private void OnTransactionsConnectionLost(object sender, EventArgs e)
{
Log.Trace("OnTransactionsConnectionLost(): transactions connection lost.");
OnMessage(BrokerageMessageEvent.Disconnected("Transactions connection with Oanda server lost. " +
"This could be because of internet connectivity issues. "));
}
public void DoesNotSetRunTimeErrorWhenReconnectMessageComesThrough()
{
var algorithm = new AlgorithmStub(equities: new List <string> {
"SPY"
});
var referenceTime = DateTime.UtcNow;
algorithm.SetDateTime(referenceTime);
var localReferencTime = referenceTime.ConvertFromUtc(TimeZones.NewYork);
var open = localReferencTime.AddSeconds(1).TimeOfDay;
var closed = TimeSpan.FromDays(1);
var marketHours = new MarketHoursSegment(MarketHoursState.Market, open, closed);
algorithm.Securities[Symbols.SPY].Exchange.SetMarketHours(new [] { marketHours }, localReferencTime.DayOfWeek);
var job = new LiveNodePacket();
var results = new TestResultHandler();//packet => Console.WriteLine(FieldsToString(packet)));
var api = new Api.Api();
var handler = new DefaultBrokerageMessageHandler(algorithm, job, results, api, TimeSpan.FromMinutes(15), TimeSpan.FromSeconds(.25));
Assert.IsNull(algorithm.RunTimeError);
handler.Handle(BrokerageMessageEvent.Disconnected("Disconnection!"));
Thread.Sleep(100);
handler.Handle(BrokerageMessageEvent.Reconnected("Reconnected!"));
Thread.Sleep(500);
Assert.IsNull(algorithm.RunTimeError);
results.Exit();
}
public void SetsRunTimeErrorBeforeNextMarketOpen()
{
var algorithm = new AlgorithmStub(equities: new List <string> {
"SPY"
});
var referenceTime = DateTime.UtcNow;
algorithm.SetDateTime(referenceTime);
var localReferenceTime = referenceTime.ConvertFromUtc(TimeZones.NewYork);
algorithm.Securities["SPY"].Exchange.SetMarketHours(localReferenceTime.AddSeconds(1).TimeOfDay, TimeSpan.FromDays(1), localReferenceTime.DayOfWeek);
var job = new LiveNodePacket();
var results = new TestResultHandler();//packet => Console.WriteLine(FieldsToString(packet)));
var api = new Api.Api();
var handler = new DefaultBrokerageMessageHandler(algorithm, job, results, api, TimeSpan.FromMinutes(15), TimeSpan.FromSeconds(.25));
Assert.IsNull(algorithm.RunTimeError);
handler.Handle(BrokerageMessageEvent.Disconnected("Disconnection!"));
Thread.Sleep(1000);
Assert.IsNotNull(algorithm.RunTimeError);
results.Exit();
}
public void DoesNotSetAlgorithmRunTimeErrorOnDisconnectIfAllSecuritiesClosed()
{
var referenceTime = DateTime.UtcNow;
var algorithm = new AlgorithmStub(equities: new List <string> {
"SPY"
});
algorithm.SetDateTime(referenceTime);
algorithm.Securities[Symbols.SPY].Exchange.SetMarketHours(Enumerable.Empty <MarketHoursSegment>(), referenceTime.ConvertFromUtc(TimeZones.NewYork).DayOfWeek);
var job = new LiveNodePacket();
var results = new TestResultHandler();//packet => Console.WriteLine(FieldsToString(packet)));
var api = new Api.Api();
var handler = new DefaultBrokerageMessageHandler(algorithm, job, results, api, TimeSpan.FromMinutes(15));
Assert.IsNull(algorithm.RunTimeError);
handler.Handle(BrokerageMessageEvent.Disconnected("Disconnection!"));
Assert.IsNull(algorithm.RunTimeError);
results.Exit();
}
public void SetsAlgorithmRunTimeErrorOnDisconnectIfNonCustomSecurityIsOpen()
{
var algorithm = new AlgorithmStub(equities: new List <string> {
"SPY"
});
algorithm.Securities["SPY"].Exchange = new SecurityExchange(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork));
var job = new LiveNodePacket();
var results = new TestResultHandler();//packet => Console.WriteLine(FieldsToString(packet)));
var api = new Api.Api();
var handler = new DefaultBrokerageMessageHandler(algorithm, job, results, api, TimeSpan.Zero);
Assert.IsNull(algorithm.RunTimeError);
