public static ConcurrentQueue<output> _queue = new ConcurrentQueue<output>();// dict store all surrounding Info
public static void requestFlow(output x)
{
lock (reqFlow.locker0)
{
try
{
_queue.Enqueue(x);
DepthOfBkHndlr dobkUnderhndlr = new MktSrvcAPI.DepthOfBkHndlr((_instr, _ts, _partid, _mod, _numbid, _numask, _bidexch, _askexch, _bidbk, _askbk) => respFlow.dobkUnderhndlr(_instr, _ts, _partid, _mod, _numbid, _numask, _bidexch, _askexch, _bidbk, _askbk));
Conn._dobkUnderClient.depofbkhndlr = dobkUnderhndlr;
Conn._dobkUnderClient.Subscribe(new InstrInfo
{
sym = x.under,
type = InstrInfo.EType.EQUITY,
});
//Console.WriteLine("request: " + x.under + x.callput);
}
catch (Exception e)
{
Console.WriteLine(e.Message);
}
//Console.WriteLine("000 "+((ConcurrentQueue<output>)_Dict[0][6]).Count);
}
}
//public static void requestFlow(output x)
//{
// try
// {
// _queue.Enqueue(x);
// DepthOfBkHndlr depofbkhndlr0 = new MktSrvcAPI.DepthOfBkHndlr((_instr, _ts, _partid, _mod, _numbid, _numask, _bidexch, _askexch, _bidbk, _askbk) => respFlow2.depofbkhndlr(_instr, _ts, _partid, _mod, _numbid, _numask, _bidexch, _askexch, _bidbk, _askbk));
// Conn._DepthofBkClient.depofbkhndlr = depofbkhndlr0;
// Conn._DepthofBkClient.Subscribe(x.instr);
// }
// catch (Exception ex)
// {
// Console.WriteLine(ex.Message);
// }
//}
public static void requestFlow(output x1, output x2)
{
try
{
_queue.Enqueue(x1);
_queue.Enqueue(x2);
DepthOfBkHndlr depofbkhndlr0 = new MktSrvcAPI.DepthOfBkHndlr((_instr, _ts, _partid, _mod, _numbid, _numask, _bidexch, _askexch, _bidbk, _askbk) => respFlow2.depofbkhndlr(_instr, _ts, _partid, _mod, _numbid, _numask, _bidexch, _askexch, _bidbk, _askbk));
Conn._DepthofBkClient.depofbkhndlr = depofbkhndlr0;
Conn._DepthofBkClient.Subscribe(x1.instr);
Conn._DepthofBkClient.Subscribe(x2.instr);
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
}
public static void StartListening(string ip)
{
// Data buffer for incoming data.
byte[] bytes = new Byte[1024];
// Establish the local endpoint for the socket.
// Dns.GetHostName returns the name of the
// host running the application.
IPHostEntry ipHostInfo = Dns.Resolve(Dns.GetHostName());
IPAddress ipAddress = IPAddress.Parse(ip);
IPEndPoint localEndPoint = new IPEndPoint(ipAddress, 15000);
// Create a TCP/IP socket.
Socket listener = new Socket(AddressFamily.InterNetwork,
SocketType.Stream, ProtocolType.Tcp);
// Bind the socket to the local endpoint and
// listen for incoming connections.
try
{
listener.Bind(localEndPoint);
listener.Listen(10);
// Start listening for connections.
while (true)
{
Console.WriteLine("Waiting for a connection...");
// Program is suspended while waiting for an incoming connection.
Socket handler = listener.Accept();
data = null;
// An incoming connection needs to be processed.
while (true)
{
bytes = new byte[1024];
int bytesRec = handler.Receive(bytes);
data += Encoding.ASCII.GetString(bytes, 0, bytesRec);
if (data.IndexOf("<EOF>") > -1)
{
// All the data has been read from the
// client. Display it on the console.
Console.WriteLine("\n\n start:");
Console.WriteLine("Read {0} bytes from socket: {1} port: {2} \n Data : {3}",
data.Length, IPAddress.Parse(((IPEndPoint)handler.RemoteEndPoint).Address.ToString()), ((IPEndPoint)handler.RemoteEndPoint).Port.ToString(), data);
// Echo the data back to the client.
//Send(handler, content);
//add analytic for the data (under + exp + callput) => find out live stock price + (-10% ~ +10% strikes) at the money qoutes + (weighted) svwaps / wbid / wask .
//trigger the quote processing after receive the data
//then calculate the svwap
//sent back to client
string content = data.Split('<')[0];
if (content != "start")
{
Console.WriteLine(content);
output x = new output
{
under = content.Split('|')[0],
exp = Convert.ToInt32(content.Split('|')[1]),
callput = content.Split('|')[2],
ip = ((IPEndPoint)handler.RemoteEndPoint).Address.ToString(),
};
if (Conn.Dict.ContainsKey(x.under + x.exp + x.callput))
{
reqFlow.requestFlow(x);
break;
}
}
}
}
// Show the data on the console.
