public static void Publish(string exchange, Orderbook message, string routingKey = null)
=> Channel(TheRandom.Pair(Dimension))
.BasicPublish(
exchange,
body: Serialize(message),
routingKey: routingKey ?? string.Empty,
mandatory: false,
basicProperties: new BasicProperties
{
Persistent = false,
DeliveryMode = 1
});
public Orderbook(string assetPairId, decimal bid, decimal ask, int depth)
{
AssetPairId = assetPairId;
var jitter = TheRandom.Range(1, Program.Settings.books.bestPriceDeviation);
bid *= jitter;
ask *= jitter;
for (var(i, offset) = (0, 0.001m * (ask - bid)); i < depth; offset = Max(0.001m, Min((ask - bid) * i / depth, offset * i++)))
{
// volume = 10 * (i * i + 1)
Bids.Add(Level(bid - i * offset, Vol(i)));
Asks.Add(Level(ask + i * offset, Vol(i)));
}
}
private static decimal Vol(int i) => TheRandom.In(10 * ((i - 1) * (i - 1) + 1), 10 * (i * i + 1));
public static void Main(string[] args)
{
Settings = JsonConvert.DeserializeObject <Settings>(File.ReadAllText(@"./input.json"));
RabbitMqPublisher.ConnectionString = new Uri(Settings.rabbitMq.connString.AppendPathSegment("%2f"));
var headers = new
{
api_key = "margintrading",
Content_Type = "application/json"
};
if (!string.IsNullOrEmpty(Settings.rabbitMq.fxRatesExchange))
{
Log("Pre-populating FxRates");
var pairs = Settings.mtSettingsService
.AppendPathSegment("api/assetPairs")
.WithHeaders(headers)
.GetJsonListAsync().Result
.Select(x => (string)x.Id).OrderBy(x => x).ToArray();
var oldFx = Settings.mtTradingCore
.AppendPathSegment("api/prices/bestFx")
.WithHeaders(headers)
.PostJsonAsync(new { pairs }).ReceiveJson <Dictionary <string, dynamic> >().Result;
var fxRates = pairs.Select(i => (id: i,
mid: oldFx.ContainsKey(i)
? (decimal)oldFx[i].Bid
: TheRandom.In(Settings.defaults.bid, Settings.defaults.ask))).ToList();
fxRates.ForEach(p => RabbitMqPublisher.Publish(
exchange: Settings.rabbitMq.fxRatesExchange,
message: new Orderbook(
assetPairId: p.id,
bid: p.mid,
ask: p.mid,
depth: 1)));
Log("FxRates have been pre-populated");
Log("Waiting 5 seconds after burst");
Thread.Sleep(5000);
}
var instruments = Settings.mtSettingsService
.AppendPathSegment("api/tradingInstruments")
.WithHeaders(headers)
.GetJsonListAsync().Result
.Select(x => (string)x.Instrument).OrderBy(x => x).ToArray();
Log($"Trading instruments discovered: {instruments.Length}");
if (!string.IsNullOrEmpty(Settings.instrumentRegex))
{
instruments = instruments.Where(x => new Regex(Settings.instrumentRegex).IsMatch(x)).ToArray();
}
var oldQuotes = Settings.mtTradingCore
.AppendPathSegment("api/prices/best")
.WithHeaders(headers)
.PostJsonAsync(new { instruments }).ReceiveJson <Dictionary <string, dynamic> >().Result;
Log($"Trading quote history exists for {oldQuotes.Count} pairs");
var quotes = instruments.Select(i =>
oldQuotes.ContainsKey(i)
? (id: i, bid: (decimal)oldQuotes[i].Bid, ask: (decimal)oldQuotes[i].Ask)
: (id: i, Settings.defaults.bid, Settings.defaults.ask)).ToList();
Log($"Operational instruments: {quotes.Count}");
if (quotes.Count.Equals(0))
{
return;
}
var cycleCount = 0;
var ramp = Settings.publishingRate.initial;
while (!(Console.KeyAvailable && Console.ReadKey(true).Key == ConsoleKey.Enter))
{
var sw = Stopwatch.StartNew();
var target = Stopwatch.Frequency / (ramp
+= Settings.publishingRate.increment *
(Min(Settings.publishingRate.target, ++cycleCount) <= Floor(ramp)
? 0 : cycleCount = 1));
Log($"Current publishing rate: {ramp}");
for (var i = 0; i < quotes.Count; sw.Blink(target * i++ / quotes.Count))
{
RabbitMqPublisher.Publish(
exchange: Settings.rabbitMq.orderBooksExchange,
message: new Orderbook(
quotes[i].id,
quotes[i].bid,
quotes[i].ask,
depth: Settings.books.depth
));
}
sw.Blink(target);
}
Console.ReadKey();
}
