public PositionDTO NetPosition(NetPositionFormDTO form)
{
var cache = WebCache.Instance;
var prodDef = cache.ProdDefs.FirstOrDefault(o => o.Id == form.securityId);
if (prodDef.QuoteType == enmQuoteType.Closed || prodDef.QuoteType == enmQuoteType.Inactive)
{
throw new HttpResponseException(Request.CreateErrorResponse(HttpStatusCode.BadRequest, Resources.Resource.ProductClosed));
}
var quote = cache.Quotes.FirstOrDefault(o => o.Id == form.securityId);
var positionService = new PositionService();
var closedPosition = positionService.DoClosePosition(UserId, form.posId, form.securityId, Quotes.GetLastPrice(quote));
var posIdToFollowClose = closedPosition.Id;
Task.Run(() =>
{
YJYGlobal.LogLine("NEW THREAD: check and CLOSE follow positions for pos " + posIdToFollowClose);
var checkAndCloseFollowPositions = PositionService.CheckAndCloseFollowPositions(posIdToFollowClose);
MessageService.AddAutoCloseMessages(checkAndCloseFollowPositions);
});
var result = Mapper.Map <PositionDTO>(closedPosition);
return(result);
}
public void SendMDS1Request()
{
if (Session != null)
{
try
{
//Product Definition Request
var order = new Message();
order.Header.SetField(new MsgType("MDS1"));
order.SetField(new UserRequestID("ProdDef"));
Session.Send(order);
//}
}
catch (Exception e)
{
YJYGlobal.LogLine("send mds1 request failed");
YJYGlobal.LogException(e);
}
}
else
{
//// This probably won't ever happen.
//Console.WriteLine("Can't send message: session not created.");
throw new Exception("fix session is null.");
}
}
//private IRedisTypedClient<Quote> redisQuoteClient;
//private IRedisTypedClient<ProdDef> redisProdDefClient;
// public IRedisTypedClient<>
//public AyondoFixFeedApp()
//{
//var basicRedisClientManager = YJYGlobal.GetNewBasicRedisClientManager();
//redisQuoteClient = YJYGlobal.BasicRedisClientManager.GetClient().As<Quote>();
//redisProdDefClient = basicRedisClientManager.GetClient().As<ProdDef>();
//}
public void ToAdmin(Message message, SessionID sessionID)
{
YJYGlobal.LogLine("ToAdmin: ");
if (message.Header.GetString(Tags.MsgType) == MsgType.LOGON)
{
YJYGlobal.LogLine(" sending username and password...");
//demo
message.SetField(new Username(_username));
message.SetField(new Password(_password));
//message.SetField(new Username("thcnprices"));
//message.SetField(new Password("sl6map3go"));
////demo UAT
//message.SetField(new Username("thcnuatprices"));
//message.SetField(new Password("slktrp2"));
}
//message.SetField(new Username("thcntrade"));
//message.SetField(new Password("d093gos3j"));
//message.SetField(new Username("tradeheroprices"));
//message.SetField(new Password("4gs9k2osw"));
}
public void ToApp(Message message, SessionID sessionId)
{
YJYGlobal.LogLine("ToApp: ");
YJYGlobal.LogLine(message.ToString());
//message.SetField(new MsgType("MDS1"));
//message.SetField(new UserRequestID("test1111"));
}
private static void SaveTicks(object state)
{
while (true)
{
try
{
IList <Quote> quotes = new List <Quote>();
while (!myApp.QueueQuotesForTick.IsEmpty)
{
Quote obj;
var tryDequeue = myApp.QueueQuotesForTick.TryDequeue(out obj);
quotes.Add(obj);
}
using (var redisClient = YJYGlobal.PooledRedisClientsManager.GetClient())
{
var redisTickClient = redisClient.As <Tick>();
var redisProdDefClient = redisClient.As <ProdDef>();
var prodDefs = redisProdDefClient.GetAll();
if (quotes.Count > 0)
{
//the time of the last message received from Ayondo
var dtAyondoNow = quotes.Max(o => o.Time);
var openingProds =
prodDefs.Where(
o => o.QuoteType == enmQuoteType.Open || o.QuoteType == enmQuoteType.PhoneOnly).ToList();
var dtBeginSave = DateTime.Now;
foreach (var prodDef in openingProds)
{
var quotesByProd = quotes.Where(o => o.Id == prodDef.Id).ToList();
UpdateRedisTick(redisTickClient, prodDef.Id, dtAyondoNow, quotesByProd, TickSize.OneMinute);
UpdateRedisTick(redisTickClient, prodDef.Id, dtAyondoNow, quotesByProd, TickSize.TenMinute);
UpdateRedisTick(redisTickClient, prodDef.Id, dtAyondoNow, quotesByProd, TickSize.OneHour);
}
YJYGlobal.LogLine("\t" + " Ticks " + openingProds.Count + "/" +
quotes.Count + " " + " Time: " +
quotes.Min(o => o.Time).ToString(YJYGlobal.DATETIME_MASK_MILLI_SECOND) +
" ~ " +
quotes.Max(o => o.Time).ToString(YJYGlobal.DATETIME_MASK_MILLI_SECOND) +
" Saved to Redis " + (DateTime.Now - dtBeginSave).TotalMilliseconds);
}
}
}
catch (Exception e)
{
YJYGlobal.LogException(e);
}
Thread.Sleep(_intervalTicks);
}
}
public void OnLogon(SessionID sessionID)
{
YJYGlobal.LogLine("OnLogon: ");
Session = Session.LookupSession(sessionID);
DD = Session.ApplicationDataDictionary;
SendMDS1Request();
}
private static TimeSpan LogEndOfJob(TimeSpan execTime)
{
YJYGlobal.LogLine("-");
YJYGlobal.LogLine("................................................................................");