handler.Handle(BrokerageMessageEvent.Disconnected("Disconnection!"));
Thread.Sleep(10);
Assert.IsNotNull(algorithm.RunTimeError);
results.Exit();
}
/// <summary>
/// Connects the client to the broker's remote servers
/// </summary>
public override void Connect()
{
if (IsConnected)
{
return;
}
Log.Trace("FxcmBrokerage.Connect()");
_cancellationTokenSource = new CancellationTokenSource();
// create new thread to fire order events in queue
if (!EnableOnlyHistoryRequests)
{
_orderEventThread = new Thread(() =>
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
try
{
OrderEvent orderEvent;
if (!_orderEventQueue.TryDequeue(out orderEvent))
{
Thread.Sleep(1);
continue;
}
OnOrderEvent(orderEvent);
}
catch (Exception exception)
{
Log.Error(exception);
}
}
})
{
IsBackground = true
};
_orderEventThread.Start();
while (!_orderEventThread.IsAlive)
{
Thread.Sleep(1);
}
}
// create the gateway
_gateway = GatewayFactory.createGateway();
// register the message listeners with the gateway
_gateway.registerGenericMessageListener(this);
_gateway.registerStatusMessageListener(this);
// create local login properties
var loginProperties = new FXCMLoginProperties(_userName, _password, _terminal, _server);
loginProperties.addProperty(IConnectionManager.APP_INFO, "QuantConnect");
// log in
try
{
_gateway.login(loginProperties);
}
catch (Exception err)
{
var message =
err.Message.Contains("ORA-20101") ? "Incorrect login credentials" :
err.Message.Contains("ORA-20003") ? "API connections are not available on Mini accounts. If you have a standard account contact [email protected] to enable API access" :
err.Message;
_cancellationTokenSource.Cancel();
throw new BrokerageException(message, err.InnerException);
}
// create new thread to manage disconnections and reconnections
if (!EnableOnlyHistoryRequests)
{
_connectionMonitorThread = new Thread(() =>
{
_lastReadyMessageTime = DateTime.UtcNow;
try
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
TimeSpan elapsed;
lock (_lockerConnectionMonitor)
{
elapsed = DateTime.UtcNow - _lastReadyMessageTime;
}
if (!_connectionLost && elapsed > TimeSpan.FromSeconds(10))
{
_connectionLost = true;
OnMessage(BrokerageMessageEvent.Disconnected("Connection with FXCM server lost. " +
"This could be because of internet connectivity issues. "));
}
else if (_connectionLost && IsWithinTradingHours())
{
Log.Trace("FxcmBrokerage.ConnectionMonitorThread(): Attempting reconnection...");
try
{
// log out
try
{
_gateway.logout();
}
catch (Exception)
{
// ignored
}
// remove the message listeners
_gateway.removeGenericMessageListener(this);
_gateway.removeStatusMessageListener(this);
// register the message listeners with the gateway
_gateway.registerGenericMessageListener(this);
_gateway.registerStatusMessageListener(this);
// log in
_gateway.login(loginProperties);
// load instruments, accounts, orders, positions
LoadInstruments();
if (!EnableOnlyHistoryRequests)
{
LoadAccounts();
LoadOpenOrders();
LoadOpenPositions();
}
_connectionLost = false;
OnMessage(BrokerageMessageEvent.Reconnected("Connection with FXCM server restored."));
}
catch (Exception exception)
{
Log.Trace("FxcmBrokerage.ConnectionMonitorThread(): reconnect failed.");
Log.Error(exception);
}
}
Thread.Sleep(5000);
}
}
catch (Exception exception)
{
Log.Error(exception);
}
})
{
IsBackground = true
};
_connectionMonitorThread.Start();
while (!_connectionMonitorThread.IsAlive)
{
Thread.Sleep(1);
}
}
// load instruments, accounts, orders, positions
LoadInstruments();
if (!EnableOnlyHistoryRequests)
{
LoadAccounts();
LoadOpenOrders();
LoadOpenPositions();
}
}
/// <summary>
/// Connects the client to the broker's remote servers
/// </summary>
public override void Connect()
{
// Register to the event session to receive events.
