//static DateTime dtt = DateTime.Now.AddSeconds(30);
private static void MessageLoop(object o)
{
Console.WriteLine(dtt);
Stream str = (Stream)o;
sendMessage($"Window will open at {dtt}");
int packetCount = 0;
int packetInterval = 0;
int l1 = 0;
int resp = 0;
int trade = 0;
DateTime dt = DateTime.Now;
DateTime ldt = DateTime.Now;
QuoteHolder qh;
for (;;)
{
//Packet p = new Packet(str);
Packet p = Packet.GetPacket(str);
if (!T92750 && DateTime.Now > dtt)
{
Console.WriteLine($"window open {DateTime.Now}");
T92750 = true;
foreach (string sym in dict.Keys)
{
QuoteHolder qhx = dict[sym];
double Ask = -1;
if (qhx.L1 == null)
{
if (qhx.Resp.Count > 0)
{
if (qhx.Resp[0].rawPayload[14] == 15)
{
Ask = qhx.Resp[0].Ask;
}
}
}
else
{
Ask = qhx.L1.Ask;
}
if (qhx.Volume < 100 && Ask > qhx.PrevClose)
{
double TargetPrice = qhx.PrevClose - (qhx.ATR * .25);
string m = $"B {sym} Ask={Ask} PrevClose={qhx.PrevClose} vol={qhx.Volume} atr={qhx.ATR} buyprice={TargetPrice.ToString("0.00")}";
sendMessage(m);
}
}
}
try
{
packetCount++;
packetInterval++;
if ((DateTime.Now - ldt).TotalSeconds > 10)
{
Console.WriteLine("total = " + packetCount / 1000000 + " interval = " + packetInterval + " l1=" + l1 + " resp=" + resp + " trade=" + trade + " symbols = " + dict.Keys.Count);
l1 = 0; trade = 0; packetInterval = 0;
ldt = DateTime.Now;
//Packet.audit.Flush();
}
switch (p.packetType)
{
case Packet.PacketType.M_RESP_REFRESH_SYMBOL:
//Console.WriteLine("resp");
resp++;
RespRefreshSymbolPacket rp = (RespRefreshSymbolPacket)p;
lock (outstanding)
{
if (outstanding.ContainsKey(rp.Symbol))
{
outstanding.Remove(rp.Symbol);
}
}
if (dict.ContainsKey(rp.Symbol))
{
qh = dict[rp.Symbol];
qh.Resp.Add(rp);
qh.Volume = qh.Resp[0].Volume;
}
break;
case Packet.PacketType.M_TRADE_REPORT:
trade++;
TradeReportPacket tp = (TradeReportPacket)p;
string ts = tp.Symbol;
qh = dict[ts];
qh.Volume += tp.Size;
//Console.WriteLine(p);
if (watching == ts)
{
Console.WriteLine("TR + " + qh.L1 == null ? "xx" : qh.L1 + " " + qh.Volume + " " + tp.Size);
}
break;
case Packet.PacketType.M_BOOK_TRADE:
//trade++;
//Console.WriteLine(p);
break;
case Packet.PacketType.M_LEVEL1:
l1++;
L1Packet q = (L1Packet)p;
string qs = q.Symbol;
try
{
qh = dict[qs];
//double pct = .2;
//double targetPrice = qh.PrevClose + (qh.ATR * pct);
////if (watching == qs)
//if (!qh.hasPosition)
//{
// if (q.Bid > targetPrice)
// {
// string s = $"{qs} prevClose={qh.PrevClose} targetPrice={targetPrice} atr={qh.ATR} bid={q.Bid} pct={pct.ToString("0.00")}";
// Console.WriteLine(s);
// qh.hasPosition = true;
// Socket socket = new Socket(AddressFamily.InterNetwork, SocketType.Dgram, ProtocolType.Udp);
// IPAddress send_to_address = IPAddress.Parse("127.0.0.1");
// IPEndPoint sending_end_point = new IPEndPoint(send_to_address, 5555);
// socket.SendTo(ASCIIEncoding.ASCII.GetBytes(s), sending_end_point);