YJYGlobal.LogLine(" TH_JOBS FINISHED: @ (local) " + DateTime.Now.ToString("dd MMM yyyy HH:mm") + ", execTime was " + execTime.TotalMinutes.ToString("000.00") + " min(s) ...");
YJYGlobal.LogLine(" (fullArgs: " + fullArgs + ")");
YJYGlobal.LogLine("................................................................................");
YJYGlobal.LogLine("-");
return(execTime);
}
private MessageTicker(IHubConnectionContext <dynamic> clients)
{
Clients = clients;
_db = YJYEntities.Create();
YJYGlobal.LogLine("Starting MessageTicker...");
_timer = new Timer(Start, null, _updateInterval, TimeSpan.FromMilliseconds(-1));
}
static Task ExceptionReceivedHandler(ExceptionReceivedEventArgs exceptionReceivedEventArgs)
{
YJYGlobal.LogLine($"Message handler encountered an exception {exceptionReceivedEventArgs.Exception}.");
var context = exceptionReceivedEventArgs.ExceptionReceivedContext;
YJYGlobal.LogLine("Exception context for troubleshooting:");
YJYGlobal.LogLine($"- Endpoint: {context.Endpoint}");
YJYGlobal.LogLine($"- Entity Path: {context.EntityPath}");
YJYGlobal.LogLine($"- Executing Action: {context.Action}");
return(Task.CompletedTask);
}
private QuoteFeedTicker(IHubConnectionContext <dynamic> clients)
{
Clients = clients;
//var basicRedisClientManager = YJYGlobal.GetNewBasicRedisClientManager();
//_redisClient = YJYGlobal.BasicRedisClientManager.GetClient().As<Quote>();
YJYGlobal.LogLine("Starting QuoteFeedTicker...");
//Start();
//_timer = new Timer(Start, null, _updateInterval, TimeSpan.FromMilliseconds(-1));
}
public static void Run()
{
YJYGlobal.LogLine("Starting...");
queueClient = new QueueClient(ServiceBusConnectionString, QueueName);
// Register QueueClient's MessageHandler and receive messages in a loop
RegisterOnMessageHandlerAndReceiveMessages();
YJYGlobal.LogLine("Receiving messages...");
while (true)
{
Thread.Sleep(TimeSpan.FromSeconds(1));
}
}
private static void LogJobStartup()//(tradeheroEntities db, bool isMonitoring)
{
//if (!isMonitoring)
//{
YJYGlobal.LogLine("***************************************************");
YJYGlobal.LogLine("*** TH_JOBS STARTUP - (local) " + DateTime.Now.ToString("dd MMM yyyy HH:mm") + " ***");
YJYGlobal.LogLine("***************************************************");
YJYGlobal.LogLine("-");
YJYGlobal.LogLine("this host: " + System.Environment.MachineName);
//YJYGlobal.LogLine("constr: " + db.Database.Connection.ConnectionString);
YJYGlobal.LogLine("curdir: " + Environment.CurrentDirectory);
YJYGlobal.LogLine("fullArgs: " + fullArgs);
YJYGlobal.LogLine("logDir: " + logDir);
YJYGlobal.LogLine("-");
//}
}
private static void SendProdDefRequest(object state)
{
while (true)
{
try
{
YJYGlobal.LogLine("sending mds1 request...");
myApp.SendMDS1Request();
}
catch (Exception e)
{
YJYGlobal.LogLine("sending mds1 request failed");
YJYGlobal.LogException(e);
}
Thread.Sleep(_intervalProdDefRequest);
}
}
private static void SaveQuotes(object state)
{
while (true)
{
try
{
IList <Quote> quotes = new List <Quote>();
while (!myApp.QueueQuotes.IsEmpty)
{
Quote obj;
var tryDequeue = myApp.QueueQuotes.TryDequeue(out obj);
quotes.Add(obj);
}
if (quotes.Count > 0)
{
var distinctQuotes =
quotes.GroupBy(o => o.Id).Select(o => o.OrderByDescending(p => p.Time).First()).ToList();
var dtBeginSave = DateTime.Now;
using (var redisClient = YJYGlobal.PooledRedisClientsManager.GetClient())
{
var redisQuoteClient = redisClient.As <Quote>();
redisQuoteClient.StoreAll(distinctQuotes);
}
YJYGlobal.LogLine("Quote: " + distinctQuotes.Count + "/" + quotes.Count + " (distinct/raw) "
+ " Time: " +
quotes.Min(o => o.Time).ToString(YJYGlobal.DATETIME_MASK_MILLI_SECOND)
+ " ~ " +
quotes.Max(o => o.Time).ToString(YJYGlobal.DATETIME_MASK_MILLI_SECOND)
+ ". Saved to redis " + (DateTime.Now - dtBeginSave).TotalMilliseconds);
}
}
catch (Exception e)
{
YJYGlobal.LogException(e);
}
Thread.Sleep(_intervalQuotes);
}
}
static async Task ProcessMessagesAsync(Message message, CancellationToken token)
{
// Process the message
//YJYGlobal.LogLine($"Received message: SequenceNumber:{message.SystemProperties.SequenceNumber}");
try
{
var posToClose = Serialization.ByteArrayToObject(message.Body) as PosToClose;
YJYGlobal.LogLine(
$"Received: {posToClose.Id} {posToClose.closeType} {posToClose.closePx} {posToClose.closePxTime}");
var autoClosePosition = PositionService.AutoClosePosition(posToClose);
var checkAndCloseFollowPositions = PositionService.CheckAndCloseFollowPositions(autoClosePosition.Id);
MessageService.AddAutoCloseMessage(autoClosePosition);
MessageService.AddAutoCloseMessages(checkAndCloseFollowPositions);
YJYGlobal.LogLine(
$"pos closed: {autoClosePosition.Id} type:{autoClosePosition.CloseType} pl:{autoClosePosition.PL}");
// Complete the message so that it is not received again.
