + order.Side;
log.Error(message);
OnRejectOrder(origOrder, message);
return;
}
if (order.Type != origOrder.Type)
{
var message = "Cannot change " + origOrder.Type + " to " + order.Type;
log.Error(message);
OnRejectOrder(origOrder, message);
return;
}
SendExecutionReport(order, "E", 0.0, 0, 0, 0, (int)order.Size, TimeStamp.UtcNow, packet);
SendPositionUpdate(order.Symbol, GetPosition(order.Symbol));
SendExecutionReport(order, "5", 0.0, 0, 0, 0, (int)order.Size, TimeStamp.UtcNow, packet);
SendPositionUpdate(order.Symbol, GetPosition(order.Symbol));
ChangeOrder(order, packet.OriginalClientOrderId);
}
public FIXServerSymbolHandler(FIXSimulatorSupport fixSimulatorSupport,
bool isPlayBack, string symbolString,
Func <Yield> onHeartbeat, Func <SymbolInfo, Tick, Yield> onTick,
Action <PhysicalFill, int, int, int> onPhysicalFill,
Action <PhysicalOrder, string> onRejectOrder)
{
this.fixSimulatorSupport = fixSimulatorSupport;
this.isPlayBack = isPlayBack;
this.onHeartbeat = onHeartbeat;
this.onTick = onTick;
this.symbol = Factory.Symbol.LookupSymbol(symbolString);
reader = Factory.TickUtil.TickReader();
reader.Initialize("Test\\MockProviderData", symbolString);
fillSimulator = Factory.Utility.FillSimulator("FIX", symbol, false);
fillSimulator.OnPhysicalFill = onPhysicalFill;
fillSimulator.OnRejectOrder = onRejectOrder;
tickSync = SyncTicks.GetTickSync(symbol.BinaryIdentifier);
tickSync.ForceClear();
queueTask = Factory.Parallel.Loop("FIXServerSymbol-" + symbolString, OnException, ProcessQueue);
firstHearbeat = true;
}
protected override void RemoveTickSync(FIXTMessage1_1 textMessage)
{
var mbtMsg = (FIXMessage4_2)textMessage;
if (SyncTicks.Enabled && mbtMsg.Type == "8")
{
switch (mbtMsg.OrderStatus)
{
case "E":
case "6":
case "0":
{
var symbolInfo = Factory.Symbol.LookupSymbol(mbtMsg.Symbol);
var tickSync = SyncTicks.GetTickSync(symbolInfo.BinaryIdentifier);
tickSync.RemovePhysicalOrder("offline");
}
break;
case "A":
if (mbtMsg.ExecutionType == "D")
{
// Is it a Forex order?
var symbolInfo = Factory.Symbol.LookupSymbol(mbtMsg.Symbol);
var tickSync = SyncTicks.GetTickSync(symbolInfo.BinaryIdentifier);
tickSync.RemovePhysicalOrder("offline");
}
break;
case "2":
case "1":
{
var symbolInfo = Factory.Symbol.LookupSymbol(mbtMsg.Symbol);
var tickSync = SyncTicks.GetTickSync(symbolInfo.BinaryIdentifier);
tickSync.RemovePhysicalFill("offline");
}
break;
}
}
}
public SimulateSymbolSyncTicks(FIXSimulatorSupport fixSimulatorSupport,
QuoteSimulatorSupport quoteSimulatorSupport,
string symbolString,
PartialFillSimulation partialFillSimulation,
TimeStamp endTime,
long id)
{
log.Register(this);
this.id = id;
this.fixSimulatorSupport = fixSimulatorSupport;
this.quoteSimulatorSupport = quoteSimulatorSupport;
this.onTick = quoteSimulatorSupport.OnTick;
this.onEndTick = quoteSimulatorSupport.OnEndTick;
this.PartialFillSimulation = partialFillSimulation;
this.symbolString = symbolString;
this.symbol = Factory.Symbol.LookupSymbol(symbolString);
fillSimulator = Factory.Utility.FillSimulator("FIX", Symbol, false, true, null);
fillSimulator.EnableSyncTicks = SyncTicks.Enabled;
FillSimulator.OnPhysicalFill = fixSimulatorSupport.OnPhysicalFill;
FillSimulator.OnRejectOrder = fixSimulatorSupport.OnRejectOrder;
fillSimulator.PartialFillSimulation = partialFillSimulation;
tickSync = SyncTicks.GetTickSync(Symbol.BinaryIdentifier);
latency = new LatencyMetric("SimulateSymbolSyncTicks-" + symbolString.StripInvalidPathChars());
