private MiniOMS.Order ProcessExecutionReport(JObject msg)
{
Debug.Assert(msg["MsgType"].Value <string>() == "8");
// find the order in the OMS
MiniOMS.Order order = _miniOMS.GetOrderByClOrdID(msg["ClOrdID"].Value <string>());
if (order != null)
{
// update the order in the OMS
order.OrderID = msg.GetValue("OrderID").Type != JTokenType.Null ? msg["OrderID"].Value <ulong>() : 0;
order.OrdStatus = msg["OrdStatus"].Value <char>();
order.CumQty = msg["CumQty"].Value <ulong>();
order.CxlQty = msg["CxlQty"].Value <ulong>();
order.LastPx = msg["LastPx"].Value <ulong>();
order.LastShares = msg["LastShares"].Value <ulong>();
order.LeavesQty = msg["LeavesQty"].Value <ulong>();
order.Price = msg["Price"].Value <ulong>();
order.AvgPx = msg["AvgPx"].Value <ulong>();
// update the traded amount of the trading symbol (this is not considering amounts traded by other sessions)
if (order.OrdStatus == OrdStatus.FILLED || order.OrdStatus == OrdStatus.PARTIALLY_FILLED)
{
if (order.Side == OrderSide.SELL)
{
this._soldAmount += order.LastShares;
LogStatus(LogStatusType.INFO, "Updating the Sold Amount = " + this._soldAmount);
}
}
switch (order.OrdStatus)
{
// -- If the order is still "alive", keep the order in the MiniOMS
case OrdStatus.NEW:
case OrdStatus.PARTIALLY_FILLED:
case OrdStatus.STOPPED: // comming soon / work in progress
break;
// -- If the order is "dead", remove the order from the MiniOMS
case OrdStatus.CANCELED:
case OrdStatus.REJECTED:
case OrdStatus.FILLED:
//bool retVal = _miniOMS.RemoveOrderByClOrdID(msg["ClOrdID"].Value<string>());
//Debug.Assert(retVal);
break;
default:
LogStatus(LogStatusType.ERROR,
"Unexpected ExecutionReport.OrdStatus : " +
msg["OrdStatus"].Value <char>()
);
break;
}
}
else
{
LogStatus(LogStatusType.ERROR, "Order not found by ClOrdID = " + msg["ClOrdID"].Value <string>());
}
return(order);
}
//
public string SendOrder(IWebSocketClientConnection connection,
string symbol,
ulong qty,
ulong price,
char side,
int broker_id,
string client_order_id,
char order_type = '2',
char execInst = default(char))
{
// add pending new order to the OMS
MiniOMS.Order orderToSend = new MiniOMS.Order();
orderToSend.Symbol = symbol;
orderToSend.OrderQty = qty;
orderToSend.Price = price;
orderToSend.Side = side;
orderToSend.ClOrdID = client_order_id;
orderToSend.OrdType = order_type;
orderToSend.OrdStatus = 'A'; // PENDING_NEW according to FIX std
try
{
_miniOMS.AddOrder(orderToSend);
}
catch (Exception ex)
{
LogStatus(LogStatusType.ERROR,
"The MiniOMS Rejected the Order : " +
orderToSend.ClOrdID + ";" +
orderToSend.OrderQty + ";" +
orderToSend.Price.ToString() + ";\n"
+ ex.Message.ToString() + "\n"
+ ex.StackTrace
);
return(null);
}
// send the order to the broker
JObject new_order_single = new JObject();
new_order_single["MsgType"] = "D";
new_order_single["ClOrdID"] = orderToSend.ClOrdID;
new_order_single["Symbol"] = orderToSend.Symbol;
new_order_single["Side"] = orderToSend.Side.ToString();
new_order_single["OrdType"] = orderToSend.OrdType.ToString();
new_order_single["Price"] = orderToSend.Price;
new_order_single["OrderQty"] = orderToSend.OrderQty;
new_order_single["BrokerID"] = broker_id;
if (execInst != default(char))
{
new_order_single["ExecInst"] = execInst.ToString();
}
new_order_single["FingerPrint"] = connection.Device.FingerPrint;
new_order_single["STUNTIP"] = connection.Device.Stuntip;
connection.SendMessage(new_order_single.ToString());
return(orderToSend.ClOrdID);
}
public bool CancelOrderByClOrdID(IWebSocketClientConnection connection, string clOrdID)