// This can be done only if the queueClient is created in ReceiveMode.PeekLock mode (which is default).
await queueClient.CompleteAsync(message.SystemProperties.LockToken);
// Note: Use the cancellationToken passed as necessary to determine if the queueClient has already been closed.
// If queueClient has already been Closed, you may chose to not call CompleteAsync() or AbandonAsync() etc. calls
// to avoid unnecessary exceptions.
}
catch (Exception e)
{
YJYGlobal.LogException(e);
await queueClient.AbandonAsync(message.SystemProperties.LockToken);
}
}
private static void SaveProdDefs(object state)
{
while (true)
{
try
{
//new prod list from Ayondo MDS2
IList <ProdDef> listNew = new List <ProdDef>();
while (!myApp.QueueProdDefs.IsEmpty)
{
ProdDef obj;
var tryDequeue = myApp.QueueProdDefs.TryDequeue(out obj);
listNew.Add(obj);
}
if (listNew.Count > 0)
{
YJYGlobal.LogLine("Saving " + listNew.Count + " ProdDefs to Redis...");
using (var redisClient = YJYGlobal.PooledRedisClientsManager.GetClient())
{
var redisProdDefClient = redisClient.As <ProdDef>();
//current redis list
var listOld = redisProdDefClient.GetAll();
IList <ProdDef> listToSave = new List <ProdDef>();
foreach (var newProdDef in listNew)
{
var old = listOld.FirstOrDefault(o => o.Id == newProdDef.Id);
if (old != null) //updating prod def in redis
{
//update open/close time/price depending on state change
if (old.QuoteType != enmQuoteType.Closed && newProdDef.QuoteType == enmQuoteType.Closed) //xxx -> close
{
YJYGlobal.LogLine("PROD CLOSED " + newProdDef.Id + " " + newProdDef.Name + " time: " + newProdDef.Time +
" offer: " + newProdDef.Offer + " bid: " + newProdDef.Bid);
old.LastClose = newProdDef.Time;
}
else if (old.QuoteType != enmQuoteType.Open && old.QuoteType != enmQuoteType.PhoneOnly &&
(newProdDef.QuoteType == enmQuoteType.Open || newProdDef.QuoteType == enmQuoteType.PhoneOnly)) //xxx -> open/phone
{
YJYGlobal.LogLine("PROD OPENED " + newProdDef.Id + " " + newProdDef.Name + " time: " + newProdDef.Time +
" offer: " + newProdDef.Offer + " bid: " + newProdDef.Bid);
//open time
old.LastOpen = newProdDef.Time;
//open prices
old.OpenAsk = newProdDef.Offer;
old.OpenBid = newProdDef.Bid;
//preclose
if (old.LastClose == null
||
//last close time and this open time is not the same day (regarding session refresh time)
Products.GetLocalDateRegardingSessionRefreshTime(old.LastClose.Value,
newProdDef) <
Products.GetLocalDateRegardingSessionRefreshTime(newProdDef.Time, newProdDef)
)
{
old.PreClose = Quotes.GetClosePrice(newProdDef) ??
//when close ask/bid is null, get from ask/bid
Quotes.GetLastPrice(newProdDef);
}
}
//update fields
old.Time = newProdDef.Time;
old.QuoteType = newProdDef.QuoteType;
old.Name = newProdDef.Name;
old.Symbol = newProdDef.Symbol;
old.AssetClass = newProdDef.AssetClass;
old.Bid = newProdDef.Bid;
old.Offer = newProdDef.Offer;
old.CloseBid = newProdDef.CloseBid;
old.CloseAsk = newProdDef.CloseAsk;
old.Shortable = newProdDef.Shortable;
old.MinSizeShort = newProdDef.MinSizeShort;
old.MaxSizeShort = newProdDef.MaxSizeShort;
old.MinSizeLong = newProdDef.MinSizeLong;
old.MaxSizeLong = newProdDef.MaxSizeLong;
old.MaxLeverage = newProdDef.MaxLeverage;
old.PLUnits = newProdDef.PLUnits;
old.LotSize = newProdDef.LotSize;
old.Ccy2 = newProdDef.Ccy2;
old.Prec = newProdDef.Prec;
old.SMD = newProdDef.SMD;
old.GSMD = newProdDef.GSMD;
old.GSMS = newProdDef.GSMS;
old.SessionTime = newProdDef.SessionTime;
old.SessionZone = newProdDef.SessionZone;
listToSave.Add(old);
}
else //appending new prod def into redis
{
listToSave.Add(newProdDef);
}
}
redisProdDefClient.StoreAll(listToSave);
}
}
}
catch (Exception e)
{
YJYGlobal.LogException(e);
}
Thread.Sleep(_intervalProdDefs);
}
}
private static void UpdateKLine(List <Quote> quotes, IRedisTypedClient <KLine> redisKLineClient, ProdDef prodDef,
DateTime dtAyondoNow, KLineSize kLineSize)
{
var list = redisKLineClient.Lists[KLines.GetKLineListNamePrefix(kLineSize) + prodDef.Id];
if (quotes.Count == 0) //no quotes received, then should just fill the non-changing candle
{
if (kLineSize != KLineSize.Day) //no need to fill the non-changing candle for day kline
{
if (list.Count != 0)
{
var last = list[list.Count - 1];
var klineTime = KLines.GetKLineTime(dtAyondoNow, kLineSize, prodDef);
if (prodDef.QuoteType == enmQuoteType.Closed)
{
klineTime = KLines.GetKLineTime(prodDef.LastClose.Value, kLineSize);
}
if (klineTime > last.T) //a new candle?
