private void HandleBookItem(object sender, MessageData item)
{
var data = JsonSerializer.Deserialize <OrderBook>(item.Data);
Debug.WriteLine(JsonSerializer.ToJsonString(data));
OrderBookEvent?.Invoke(sender, data);
}
private void MarketDataUpdate(OrderBookEvent onOrderBookEvent)
{
Console.WriteLine(onOrderBookEvent);
// React to price updates from the exchange.
HandleBidPrice(onOrderBookEvent.BidPrices);
HandleAskPrice(onOrderBookEvent.AskPrices);
}
private void MarketDataUpdate(OrderBookEvent orderBookEvent)
{
long placeOrderInstructionId = NextInstructionId();
_orderInstructions.Add(placeOrderInstructionId);
_session.PlaceLimitOrder(new LimitOrderSpecification(placeOrderInstructionId, _instrumentId, 10m, 10m, TimeInForce.GoodForDay),
instructionId => Console.WriteLine("limit order placed with instruction id " + instructionId),
FailureCallback("Place order failed for instruction ID " + placeOrderInstructionId));
}
public async Task SaveAsync(OrderBookEvent orderBookEvent)
{
if (_lastSavedMinute == default)
{
_lastSavedMinute = DateTime.UtcNow.TruncSeconds();
}
foreach (var orderItem in orderBookEvent.OrderItems)
{
_orderBookEventEntities.Enqueue(new OrderBookEventEntity(
orderBookEvent.SnapshotId,
orderBookEvent.OrderEventTimestamp, orderItem.Id)
{
OrderId = orderItem.Id,
IsBuy = orderItem.IsBuy,
Symbol = orderItem.Symbol,
EventType = (int)orderBookEvent.EventType,
Price = orderItem.Price,
Size = orderItem.Size
});
}
var currentTimeMinute = DateTime.UtcNow.TruncSeconds();
var isDifferentMinute = currentTimeMinute != _lastSavedMinute;
var isQueueMaxLength = _orderBookEventEntities.Count > _desiredQueueLength;
// Save on certain amount of time or items count
if (!isDifferentMinute && !isQueueMaxLength)
{
return;
}
var tableEntityBatches = _orderBookEventEntities
.DequeueChunk(_desiredQueueLength)
.GroupBy(ee => ee.PartitionKey);
foreach (var currentBatch in tableEntityBatches)
{
try
{
await _tableStorage.InsertOrReplaceBatchAsync(currentBatch);
_lastSavedMinute = currentTimeMinute;
}
catch (Exception ex)
{
_orderBookEventEntities.AddRange(currentBatch); // Queue the list back
await _log.WriteErrorAsync(_className,
$"Can't write to Azure Table {_tableStorage.Name} for snapshot {currentBatch.Key}, " +
$"will try later. Now in queue: {_orderBookEventEntities.Count}", ex);
}
}
}
private void MarketDataUpdate(OrderBookEvent orderBookEvent)
{
long instrumentId = orderBookEvent.InstrumentId;
decimal bestBid = GetBestPrice(orderBookEvent.BidPrices);
decimal bestAsk = GetBestPrice(orderBookEvent.AskPrices);
if (_instrumentInfoById.ContainsKey(instrumentId))
{
InstrumentInfo instrument;
_instrumentInfoById.TryGetValue(instrumentId, out instrument);
instrument.Update(bestBid, bestAsk);
}
}
public void MarketDataUpdate(OrderBookEvent orderBookEvent)
{
Invoke((MethodInvoker)(() => label18.Text = "$ " + HelperClass.balance.ToString()));
if (bws.lastID != null && bws.lastEPOCH != null && bws.lastQUOTE != null && bws.lastQUOTE[0] > 0 && bws.active_trading)
{
decimal lmax_diff = (orderBookEvent.ValuationAskPrice + orderBookEvent.ValuationBidPrice) / 2; // LMAX(ASK+BID)/2
decimal binary = bws.lastQUOTE[0]; // 1.11111
decimal diff_input = decimal.Parse(textBox3.Text); // 0.00010
decimal lmax_bin = (lmax_diff - binary); //
decimal bin_lmax = (binary - lmax_diff); //
Invoke((MethodInvoker)(() => label8.Text = lmax_diff.ToString()));
Invoke((MethodInvoker)(() => label10.Text = binary.ToString()));
Invoke((MethodInvoker)(() => label11.Text = lmax_bin.ToString()));
