void addRow(LiveSystem system)
{
var row = table.NewRow();
systems.Add(row, system);
insertUnknownRow(row, system);
plans[system] = new List <Plan>();
setHeartbeatStatus(row, system, SystemStatus.UNKNOWN);
setTickStatus(row, system, SystemStatus.UNKNOWN);
tickTimers[system] = statusFades(status => setTickStatus(row, system, status));
heartbeatTimers[system] = statusFades(status => setHeartbeatStatus(row, system, status));
lastTickProcessed[system] = DateTime.MinValue;
subscribeSystemHeartbeat(row, system);
var symbols = convert(list <JMarket>(system.markets()), m => new Symbol(m));
each(symbols, symbol => {
try {
symbol.subscribe(bar => onTickPublished(row, system, bar.time));
} catch (Exception ex) {
LogC.err("exception caught subscribing to tick data for " + symbol + ", " + system, ex);
gui.alertUser("exception caught susbcribing to data for " + symbol + ", " + system + ".\nSkipping... see log for details.");
}
});
}
void onTickProcessed(DataRow row, LiveSystem system, Date jLastProcessed)
{
lock (plans[system]) {
var time = date(jLastProcessed);
if (lastTickProcessed[system].CompareTo(time) < 0)
{
lastTickProcessed[system] = time;
}
for (var i = 0; i < plans[system].Count; i++)
{
if (first(plans[system]).tickPublished > time)
{
break;
}
plans[system].RemoveAt(0);
}
if (isEmpty(plans[system]))
{
tickTimers[system].stop();
setTickStatus(row, system, SystemStatus.GREEN);
return;
}
var nextPlanTime = first(plans[system]).tickTime;
tickTimers[system].startAsOf(nextPlanTime);
}
}
public QREBridge(SystemArguments arguments, string topicPrefix)
{
arguments_ = arguments;
if (arguments.runMode() == RunMode.LIVE)
{
liveSystem = arguments.liveSystem();
monitor_ = new LiveTradeMonitor(liveSystem, arguments.symbols, topicPrefix);
}
else
{
liveSystem = null;
monitor_ = new TradeMonitor();
}
each(arguments.symbols, symbol => bars_[symbol] = new BarSpud(manager));
system = System.create <S>(this);
interval_ = arguments.interval();
if (!arguments.runInNativeCurrency)
{
fxRates = new LazyDictionary <Symbol, SymbolSpud <Bar> >(symbol =>
symbol.fxRateSymbol().bars(bars(symbol)).allowStaleTicks()
);
}
statistics_ = new StatisticsManager(system, arguments);
arguments.logSystemCreation();
}
static void generateCurves(LiveSystem system, IEnumerable <JMarket> markets, QDirectory directory, DateTime start, DateTime end, DataSource metricSource)
{
var symbols = convert(markets, market => new Symbol(market.name(), market.bigPointValue()));
var parameters = new Parameters {
{ "systemId", system.id() },
{ "RunMode", (double)RunMode.LIVE }
};
var startLoading = DateTime.Now;
Bomb.when(system.details().runInNativeCurrency(), () => "portfolio optimization requires systems to run in dollars, not native currency");
var bars = new SystemDbBarLoader(system.details().interval(), symbols, start, end);
var simulator = new Simulator(new SystemArguments(symbols, parameters), bars, "QUEDGE");
var startProcessing = DateTime.Now;
var perSecond = simulator.processBars();
saveMetric(system, "marketBarsPerSecond", metricSource, perSecond);
var startMetricCalc = DateTime.Now;
simulator.metrics();
saveMetric(system, "metricCalculationSeconds", metricSource, secondsSince(startMetricCalc));
saveMetric(system, "totalRunSeconds", metricSource, secondsSince(startProcessing));
simulator.writeCurveFiles(directory);
saveMetric(system, "totaSeconds", metricSource, secondsSince(startLoading));
Db.commit();
}
public int filledUpdateDb(double fillPrice, LiveSystem liveSystem, string topicPrefix)
{
int liveOrderId;
if (ferretSubmission == null)
{
liveOrderId = LiveOrders.ORDERS.insert(
liveSystem.id(), symbol.name, jDate(now()), null, enterExit(),
positionDirection().ToString(), size, new java.lang.Double(fillPrice),
details.ToString(), description, hostname(), topicPrefix, null