{
//fill the non-changing candle
list.Add(new KLine()
{
T = klineTime,
O = last.C,
C = last.C,
H = last.C,
L = last.C,
});
}
}
}
}
else
{
var orderedQuotes = quotes.OrderBy(o => o.Time).ToList();
var firstQuote = orderedQuotes.First();
var lastQuote = orderedQuotes.Last();
var klineTime1 = KLines.GetKLineTime(firstQuote.Time, kLineSize, prodDef);
var klineTime2 = KLines.GetKLineTime(lastQuote.Time, kLineSize, prodDef);
//var list = redisKLineClient.Lists[KLines.GetKLineListNamePrefix(kLineSize) + prodDef.Id];
if (klineTime1 != klineTime2 && kLineSize != KLineSize.Day) //quotes range more than 1 candle
{
var list1 = orderedQuotes.Where(o => o.Time < klineTime2).ToList();
var list2 = orderedQuotes.Where(o => o.Time >= klineTime2).ToList();
var k1 = new KLine()
{
T = klineTime1,
O = Quotes.GetLastPrice(list1.First()),
C = Quotes.GetLastPrice(list1.Last()),
H = list1.Max(o => Quotes.GetLastPrice(o)),
L = list1.Min(o => Quotes.GetLastPrice(o)),
};
var k2 = new KLine()
{
T = klineTime2,
O = Quotes.GetLastPrice(list2.First()),
C = Quotes.GetLastPrice(list2.Last()),
H = list2.Max(o => Quotes.GetLastPrice(o)),
L = list2.Min(o => Quotes.GetLastPrice(o)),
};
if (list.Count == 0)
{
list.Add(k1);
list.Add(k2);
}
else
{
var last = list[list.Count - 1];
if (last.T < klineTime1) //2 new candles to append
{
list.Add(k1);
list.Add(k2);
}
else if (last.T == klineTime1) //update last 1, append 1 new
{
list[list.Count - 1] = new KLine()
{
T = last.T,
O = last.O,
C = k1.C,
H = Math.Max(last.H, k1.H),
L = Math.Min(last.L, k1.L),
};
list.Add(k2);
}
else
{
//should not be here
}
}
}
else //quotes range within 1 candle
{
var k = new KLine()
{
T = klineTime1,
O = Quotes.GetLastPrice(firstQuote),
C = Quotes.GetLastPrice(lastQuote),
H = orderedQuotes.Max(o => Quotes.GetLastPrice(o)),
L = orderedQuotes.Min(o => Quotes.GetLastPrice(o)),
};
if (list.Count == 0)
{
list.Add(k);
}
else
{
var last = list[list.Count - 1];
if (last.T < k.T) //append 1 new
{
list.Add(k);
}
else if (last.T == k.T) //update last 1
{
list[list.Count - 1] = new KLine()
{
T = last.T,
O = last.O,
C = k.C,
H = Math.Max(last.H, k.H),
L = Math.Min(last.L, k.L),
};
}
else
{
//should not be here
}
}
}
}
//clear history/prevent data increasing for good
var clearWhenSize = KLines.GetClearWhenSize(kLineSize);
var clearToSize = KLines.GetClearToSize(kLineSize);
if (list.Count > clearWhenSize) //data count at most possible size (in x days )
{
YJYGlobal.LogLine("KLine " + kLineSize + " " + prodDef.Id + " Clearing data from " + list.Count + " to " +
clearToSize);
var klines = list.GetAll();
var newKLines = klines.Skip(klines.Count - clearToSize);
list.RemoveAll();
list.AddRange(newKLines);
}
}
private static void SaveKLine(object state)
{
while (true)
{
try
{
IList <Quote> newQuotes = new List <Quote>();
while (!myApp.QueueQuotesForKLine.IsEmpty)
{
Quote obj;
var tryDequeue = myApp.QueueQuotesForKLine.TryDequeue(out obj);
newQuotes.Add(obj);
}
using (var redisClient = YJYGlobal.PooledRedisClientsManager.GetClient())
{
var redisProdDefClient = redisClient.As <ProdDef>();
var redisKLineClient = redisClient.As <KLine>();
var prodDefs = redisProdDefClient.GetAll(); //need to get prod def from redis because we need to get o.LastClose, which does not always have value in myApp.ProdDefs
if (newQuotes.Count > 0)
{
var dtAyondoNow = newQuotes.Max(o => o.Time); //the time of the last message received from Ayondo
var dtNow = DateTime.UtcNow;
var oneMinuteAgo = dtNow.AddMinutes(-1);
var openOrRecentlyClosedProdDefs = prodDefs.Where(o =>
(o.QuoteType == enmQuoteType.Open || o.QuoteType == enmQuoteType.PhoneOnly) || //is open
(o.QuoteType == enmQuoteType.Closed && o.LastClose > oneMinuteAgo) //recently closed
)
.ToList();
var dtBeginSave = DateTime.Now;
foreach (var prodDef in openOrRecentlyClosedProdDefs)
{
var quotesByProd = newQuotes.Where(o => o.Id == prodDef.Id).ToList();
if (prodDef.QuoteType == enmQuoteType.Closed) //recently closed
{
quotesByProd = quotesByProd.Where(o => o.Time <= prodDef.LastClose.Value).ToList(); //make sure that quotes' time is within prods' opening time
}
UpdateKLine(quotesByProd, redisKLineClient, prodDef, dtAyondoNow, KLineSize.OneMinute);
UpdateKLine(quotesByProd, redisKLineClient, prodDef, dtAyondoNow, KLineSize.FiveMinutes);
UpdateKLine(quotesByProd, redisKLineClient, prodDef, dtAyondoNow,
KLineSize.FifteenMinutes);
UpdateKLine(quotesByProd, redisKLineClient, prodDef, dtAyondoNow, KLineSize.SixtyMinutes);
UpdateKLine(quotesByProd, redisKLineClient, prodDef, dtAyondoNow, KLineSize.Day);