if (DateTime.Now > HelperClass.delayTime)
{
if (lmax_diff > diff_input) //
{
var buyOrder = "{\"parameters\": { \"amount\": \"" + bws.PAYMENT_AMNT + "\", \"basis\": \"stake\", \"contract_type\": \"CALL\", \"currency\": \"USD\", \"duration\": \"5\", \"duration_unit\": \"t\", \"symbol\": \"frxEURUSD\" }, \"buy\":\"" + bws.lastID[0] + "\", \"price\":\"" + int.Parse(textBox5.Text).ToString(CultureInfo.CreateSpecificCulture("en-US")) + "\"}";
var sellOrder = "{\"parameters\": { \"amount\": \"" + bws.PAYMENT_AMNT + "\", \"basis\": \"stake\", \"contract_type\": \"PUT\", \"currency\": \"USD\", \"duration\": \"5\", \"duration_unit\": \"t\", \"symbol\": \"frxEURUSD\" }, \"buy\":\"" + bws.lastID[0] + "\", \"price\":\"" + int.Parse(textBox5.Text).ToString(CultureInfo.CreateSpecificCulture("en-US")) + "\"}";
if (lmax_bin > diff_input) // 0.00020 > 0.00010
{
bws.websocket.Send(buyOrder);
HelperClass.addDelay(60);
HelperClass.addLog("ATTEMPTING CALL ORDER @ " + bws.lastQUOTE[0] + ", Delaying 60s...");
Invoke((MethodInvoker)(() => dataGridView1.Rows.Add(lmax_diff, binary, lmax_bin, "CALL", "$" + bws.PAYMENT_AMNT, DateTime.Now, bws.lastID[0])));
Invoke((MethodInvoker)(() => dataGridView1.FirstDisplayedScrollingRowIndex = dataGridView1.RowCount - 1));
Console.WriteLine("CALL @ LMAX: " + lmax_diff + " Binary: " + binary + " Diff: " + lmax_bin);
}
else if (bin_lmax > diff_input) // -0.00020 > 0.00010
{
bws.websocket.Send(sellOrder);
HelperClass.addDelay(60);
HelperClass.addLog("ATTEMPTING PUT ORDER @ " + bws.lastQUOTE[0] + ", Delaying 60s...");
Invoke((MethodInvoker)(() => dataGridView1.Rows.Add(lmax_diff, binary, lmax_bin, "PUT", "$" + bws.PAYMENT_AMNT, DateTime.Now, bws.lastID[0])));
Invoke((MethodInvoker)(() => dataGridView1.FirstDisplayedScrollingRowIndex = dataGridView1.RowCount - 1));
Console.WriteLine("PUT @ LMAX: " + lmax_diff + " Binary: " + binary + " Diff: " + bin_lmax);
}
}
}
}
Console.WriteLine("[" + DateTime.Now.ToString("HH:mm:ss.fff") + "] " + orderBookEvent);
Invoke((MethodInvoker)(() => listBox1.Refresh()));
Invoke((MethodInvoker)(() => listBox1.TopIndex = listBox1.Items.Count - 1));
}
private void MarketDataUpdate(OrderBookEvent data)
{
_securities.TryGetValue((int)data.InstrumentId, out var instrument);
if (instrument == null)
{
Logger.Warning($"Available {Name} instruments does not contain instrument #{data.InstrumentId} passed to MarketDataUpdate");
return;
}
if (NewTick != null && data.BidPrices.Any() && data.AskPrices.Any())
{
var date = new DateTime(1970, 1, 1, 0, 0, 0, DateTimeKind.Utc).AddMilliseconds(data.Timestamp);
var bids = data.BidPrices;
var asks = data.AskPrices;
var level2 = new List <MarketLevel2>();
if (bids.Count > 1)
{
for (var i = 0; i < bids.Count && i < asks.Count; i++)
{
level2.Add(new MarketLevel2
{
DomLevel = i + 1,
AskPrice = asks[i].Price,
AskSize = asks[i].Quantity,
BidPrice = bids[i].Price,
BidSize = bids[i].Quantity
});
}
}
NewTick(new Tick
{
DataFeed = Name,
Ask = asks[0].Price,
Bid = bids[0].Price,
AskSize = (long)asks[0].Quantity,
BidSize = (long)bids[0].Quantity,
Date = TimeZoneInfo.ConvertTimeToUtc(date, TimeZoneInfo),
Price = bids[0].Price,
Symbol = instrument,
Volume = asks[0].Quantity + bids[0].Quantity,
Level2 = level2
});
}
}
private void a1(OrderBookEvent A_0)
{
long instrumentId = A_0.InstrumentId;
string s1 = this.openKeyInst(instrumentId, "bid");
string s2 = this.openKeyInst(instrumentId, "ask");
int num = this.i.InstrumentIDs.IndexOf(instrumentId.ToString());
if (num < 0)
{
return;
}
this.i.SendDataToBus(num, double.Parse(s2), double.Parse(s1));