);
}
else
{
liveOrderId = ferretSubmission.liveOrderId;
var submitted = LiveOrders.ORDERS.order(liveOrderId);
submitted.updateFill(fillPrice, jDate(now()));
}
Db.commit();
OrderTable.topic().send(new Dictionary <string, object> {
{ "liveOrderId", liveOrderId },
{ "timestamp", ymdHuman(now()) }
});
return(liveOrderId);
}
public OrderSubmitter(LiveSystem liveSystem, string topicPrefix)
{
this.liveSystem = liveSystem;
this.topicPrefix = topicPrefix;
tag = new Lazy <string>(liveSystem.bloombergTag);
ferretApproved = new Lazy <bool>(liveSystem.autoExecuteTrades);
}
void updateNode(LiveSystem liveSystem, QNode node)
{
var childNodes = list <LiveMarketNode>(node.children());
var totalTicks = sum(convert(childNodes, child => child.ticksReceived));
if (totalTicks == 0)
{
return;
}
var tickRate = sum(convert(childNodes, child => child.tickRate));
var tickLag = max(convert(childNodes, child => child.tickLag));
node.color = tickLag - 5000;
node.size = isEqualSizes_ ? 1 : Math.Max(1F, tickRate);
var isDown = exists(childNodes, child => child.isDown);
var downText = isDown ? "" : "DOWN ";
var lastTickProcessed = max(convert(childNodes, child => child.lastTickProcessed));
node.text =
downText +
liveSystem.pv().name() + " - " + liveSystem.id() + "\n" +
tickRate.ToString("n0") + "/min, " + tickLag + "ms\n" +
totalTicks.ToString("n0") + "\n" +
lastTickProcessed.ToString("HH:mm:ss") + "\n";
}
public void insertInto(LiveSystem system)
{
foreach (var entry in data)
{
system.insertParameter(entry.Key, entry.Value);
}
}
private void Start()
{
GetSpriteRenderer = gameObject.GetComponent <SpriteRenderer>();
GetMatch3 = GameObject.Find("GameManager").GetComponent <Match3>();
GetLiveSystem = GameObject.Find("GameManager").GetComponent <LiveSystem>();
GetCircleCollider2D = gameObject.GetComponent <CircleCollider2D>();
StartCoroutine(activeCollider());
}
public override void setUp()
{
base.setUp();
system = new LiveSystem(new Siv("TestSystem1", "daily", "1.0"), new Pv("Pv"));
system.populateDetailsIfNeeded(false);
system.addLiveMarket("TY.1C", "2008/08/01", null);
gui = null;
}
static void saveMetric(LiveSystem system, string metric, DataSource metricSource, double perSecond)
{
var reallyMidnight = Dates.midnight(Dates.reallyNow());
if (metricSource != null)
{
system.series(metric).with(metricSource).write(reallyMidnight, perSecond);
}
}
public override void setUp()
{
base.setUp();
liveSystem = new LiveSystem(new Siv("TestSystem1", "daily", "1.0"), new Pv("Slow"));
liveSystem.populateDetailsIfNeeded(false);
launcher = new LiveLauncher();
launcher.beInTestMode();
}
public static Email basicTradeEmail(LiveSystem system, Trade trade, int liveOrderId)
{
return(Email.trade(
system.siv().system() + paren(system.pv().name()) + " Filled Order for " + trade.order().symbol.name + " - " + hostname(),
"Order (" + liveOrderId + "): " + trade.shortString() +
"\nTimestamp: " + ymdHuman(now()) +
"\nDescription: " + trade.description
));
}
public static LiveSystem fakeLiveSystem(Parameters parameters, bool runInNativeCurrency)
{
var liveSystemTemp = new LiveSystem(new Siv("TestSystem1", "daily", "1.0"), new Pv("Slow"));
liveSystemTemp.setQClassName(typeof(S).FullName);
liveSystemTemp.populateDetailsIfNeeded(runInNativeCurrency);
liveSystemTemp.populateTagIfNeeded("QF.Example", false);
parameters.insertInto(liveSystemTemp);
return(liveSystemTemp);
}
static SystemArguments arguments(IEnumerable <Symbol> symbols, LiveSystem liveSystem, RunMode mode, Type type)
{
O.each(symbols, symbol => MsivTable.MSIVS.insert(symbol.name, liveSystem.siv()));
liveSystem.setQClassName(type.FullName);
liveSystem.populateDetailsIfNeeded(false);
return(new SystemArguments(symbols, new Parameters {
{ "LeadBars", 5 },
{ "systemId", liveSystem.id() },