{
MiniOMS.Order orderToCancel = _miniOMS.GetOrderByClOrdID(clOrdID);
if (orderToCancel != null)
{
if (orderToCancel.OrdStatus == OrdStatus.NEW || orderToCancel.OrdStatus == OrdStatus.PARTIALLY_FILLED)
{
orderToCancel.OrdStatus = OrdStatus.PENDING_CANCEL;
JObject order_cancel_request = new JObject();
order_cancel_request["MsgType"] = "F";
order_cancel_request["ClOrdID"] = clOrdID;
order_cancel_request["FingerPrint"] = connection.Device.FingerPrint;
order_cancel_request["STUNTIP"] = connection.Device.Stuntip;
connection.SendMessage(order_cancel_request.ToString());
return(true);
}
}
return(false);
}
private void OnBrokerNotification(object sender, SystemEventArgs evt)
{
IWebSocketClientConnection webSocketConnection = (IWebSocketClientConnection)sender;
try
{
switch (evt.evtType)
{
case SystemEventType.LOGIN_OK:
LogStatus(LogStatusType.INFO, "Processing after succesful LOGON");
this._myUserID = evt.json["UserID"].Value <ulong>();
// disable test request to avoid disconnection during the "slow" market data processing
webSocketConnection.EnableTestRequest = false;
StartInitialRequestsAfterLogon(webSocketConnection);
break;
case SystemEventType.MARKET_DATA_REQUEST_REJECT:
LogStatus(LogStatusType.ERROR, "Unexpected Marketdata Request Reject");
webSocketConnection.Shutdown();
break;
case SystemEventType.MARKET_DATA_FULL_REFRESH:
{
string symbol = evt.json["Symbol"].Value <string>();
// dump the order book
LogStatus(LogStatusType.WARN, _allOrderBooks[symbol].ToString());
// bring back the testrequest keep-alive mechanism after processing the book
webSocketConnection.EnableTestRequest = true;
// run the trading strategy to buy and sell orders based on the top of the book
_tradingStrategy.runStrategy(webSocketConnection, symbol);
// TODO: remove the temp dump bellow
this._vwapForTradingSym.PrintTradesAndTheVWAP();
// example how to notify the application to start
//this._tradingStrategy.OnStart(webSocketConnection);
}
break;
// --- Order Book Management Events ---
case SystemEventType.ORDER_BOOK_CLEAR:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.Clear();
}
else
{
orderBook = new OrderBook(symbol);
_allOrderBooks.Add(symbol, orderBook);
}
}
break;
case SystemEventType.ORDER_BOOK_NEW_ORDER:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.AddOrder(evt.json);
}
else
{
LogStatus(LogStatusType.ERROR,
"Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString());
}
}
break;
case SystemEventType.ORDER_BOOK_DELETE_ORDERS_THRU:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.DeleteOrdersThru(evt.json);
}
else
{
LogStatus(LogStatusType.ERROR,
"Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString()
);
}
}
break;
case SystemEventType.ORDER_BOOK_DELETE_ORDER:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.DeleteOrder(evt.json);
}
else
{
LogStatus(LogStatusType.ERROR,
"Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString()
);
}
}
break;
case SystemEventType.ORDER_BOOK_UPDATE_ORDER:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.UpdateOrder(evt.json);
}
else
{
LogStatus(LogStatusType.ERROR,
"Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString()
);
}
}
break;
// ------------------------------------
case SystemEventType.TRADE_CLEAR:
LogStatus(LogStatusType.WARN, "Receieved Market Data Event " + evt.evtType.ToString());
break;
case SystemEventType.SECURITY_STATUS:
{
LogStatus(LogStatusType.WARN,
"Receieved Market Data Event " +
evt.evtType.ToString() + " " +
(evt.json != null ? evt.json.ToString() : ".")