if (this.i.ShowQuotes)
{
this.i.SetDataGridValue(num, 2, s2.ToString());
this.i.SetDataGridValue(num, 3, s1.ToString());
}
}
private void OnSessionMarketDataChanged(OrderBookEvent orderBookEvent)
{
var time = TimeHelper.GregorianStart.AddMilliseconds(orderBookEvent.Timestamp).ApplyTimeZone(TimeZoneInfo.Utc);
var secId = new SecurityId {
Native = orderBookEvent.InstrumentId
};
var l1Msg = new Level1ChangeMessage
{
ServerTime = time,
SecurityId = secId,
};
if (orderBookEvent.HasMarketClosePrice)
{
l1Msg.Add(Level1Fields.ClosePrice, orderBookEvent.MktClosePrice);
}
if (orderBookEvent.HasDailyHighestTradedPrice)
{
l1Msg.Add(Level1Fields.HighPrice, orderBookEvent.DailyHighestTradedPrice);
}
if (orderBookEvent.HasDailyLowestTradedPrice)
{
l1Msg.Add(Level1Fields.LowPrice, orderBookEvent.DailyLowestTradedPrice);
}
if (orderBookEvent.HasLastTradedPrice)
{
l1Msg.Add(Level1Fields.LastTradePrice, orderBookEvent.LastTradedPrice);
}
SendOutMessage(l1Msg);
SendOutMessage(new QuoteChangeMessage
{
SecurityId = secId,
Bids = orderBookEvent.BidPrices.Select(p => new QuoteChange(Sides.Buy, p.Price, p.Quantity)),
Asks = orderBookEvent.AskPrices.Select(p => new QuoteChange(Sides.Sell, p.Price, p.Quantity)),
ServerTime = time
});
}
/// <summary>
/// обновились стаканы и тики
/// </summary>
private void ClientOnUpdateMarketDepth(OrderBookEvent data)
{
try
{
lock (_depthLocker)
{
if (_depths == null)
{
_depths = new List <MarketDepth>();
}
MarketDepth needDepth = null;
var needSecName = _securities.Find(s => s.NameId == data.InstrumentId.ToString()).Name;
if (needSecName != null)
{
needDepth = _depths.Find(depth => depth.SecurityNameCode == needSecName);
}
if (needDepth == null)
{
needDepth = new MarketDepth();
needDepth.SecurityNameCode = _securities.Find(sec => sec.NameId == data.InstrumentId.ToString()).Name;
_depths.Add(needDepth);
}
needDepth.Asks = new List <MarketDepthLevel>();
needDepth.Bids = new List <MarketDepthLevel>();
for (int i = 0; data.AskPrices != null && i < data.AskPrices.Count; i++)
{
needDepth.Asks.Add(new MarketDepthLevel()
{
Ask = data.AskPrices[i].Quantity,
Price = data.AskPrices[i].Price,
});
}
for (int i = 0; data.BidPrices != null && i < data.BidPrices.Count; i++)
{
needDepth.Bids.Add(new MarketDepthLevel()
{
Bid = data.BidPrices[i].Quantity,
Price = data.BidPrices[i].Price,
});
}
needDepth.Time = new DateTime(1970, 1, 1).AddMilliseconds(data.Timestamp);
if (needDepth.Time == DateTime.MinValue)
{
return;
}
if (MarketDepthEvent != null)
{
MarketDepthEvent(needDepth.GetCopy());
}
if (data.LastTradedPrice != Decimal.MinValue)
{
Trade trade = new Trade();
trade.SecurityNameCode = needDepth.SecurityNameCode;
trade.Price = data.LastTradedPrice;
trade.Time = needDepth.Time;
if (NewTradesEvent != null)
{
NewTradesEvent(trade);
}
}
}
}
catch (Exception error)
{
SendLogMessage(error.ToString(), LogMessageType.Error);
}
}
private void HandleBookItem(object sender, MessageData item)
{
var data = JsonSerializer.Deserialize <OrderBook>(item.Data);
OrderBookEvent?.Invoke(sender, data);
}
/// <summary>
/// обновился стакан и тики
/// </summary>
private void SessionOnMarketDataChanged(OrderBookEvent orderBook)
{
UpdateMarketDepth?.Invoke(orderBook);
}
private void WsClient_OnOrderBook(OrderBookEvent orderBookEvent)
{
Console.WriteLine(orderBookEvent);
//here you can make your trade decision
}
private void OrderBookReceived(Message message)
{
OrderBookData orderBookFutures = new OrderBookData(message);
OrderBookEvent?.Invoke(orderBookFutures);
}