// }
// //Console.WriteLine($"{q} {qh.Volume} {qh.PrevClose} {qh.ATR}");
//}
qh.L1 = (L1Packet)p;
}
catch (Exception)
{
Console.WriteLine("unsolicited pack");
}
break;
case Packet.PacketType.M_BOOK_NEW_QUOTE:
case Packet.PacketType.M_BOOK_MODIFY_QUOTE:
case Packet.PacketType.M_BOOK_DELETE_QUOTE:
case Packet.PacketType.M_STOCK_IMBALANCE_INDICATOR:
case Packet.PacketType.M_BOOK_ORDER_CANCELED:
break;
default:
//Console.WriteLine(p);
break;
}
}
catch (Exception e)
{
Console.WriteLine(e.Message);
}
}
}
//static DateTime dtt = DateTime.Now.AddMinutes(2.5);
//static DateTime dtt = DateTime.Now.AddSeconds(30);
private static void MessageLoop(object o)
{
Console.WriteLine(dtt);
Stream str = (Stream)o;
sendMessage($"Window will open at {dtt}");
int packetCount = 0;
int packetInterval = 0;
int l1 = 0;
int resp = 0;
int trade = 0;
DateTime dt = DateTime.Now;
DateTime ldt = DateTime.Now;
QuoteHolder qh;
QuoteHolder.Logger = new StreamWriter($@"e:\QHL{DateTime.Now.ToString("MMddyyyy-HHmmss")}.txt");
for (int i = 0; ; i++)
{
if (i % 10000 == 0)
{
QuoteHolder.Logger.Flush();
}
//Packet p = new Packet(str);
Packet p = Packet.GetPacket(str);
if (!T92750 && DateTime.Now > dtt)
{
Console.WriteLine($"window open {DateTime.Now}");
T92750 = true;
foreach (string sym in dict.Keys)
{
QuoteHolder qhx = dict[sym];
if (qhx.Resp.Count > 0 && qhx.Resp[0].Snapshot != null)
{
RespRefreshSymbolPacket.SnapShot snap = qhx.Resp[0].Snapshot;
Double Ask = 0;
Double Bid = 0;
if (qhx.L1 == null)
{
Ask = snap.Ask;
Bid = snap.Bid;
}
else
{
Ask = qhx.L1.Ask;
Bid = qhx.L1.Bid;
}
if (qhx.Volume < 100 && Ask > qhx.PrevClose && qhx.L1 != null) //TESTCLIENT
//if (qhx.Volume < 100000 && Ask > qhx.PrevClose && qhx.L1 != null) //TESTING
{
double TargetPrice = qhx.PrevClose - (qhx.ATR * .25);
string m = $"B {sym} Ask={Ask} PrevClose={qhx.PrevClose} vol={qhx.Volume} atr={qhx.ATR} buyprice={TargetPrice.ToString("0.00")}";
qhx.PostExec(sym, 100, TargetPrice);
Console.WriteLine(m);
sendMessage(m);
}
}
}
}
try
{
packetCount++;
packetInterval++;
if ((DateTime.Now - ldt).TotalSeconds > 10)
{
Console.WriteLine("total = " + packetCount / 1000000 + " interval = " + packetInterval + " l1=" + l1 + " resp=" + resp + " trade=" + trade + " symbols = " + dict.Keys.Count);
l1 = 0; trade = 0; packetInterval = 0;
ldt = DateTime.Now;
Packet.audit.Flush();
}
switch (p.packetType)
{
case Packet.PacketType.M_RESP_REFRESH_SYMBOL:
//Console.WriteLine("resp");
resp++;
RespRefreshSymbolPacket rp = (RespRefreshSymbolPacket)p;
lock (outstanding)
{
if (outstanding.ContainsKey(rp.Symbol))
{
outstanding.Remove(rp.Symbol);
}
}
if (dict.ContainsKey(rp.Symbol))
{
qh = dict[rp.Symbol];
qh.Resp.Add(rp);
qh.Volume = qh.Resp[0].Volume;
const byte SRS_LEVEL1 = 1 << 2;
if ((rp.Steps & SRS_LEVEL1) != 0)
{
Console.WriteLine(rp.Snapshot);
}
}