);
SecurityStatus securityStatus = new SecurityStatus();
securityStatus.Market = evt.json["Market"].Value <string>();
securityStatus.Symbol = evt.json["Symbol"].Value <string>();
securityStatus.LastPx = evt.json["LastPx"].Value <ulong>();
securityStatus.HighPx = evt.json["HighPx"].Value <ulong>();
if (evt.json["BestBid"].Type != JTokenType.Null)
{
securityStatus.BestBid = evt.json["BestBid"].Value <ulong>();
}
else
{
securityStatus.BestBid = 0;
}
if (evt.json["BestAsk"].Type != JTokenType.Null)
{
securityStatus.BestAsk = evt.json["BestAsk"].Value <ulong>();
}
else
{
securityStatus.BestAsk = 0;
}
if (evt.json["LowPx"].Type != JTokenType.Null)
{
securityStatus.LowPx = evt.json["LowPx"].Value <ulong>();
}
else
{
securityStatus.LowPx = 0;
}
securityStatus.SellVolume = evt.json["SellVolume"].Value <ulong>();
securityStatus.BuyVolume = evt.json["BuyVolume"].Value <ulong>();
// update the security status information
string securityKey = securityStatus.Market + ":" + securityStatus.Symbol;
_securityStatusEntries[securityKey] = securityStatus;
// update the strategy when a new market information arrives
_tradingStrategy.runStrategy(webSocketConnection, _tradingSymbol);
}
break;
case SystemEventType.TRADE:
{
JObject msg = evt.json;
LogStatus(LogStatusType.WARN, "Receieved Market Data Event " + evt.evtType.ToString() + msg);
_vwapForTradingSym.pushTrade(
new ShortPeriodTickBasedVWAP.Trade(
msg["TradeID"].Value <ulong>(),
msg["Symbol"].Value <string>(),
msg["MDEntryPx"].Value <ulong>(),
msg["MDEntrySize"].Value <ulong>(),
String.Format("{0} {1}", msg["MDEntryDate"].Value <string>(), msg["MDEntryTime"].Value <string>())
)
);
/*
* LogStatus(
* LogStatusType.INFO,
* String.Format(
* "New Trade : VWAP = {0} | LastPx = {1} - {2} | Size = {3}",
* _vwapForTradingSym.calculateVWAP(),
* _vwapForTradingSym.getLastPx(),
* msg["MDEntryPx"].Value<ulong>(),
* msg["MDEntrySize"].Value<ulong>()
* )
* );
*/
}
break;
case SystemEventType.TRADING_SESSION_STATUS:
break;
case SystemEventType.MARKET_DATA_INCREMENTAL_REFRESH:
LogStatus(LogStatusType.WARN, "Receieved Market Data Incremental Refresh : " + evt.evtType.ToString());
// update the strategy when an incremental message is processed
_tradingStrategy.runStrategy(webSocketConnection, _tradingSymbol);
break;
// --- Order Entry Replies ---
case SystemEventType.EXECUTION_REPORT:
{
LogStatus(LogStatusType.WARN, "Receieved " + evt.evtType.ToString() + "\n" + evt.json.ToString());
MiniOMS.IOrder order = ProcessExecutionReport(evt.json);
_tradingStrategy.OnExecutionReport(webSocketConnection, order);
}
break;
case SystemEventType.ORDER_LIST_RESPONSE:
{
// process the requested list of orders
JObject msg = evt.json;
LogStatus(LogStatusType.WARN,
"Received " + evt.evtType.ToString() + " : " + "Page=" + msg["Page"].Value <string>()
);
JArray ordersLst = msg["OrdListGrp"].Value <JArray>();
if (ordersLst != null && ordersLst.Count > 0)
{
var columns = msg["Columns"].Value <JArray>();
Dictionary <string, int> indexOf = new Dictionary <string, int>();
int index = 0;
foreach (JToken col in columns)
{
indexOf.Add(col.Value <string>(), index++);
}
foreach (JArray data in ordersLst)
{
MiniOMS.Order order = new MiniOMS.Order();
order.ClOrdID = data[indexOf["ClOrdID"]].Value <string>();
order.OrderID = data[indexOf["OrderID"]].Value <ulong>();
order.Symbol = data[indexOf["Symbol"]].Value <string>();
order.Side = data[indexOf["Side"]].Value <char>();
order.OrdType = data[indexOf["OrdType"]].Value <char>();
order.OrdStatus = data[indexOf["OrdStatus"]].Value <char>();
order.AvgPx = data[indexOf["AvgPx"]].Value <ulong>();
order.Price = data[indexOf["Price"]].Value <ulong>();
order.OrderQty = data[indexOf["OrderQty"]].Value <ulong>();
order.OrderQty = data[indexOf["LeavesQty"]].Value <ulong>();
