コード例 #1
0
 private static void writeBoardData()
 {
     if (MarketDataLog.getNumBoardData() > 100)
     {
         DBManager.insertBoardData(MarketDataLog.getAllBoardData());
     }
 }
コード例 #2
0
ファイル: MarketData.cs プロジェクト: alunfes/FlyerTrading
        private async static void marketDataThread()
        {
A:
            disconnect_flg = false;
            //var api = new API();
            //var api2 = new API();
            var api3 = new API();

            //api.Subscribe<Tick>(api.TickerFxBtcJpy, OnReceive, OnConnect, OnError);
            //api2.Subscribe<BoardDiff>(api.boardFxBtcJpy, OnReceiveBoard, OnConnectBoard, OnError);
            api3.Subscribe <List <Executions> >(api3.ExecutionsFxBtcJpy, OnReceiveExecutions, OnConnectExecutions, OnErrorExecutions);

            while (SystemFlg.getMarketDataFlg())
            {
                await Task.Delay(300);

                //Thread.Sleep(10);
                Form1.Form1Instance.Invoke((Action)(() =>
                {
                    Form1.Form1Instance.setLabel("num executions log=" + MarketDataLog.getNumExecutionsLog().ToString());
                    Form1.Form1Instance.setLabel2("num board data log=" + MarketDataLog.getNumBoardData().ToString());
                }));

                if (disconnect_flg)
                {
                    goto A;//make new instance when unexpectedlly disconnected
                }
            }

            api3.unsubscribe();
        }
コード例 #3
0
 private static void writeExecutionsData()
 {
     if (MarketDataLog.getNumExecutionsLog() > 10000)
     {
         DBManager.insertExecutions(MarketDataLog.getExecutionsData());
     }
 }
コード例 #4
0
        public static async void startBoardUpdate()
        {
            initialize();

            await Task.Run(async() =>
            {
                while (SystemFlg.getMarketDataFlg())
                {
                    if (FlyerAPI2.getApiAccessProhibition() == false)
                    {
                        var board = await FlyerAPI2.getBoardAsync("FX_BTC_JPY");

                        if (board.MidPrice != 0)
                        {
                            board.dt  = DateTime.Now;
                            var ask_p = board.Asks.Select(c => c.Price).ToArray();
                            var bid_p = board.Bids.Select(c => c.Price).ToArray();

                            var ask_min = ask_p.Min();
                            var bid_max = bid_p.Max();

                            board.spread = ask_min - bid_max;
                            setCurrentBoard(board);
                            MarketDataLog.addBoardData(board.dt, new double[] { bid_max, ask_min, board.spread });
                            Form1.Form1Instance.Invoke((Action)(() =>
                            {
                                Form1.Form1Instance.setLabel3(board.spread.ToString());
                            }));
                        }
                    }
                    //await Task.Delay(0);
                }
            });
        }
コード例 #5
0
ファイル: MarketData.cs プロジェクト: alunfes/FlyerTrading
 private static void OnReceiveExecutions(List <Executions> data)
 {
     MarketDataLog.addExecutionsData(data);
     foreach (var v in data)
     {
         Form1.Form1Instance.addListBox3(v.exec_date + ", id=" + v.id + ", side=" + v.side + ", price=" + v.price + ", size=" + v.size);
     }
 }
コード例 #6
0
ファイル: MarketData.cs プロジェクト: alunfes/FlyerTrading
 public static void startMarketData()
 {
     SystemFlg.setMarketDataFlg(true);
     MarketDataLog.initialize();
     //BoardDataUpdate.getCurrentBoard();
     BoardDataUpdate.startBoardUpdate();
     marketDataThread();
     DBWriter.startDBWriter();
     //System.Diagnostics.Debug.WriteLine("kita2");
 }
コード例 #7
0
ファイル: Account.cs プロジェクト: alunfes/FlyerTrading
        public async Task <string> checkExecutionAndUpdateOrders()
        {
            var res = "";

            if (MarketDataLog.getNumExecutionsLog() < last_ind_marketdata)
            {
                last_ind_marketdata = 0;
            }

            var exe_data = MarketDataLog.getExecutionsDataRange(last_ind_marketdata);

            last_ind_marketdata += exe_data.Count;
            var ord = getAllOrders();