}
YJYGlobal.LogLine("\t\t" + " KLine " + openOrRecentlyClosedProdDefs.Count + "/" +
newQuotes.Count + " " + " Time: " +
newQuotes.Min(o => o.Time).ToString(YJYGlobal.DATETIME_MASK_MILLI_SECOND) +
" ~ " +
newQuotes.Max(o => o.Time).ToString(YJYGlobal.DATETIME_MASK_MILLI_SECOND) +
" Saved to Redis " + (DateTime.Now - dtBeginSave).TotalMilliseconds);
}
}
}
catch (Exception e)
{
YJYGlobal.LogException(e);
}
Thread.Sleep(_intervalKLine);
}
}
private static void UpdateRedisTick(IRedisTypedClient <Tick> redisTickClient, int secId, DateTime dtAyondoNow, IList <Quote> quotes, TickSize tickSize)
{
//redis tick list
var list = redisTickClient.Lists[Ticks.GetTickListNamePrefix(tickSize) + secId];
if (quotes.Count == 0) //fill in non-changing ticks
{
if (list.Count > 0)
{
var last = list[list.Count - 1];
//redis last tick is newer
if (last.T >= dtAyondoNow)
{
return;//impossible
}
//update last tick in redis
if (Ticks.IsTickEqual(last.T, dtAyondoNow, tickSize))
{
//do nothing
}
else //append new tick with the same price as redis last
{
list.Add(new Tick()
{
P = last.P, T = dtAyondoNow
});
}
}
}
else
{
var lastQuote = quotes.OrderByDescending(o => o.Time).First();
var newTick = new Tick {
P = Quotes.GetLastPrice(lastQuote), T = dtAyondoNow
};
if (list.Count == 0) //new products coming
{
list.Add(newTick);
return;
}
var last = list[list.Count - 1];
//redis last tick is newer
if (last.T >= dtAyondoNow)
{
return;//impossible
}
//update last tick in redis
if (Ticks.IsTickEqual(last.T, dtAyondoNow, tickSize))
{
////last price dominate
//list[list.Count - 1] = newTick;
//first price dominate
//do nothing
}
else //append new last tick
{
list.Add(newTick);
}
}
//clear history/prevent data increasing for good
var clearWhenSize = Ticks.GetClearWhenSize(tickSize);
var clearToSize = Ticks.GetClearToSize(tickSize);
if (list.Count > clearWhenSize) //data count at most possible size (in x days )
{
YJYGlobal.LogLine("Tick " + tickSize + " " + secId + " Clearing data from " + list.Count + " to " + clearToSize);
var ticks = list.GetAll();
var newTicks = ticks.Skip(ticks.Count - clearToSize);
list.RemoveAll();
list.AddRange(newTicks);
}
}
static int Main(string[] args)
{
GetProgramVariables(args);
CreateLogDirectory();
SetupLogger();
Environment.CurrentDirectory = exeDir; // set curdir so local ./caches works when running in SQL Agent
//bool isMonitoring = args.Contains("-Monitor") && args.Length == 1;
DateTime startupTime = DateTime.Now;
bool completedWithoutError = true;
LogJobStartup();//(db, isMonitoring);
try
{
if (args.Contains("-AyondoFixFeed"))
{
AyondoFixFeedWorker.Run();
}
if (args.Contains("-PositionCheck"))
{
PositionCheck.Run();
}
if (args.Contains("-PositionClose"))
{
PositionClose.Run();
}
return(0);
}
catch (Exception ex)
{
YJYGlobal.LogLine("EXCEPTION MAIN THREAD ### [" + ex.GetType().ToString() + "] " + ex.Message + " ###");
YJYGlobal.LogException(ex);
completedWithoutError = false;
return(1);
}
finally
{
TimeSpan execTime = DateTime.Now.Subtract(startupTime);
//// wait for child foreground threads to end
//foreach (Thread t in thc.Global.ForegroundThreads)
//{
// //Global.LogLine("joining thread '" + t.Name + "'...");
// t.Join();
//}
//JobsGlobal.LogLine("all foreground threads join-completed.");
//if (!isMonitoring)
//{
execTime = LogEndOfJob(execTime);
//}
Trace.Close();
if (completedWithoutError)
{
File.Move(logFullPath, logFullPath.Replace("INPROCESS.", "OK.") + "_" + execTime.TotalMinutes.ToString("0") + ".MINS.LOG");
}
else
{
File.Move(logFullPath, logFullPath.Replace("INPROCESS.", "FAILED.") + "_" + execTime.TotalMinutes.ToString("0") + ".MINS.LOG");
}
}
}
private static void SaveRawTicks(object state)
{
while (true)
{
try
{
IList <Quote> quotes = new List <Quote>();
while (!myApp.QueueQuotesForRawTick.IsEmpty)
{
Quote obj;
var tryDequeue = myApp.QueueQuotesForRawTick.TryDequeue(out obj);
quotes.Add(obj);
}
if (quotes.Count > 0)
{
var quoteGroups = quotes.GroupBy(o => o.Id).ToList();
var dtBeginSave = DateTime.Now;
var count = 0;
//var entitiesToSaveToDB = new List<QuoteHistory>();
using (var redisClient = YJYGlobal.PooledRedisClientsManager.GetClient())
{
var redisTickClient = redisClient.As <Tick>();
foreach (var quoteGroup in quoteGroups)
{
if (!myApp.ProdDefs.ContainsKey(quoteGroup.Key)) //no product definition
{
YJYGlobal.LogLine("SaveRawTicks: no prodDef. tick ignored " + quoteGroup.Key);
continue;
}
var prodDef = myApp.ProdDefs[quoteGroup.Key];
if (prodDef.QuoteType != enmQuoteType.Open &&