{ "RunMode", (double)mode },
{ "lookback", 2 }
}));
}
public override void setUp()
{
base.setUp();
emailer.allowMessages();
liveSystem = OneSystemTest <TestSystem> .fakeLiveSystem(new Parameters { { "LeadBars", 0.0 } }, false);
data = new FakeBarLoader(SYMBOL);
simulator = data.simulator(new SystemArguments(SYMBOL, parameters(liveSystem)), "TEST");
system = simulator.theSymbolSystem <TestSystem>(SYMBOL);
SYMBOL.setCloseTimeForTest("14:00:00", 300);
bar(0, 0, 0, 0);
}
void insertUnknownRow(DataRow row, LiveSystem system)
{
row.ItemArray = new object[] {
system.siv().sivName("-"),
system.pv().name(),
system.id(),
"unknown",
-1,
"unknown", // "2008/10/09 15:55:07",
"unknown", // "2008/10/09 15:55:07",
};
table.Rows.InsertAt(row, 0);
}
void subscribeSystemHeartbeat(DataRow row, LiveSystem system)
{
var topic = new Topic(system.topicName(OrderTable.prefix, SystemHeartbeat.SUFFIX));
topic.subscribe(fields => gui.runOnGuiThread(() => {
row["hostname"] = fields.get("hostname");
row["ticks"] = fields.longg("ticksReceived");
var lastTicked = ymdHuman(fields.time("lastTickProcessed"));
row["lastTick"] = lastTicked.Substring(0, 4).Equals("0001") ? "no tick" : lastTicked;
row["lastBeat"] = ymdHuman(fields.time("timestamp"));
onHeartbeat(system, fields.time("timestamp"));
onTickProcessed(row, system, fields.time("lastTickProcessed"));
}));
}
public override void setUp()
{
base.setUp();
liveSystem = fakeLiveSystem(parameters(), runInNativeCurrency());
systemId = liveSystem.id();
initializeSymbols();
bridge_ = new QREBridge <S>(arguments());
loader = new FakeBarLoader(bridge_.arguments().symbols);
loader.setSpudManager(bridge_.manager);
barsLoadedThisBar = false;
noOrders();
}
public void testIntraDayLiveBars()
{
var siv5Minute = new Siv("TestSystem1", "second", "1.0");
var liveSystem = new LiveSystem(siv5Minute, FAST);
liveSystem.insertParameter("LeadBars", "0");
var args = arguments(O.list(SYMBOL, SYMBOL2), liveSystem, RunMode.LIVE, typeof(EmptySystem));
var loader = new FakeBarLoader(SYMBOL, SYMBOL2);
var simulator = loader.simulator(args, OrderTable.prefix);
try {
Action <int, int> bar = (close, minutesAfter9) => {
var barTime = Dates.minutesAhead(minutesAfter9, Dates.date("2008/09/08 09:00:00"));
loader.add(SYMBOL, close, close, close, close, barTime);
loader.add(SYMBOL2, close, close, close, close, barTime);
simulator.nextBar();
};
Action <Symbol, int, string> doTick = (symbol, price, time) => {
O.freezeNow("2008/09/08 " + time);
tick(simulator, new Bar(0, price, 0, price, O.now()), symbol);
};
bar(5, 0);
O.freezeNow("2008/09/08 09:00:00");
simulator.goLive();
doTick(SYMBOL, 26, "09:00:00");
doTick(SYMBOL2, 28, "09:00:00");
doTick(SYMBOL, 25, "09:00:00");
doTick(SYMBOL2, 29, "09:00:00");
simulator.waitForBar();
var system = simulator.theSymbolSystem <EmptySystem>(SYMBOL);
var system2 = simulator.theSymbolSystem <EmptySystem>(SYMBOL2);
AreEqual(new Bar(26, 26, 25, 25, date("2008/09/08 09:00:00")), system.bar);
AreEqual(new Bar(28, 29, 28, 29, date("2008/09/08 09:00:00")), system2.bar);
O.freezeNow("2008/09/08 09:00:01");
doTick(SYMBOL, 42, "09:00:01");
doTick(SYMBOL, 57, "09:00:01");
doTick(SYMBOL, 15, "09:00:01");
system.placeOrder(SYMBOL.buy("somethin", Order.market(), 1, FillOrKill.FILL_KILL));
simulator.waitForBar(); // if it blows up in orderFilled here, it filled orders during live intraday bar (incorrect)
IsTrue(O.isEmpty(system.allPositions()));
AreEqual(new Bar(42, 57, 15, 15, date("2008/09/08 09:00:01")), system.bar);
AreEqual(new Bar(28, 29, 28, 29, date("2008/09/08 09:00:00")), system2.bar);
AreEqual(3, system.bars.count());
AreEqual(2, system2.bars.count());
} finally {
simulator.clearTimer();
}
}
public int submittedInsertDb(LiveSystem liveSystem, string topicPrefix)
{
var positionDir = hasPosition() ? positionDirection() : direction;
