public void FetchL1Data()
{
var db = new Models.MarketData();
var tickerQuery = from t in db.Tickers select t;
var tList = tickerQuery.ToList();
var viewQuery = from o in db.VOrders select o.OrderId;
foreach (var o in viewQuery.ToList())
{
Console.WriteLine("Order {0}", o.ToString());
}
foreach (var t in tList)
{
Console.WriteLine("Sequence {0}:\tBidPrice: {1}\tAskPrice: {2}", t.Sequence.ToString(), t.BidPrice.ToString(), t.AskPrice.ToString());
}
}
static void Main(string[] args)
{
IPEndPoint remoteEP = new IPEndPoint(IPAddress.Parse("127.0.0.1"), 65433);
client = new SynchronousSocket.Client(remoteEP);
//Create queue for actions
var actionQueue = new Queue <Action>();
//Define order entry interval (will make it 5 per second, as per API limit)
int rps = 5;
var marketData = new Models.MarketData();
const int CANCELLED_ORDER = -2;
const int READY_ORDER = 0;
const int OPEN_ORDER = 1;
const int FILLED_ORDER = 2;
//LOOP START - WHILE TRUE
while (true)
{
//----Print to console the intended actions----
Thread.Sleep(1000 / rps);
//Check Orders table for ready orders
var readyOrdersList = (from o in marketData.Orders where o.Status == READY_ORDER select o).ToList();
foreach (var o in readyOrdersList)
{
//Generate Order Entry message
var msg = GetOrderEntryMessage(o);
actionQueue.Enqueue(new Action {
Type = "ORDER_ENTRY", Message = msg
});
while (actionQueue.Count > 0)
{
//Execute actions in Queue as per API interval
//If action fails, then wait interval and retry
var a = actionQueue.Dequeue();
if (ProcessAction(a) != 0)
{
Console.WriteLine("Failed to process action of type {0} and message {1}", a.Type, a.Message);
}
var response = JsonConvert.DeserializeObject <CBPRO.OrderEntryResponse>(a.Response);
o.ExternalId = response.id;
switch (response.status)
{
case "404":
o.Status = CANCELLED_ORDER;
break;
case "active":
case "open":
o.Status = OPEN_ORDER;
break;
case "done":
o.Status = FILLED_ORDER;
break;
}
if (o.Status == FILLED_ORDER)
{
marketData.Fills.Add(new Fill {
ExternalOrderId = response.id, Fee = response.fill_fees, Size = response.size, Price = response.price
});
}
marketData.SaveChanges();
Thread.Sleep(1000 / rps);
}
}
//Check for Pending Request
const int EXECUTION_REQUEST = 8;
var pendingRequestsList = (from p in marketData.PendingRequests where p.Type == EXECUTION_REQUEST select p).ToList();
foreach (var req in pendingRequestsList)
{
//Generate Fill request message for order
var msg = GetFillRequestMessage(req);
actionQueue.Enqueue(new Action {
Type = "FILL_REQUEST", Message = msg
});
while (actionQueue.Count > 0)
{
//Execute actions in Queue as per API interval
//If action fails, then wait interval and retry
var a = actionQueue.Dequeue();
if (ProcessAction(a) != 0)
{
Console.WriteLine("Failed to process action of type {0} and message {1}", a.Type, a.Message);
}
var resp = JsonConvert.DeserializeObject <CBPRO.FillsResponse>(a.Response);
req.Response = resp.settled ? "Filled" : "Open";
var updQry = (from o in marketData.Orders
where o.ExternalId == req.EntityId
select o).FirstOrDefault().Status = ((req.Response == "Filled") ? 2 : 1);
marketData.PendingRequests.Remove(req);
if (req.Response == "Filled")
{
marketData.Fills.Add(new Fill {
ExternalOrderId = resp.order_id, Fee = resp.fee, Size = resp.size, Price = resp.price
});
}
marketData.SaveChanges();
Thread.Sleep(1000 / rps);
}
}
//Print to console the value of positions + funds
//TODO: NEED TO DEDUCT THE TRANSACTION FEES!!! THIS SHOULD BE DONE ON DATABASE SIDE. FOR NOW, JUST LEAVE AS IS, and ADJUST Funds between runs.
} //LOOP END
}