public OrderProcessor(BizDomain domain, string wspName)
{
bizDomain = domain;
msgQueue = Queue.Synchronized(new Queue());
mktOrderQueue = Queue.Synchronized(new Queue());
processSignaller = new ManualResetEvent(false);
msgDispatcher = new Thread(new ThreadStart(ProcessQueue));
msgDispatcher.Start();
}
public ChatClient(TcpClient tcpClient1, BizDomain bizDomain)
{
equityDomain = bizDomain;
tcpClient = tcpClient1;
byteMessage = new byte[tcpClient.ReceiveBufferSize];
//read async
NetworkStream networkStream = tcpClient.GetStream();
networkStream.BeginRead(byteMessage, 0, tcpClient.ReceiveBufferSize,
new AsyncCallback(ReceiveAsyncCallback), null);
}
static void Main(string[] args)
{
try
{
// ThreadPool.SetMaxThreads(1000, 1000);
BizDomain equityDomain;
equityDomain = new BizDomain("Equity Domain", new string[] { "MSFT", "BAC", "GE", "WFC" });// for us, instument means maturity?
equityDomain.OrderBook.OrderPriority = new PriceTimePriority();
equityDomain.OrderBook.OrderPriorityForMarket = new TimePriorityForMarket();
EquityMatchingLogic equityMatchingLogic = new EquityMatchingLogic(equityDomain);
equityDomain.Start();
equityDomain.Start2();
//test
bool validOrder;
/*
* FuturesOrder MarketOrder = new FuturesOrder("MSFT", "Market", "B", 30.0, 50, "New");
* validOrder = equityDomain.checkMargin(MarketOrder);
*
* if(validOrder)
* equityDomain.SubmitOrder("MSFT", MarketOrder);
*
* FuturesOrder MarketOrder2 = new FuturesOrder("MSFT", "Market", "S", 25.0, 30, "New");
* validOrder = equityDomain.checkMargin(MarketOrder2);
*
* if (validOrder)
* equityDomain.SubmitOrder("MSFT", MarketOrder2);
*/
/*
* FuturesOrder LimitOrder = new FuturesOrder("MSFT", "Limit", "B", 22.0, 60, "New");
* validOrder = equityDomain.checkMargin(LimitOrder);
* //Console.WriteLine("order could be submitted, true or false: " + validOrder);
* if (validOrder)
* equityDomain.SubmitOrder("MSFT", LimitOrder);
*
* FuturesOrder LimitOrder2 = new FuturesOrder("MSFT", "Limit", "S", 19.0, 60, "New");
* validOrder = equityDomain.checkMargin(LimitOrder2);
* //Console.WriteLine("order could be submitted, true or false: " + validOrder);
* if (validOrder)
* equityDomain.SubmitOrder("MSFT", LimitOrder2);
*
*/
/*
* FuturesOrder StopOrder = new FuturesOrder("MSFT", "Stop", "B", 25, 60, "New");
* validOrder = equityDomain.checkMargin(StopOrder);
* // Console.WriteLine("order could be submitted, true or false: " + validOrder);
* if (validOrder)
* equityDomain.SubmitOrder("MSFT", StopOrder);
*
* FuturesOrder LimitOrder3 = new FuturesOrder("MSFT", "Limit", "B", 26.0, 60, "New");
* validOrder = equityDomain.checkMargin(LimitOrder3);
* //Console.WriteLine("order could be submitted, true or false: " + validOrder);
* if (validOrder)
* equityDomain.SubmitOrder("MSFT", LimitOrder3);
*
* FuturesOrder LimitOrder4 = new FuturesOrder("MSFT", "Limit", "S", 26.0, 60, "New");
* validOrder = equityDomain.checkMargin(LimitOrder4);
* //Console.WriteLine("order could be submitted, true or false: " + validOrder);
* if (validOrder)
* equityDomain.SubmitOrder("MSFT", LimitOrder4);
*/
/*
* //update order
* Console.WriteLine("Update order");
*