            for (int i = 0; i < ord.Count; i++)
            {
                for (int j = 0; j < exe_data.Count; j++)
                {
                    if (exe_data[j].buy_child_order_acceptance_id == ord[i].order_id || exe_data[j].sell_child_order_acceptance_id == ord[i].order_id)
                    {
                        addHolding(ord[i].order_price, exe_data[j].size, ord[i].order_side);
                        takeLog(DateTime.Now + ": executed " + ord[i].order_side + " for " + exe_data[j].price + " x " + exe_data[j].size);
                        Log.addLog("Account-checkExecutionAndUpdateOrders", ": executed " + ord[i].order_side + " for " + exe_data[j].price + " x " + exe_data[j].size);
                        Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("executed " + ord[i].order_side + " for " + exe_data[j].price + " x " + exe_data[j].size); }));
                        if ((ord[i].order_lot - exe_data[j].size) <= 0)
                        {
                            takeLog(DateTime.Now + ": order " + ord[i].order_id + " was full filled and removed");
                            Log.addLog("Account-checkExecutionAndUpdateOrders", ": order " + ord[i].order_id + " was full filled and removed");
                            Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("order " + ord[i].order_id + " was full filled and removed"); }));
                            removeOrder(ord[i].order_id);
                            num_trade++;
                        }
                        else
                        {
                            Log.addLog("Account-checkExecutionAndUpdateOrders", ": order " + ord[i].order_id + " was partially executed");
                            updateOrderSize(ord[i].order_lot - exe_data[j].size, ord[i].order_id);
                        }
                    }
                }
            }
            return(res);
        }
コード例 #8
0
ファイル: MarketData.cs プロジェクト: alunfes/FlyerTrading
        private static void OnReceiveBoard(BoardDiff data)
        {
            //if (BoardDataUpdate.getCurrentBoard().MidPrice  > 0)
            {
                var current_board = BoardDataUpdate.getCurrentBoard();
                current_board.dt = DateTime.Now;
                var ask_min = current_board.Asks.Select(x => x.Price).ToList().Min();
                var bid_max = current_board.Bids.Select(x => x.Price).ToList().Max();

                foreach (var v in data.Asks)
                {
                    if (v.Price < ask_min)
                    {
                        ask_min = v.Price;
                    }
                    break;
                }
                foreach (var v in data.Bids)
                {
                    if (v.Price > bid_max)
                    {
                        bid_max = v.Price;
                    }
                    break;
                }

                current_board.Asks[0].Price = ask_min;
                current_board.Bids[0].Price = bid_max;
                current_board.spread        = ask_min - bid_max;
                MarketDataLog.addBoardData(current_board.dt, new double[] { bid_max, ask_min, current_board.spread });
                BoardDataUpdate.setCurrentBoard(current_board);
                Form1.Form1Instance.setLabel3(current_board.spread.ToString());
            }

            /*
             * foreach (var v in data.Asks)
             *  line += v.Price + " x " + v.Size;
             * Form1.Form1Instance.addListBox(data.MidPrice+" : " + line);
             */
        }
コード例 #9
0
ファイル: MarketData.cs プロジェクト: alunfes/FlyerTrading
 private static void OnReceive(Tick data)
 {
     MarketDataLog.addTickData(data);
     //Form1.Form1Instance.addListBox2(data.Timestamp + ", price=" + data.LatestPrice + ", vol=" + data.Volume + ", vol product=" + data.VolumeByProduct);
 }
コード例 #10
0
ファイル: Form1.cs プロジェクト: alunfes/FlyerTrading
        private async void buttonSendOrder_Click(object sender, EventArgs e)
        {
            if (SystemFlg.getMarketDataFlg() == false)
            {
                MarketData.startMarketData();
                await Task.Delay(3000);
            }


            var board = await FlyerAPI2.getBoardAsync("FX_BTC_JPY");

            double price = board.Asks.Select(x => x.Price).ToList().Min() - 1;

            var res = await FlyerAPI2.sendChiledOrderAsync("SELL", price, 0.01, 1);

            if (res.order_id != "")
            {
                addListBox2("completed send order:" + res.order_id);
            }

            if (id == "")
            {
                id = res.order_id;
            }


            System.Diagnostics.Stopwatch sw = new System.Diagnostics.Stopwatch();
            sw.Start();
            bool   flg   = true;
            string dotti = "";

            while (flg)
            {
                var exe = await FlyerAPI2.getExecutionsAcceptanceIDAsync(res.order_id);

