public void OnNext(RingbufferByteArray data, long sequence, bool endOfBatch)
{
data.StartProcessTime = dateService.UtcNow();
data.GetContent(ref queueBuffer);
deserializedMessage = serializer.Deserialize <ClientToServerMessage>(queueBuffer, data.ContentLength);
if (deserializedMessage == null)
{
return;
}
switch (deserializedMessage.MessageType)
{
case ClientToServerMessageTypeEnum.ModifyStopLimitOrder:
if (deserializedMessage.ClientId <= 0)
{
break;
}
var stopLimitOrderToModify = ordeRepository.TryGetStopLimitOrder(deserializedMessage.StopLimitOrder.ExchangeOrderId);
if (stopLimitOrderToModify == null)
{
return;
}
stopLimitOrderToModify.Modify(deserializedMessage.StopLimitOrder.TriggerPrice, deserializedMessage.StopLimitOrder.LimitPrice, deserializedMessage.StopLimitOrder.Quantity);
outgoingQueue.EnqueueUpdatedStopLimitOrder(stopLimitOrderToModify);
break;
case ClientToServerMessageTypeEnum.RequestOpenStopLimitOrders:
if (deserializedMessage.ClientId <= 0)
{
break;
}
var orders = ordeRepository.GetClientStopLimitOrders(deserializedMessage.ClientId);
if (orders.Count == 0)
{
return;
}
outgoingQueue.EnqueueStopLimitOrderSnapshot(deserializedMessage.ClientId, orders);
break;
case ClientToServerMessageTypeEnum.CancelStopLimitOrder:
var stopOrderToCancel = ordeRepository.TryGetStopLimitOrder(deserializedMessage.StopLimitOrder.ExchangeOrderId);
if (stopOrderToCancel != null)
{
stopOrderToCancel.Delete();
outgoingQueue.EnqueueDeletedStopLimitOrder(stopOrderToCancel);
}
break;
case ClientToServerMessageTypeEnum.PlaceStopLimitOrder:
if (!deserializedMessage.StopLimitOrder.ValidateForAdd())
{
return;
}
var newStopLimitOrder = ordeRepository.NewStopLimitOrder(deserializedMessage.StopLimitOrder);
dispatcher.HandleAddStopLimitOrder(newStopLimitOrder);
break;
case ClientToServerMessageTypeEnum.PlaceMarketOrder:
if (!deserializedMessage.MarketOrder.ValidateForExecute())
{
return;
}
var newMarketOrder = ordeRepository.NewMarketOrder(deserializedMessage.MarketOrder);
dispatcher.HandleMarketOrder(newMarketOrder);
break;
case ClientToServerMessageTypeEnum.PlaceLimitOrder:
if (!deserializedMessage.LimitOrder.ValidatesForAdd())
{
outgoingQueue.EnqueueMessage(deserializedMessage.ClientId, "Error: Limit order was rejected.");
break;
}
var newLimitOrder = ordeRepository.NewLimitOrder(deserializedMessage.LimitOrder);
newLimitOrder.RegisterDeleteNotificationHandler(outgoingQueue.EnqueueDeletedLimitOrder);
newLimitOrder.RegisterModifyNotificationHandler(outgoingQueue.EnqueueUpdatedLimitOrder);
newLimitOrder.RegisterFilledNotification(outgoingQueue.EnqueueDeletedLimitOrder);
newLimitOrder.RegisterFilledNotification((order) => order.Delete());
dispatcher.HandleAddLimitOrder(newLimitOrder);
break;
case ClientToServerMessageTypeEnum.CancelLimitOrder:
if (!deserializedMessage.LimitOrder.ValidateForDelete())
{
outgoingQueue.EnqueueMessage(deserializedMessage.ClientId, "Error: Cancellation of limit order was rejected.");
break;
}
var orderToDelete = ordeRepository.TryGetLimitOrder(deserializedMessage.LimitOrder.ExchangeOrderId);
if (orderToDelete != null)
{
orderToDelete.Delete();
outgoingQueue.EnqueueDeletedLimitOrder(orderToDelete);
}
break;
case ClientToServerMessageTypeEnum.ModifyLimitOrder:
if (!deserializedMessage.LimitOrder.ValidatesForModify())
{
outgoingQueue.EnqueueMessage(deserializedMessage.ClientId, "Error: Modification of limit order was rejected.");
break;
}
var orderToModify = ordeRepository.TryGetLimitOrder(deserializedMessage.LimitOrder.ExchangeOrderId);
if (orderToModify != null)
{
orderToModify.Modify(deserializedMessage.LimitOrder.Quantity, deserializedMessage.LimitOrder.Price);
}
break;
case ClientToServerMessageTypeEnum.RequestOpenLimitOrders:
if (deserializedMessage.ClientId <= 0)
{
break;
}
var orderList = ordeRepository.GetClientStopLimitOrders(deserializedMessage.ClientId);
outgoingQueue.EnqueueStopLimitOrderSnapshot(deserializedMessage.ClientId, orderList);
break;
case ClientToServerMessageTypeEnum.DuoLimitOrderUpdate:
var order1ToModify = ordeRepository.TryGetLimitOrder(deserializedMessage.DuoLimitOrder.LimitOrder1.ExchangeOrderId);
var order2ToModify = ordeRepository.TryGetLimitOrder(deserializedMessage.DuoLimitOrder.LimitOrder2.ExchangeOrderId);
if (order1ToModify == null || order2ToModify == null)
{
return;
}
if (order1ToModify.Symbol != order2ToModify.Symbol)
{
return;
}
dispatcher.HandDuoLimitOrderUpdate(
order1ToModify,
deserializedMessage.DuoLimitOrder.LimitOrder1.Price,
deserializedMessage.DuoLimitOrder.LimitOrder1.Quantity,
order2ToModify,
deserializedMessage.DuoLimitOrder.LimitOrder2.Price,
deserializedMessage.DuoLimitOrder.LimitOrder2.Quantity);
break;
}
deserializedMessage.Reset();
}