//for(int i = 42;i < p.length; i += 32)
//{
// string t = ASCIIEncoding.ASCII.GetString(p.rawPayload, i, 4);
// Console.WriteLine(t);
//}
//string symbol = ASCIIEncoding.ASCII.GetString(p.rawPayload, 6, 10).TrimEnd((Char)0);
//if (last != null)
//{
// for (int i = 16; i < 42; i++)
// {
// if (last[i] != p.rawPayload[i])
// {
// Console.WriteLine("i=" + i + " l=" + last[i] + " cu=" + p.rawPayload[i]);
// }
// }
// for (int i = 16; i < 42; i++)
// {
// Console.WriteLine(i + " " + BitConverter.ToInt16(p.rawPayload,i));
// }
// for (int i = 16; i < 42; i++)
// {
// Console.WriteLine(i + " " + BitConverter.ToInt32(p.rawPayload, i));
// }
//}
//last = p.rawPayload;
break;
case Packet.PacketType.M_TRADE_REPORT:
trade++;
TradeReportPacket tp = (TradeReportPacket)p;
string ts = tp.Symbol;
qh = dict[ts];
qh.ProcessTrade(tp);
//Console.WriteLine(p);
if (watching == ts)
{
Console.WriteLine("TR + " + qh.L1 == null ? "xx" : qh.L1 + " " + qh.Volume + " " + tp.Size);
}
break;
case Packet.PacketType.M_BOOK_TRADE:
//trade++;
//Console.WriteLine(p);
break;
case Packet.PacketType.M_LEVEL1:
l1++;
L1Packet q = (L1Packet)p;
string qs = q.Symbol;
try
{
qh = dict[qs];
//double pct = .2;
//double targetPrice = qh.PrevClose + (qh.ATR * pct);
////if (watching == qs)
//if (!qh.hasPosition)
//{
// if (q.Bid > targetPrice)
// {
// string s = $"{qs} prevClose={qh.PrevClose} targetPrice={targetPrice} atr={qh.ATR} bid={q.Bid} pct={pct.ToString("0.00")}";
// Console.WriteLine(s);
// qh.hasPosition = true;
// Socket socket = new Socket(AddressFamily.InterNetwork, SocketType.Dgram, ProtocolType.Udp);
// IPAddress send_to_address = IPAddress.Parse("127.0.0.1");
// IPEndPoint sending_end_point = new IPEndPoint(send_to_address, 5555);
// socket.SendTo(ASCIIEncoding.ASCII.GetBytes(s), sending_end_point);
// }
// //Console.WriteLine($"{q} {qh.Volume} {qh.PrevClose} {qh.ATR}");
//}
qh.L1 = (L1Packet)p;
}
catch (Exception)
{
Console.WriteLine("unsolicitied pack");
}
break;
case Packet.PacketType.M_BOOK_NEW_QUOTE:
case Packet.PacketType.M_BOOK_MODIFY_QUOTE:
case Packet.PacketType.M_BOOK_DELETE_QUOTE:
case Packet.PacketType.M_STOCK_IMBALANCE_INDICATOR:
case Packet.PacketType.M_BOOK_ORDER_CANCELED:
break;
default:
//Console.WriteLine(p);
break;
}
}
catch (Exception e)
{
Console.WriteLine(e.Message);
}
}
}
//static string getTime(byte[] b, int off)
//{
// int t = BitConverter.ToInt32(b, off);
// int tmp;
// tmp = t;
// int h = tmp / 3600000;
// tmp -= (h * 3600000);
// int m = tmp / 60000;
// tmp -= (m * 60000);
// int s = tmp / 1000;
// int f = tmp % 1000;
// string rv = h.ToString("00:") + m.ToString("00:") + s.ToString("00") + "." + f.ToString("000");
// return rv;
//}
//static double getPrice(byte[] b, int off)
//{
// double rv;
// int d = BitConverter.ToInt32(b, off);
// double c = (double)BitConverter.ToInt32(b, off + 4);
// rv = d + (c / 1000000000);