var liveOrderId = LiveOrders.ORDERS.insert(
liveSystem.id(), symbol.name, null, jDate(now()), enterExit(),
positionDir.ToString(), size, null,
details.ToString(), description, hostname(), topicPrefix, ferretSubmission.id
);
Db.commit();
OrderTable.topic().send(new Dictionary <string, object> {
{ "liveOrderId", liveOrderId },
{ "timestamp", now() }
});
return(liveOrderId);
}
void onTickPublished(DataRow row, LiveSystem system, DateTime time)
{
if (time.CompareTo(lastTickProcessed[system]) <= 0)
{
return;
}
lock (plans[system]) {
if (isEmpty(plans[system]) || time > last(plans[system]).tickPublished)
{
plans[system].Add(new Plan(now(), time));
}
if (plans[system].Count == 1 && !row["lastBeat"].Equals("unknown"))
{
tickTimers[system].startAsOf(now());
}
}
}
public void restart(string hostname, int id)
{
if (LiveSystem.isAutoExecute(id) && !FerretControl.status().Equals("Stage"))
{
var answer = gui.askUser("This will put Ferret into Stage mode. Are you sure you want to do this?");
if (answer != YesNoCancel.YES)
{
return;
}
FerretControl.requestFerretChange("Stage");
wait(() => FerretControl.status().Equals("Stage"));
}
var fields = new Fields();
fields.put("SystemId", id);
fields.put("Hostname", hostname);
fields.put("Timestamp", ymdHuman(now()));
LiveLauncher.restartTopic().send(fields);
}
public void testOnCloseIntraDay()
{
var siv5Minute = new Siv("TestSystem1", "5minute", "1.0");
var liveSystem = new LiveSystem(siv5Minute, FAST);
var args = arguments(O.list(SYMBOL, SYMBOL2), liveSystem, RunMode.RIGHTEDGE, typeof(TestOnCloseSystem));
var loader = new FakeBarLoader(SYMBOL, SYMBOL2);
var simulator = loader.simulator(args, OrderTable.prefix);
var system = simulator.theSymbolSystem <TestOnCloseSystem>(SYMBOL);
var system2 = simulator.theSymbolSystem <TestOnCloseSystem>(SYMBOL2);
MarketSessionTable.SESSION.update(SYMBOL.name, Session.DAY, "16:00:00", 360);
MarketSessionTable.SESSION.update(SYMBOL2.name, Session.DAY, "15:50:00", 360);
Action <int, int> bar = (close, minutesAfter3) => {
var barTime = Dates.minutesAhead(minutesAfter3, Dates.date("2008/08/08 15:00:00"));
loader.add(SYMBOL, close, close, close, close, barTime);
loader.add(SYMBOL2, close, close, close, close, barTime);
simulator.nextBar();
};
Action <bool, bool> closeTriggered = (expected1, expected2) => {
AreEqual(expected1, system.onCloseTriggered);
AreEqual(expected2, system2.onCloseTriggered);
system.onCloseTriggered = false;
system2.onCloseTriggered = false;
};
O.zeroTo(5, i => {
bar(i, 15 + i * 5);
closeTriggered(false, false);
});
bar(6, 40); closeTriggered(false, false); // ? format but couldn't resist the parallellism. and terseness.
bar(7, 45); closeTriggered(false, true);
bar(8, 50); closeTriggered(false, false);
bar(9, 55); closeTriggered(true, false);
bar(10, 60); closeTriggered(false, false);
}
public virtual Email tradeEmail(LiveSystem liveSystem, Trade trade, int liveOrderId)
{
return(PositionMonitor.basicTradeEmail(liveSystem, trade, liveOrderId));
}
static Parameters parameters(LiveSystem system)
{
return(new Parameters {
{ "systemId", (double)system.id() }, { "RunMode", (double)RunMode.LIVE }
});
}
public override Email tradeEmail(LiveSystem liveSystem, Trade trade, int liveOrderId)
{
LogC.info("calcing trade email");
return(Email.trade("he hopes@" + trade.price, "jerome can use this functionality."));
}
public SystemStatus tickStatus(LiveSystem system)
{
return(Bomb.missing(tickStatuses, system));
}
public SystemStatus heartbeatStatus(LiveSystem system)
{
return(Bomb.missing(beatStatuses, system));
}
public void writeCurveFile(Collectible collectible, LiveSystem liveSystem, QDirectory directory)
{
CurveFiles.writeOne(directory.file(liveSystem.fileName(collectible.name) + ".bin").path(), dates_, pnl_, positions_);
}