StartTransactionStream();
_isConnected = true;
// create new thread to manage disconnections and reconnections
_cancellationTokenSource = new CancellationTokenSource();
_connectionMonitorThread = new Thread(() =>
{
var nextReconnectionAttemptUtcTime = DateTime.UtcNow;
double nextReconnectionAttemptSeconds = 1;
lock (LockerConnectionMonitor)
{
LastHeartbeatUtcTime = DateTime.UtcNow;
}
try
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
TimeSpan elapsed;
lock (LockerConnectionMonitor)
{
elapsed = DateTime.UtcNow - LastHeartbeatUtcTime;
}
if (!_connectionLost && elapsed > TimeSpan.FromSeconds(20))
{
_connectionLost = true;
nextReconnectionAttemptUtcTime = DateTime.UtcNow.AddSeconds(nextReconnectionAttemptSeconds);
OnMessage(BrokerageMessageEvent.Disconnected("Connection with Oanda server lost. " +
"This could be because of internet connectivity issues. "));
}
else if (_connectionLost)
{
try
{
if (elapsed <= TimeSpan.FromSeconds(20))
{
_connectionLost = false;
nextReconnectionAttemptSeconds = 1;
OnMessage(BrokerageMessageEvent.Reconnected("Connection with Oanda server restored."));
}
else
{
if (DateTime.UtcNow > nextReconnectionAttemptUtcTime)
{
try
{
// check if we have a connection
GetInstrumentList();
// restore events session
StopTransactionStream();
StartTransactionStream();
// restore rates session
List <Symbol> symbolsToSubscribe;
lock (LockerSubscriptions)
{
symbolsToSubscribe = SubscribedSymbols.ToList();
}
SubscribeSymbols(symbolsToSubscribe);
}
catch (Exception)
{
// double the interval between attempts (capped to 1 minute)
nextReconnectionAttemptSeconds = Math.Min(nextReconnectionAttemptSeconds * 2, 60);
nextReconnectionAttemptUtcTime = DateTime.UtcNow.AddSeconds(nextReconnectionAttemptSeconds);
}
}
}
}
catch (Exception exception)
{
Log.Error(exception);
}
}
Thread.Sleep(1000);
}
}
catch (Exception exception)
{
Log.Error(exception);
}
})
{
IsBackground = true
};
_connectionMonitorThread.Start();
while (!_connectionMonitorThread.IsAlive)
{
Thread.Sleep(1);
}
}
/// <summary>
/// Connects the client to the broker's remote servers
/// </summary>
public override void Connect()
{
if (IsConnected)
{
return;
}
_sockClient.ConnectAsync().SynchronouslyAwaitTask();
_natsClient.Open();
_isConnected = true;
// create new thread to manage disconnections and reconnections
var connectionMonitorStartedEvent = new AutoResetEvent(false);
_cancellationTokenSource = new CancellationTokenSource();
_connectionMonitorThread = new Thread(() =>
{
connectionMonitorStartedEvent.Set();
var nextReconnectionAttemptSeconds = 1;
try
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
var isAlive = true;
try
{
isAlive = _sockClient.IsAlive;
}
catch (Exception)
{
// ignored
}
if (isAlive && _connectionLost)
{
_connectionLost = false;
nextReconnectionAttemptSeconds = 1;
OnMessage(BrokerageMessageEvent.Reconnected("Connection with Alpaca server restored."));
}
else if (!isAlive)
{
if (_connectionLost)
{
try
{
Thread.Sleep(TimeSpan.FromSeconds(nextReconnectionAttemptSeconds));
_sockClient.ConnectAsync().SynchronouslyAwaitTask();
}
catch (Exception exception)
{
// double the interval between attempts (capped to 1 minute)
nextReconnectionAttemptSeconds = Math.Min(nextReconnectionAttemptSeconds * 2, 60);
Log.Error(exception);
}
}
else
{
_connectionLost = true;
OnMessage(
BrokerageMessageEvent.Disconnected(
"Connection with Alpaca server lost. " +
"This could be because of internet connectivity issues. "));
}
}
Thread.Sleep(1000);
}
}
catch (Exception exception)
{
Log.Error(exception);
}
})
{
IsBackground = true
};
_connectionMonitorThread.Start();
connectionMonitorStartedEvent.WaitOne();
}
/// <summary>
/// Connects the client to the broker's remote servers
/// </summary>
public override void Connect()
{
if (IsConnected)
{
return;
}
Log.Trace("FxcmBrokerage.Connect()");
_cancellationTokenSource = new CancellationTokenSource();
// create new thread to fire order events in queue
_orderEventThread = new Thread(() =>
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
OrderEvent orderEvent;
if (!_orderEventQueue.TryDequeue(out orderEvent))
{
Thread.Sleep(1);
continue;
}
OnOrderEvent(orderEvent);
}
});
_orderEventThread.Start();
while (!_orderEventThread.IsAlive)
{
Thread.Sleep(1);
}
// create the gateway
_gateway = GatewayFactory.createGateway();
// register the message listeners with the gateway
_gateway.registerGenericMessageListener(this);
_gateway.registerStatusMessageListener(this);
// create local login properties