order.CumQty = data[indexOf["CumQty"]].Value <ulong>();
order.CxlQty = data[indexOf["CxlQty"]].Value <ulong>();
order.Volume = data[indexOf["Volume"]].Value <ulong>();
order.OrderDate = data[indexOf["OrderDate"]].Value <string>();
order.TimeInForce = data[indexOf["TimeInForce"]].Value <char>();
LogStatus(LogStatusType.WARN,
"Adding Order to MiniOMS -> ClOrdID = " + order.ClOrdID.ToString() +
" OrdStatus = " + order.OrdStatus
);
try
{
_miniOMS.AddOrder(order);
}
catch (System.ArgumentException)
{
}
}
// check and request the next page
if (ordersLst.Count >= msg["PageSize"].Value <int>())
{
LogStatus(LogStatusType.INFO, "Requesting Page " + msg["Page"].Value <int>() + 1);
SendRequestForOpenOrders(webSocketConnection, msg["Page"].Value <int>() + 1);
}
else
{
LogStatus(LogStatusType.INFO, "EOT - no more Order List pages to process.");
// notify application that all requestes where replied,
// assuming the ORDER_LIST_REQUEST was the last in the StartInitialRequestsAfterLogon
//_tradingStrategy.OnStart(webSocketConnection);
}
}
}
break;
case SystemEventType.BALANCE_RESPONSE:
if (evt.json != null)
{
//JObject receivedBalances = evt.json[_brokerId.ToString()].Value<JObject>();
foreach (var rb in evt.json[_brokerId.ToString()].Value <JObject>())
{
try
{
this._balances[rb.Key] = rb.Value.Value <ulong>();
}
catch (System.OverflowException)
{
// TODO: find a better solution for this kind of conversion problem
// {"4": {"BRL_locked": -1, "BTC_locked": 0, "BRL": 48460657965, "BTC": 50544897}, "MsgType": "U3", "ClientID": 90826379, "BalanceReqID": 3}
this._balances[rb.Key] = 0;
}
}
// update the strategy when the balance is updated
_tradingStrategy.runStrategy(webSocketConnection, _tradingSymbol);
}
break;
case SystemEventType.TRADE_HISTORY_RESPONSE:
{
JObject msg = evt.json;
LogStatus(LogStatusType.WARN,
"Received " + evt.evtType.ToString() + " : " + "Page=" + msg["Page"].Value <string>()
);
/*
* JArray all_trades = msg["TradeHistoryGrp"].Value<JArray>();
*
* if (all_trades != null && all_trades.Count > 0)
* {
* var columns = msg["Columns"].Value<JArray>();
* Dictionary<string, int> indexOf = new Dictionary<string, int>();
* int index = 0;
* foreach (JToken col in columns)
* {
* indexOf.Add(col.Value<string>(), index++);
* }
*
* foreach (JArray trade in all_trades)
* {
* _vwapForTradingSym.pushTrade(
* new ShortPeriodTickBasedVWAP.Trade(
* trade[indexOf["TradeID"]].Value<ulong>(),
* trade[indexOf["Market"]].Value<string>(),
* trade[indexOf["Price"]].Value<ulong>(),
* trade[indexOf["Size"]].Value<ulong>(),
* trade[indexOf["Created"]].Value<string>()
* )
* );
* }
*
* // check and request the next page
* if (all_trades.Count >= msg["PageSize"].Value<int>())
* {
* LogStatus(LogStatusType.INFO, "TODO: Requesting Page " + msg["Page"].Value<int>() + 1);
* //TODO: create a function to call here and request a new page if requested period in minutes is not satified
* }
* else
* {
* LogStatus(LogStatusType.INFO, "EOT - no more Trade History pages to process.");
* }
*
* LogStatus(LogStatusType.INFO, String.Format("VWAP = {0}", _vwapForTradingSym.calculateVWAP()));
* }
*/
}
//
break;
case SystemEventType.CLOSED:
// notify the application the connection was broken
//_tradingStrategy.OnClose(webSocketConnection);
break;
// Following events are ignored because inheritted behaviour is sufficient for this prototype
case SystemEventType.OPENED:
case SystemEventType.ERROR:
case SystemEventType.LOGIN_ERROR:
case SystemEventType.HEARTBEAT:
break;
default:
LogStatus(LogStatusType.WARN, "Unhandled Broker Notification Event : " + evt.evtType.ToString());
break;
}
}
catch (Exception ex)
{
LogStatus(LogStatusType.ERROR,
" OnBrokerNotification Event Handler Error : " + ex.Message.ToString() + "\n" + ex.StackTrace
);
}
}