// return rv;
//}
static void Main(string[] args)
{
//byte[] znext = File.ReadAllBytes(@"c:\src\znext.raw");
//for(int i = 26;i < znext.Length - 4;i+=24)
//{
// string t = getTime(znext,i + 8);
// double price = getPrice(znext, i);
// int j = BitConverter.ToInt32(znext, i + 12);
// string s1 = i.ToString("X4") + " " + j;
// j = BitConverter.ToInt32(znext, i + 16);
// //string s2 = i.ToString("X4") + " " + j;
// string s2a = ASCIIEncoding.ASCII.GetString(znext, i + 16, 4);
// j = BitConverter.ToInt32(znext, i + 20);
// string s3 = i.ToString("X4") + " " + j;
//}
//byte[] connect = File.ReadAllBytes(@"e:\rawconnect.dat");
//byte[] pgrefresh = File.ReadAllBytes(@"e:\rawpgrefresh.dat");
//pgrefresh[4] = 83;
//pgrefresh[5] = 80;
//pgrefresh[6] = 89;
//pgrefresh[7] = 0;
//byte[] zerorefresh = File.ReadAllBytes(@"e:\raw0refresh.dat");
TcpClient cl = new TcpClient();
cl.Connect(config.quoteServerEP);
//cl.Connect(new IPEndPoint(IPAddress.Parse("127.0.0.1"), 5555));
StreamWriter sw = new StreamWriter(cl.GetStream());
sw.AutoFlush = true;
Stream str = cl.GetStream();
byte[] key = { 0x08, 0x00, 0x0eb, 0x03, 0x00, 0x00, 0x00, 0x00 };
str.Write(key, 0, 8);
str.Flush();
//str.Write(connect, 0, connect.Length);
str.Write(config.logonRequest, 0, config.logonRequest.Length);
str.Flush();
byte[] r = new byte[100000];
bool z = false;
bool done = false;
//new Thread(t =>
//{
for (;;)
{
//Packet p = new Packet(str);
Packet p = Packet.GetPacket(str);
if (p.packetType == Packet.PacketType.M_LEVEL1)
{
L1Packet l1 = (L1Packet)(p);
//l1.ToString();
Console.WriteLine(l1);
}
//byte[] lbuff = new byte[2];
//if (!partialPacket)
//{
// str.Read(lbuff, 0, 2);
// length = BitConverter.ToUInt16(lbuff, 0) - 2;
// offset = 0;
//}
//Console.Write("packet length " + length);
//int count = str.Read(r, offset, length);
//packetType = BitConverter.ToUInt16(r, 0);
//Console.WriteLine(" read " + count + " bytes packettype " + packetType);
//if(count != length)
//{
// partialPacket = true;
// length -= count;
// offset = count;
//}
//else
//{
// partialPacket = false;
//}
if (!z)
{
str.Write(config.zeroRequest, 0, config.zeroRequest.Length);
z = true;
str.Flush();
}
else
{
if (!done)
{
config.updateSymbol("SPY");
str.Write(config.symbolRequest, 0, config.symbolRequest.Length);
done = true;
str.Flush();
}
}
}
//}).Start();
}
static DateTime dtt = DateTime.Now.AddSeconds(20); //TESTING USE ABOVE LINE
private static void MessageLoop(object o)
{
Console.WriteLine(dtt);
Stream str = (Stream)o;
//sendMessage($"Window will open at {dtt}");
Console.WriteLine($"Window will open at {dtt}");
int packetCount = 0;
int packetInterval = 0;
int l1 = 0;
int resp = 0;
int trade = 0;
DateTime dt = DateTime.Now;
DateTime ldt = DateTime.Now;
QuoteHolder qh;
QuoteHolder.Logger = new StreamWriter($@"e:\Q{DateTime.Now.ToString("HHmmss")}.txt");