var loginProperties = new FXCMLoginProperties(_userName, _password, _terminal, _server);
// log in
_gateway.login(loginProperties);
// create new thread to manage disconnections and reconnections
_connectionMonitorThread = new Thread(() =>
{
_lastReadyMessageTime = DateTime.UtcNow;
try
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
TimeSpan elapsed;
lock (_lockerConnectionMonitor)
{
elapsed = DateTime.UtcNow - _lastReadyMessageTime;
}
if (!_connectionLost && elapsed > TimeSpan.FromSeconds(5))
{
_connectionLost = true;
OnMessage(BrokerageMessageEvent.Disconnected("Connection with FXCM server lost. " +
"This could be because of internet connectivity issues. "));
}
else if (_connectionLost && elapsed <= TimeSpan.FromSeconds(5))
{
try
{
_gateway.relogin();
_connectionLost = false;
OnMessage(BrokerageMessageEvent.Reconnected("Connection with FXCM server restored."));
}
catch (Exception exception)
{
Log.Error(exception);
}
}
else if (_connectionError)
{
try
{
// log out
_gateway.logout();
// remove the message listeners
_gateway.removeGenericMessageListener(this);
_gateway.removeStatusMessageListener(this);
// register the message listeners with the gateway
_gateway.registerGenericMessageListener(this);
_gateway.registerStatusMessageListener(this);
// log in
_gateway.login(loginProperties);
// load instruments, accounts, orders, positions
LoadInstruments();
LoadAccounts();
LoadOpenOrders();
LoadOpenPositions();
_connectionError = false;
_connectionLost = false;
OnMessage(BrokerageMessageEvent.Reconnected("Connection with FXCM server restored."));
}
catch (Exception exception)
{
Log.Error(exception);
}
}
Thread.Sleep(5000);
}
}
catch (Exception exception)
{
Log.Error(exception);
}
});
_connectionMonitorThread.Start();
while (!_connectionMonitorThread.IsAlive)
{
Thread.Sleep(1);
}
// load instruments, accounts, orders, positions
LoadInstruments();
LoadAccounts();
LoadOpenOrders();
LoadOpenPositions();
}
/// <summary>
/// Connects the client to the broker's remote servers
/// </summary>
public override void Connect()
{
if (IsConnected)
{
return;
}
// Load the list of instruments
_oandaInstruments = GetInstruments().ToDictionary(x => x.instrument);
// Register to the event session to receive events.
_eventsSession = new EventsSession(this, _accountId);
_eventsSession.DataReceived += OnEventReceived;
_eventsSession.StartSession();
_isConnected = true;
// create new thread to manage disconnections and reconnections
_cancellationTokenSource = new CancellationTokenSource();
_connectionMonitorThread = new Thread(() =>
{
var nextReconnectionAttemptUtcTime = DateTime.UtcNow;
double nextReconnectionAttemptSeconds = 1;
lock (_lockerConnectionMonitor)
{
_lastHeartbeatUtcTime = DateTime.UtcNow;
}
try
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
TimeSpan elapsed;
lock (_lockerConnectionMonitor)
{
elapsed = DateTime.UtcNow - _lastHeartbeatUtcTime;
}
if (!_connectionLost && elapsed > TimeSpan.FromSeconds(20))
{
_connectionLost = true;
nextReconnectionAttemptUtcTime = DateTime.UtcNow.AddSeconds(nextReconnectionAttemptSeconds);
OnMessage(BrokerageMessageEvent.Disconnected("Connection with Oanda server lost. " +
"This could be because of internet connectivity issues. "));
}
else if (_connectionLost)
{
try
{
if (elapsed <= TimeSpan.FromSeconds(20))
{
_connectionLost = false;
nextReconnectionAttemptSeconds = 1;
OnMessage(BrokerageMessageEvent.Reconnected("Connection with Oanda server restored."));
}
else
{
if (DateTime.UtcNow > nextReconnectionAttemptUtcTime)
{
try
{
// check if we have a connection
GetInstruments();
// restore events session
if (_eventsSession != null)
{
_eventsSession.DataReceived -= OnEventReceived;
_eventsSession.StopSession();
}
_eventsSession = new EventsSession(this, _accountId);
_eventsSession.DataReceived += OnEventReceived;
_eventsSession.StartSession();
// restore rates session
List <Symbol> symbolsToSubscribe;
lock (_lockerSubscriptions)
{
symbolsToSubscribe = _subscribedSymbols.ToList();
}
SubscribeSymbols(symbolsToSubscribe);
}
catch (Exception)
{
// double the interval between attempts (capped to 1 minute)
nextReconnectionAttemptSeconds = Math.Min(nextReconnectionAttemptSeconds * 2, 60);
nextReconnectionAttemptUtcTime = DateTime.UtcNow.AddSeconds(nextReconnectionAttemptSeconds);
}
}
}
}
catch (Exception exception)
{
Log.Error(exception);
}
}
Thread.Sleep(1000);
}
}
catch (Exception exception)
{
Log.Error(exception);
}
});
_connectionMonitorThread.Start();
while (!_connectionMonitorThread.IsAlive)
{
Thread.Sleep(1);
}
}