private void runSellStrategy(IWebSocketClientConnection webSocketConnection, string symbol) { OrderBook.IOrder bestBid = _tradeclient.GetOrderBook(symbol).BestBid; OrderBook.IOrder bestOffer = _tradeclient.GetOrderBook(symbol).BestOffer; if (_priceType == PriceType.MARKET_AS_MAKER) { ulong sellPrice = 0; if (bestBid != null) { sellPrice = bestBid.Price + (ulong)(0.01 * 1e8); } else if (bestOffer != null) { sellPrice = bestOffer.Price; } if (sellPrice > 0 || _sell_floor_price > 0) { if (sellPrice >= _sell_floor_price) { replaceOrder(webSocketConnection, symbol, OrderSide.SELL, sellPrice); return; } _sellTargetPrice = _sell_floor_price; // find the best position as maker for the sell floor price } else { // empty book scenario without a user defined sell floor price _tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategySellOrderClorid); return; } } // available funds with a target price should execute ASAP even as liquidity takers whenever possible if (_sellTargetPrice > 0 && bestBid != null && bestBid.Price >= _sellTargetPrice && bestBid.UserId != _tradeclient.UserId) { ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL, bestBid.Price, ulong.MaxValue); if (availableQty > _minOrderSize) { ulong sell_qty = Math.Min(availableQty, bestBid.Qty); // execute the order as taker and emulate IOC instruction sendOrder(webSocketConnection, symbol, OrderSide.SELL, sell_qty, bestBid.Price, OrdType.LIMIT, 0, ExecInst.DEFAULT, TimeInForce.IMMEDIATE_OR_CANCEL); return; } else { // cancel current order to free balance to be used as taker MiniOMS.IOrder own_sell_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategySellOrderClorid); if (own_sell_order != null && (own_sell_order.OrdStatus == OrdStatus.NEW || own_sell_order.OrdStatus == OrdStatus.PARTIALLY_FILLED)) { if (own_sell_order.LeavesQty > _minOrderSize) { ulong sell_qty = Math.Min(own_sell_order.LeavesQty, bestBid.Qty); _tradeclient.CancelOrderByClOrdID(webSocketConnection, own_sell_order.ClOrdID); sendOrder(webSocketConnection, symbol, OrderSide.SELL, sell_qty, bestBid.Price, OrdType.LIMIT, 0, ExecInst.DEFAULT, TimeInForce.IMMEDIATE_OR_CANCEL); return; } } } } // post the order in the order book if (bestOffer != null) { if (bestOffer.UserId != _tradeclient.UserId) { // sell @ 1 cent bellow the best price (TODO: parameter for price increment) ulong sellPrice = bestOffer.Price - (ulong)(0.01 * 1e8); if (sellPrice >= _sellTargetPrice) { // TODO: Become a Taker when the spread is "small" (i.e for stop trailing converted to pegged or for any pegged) if (sellPrice > bestBid.Price) { replaceOrder(webSocketConnection, symbol, OrderSide.SELL, sellPrice); } else { // avoid being a taker or receiving a reject when using ExecInst=6 but stay in the book with max price ulong max_sell_price = bestBid.Price + (ulong)(0.01 * 1e8); var own_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategySellOrderClorid); ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL); if (own_order == null || own_order.Price != max_sell_price || availableQty > own_order.OrderQty) { replaceOrder(webSocketConnection, symbol, OrderSide.SELL, max_sell_price); } } } else { // cannot fight for the first position thus try to find a visible position in the book OrderBook orderBook = _tradeclient.GetOrderBook(symbol); List <OrderBook.Order> sellside = orderBook.GetOfferOrders(); int i = sellside.BinarySearch( new OrderBook.Order(OrderBook.OrdSide.SELL, _sellTargetPrice + (ulong)(0.01 * 1e8)), new OrderBook.OrderPriceComparer() ); int position = (i < 0 ? ~i : i); Debug.Assert(position > 0); // verificar se a profundidade vale a pena: (TODO: parameters for max_pos_depth and max_amount_depth) if (position > 15 + 1 && orderBook.DoesAmountExceedsLimit( OrderBook.OrdSide.SELL, position - 1, (ulong)(20 * 1e8))) { _tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategySellOrderClorid); return; } var pivotOrder = sellside[position]; if (pivotOrder.UserId == _tradeclient.UserId) { // make sure the order is the same or from another client instance MiniOMS.IOrder