diagnoseMetric = Diagnose.RegisterMetric("Simulator");
if (debug)
{
log.Debug("Opening tick file for reading.");
}
reader = Factory.TickUtil.TickFile();
try
{
reader.Initialize("Test\\MockProviderData", symbolString, TickFileMode.Read);
reader.EndTime = endTime;
}
catch (FileNotFoundException ex)
{
log.Info("File for symbol " + symbolString + " not found: " + ex.Message);
}
}
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());
}
public void SwitchBrokerState(string description, bool isOnline)
{
foreach (var kvp in symbolHandlers)
{
var symbolBinary = kvp.Key;
var handler = kvp.Value;
var tickSync = SyncTicks.GetTickSync(symbolBinary);
tickSync.SetSwitchBrokerState(description);
if (handler.IsOnline != isOnline)
{
handler.IsOnline = isOnline;
if (!isOnline)
{
while (tickSync.SentPhyscialOrders)
{
tickSync.RemovePhysicalOrder("Rollback");
}
while (tickSync.SentOrderChange)
{
tickSync.RemoveOrderChange();
}
while (tickSync.SentPhysicalFillsCreated)
{
tickSync.RemovePhysicalFill("Rollback");
}
while (tickSync.SentPositionChange)
{
tickSync.RemovePositionChange("Rollback");
}
while (tickSync.SentWaitingMatch)
{
tickSync.RemoveWaitingMatch("Rollback");
}
}
}
}
}
public bool OnCancelBrokerOrder(CreateOrChangeOrder order)
{
if (!IsRecovered)
{
return(false);
}
if (debug)
{
log.Debug("OnCancelBrokerOrder " + order + ". Connection " + ConnectionStatus + ", IsOrderServerOnline " + isOrderServerOnline);
}
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
CreateOrChangeOrder createOrChangeOrder;
try {
createOrChangeOrder = OrderStore.GetOrderById(order.OriginalOrder.BrokerOrder);
} catch (ApplicationException ex) {
if (LogRecovery || !IsRecovery)
{
log.Info("Order probably already canceled. " + ex.Message);
}
if (SyncTicks.Enabled)
{
var tickSync = SyncTicks.GetTickSync(order.Symbol.BinaryIdentifier);
tickSync.RemovePhysicalOrder();
}
return(true);
}
createOrChangeOrder.ReplacedBy = order;
if (!object.ReferenceEquals(order.OriginalOrder, createOrChangeOrder))
{
throw new ApplicationException("Different objects!");
}
SendCancelOrder(order, false);
return(true);
}
public long Verify(int expectedCount, Action <TickIO, TickIO, long> assertTick, SymbolInfo symbol, int timeout, Action action)
{
if (debug)
{
log.Debug("Verify");
}
if (SyncTicks.Enabled)
{
tickSync = SyncTicks.GetTickSync(symbol.BinaryIdentifier);
}
long endTime = Factory.Parallel.TickCount + timeout * 1000;
count = 0;
while (Factory.Parallel.TickCount < endTime)
{
if (propagateException != null)
{
throw propagateException;
}
try {
if (tickQueue.TryDequeue(ref tickBinary))
{
tickIO.Inject(tickBinary);
if (debug && countLog < 5)
{
log.Debug("Received a tick " + tickIO);
countLog++;
}
startTime = Factory.TickCount;
count++;
if (count > 0 && assertTick != null)
{
assertTick(tickIO, lastTick, symbol.BinaryIdentifier);
}
lastTick.Copy(tickIO);
if (!actionAlreadyRun && action != null)
{
actionAlreadyRun = true;
action();
}
if (SyncTicks.Enabled)
{
tickSync.RemoveTick();
}
if (count >= expectedCount)
{
break;
}
}
else
{
Thread.Sleep(100);
}
} catch (QueueException ex) {
if (HandleQueueException(ex))
{
break;
}
}
}
return(count);
}
public VerifyFeedDefault(SymbolInfo symbol)
{
this.symbol = symbol;
tickSync = SyncTicks.GetTickSync(symbol.BinaryIdentifier);
tickPool = Factory.Parallel.TickPool(symbol);
}
private void TryAddPhysicalOrder(CreateOrChangeOrder order)
{
var tickSync = SyncTicks.GetTickSync(order.Symbol.BinaryIdentifier);
tickSync.AddPhysicalOrder(order);
}