Console.WriteLine("Text received : {0}", data);
// Echo the data back to the client.
byte[] msg = Encoding.ASCII.GetBytes(data);
handler.Send(msg);
handler.Shutdown(SocketShutdown.Both);
handler.Close();
}
}
catch (Exception e)
{
Console.WriteLine(e.ToString());
}
Console.WriteLine("\nPress ENTER to continue...");
Console.Read();
}
public static void subtask(InstrInfo instr, uint ts, byte[] bidexch, byte[] askexch, Quote[] bidbk, Quote[] askbk, output x)
{
string _quoteinstrument = instr.sym + instr.maturity + instr.callput + instr.strike;
#region Quote Filtering
List<FilteredQuote> _Bidbk = new List<FilteredQuote>();
List<FilteredQuote> _Askbk = new List<FilteredQuote>();
List<char> _Bidexch = new List<char>();
List<char> _Askexch = new List<char>();
calib.QuoteFiltering(bidexch, bidbk, _Bidbk, _Bidexch);
calib.QuoteFiltering(askexch, askbk, _Askbk, _Askexch);
#endregion
x._Wbidsz = calib.CalculateWsz(_Bidbk);
x._Wasksz = calib.CalculateWsz(_Askbk);
if (x._Wbidsz == 0)
{
x._Wbidprc = 0;
}
else
{
x._Wbidprc = calib.CalculateWprc(_Bidbk) / x._Wbidsz;
}
if (x._Wasksz == 0)
{
x._Waskprc = 0;
}
else
{
x._Waskprc = calib.CalculateWprc(_Askbk) / x._Wasksz;
}
if (x._Wbidprc == 0)
{
//low the weight by (wbidprc = 0 + waskprc + askprc[0]) / 3
x._Wmidpt = (x._Waskprc + _Askbk[0]._prc) / 3;
x._Vwap = x._Wmidpt;
}
else if (x._Waskprc == 0)
{
x._Wmidpt = (x._Wbidprc + _Bidbk[0]._prc) / 3;
x._Vwap = x._Wmidpt;
}
else
{
x._Wmidpt = (x._Wbidprc + x._Waskprc) / 2;
x._Vwap = calib.CalculateVWAP(_Bidbk, _Askbk);
}
x.svwap = (x._Wmidpt + x._Vwap) / 2;
Console.WriteLine(_quoteinstrument + " " + x.svwap);
//asynsocketclient.StartSend("10.0.7.218",15000, x.stock + "|" + x.svwap);
//sclient.start("10.0.7.182", x.stock + "|" + x.svwap);
if (x.flag == true)
{
sclient.start(x.ip, x.stock + "|" + x.svwap);
}
else
{
x.flag = true;
if (x.index == 1)
{
while (x.nearby.flag != true)
{
Thread.Sleep(30);
}
if (x.instr.strike > x.stock)
{
float svwap = x.svwap * (x.stock - x.nearby.instr.strike) / (x.instr.strike - x.nearby.instr.strike) + x.nearby.svwap * (x.instr.strike - x.stock) / (x.instr.strike - x.nearby.instr.strike);
sclient.start(x.ip, x.stock + "|" + svwap);
}
}
}
Console.WriteLine("ip: " + x.ip);
}
public static void subtask(InstrInfo instr, uint ts, byte[] bidexch, byte[] askexch, Quote[] bidbk, Quote[] askbk, output x)
{
lock (locker)
{
x.instr = new InstrInfo
{
sym = x.under,
maturity = x.exp,
callput = (MktSrvcAPI.InstrInfo.ECallPut)(x.callput == "CALL" ? 1 : 0),
type = InstrInfo.EType.OPTION
};
if (bidexch != null && askexch != null)
{
x.stock = (bidbk[0].prc + askbk[0].prc) / 2;
}
else if (bidexch != null && askexch == null)
{
x.stock = bidbk[0].prc;
}
else if (bidexch == null && askexch != null)
{
x.stock = askbk[0].prc;
}
else
{
x.stock = 0.0f;
}
Console.WriteLine(x.under + " " + x.stock);
//ATM
List<float> strikes = Conn.Dict[x.under + x.exp + x.callput];
strikes.Sort();
if (strikes[0] < x.stock && strikes[strikes.Count - 1] > x.stock)
{
foreach (float s in strikes)
{
if (s - x.stock >= 0)
{
if (s - x.stock == 0)
{
x.instr.strike = s;
x.flag = true;
reqFlow2.requestFlow(x, x);
}
else
{
output y = new output();
x.instr.strike = s;
y.instr = new InstrInfo
{
sym = x.under,
maturity = x.exp,
callput = (MktSrvcAPI.InstrInfo.ECallPut)(x.callput == "CALL" ? 1 : 0),
type = InstrInfo.EType.OPTION
};
y.under = x.under;
y.exp = x.exp;
y.callput = x.callput;
y.ip = x.ip;
y.instr.strike = strikes[strikes.IndexOf(s) - 1];
x.flag = false;
y.flag = false;
x.nearby = y;
y.nearby = x;
x.index = 1;
y.index = 0;
reqFlow2.requestFlow(y, x);
}
break;
}
}
}
else if (strikes[0] == x.stock)
{
x.instr.strike = strikes[0];
reqFlow2.requestFlow(x, x);
}
else if (strikes[strikes.Count - 1] == x.stock)
{
x.instr.strike = strikes[strikes.Count - 1];
reqFlow2.requestFlow(x, x);
}
else
{
//pass
}
}
}