prodDef.QuoteType != enmQuoteType.PhoneOnly) //not open not phoneOnly
{
YJYGlobal.LogLine("\tSaveRawTicks: prod not opening. tick ignored. " + prodDef.Id + " " +
prodDef.Name);
continue;
}
var list =
redisTickClient.Lists[Ticks.GetTickListNamePrefix(TickSize.Raw) + quoteGroup.Key];
var ticksToAdd =
quoteGroup.Select(o => new Tick {
P = Quotes.GetLastPrice(o), T = o.Time
})
.OrderBy(o => o.T)
.ToList();
list.AddRange(ticksToAdd);
count++;
//clear history to prevent data size get too big
var clearWhenSize = Ticks.GetClearWhenSize(TickSize.Raw);
var clearToSize = Ticks.GetClearToSize(TickSize.Raw);
if (list.Count > clearWhenSize)
{
YJYGlobal.LogLine("Raw Ticks " + quoteGroup.Key + " Clearing data from " +
list.Count + " to " + clearToSize);
var ticks = list.GetAll();
var newTicks = ticks.Skip(ticks.Count - clearToSize);
list.RemoveAll();
list.AddRange(newTicks);
}
}
}
YJYGlobal.LogLine("\t" + TickSize.Raw + " Ticks " + count + "/" + quoteGroups.Count + "/" +
quotes.Count + " " + " Time: " +
quotes.Min(o => o.Time).ToString(YJYGlobal.DATETIME_MASK_MILLI_SECOND) + " ~ " +
quotes.Max(o => o.Time).ToString(YJYGlobal.DATETIME_MASK_MILLI_SECOND) +
" Saved to Redis " + (DateTime.Now - dtBeginSave).TotalMilliseconds);
}
}
catch (Exception e)
{
YJYGlobal.LogException(e);
}
Thread.Sleep(_intervalRawTicks);
}
}
public void OnLogout(SessionID sessionID)
{
YJYGlobal.LogLine("OnLogout: ");
}
public void OnCreate(SessionID sessionID)
{
YJYGlobal.LogLine("OnCreate: ");
}
public static void Run()
{
YJYGlobal.LogLine("Starting...");
//var mapper = MapperConfig.GetAutoMapperConfiguration().CreateMapper();
_queueClient = new QueueClient(ServiceBusConnectionString, QueueName);
while (true)
{
try
{
using (var redisClient = YJYGlobal.PooledRedisClientsManager.GetClient())
{
var redisProdDefClient = redisClient.As <ProdDef>();
var redisQuoteClient = redisClient.As <Quote>();
//var redisTickClient = redisClient.As<Tick>();
using (var db = YJYEntities.Create())
{
var openPositions = db.Positions.Where(o => o.ClosedAt == null).ToList();
var prodDefs = redisProdDefClient.GetAll();
var quotes = redisQuoteClient.GetAll();
var openPositionsNotSent = openPositions.Where(o => !_sentPosIds.ContainsKey(o.Id)).ToList();
if (new Random().NextDouble() > 0.9)
{
YJYGlobal.LogLine(openPositionsNotSent.Count + "/" + openPositions.Count + " (notSent/all) open positions.");
}
var messages = new List <Message>();
var posIds = new List <int>();
var groups = openPositionsNotSent.GroupBy(o => o.SecurityId).ToList();
foreach (var group in groups) //foreach security
{
var secId = group.Key;
//YJYGlobal.LogLine("sec: " + secId + " alert_count: " + group.Count());
var prodDef = prodDefs.FirstOrDefault(o => o.Id == secId);
var quote = quotes.FirstOrDefault(o => o.Id == secId);
if (prodDef == null || quote == null)
{
YJYGlobal.LogLine("cannot find prodDef/quote " + secId);
continue;
}
if (prodDef.QuoteType == enmQuoteType.Closed ||
prodDef.QuoteType == enmQuoteType.Inactive)
{
//YJYGlobal.LogLine("prod " + prodDef.Id + " quoteType is " + prodDef.QuoteType);
continue;
}
//if (DateTime.UtcNow - quote.Time > _tolerance)
//{
// YJYGlobal.LogLine("quote " + quote.Id + " too old " + quote.Time);
// continue;
//}
////get historical highest and lowest price
//decimal highestBid;
//decimal lowestAsk;
//var ticks = redisTickClient.Lists[Ticks.GetTickListNamePrefix(TickSize.Raw) + prodDef.Id].GetAll();
//var dtUtcNow = DateTime.UtcNow;
//if (!_lastFetchTill.ContainsKey(prodDef.Id))
//{s
// var historyTicks = ticks.Select(o => o.Time > dtUtcNow - _tolerance).ToList();
//}
var last = Quotes.GetLastPrice(quote);
foreach (var p in group) //foreach alert belong to a security
{
//position goes to 0%
var upl = Trades.CalculatePL(p, last, false);
var inv = p.Invest.Value.ToString("0");
var lev = p.Leverage.Value.ToString("0");
var setPx = p.SettlePrice.Value.ToString("F" + prodDef.Prec);
if (upl + p.Invest <= 0)
{
YJYGlobal.LogLine(
$"position {p.Id} ({(p.Side.Value ? "↗" : "↘")} {inv}x{lev} at {setPx}) CLOSED at {last} PL {upl.ToString("0.00")}");
posIds.Add(p.Id);
messages.Add(new Message(Serialization.ObjectToByteArray(
new PosToClose()
{
Id = p.Id,
closeType = PositionCloseType.Liquidate,
closePx = last,
closePxTime = quote.Time,
})));
continue;
}
//stop
if (p.StopPx != null)
{
if (p.Side.Value && last <= p.StopPx || !p.Side.Value && last >= p.StopPx)
{
YJYGlobal.LogLine(
$"position {p.Id} ({(p.Side.Value ? "↗" : "↘")} {inv}x{lev} at {setPx}) STOPPED at {last} PL {upl.ToString("0.00")}");