                System.Diagnostics.Debug.WriteLine(exe);
                if (exe.Count > 0)
                {
                    if (exe[0].child_order_accesptance_id == res.order_id)
                    {
                        flg   = false;
                        dotti = "getExecutionsAcceptanceIDAsync";
                    }
                }
                if (MarketDataLog.getExecutionStatus(res.order_id))
                {
                    flg   = false;
                    dotti = "getExecutionStatus";
                }
            }

            sw.Stop();
            id = res.order_id;
            Form1Instance.addListBox2(res.order_id + ":time=" + sw.ElapsedMilliseconds + ", dotti=" + dotti);

            SystemFlg.setMarketDataFlg(false);
            SystemFlg.setDBWriterFlg(false);

            /*
             * var board2 = await FlyerAPI2.getBoardAsync("FX_BTC_JPY");
             * var res2 = await FlyerAPI2.sendChiledOrderAsync("SELL", board2.Asks.Select(x => x.Price).ToList().Max()-1, 0.01, 1);
             *
             * var exe2 = await FlyerAPI2.getExecutionsAcceptanceIDAsync(res2.order_id);
             *
             * var posi2 = await FlyerAPI2.getPositionsAsync();
             */
        }
コード例 #11
0
ファイル: Account.cs プロジェクト: alunfes/FlyerTrading
        private async Task <string> checkCancel()
        {
            await Task.Run(async() =>
            {
                while (SystemFlg.getMMFlg())
                {
                    if (cancelling)
                    {
                        var order = await FlyerAPI2.sendChiledOrderAsync("BUY", MarketDataLog.getLastExecutionsData().price - 100000, 0.01, 1); //send dummy order
                        Log.addLog("Account-CheckCancel", "sendChiledOrderAsync-dummy");
                        var ord_dt = DateTime.Now;
                        if (order.order_id.Contains("JRF"))
                        {
                            bool flg = true;
                            do
                            {
                                if (FlyerAPI2.getApiAccessProhibition() == false)
                                {
                                    var orders = await FlyerAPI2.getChildOrderAsync("ACTIVE");//get current active orders
                                    Log.addLog("Account-CheckCancel", "getChildOrderAsync-ACTIVE");
                                    var dt        = DateTime.Now;
                                    var orders_id = orders.Select(x => x.child_order_acceptance_id).ToList();
                                    if (orders_id.Contains(order.order_id)) //when the dummy order is in the active order list
                                    {
                                        //treat all cancelling status orders not exist in order list as properlly cancelled
                                        var ord            = getAllOrders();
                                        int num_cancelling = 0;
                                        for (int i = 0; i < ord.Count; i++)
                                        {
                                            if (ord[i].order_status == "CANCELLING" && dt > ord[i].order_dt)
                                            {
                                                num_cancelling++;
                                                //if (orders_id.Contains(ord[i].order_id))//
                                                {
                                                    takeLog(DateTime.Now + ": cancelled " + ord[i].order_side + ", price=" + ord[i].order_price + " x " + ord[i].order_lot);
                                                    Log.addLog("Account-CheckCancel", "cancelled " + ord[i].order_side + ", price=" + ord[i].order_price + " x " + ord[i].order_lot);
                                                    Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("cancelled " + ord[i].order_side + ", price=" + ord[i].order_price + " x " + ord[i].order_lot); }));
                                                    removeOrder(ord[i].order_id);
                                                }
                                            }
                                        }
                                        if (num_cancelling == 0)//cancel dummy order and stop current checking
                                        {
                                            string res = "error";
                                            do
                                            {
                                                res        = await FlyerAPI2.cancelChildOrdersAsync(order.order_id);
                                                flg        = false;
                                                cancelling = false;
                                                Log.addLog("Account-CheckCancel", "num cancelling = 0, res=" + res);
                                            } while (res == "error");
                                        }
                                        else if ((DateTime.Now - ord_dt).Seconds > 60)
                                        {
                                            flg = false;
                                        }
                                    }
                                }
                                await Task.Delay(500);
                            } while (flg);
                        }
                    }
                    else
                    {
                        Log.addLog("Account-CheckCancel", "cancelling = false, num orders=" + getNumCurrentOrders());
                        await Task.Delay(1000);
                    }
                }
            });

            return("");
        }