public TradingEngine(MarketDataChannel chnnls, TradingSession sess, string companyId, string traderId, string locationId = null)
{
senderCompId = companyId;
senderTraderId = traderId;
senderLocationId = locationId;
channels = chnnls;
if (channels != null)
{
snapshotConnection = channels.Connections.Find(x => x.Type == MarketDataChannelConnectionType.Snapshot && x.Feed == "A");
incrementalConnection = channels.Connections.Find(x => x.Type == MarketDataChannelConnectionType.Incremental && x.Feed == "A");
snapshotServer = new FixUdpServer(snapshotConnection);
incrementalServer = new FixUdpServer(incrementalConnection);
}
else
{
snapshotServer = new FixUdpServer(new MarketDataChannelConnection()
{
IPAddress = IPAddress.Loopback, Port = 7998
});
incrementalServer = new FixUdpServer(new MarketDataChannelConnection()
{
IPAddress = IPAddress.Loopback, Port = 7999
});
}
session = sess;
session.Changed += HandleSessionChanged;
}
public FixUdpServer(MarketDataChannelConnection connection)
{
ipEndPoint = new IPEndPoint(connection.IPAddress, connection.Port);
udpClient = new UdpClient();
Console.WriteLine($"{connection.Type} market data udp server ready at {ipEndPoint}");
}
public static List <MarketDataChannel> Load(string file, bool overwriteWithLoopbackIP = false)
{
var xml = XDocument.Load(file);
var channels = new List <MarketDataChannel>();
foreach (var channelNode in xml.Root.Descendants("channel"))
{
var channel = new MarketDataChannel()
{
Id = Convert.ToInt32(channelNode.Attribute("id").Value),
Label = channelNode.Attribute("label").Value,
};
foreach (var productNode in channelNode.Descendants("product"))
{
var product = productNode.Attribute("code").Value;
var grp = productNode.Elements().First().Attribute("code").Value;
channel.Products.Add(product);
}
foreach (var connectionNode in channelNode.Descendants("connection"))
{
var conn = new MarketDataChannelConnection()
{
Id = connectionNode.Attribute("id").Value,
Type = GetType(connectionNode.Descendants("type").First().Attribute("feed-type").Value),
Protocol = GetProtocol(connectionNode.Descendants("protocol").First().Value),
Port = Convert.ToInt32(connectionNode.Descendants("port").First().Value),
Feed = connectionNode.Descendants("feed").First().Value
};
if (connectionNode.Descendants("ip").Any())
{
if (overwriteWithLoopbackIP)
{
conn.IPAddress = IPAddress.Loopback;
}
else
{
string address = connectionNode.Descendants("ip").First().Value;
conn.IPAddress = IPAddress.Parse(address);
}
}
foreach (var hostIPNode in connectionNode.Descendants("host-ip"))
{
if (overwriteWithLoopbackIP)
{
if (!conn.HostIPAddresses.Contains(IPAddress.Loopback))
{
conn.HostIPAddresses.Add(IPAddress.Loopback);
}
}
else
{
string address = hostIPNode.Value;
conn.HostIPAddresses.Add(IPAddress.Parse(address));
}
}
channel.Connections.Add(conn);
}
channels.Add(channel);
}
return(channels);
}