posIds.Add(p.Id);
messages.Add(new Message(Serialization.ObjectToByteArray(
new PosToClose()
{
Id = p.Id,
closeType = PositionCloseType.Stop,
closePx = last,
closePxTime = quote.Time,
})));
continue;
}
}
//take
if (p.TakePx != null)
{
if (p.Side.Value && last >= p.TakePx || !p.Side.Value && last <= p.TakePx)
{
YJYGlobal.LogLine(
$"position {p.Id} ({(p.Side.Value ? "↗" : "↘")} {inv}x{lev} at {setPx}) TAKEN at {last} PL {upl.ToString("0.00")}");
posIds.Add(p.Id);
messages.Add(new Message(Serialization.ObjectToByteArray(
new PosToClose()
{
Id = p.Id,
closeType = PositionCloseType.Take,
closePx = last,
closePxTime = quote.Time,
})));
continue;
}
}
}
//db.SaveChanges();
}
if (messages.Count > 0)
{
_queueClient.SendAsync(messages);
foreach (var posId in posIds)
{
_sentPosIds.Add(posId, DateTime.UtcNow);
}
}
}
}
}
catch (Exception e)
{
YJYGlobal.LogException(e);
}
//YJYGlobal.LogLine("");
Thread.Sleep(_sleepInterval);
}
}
public void FromAdmin(Message message, SessionID sessionID)
{
YJYGlobal.LogLine("FromAdmin: ");
}
public PositionDTO NewPosition(NewPositionFormDTO form)
{
if (form.invest <= 0 || form.invest > 10000)
{
throw new HttpResponseException(Request.CreateErrorResponse(HttpStatusCode.BadRequest,
"invalid invest"));
}
if (form.leverage < 1)
{
throw new HttpResponseException(Request.CreateErrorResponse(HttpStatusCode.BadRequest,
"invalid leverage"));
}
var user = GetUser();
var balance = db.Balances.FirstOrDefault(o => o.Id == user.ActiveBalanceId);
if (balance.Amount < form.invest)
{
throw new HttpResponseException(Request.CreateErrorResponse(HttpStatusCode.BadRequest,
Resources.Resource.NotEnoughBalance));
}
var cache = WebCache.Instance;
decimal spread = 0.0005M; //点差，默认万分之五
var spreadMisc = db.Miscs.FirstOrDefault(m => m.Key == "spread");
if (spreadMisc != null)
{
decimal.TryParse(spreadMisc.Value, out spread);
}
var prodDef = cache.ProdDefs.FirstOrDefault(o => o.Id == form.securityId);
if (prodDef.QuoteType == enmQuoteType.Closed || prodDef.QuoteType == enmQuoteType.Inactive)
{
throw new HttpResponseException(Request.CreateErrorResponse(HttpStatusCode.BadRequest,
Resources.Resource.ProductClosed));
}
//if (form.leverage > prodDef.MaxLeverage)
if (form.leverage > MAX_LEVERAGE)
{
throw new HttpResponseException(Request.CreateErrorResponse(HttpStatusCode.BadRequest,
"exceeded max leverage"));
}
var quote = cache.Quotes.FirstOrDefault(o => o.Id == form.securityId);
var positionService = new PositionService();
var price = Quotes.GetLastPrice(quote);
if (form.isLong) //买多，买入价 = 买入价 + 加点差
{
price = (1 + spread) * price;
}
else //买空， 买入价 = 买入价 - 加点差
{
price = (1 - spread) * price;
}
var newPosition = positionService.CreateNewPosition(UserId, form.securityId, form.invest, form.isLong,
form.leverage, price);
var posIdToFollow = newPosition.Id;
Task.Run(() =>
{
YJYGlobal.LogLine("NEW THREAD: check and OPEN follow positions for pos " + posIdToFollow);
PositionService.CheckAndOpenFollowPositions(posIdToFollow);
});
var posDTO = new PositionDTO()
{
id = newPosition.Id,
isLong = newPosition.Side.Value,
settlePrice = newPosition.SettlePrice.Value,
invest = newPosition.Invest.Value,
leverage = newPosition.Leverage.Value,
createAt = newPosition.CreateTime.Value,
};
return(posDTO);
}
public void FromApp(Message message, SessionID sessionID)
{
//YJYGlobal.LogLine("FromApp: cracking message...");
////-------clear inactive products-------------
//if (_activeProdIds.Count==121)
//{
// var redisProdDefClient = YJYGlobal.BasicRedisClientManager.GetClient().As<ProdDef>();
// var allIds = redisProdDefClient.GetAll().Select(o => o.Id).ToList();
// var removeIds = allIds.Where(o => !_activeProdIds.Contains(o)).ToList();
// redisProdDefClient.DeleteByIds(removeIds);
// allIds = redisQuoteClient.GetAll().Select(o => o.Id).ToList();
// removeIds = allIds.Where(o => !_activeProdIds.Contains(o)).ToList();
// redisQuoteClient.DeleteByIds(removeIds);
// var redis = YJYGlobal.BasicRedisClientManager.GetClient();
// var keys = redis.SearchKeys("tick:*");
// foreach (var key in keys)
// {
// var secId = Convert.ToInt32(key.Replace("tick:", ""));
// if (!_activeProdIds.Contains(secId))
// redis.RemoveEntry(key);
// }
//}//---------------------------------------------
string msgType = message.Header.GetString(Tags.MsgType);
if (msgType == MsgType.QUOTE)
{
Crack(message, sessionID);
}
else if (msgType == "MDS2")
{
/*other new fields:
* MDS_SFACTOR: This is the slippage factor for a product. It is a value used in margin calculations.