new Thread(t => {
Thread.Sleep(1000);
QuoteHolder.Logger.Flush();
}).Start();
for (int i = 0;; i++)
{
if (i % 10000 == 0)
{
QuoteHolder.Logger.Flush();
}
//Packet p = new Packet(str);
Packet p = Packet.GetPacket(str);
if (!T92750 && DateTime.Now > dtt)
{
ExecuteOPG();
}
try
{
packetCount++;
packetInterval++;
if ((DateTime.Now - ldt).TotalSeconds > 10)
{
Console.WriteLine("total = " + packetCount / 1000000 + " interval = " + packetInterval + " l1=" + l1 + " resp=" + resp + " trade=" + trade + " symbols = " + dict.Keys.Count);
l1 = 0; trade = 0; packetInterval = 0;
ldt = DateTime.Now;
Packet.audit.Flush();
}
switch (p.packetType)
{
case Packet.PacketType.M_RESP_REFRESH_SYMBOL:
//Console.WriteLine("resp");
resp++;
RespRefreshSymbolPacket rp = (RespRefreshSymbolPacket)p;
lock (outstanding)
{
if (outstanding.ContainsKey(rp.Symbol))
{
outstanding.Remove(rp.Symbol);
}
}
if (dict.ContainsKey(rp.Symbol))
{
qh = dict[rp.Symbol];
qh.Resp.Add(rp);
//qh.Volume = qh.Resp[0].Volume;
const byte SRS_LEVEL1 = 1 << 2;
if ((rp.Steps & SRS_LEVEL1) != 0)
{
qh.Volume = rp.Snapshot.Volume;
//Console.WriteLine(rp.Snapshot.ToString());
}
}
break;
case Packet.PacketType.M_TRADE_REPORT:
trade++;
TradeReportPacket tp = (TradeReportPacket)p;
string ts = tp.Symbol;
qh = dict[ts];
int QtyToSell = qh.ProcessTrade(tp);
Console.WriteLine($"{tp.Symbol} process Trade returned {QtyToSell}");
if (QtyToSell > 0 && !qh.Closing && !ExistingPosition.ContainsKey(ts))
{
QuoteHolder qhx = dict[tp.Symbol];
RespRefreshSymbolPacket.SnapShot snap = qhx.Resp[0].Snapshot; //DANGEROUS
//double TargetPrice = qhx.Resp[0].Snapshot.Close - (qhx.ATR * .25);
double Ask = qhx.L1 != null ? qhx.L1.Ask : snap.Ask;
double Bid = qhx.L1 != null ? qhx.L1.Bid : snap.Bid;
double TargetPrice = Bid - .03; //TESTING DELETE THIS LINE
string m = $"S|{tp.Symbol}|{snap.Close}|{qhx.Volume}|{qhx.ATR.ToString("0.00")}|{TargetPrice.ToString("0.00")}|{Bid.ToString("0.00")}|{Ask.ToString("0.00")}|DAY"; //TESTING = shour be OPG
//qhx.PostExec(sym, 100, TargetPrice);
Console.WriteLine(m);
qh.Closing = true;
sendMessage(m);
}
if (watching == ts)
{
Console.WriteLine("TR + " + qh.L1 == null ? "xx" : qh.L1 + " " + qh.Volume + " " + tp.Size);
}
break;
case Packet.PacketType.M_BOOK_TRADE:
//trade++;
//Console.WriteLine(p);
break;
case Packet.PacketType.M_LEVEL1:
l1++;
L1Packet q = (L1Packet)p;
string qs = q.Symbol;
try
{
qh = dict[qs];
qh.L1 = (L1Packet)p;
}
catch (Exception)
{
Console.WriteLine("unsolicitied pack");
}
break;
case Packet.PacketType.M_BOOK_NEW_QUOTE:
case Packet.PacketType.M_BOOK_MODIFY_QUOTE:
case Packet.PacketType.M_BOOK_DELETE_QUOTE:
case Packet.PacketType.M_STOCK_IMBALANCE_INDICATOR:
case Packet.PacketType.M_BOOK_ORDER_CANCELED:
break;
default:
//Console.WriteLine(p);
break;
}
} catch (Exception e)
{
Console.WriteLine(e.Message);
}
}
}