* FuturesOrder LimitOrder4 = new FuturesOrder("MSFT", "Limit", "S", 26.0, 60, "New");
* validOrder = equityDomain.checkMargin(LimitOrder4);
* if (validOrder)
* equityDomain.SubmitOrder("MSFT", LimitOrder4);
*
* FuturesOrder UpdateOrder = new FuturesOrder("MSFT", "Limit", "S", 2, 2, "Update");
* UpdateOrder.OrderID = LimitOrder4.OrderID;
* validOrder = equityDomain.checkMargin(UpdateOrder);
*
* equityDomain.SubmitOrder("MSFT", UpdateOrder);
*
*
*
* //Cancel order
* Console.WriteLine("Cancel order");
* FuturesOrder CancelOrder = new FuturesOrder("MSFT", "Limit", "S", 1, 1, "Cancel");
* CancelOrder.OrderID = UpdateOrder.OrderID;
* validOrder = equityDomain.checkMargin(CancelOrder);
* equityDomain.SubmitOrder("MSFT", CancelOrder);
*
*/
/*
* //if update order lead to lack of margin; update order rejected
* FuturesOrder LimitOrder = new FuturesOrder("MSFT", "Limit", "B", 22.0, 60, "New");
* LimitOrder.OrderID = 310000000;
* validOrder = equityDomain.checkMargin(LimitOrder);
* Console.WriteLine("order info ID " + LimitOrder.OrderID + " order action " + LimitOrder.OrderAction);
* Console.WriteLine("order could be submitted, true or false: " + validOrder);
* if (validOrder)
* equityDomain.SubmitOrder("MSFT", LimitOrder);
*
* FuturesOrder LimitOrder2 = new FuturesOrder("MSFT", "Limit", "B", 19.0, 99, "Update");
* LimitOrder2.OrderID = 310000000;
* validOrder = equityDomain.checkMargin(LimitOrder2);
* Console.WriteLine("order info ID " + LimitOrder2.OrderID+" order action "+LimitOrder2.OrderAction);
* Console.WriteLine("update order could be submitted, true or false: " + validOrder);
* if (validOrder)
* equityDomain.SubmitOrder("MSFT", LimitOrder2);
*/
//if quote updated and margin is not enough, clear all position.
FuturesOrder LimitOrder = new FuturesOrder("MSFT", "Limit", "B", 500, 50, "New");
LimitOrder.OrderID = 310000000;
validOrder = equityDomain.checkMargin(LimitOrder);
Console.WriteLine("order info ID " + LimitOrder.OrderID + " order action " + LimitOrder.OrderAction);
Console.WriteLine("order could be submitted, true or false: " + validOrder);
if (validOrder)
{
equityDomain.SubmitOrder("MSFT", LimitOrder);
}
FuturesOrder LimitOrder4 = new FuturesOrder("MSFT", "Limit", "S", 19.5, 10, "New");
LimitOrder4.OrderID = 310000001;
validOrder = equityDomain.checkMargin(LimitOrder4);
Console.WriteLine("order info ID " + LimitOrder4.OrderID + " order action " + LimitOrder4.OrderAction);
Console.WriteLine("update order could be submitted, true or false: " + validOrder);
if (validOrder)
{
equityDomain.SubmitOrder("MSFT", LimitOrder4);
}
//host: 127.0.0.1
IPAddress ipAddress = IPAddress.Parse("127.0.0.1");
TcpListener tcpListener = new TcpListener(ipAddress, 500);
tcpListener.Start();
while (true)
{
//chatClient listen to client
ChatClient chatClient = new ChatClient(tcpListener.AcceptTcpClient(), equityDomain);
}
}
catch (Exception e)
{
Console.WriteLine("exception: " + e.ToString());
}
finally {
}
}
public EquityMatchingLogic(BizDomain bizDomain)
{
bizDomain.OrderBook.StopToMarketEvent += new OrderEventHandler(OrderBook_StopToMarket);
bizDomain.OrderBook.OrderBeforeInsert += new OrderEventHandler(OrderBook_OrderBeforeInsert);
tempDomain = bizDomain;
}