*
* MDS_SFACTOR is Slippage Factor. It is used in the margin calculation.
* MDS_MULT is a scaling factor used in some PL calculations. It's important for spread bets (which you do not trade).
*/
//YJYGlobal.LogLine(message.ToString());
//YJYGlobal.LogLine(GetMessageString(message));
var id = Convert.ToInt32(message.GetString(Tags.SecurityID));
var time = message.Header.GetDateTime(Tags.SendingTime);
var quoteType = (enmQuoteType)message.GetInt(Tags.QuoteType);
var name = message.GetString(Tags.Symbol);
var symbol = message.GetString(DD.FieldsByName["MDS_BBC"].Tag);
var assetClass = message.GetString(DD.FieldsByName["MDS_ASSETCLASS"].Tag);
//some security MDS2 dont have Bid/Offer...
var bid = message.Any(o => o.Key == Tags.BidPx) ? message.GetDecimal(Tags.BidPx) : (decimal?)null;
var offer = message.Any(o => o.Key == Tags.OfferPx) ? message.GetDecimal(Tags.OfferPx) : (decimal?)null;
//some security MDS2 dont have MDS_CLOSEBID/MDS_CLOSEASK...
var closeBid = message.Any(o => o.Key == DD.FieldsByName["MDS_CLOSEBID"].Tag) ? message.GetDecimal(DD.FieldsByName["MDS_CLOSEBID"].Tag) : (decimal?)null;
var closeAsk = message.Any(o => o.Key == DD.FieldsByName["MDS_CLOSEASK"].Tag) ? message.GetDecimal(DD.FieldsByName["MDS_CLOSEASK"].Tag) : (decimal?)null;
//
var shortable = Convert.ToBoolean(message.GetString(DD.FieldsByName["MDS_SHORTABLE"].Tag));
var minSizeShort = message.GetDecimal(DD.FieldsByName["MDS_MinSizeShort"].Tag);
var maxSizeShort = message.GetDecimal(DD.FieldsByName["MDS_MaxSizeShort"].Tag);
var minSizeLong = message.GetDecimal(DD.FieldsByName["MDS_MinSizeLong"].Tag);
var maxSizeLong = message.GetDecimal(DD.FieldsByName["MDS_MaxSizeLong"].Tag);
var maxLeverage = message.GetDecimal(DD.FieldsByName["MDS_EFFLEVERAGE"].Tag);
var plUnits = message.GetDecimal(DD.FieldsByName["MDS_PLUNITS"].Tag);
var lotSize = message.GetDecimal(DD.FieldsByName["MDS_LOTSIZE"].Tag);
var ccy2 = message.GetString(DD.FieldsByName["MDS_CCY2"].Tag);
var prec = message.GetInt(DD.FieldsByName["MDS_PREC"].Tag);
var smd = message.Any(o => o.Key == DD.FieldsByName["MDS_SMD"].Tag) ?message.GetDecimal(DD.FieldsByName["MDS_SMD"].Tag):(decimal?)null;
var gsmd = message.Any(o => o.Key == DD.FieldsByName["MDS_GSMD"].Tag) ? message.GetDecimal(DD.FieldsByName["MDS_GSMD"].Tag) : (decimal?)null;
var gsms = message.Any(o => o.Key == DD.FieldsByName["MDS_GSMS"].Tag) ? message.GetDecimal(DD.FieldsByName["MDS_GSMS"].Tag) : (decimal?)null;
//var sFactor = message.GetDecimal(DD.FieldsByName["MDS_SFACTOR"].Tag);
//var tickTime = message.Any(o=>o.Key== DD.FieldsByName["MDS_TICKTIME"].Tag)? message.GetDateTime(DD.FieldsByName["MDS_TICKTIME"].Tag):(DateTime?)null;
var sessionTime = message.GetString(DD.FieldsByName["MDS_SESSIONTIME"].Tag);
var sessionZone = message.GetString(DD.FieldsByName["MDS_SESSIONZONE"].Tag);
//var mult = message.GetDecimal(DD.FieldsByName["MDS_MULT"].Tag);
QueueProdDefs.Enqueue(new ProdDef
{
Id = id,
Time = time,
QuoteType = quoteType,
Name = name,
Symbol = symbol,
AssetClass = assetClass,
Bid = bid,
Offer = offer,
CloseBid = closeBid,
CloseAsk = closeAsk,
Shortable = shortable,
MinSizeShort = minSizeShort,
MaxSizeShort = maxSizeShort,
MinSizeLong = minSizeLong,
MaxSizeLong = maxSizeLong,
MaxLeverage = maxLeverage,
PLUnits = plUnits,
LotSize = lotSize,
Ccy2 = ccy2,
Prec = prec,
SMD = smd,
GSMD = gsmd,
GSMS = gsms,
SessionTime = sessionTime,
SessionZone = sessionZone,
});
ProdDefs[id] = new ProdDef
{
Id = id,
Time = time,
QuoteType = quoteType,
Name = name,
Symbol = symbol,
AssetClass = assetClass,
Bid = bid,
Offer = offer,
CloseBid = closeBid,
CloseAsk = closeAsk,
Shortable = shortable,
MinSizeShort = minSizeShort,
MaxSizeShort = maxSizeShort,
MinSizeLong = minSizeLong,
MaxSizeLong = maxSizeLong,
MaxLeverage = maxLeverage,
PLUnits = plUnits,
LotSize = lotSize,
Ccy2 = ccy2,
Prec = prec,
SMD = smd,
GSMD = gsmd,
GSMS = gsms,
SessionTime = sessionTime,
SessionZone = sessionZone,
};
}
else
{
YJYGlobal.LogLine("Unknown MsgType: " + message.ToString());
}
}