own_sell_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategySellOrderClorid); if (sellside[position].OrderId == own_sell_order.OrderID) { // ordem ja e minha : pega + recursos disponiveis e cola no preco do vizinho se já nao estiver ulong price_delta = sellside.Count > position + 1 ? sellside[position + 1].Price - pivotOrder.Price : 0; ulong newSellPrice = (price_delta > (ulong)(0.01 * 1e8) ? pivotOrder.Price + price_delta - (ulong)(0.01 * 1e8) : pivotOrder.Price); ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL); if (newSellPrice > pivotOrder.Price || availableQty > pivotOrder.Qty) { replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice, availableQty); } } } else { // estabelece preco de venda 1 centavo menor do que nesta posicao ulong newSellPrice = pivotOrder.Price - (ulong)(0.01 * 1e8); replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice); } } } else { // check and replace the order on the top to get closer to the order in the second position and gather more available funds MiniOMS.IOrder own_sell_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategySellOrderClorid); List <OrderBook.Order> sellside = _tradeclient.GetOrderBook(symbol).GetOfferOrders(); if (sellside[0].OrderId == own_sell_order.OrderID) { ulong price_delta = sellside.Count > 1 ? sellside[1].Price - sellside[0].Price : 0; ulong newSellPrice = (price_delta > (ulong)(0.01 * 1e8) ? bestOffer.Price + price_delta - (ulong)(0.01 * 1e8) : bestOffer.Price); ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL); if (newSellPrice > bestOffer.Price || availableQty > bestOffer.Qty) { replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice, availableQty); } } } } else { // empty book scenario ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL); Debug.Assert(_sellTargetPrice > 0); ulong sell_price = Math.Max(_sellTargetPrice, bestBid != null ? bestBid.Price + (ulong)(0.01 * 1e8) : 0); sendOrder(webSocketConnection, symbol, OrderSide.SELL, availableQty, sell_price); } }
public void OnExecutionReport(IWebSocketClientConnection webSocketConnection, MiniOMS.IOrder order) { if (_priceType == PriceType.PEGGED && _strategySide == OrderSide.SELL) { if (order.OrdStatus == OrdStatus.FILLED || order.OrdStatus == OrdStatus.PARTIALLY_FILLED) { ulong theSoldAmount = _tradeclient.GetSoldAmount(); if (theSoldAmount >= _maxAmountToSell) { LogStatus(LogStatusType.WARN, String.Format("[OnExecutionReport] Cannot exceed the allowed max amount to sell : {0} {1}", theSoldAmount, _maxAmountToSell)); _tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategySellOrderClorid); } } } }
private void runBuyStrategy(IWebSocketClientConnection webSocketConnection, string symbol) { OrderBook.IOrder bestBid = _tradeclient.GetOrderBook(symbol).BestBid; OrderBook.IOrder bestOffer = _tradeclient.GetOrderBook(symbol).BestOffer; if (_priceType == PriceType.MARKET_AS_MAKER) { ulong buyPrice = 0; if (bestOffer != null) { buyPrice = bestOffer.Price - (ulong)(0.01 * 1e8); } else if (bestBid != null) { buyPrice = bestBid.Price; } Debug.Assert(_buy_cap_price > 0); if (_buy_cap_price == 0) { _buy_cap_price = ulong.MaxValue; } if (buyPrice > 0 && buyPrice <= _buy_cap_price) { replaceOrder(webSocketConnection, symbol, OrderSide.BUY, buyPrice); return; } if (_buy_cap_price == ulong.MaxValue) { _tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategyBuyOrderClorid); return; } _buyTargetPrice = _buy_cap_price; // find the best position as maker at the buy cap price } if (_priceType == PriceType.EXPLORE_BOOK_DEPTH) { // set the price based on the depth (this is a lot inefficent but I don't care) OrderBook orderBook = _tradeclient.GetOrderBook(symbol); ulong max_price = orderBook.MaxPriceForAmountWithoutSelfOrders(OrderBook.OrdSide.BUY, _minBookDepth, _tradeclient.UserId); ulong min_price = orderBook.MaxPriceForAmountWithoutSelfOrders(OrderBook.OrdSide.BUY, _maxBookDepth, _tradeclient.UserId); max_price = max_price < ulong.MaxValue ? max_price : min_price; var myOrder = _tradeclient.miniOMS.GetOrderByClOrdID(this._strategyBuyOrderClorid); if (max_price < ulong.MaxValue) { min_price = min_price < ulong.MaxValue ? min_price : max_price; if (myOrder == null || myOrder.Price > max_price || myOrder.Price < min_price) { //LogStatus (LogStatusType.WARN, String.Format ("[DT] must change order price not in expected position {0} {1} {2}", myOrder != null ? myOrder.Price : 0, max_price, min_price)); if (min_price < max_price) { _buyTargetPrice = min_price + (ulong)(0.01 * 1e8); // 1 pip better than min_price } else { _buyTargetPrice = min_price - (ulong)(0.01 * 1e8); // 1 pip worse than min_price } } else { return; // don't change the order because it is still in an acceptable position } } else { // no reference found in the book SecurityStatus usd_official_quote = _tradeclient.GetSecurityStatus("UOL", "USDBRL"); // use USDBRT for the turism quote SecurityStatus btcusd_quote = _tradeclient.GetSecurityStatus("BITSTAMP", "BTCUSD"); if (usd_official_quote != null && usd_official_quote.BestBid > 0 && btcusd_quote != null && btcusd_quote.BestBid > 0) { ulong market_price = _tradeclient.CalculateVWAP(); ulong lastPrice = _tradeclient.GetLastPrice(); ulong off_sale_price = (ulong)(usd_official_quote.BestBid / 1e8 * btcusd_quote.BestBid / 1e8 * 0.5 * 1e8); _buyTargetPrice = Math.Min(Math.Min(market_price, lastPrice), off_sale_price); } else { return; } } } if (bestBid != null) { if (bestBid.UserId != _tradeclient.UserId) { // buy @ 1 cent above the best price (TODO: parameter for price increment) ulong buyPrice = bestBid.Price + (ulong)(0.01 * 1e8); if (buyPrice <= this._buyTargetPrice) { if (buyPrice < bestOffer.Price) { replaceOrder(webSocketConnection, symbol, OrderSide.BUY, buyPrice); } else { // avoid being a taker or receiving a reject when using ExecInst=6 but stay in the book with max price ulong max_buy_price = bestOffer.Price - (ulong)(0.01 * 1e8); var own_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategyBuyOrderClorid); ulong availableQty = calculateOrderQty(symbol, OrderSide.BUY, max_buy_price); if (own_order == null || own_order.Price != max_buy_price || availableQty > own_order.OrderQty) { replaceOrder(webSocketConnection, symbol, OrderSide.BUY, max_buy_price); } } } else { // cannot fight for the first position thus try to find a visible position in the book OrderBook orderBook = _tradeclient.GetOrderBook(symbol); List <OrderBook.Order> buyside = orderBook.GetBidOrders(); int i = buyside.BinarySearch( new OrderBook.Order(OrderBook.OrdSide.BUY, _buyTargetPrice - (ulong)(0.01 * 1e8)), new OrderBook.ReverseOrderPriceComparer() ); int position = (i < 0 ? ~i : i); Debug.Assert(position > 0); if (this._priceType != PriceType.EXPLORE_BOOK_DEPTH) { // verificar se a profundidade vale a pena: (TODO: parameters for max_pos_depth and max_amount_depth) if (position > 15 + 1 && orderBook.DoesAmountExceedsLimit( OrderBook.OrdSide.BUY, position - 1, (ulong)(20 * 1e8))) { _tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategyBuyOrderClorid); return; } } var pivotOrder = buyside[position]; if (pivotOrder.UserId == _tradeclient.UserId) { // make sure the order is the same or from another client instance MiniOMS.IOrder own_buy_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategyBuyOrderClorid); if (buyside[position].OrderId == own_buy_order.OrderID) { // ordem ja e minha : pega + recursos disponiveis e cola no preco no vizinho se já nao estiver ulong price_delta = buyside.Count > position + 1 ? pivotOrder.Price - buyside[position + 1].Price : 0; ulong newBuyPrice = (price_delta > (ulong)(0.01 * 1e8) ? pivotOrder.Price - price_delta + (ulong)(0.01 * 1e8) : pivotOrder.Price); ulong availableQty = calculateOrderQty(symbol, OrderSide.BUY, newBuyPrice); if (newBuyPrice < pivotOrder.Price || availableQty > pivotOrder.Qty) { replaceOrder(webSocketConnection, symbol, OrderSide.BUY, newBuyPrice, availableQty); } } } else { // estabelece preco de venda 1 centavo maior do que nesta posicao ulong newbuyPrice = pivotOrder.Price + (ulong)(0.01 * 1e8); replaceOrder(webSocketConnection, symbol, OrderSide.BUY, newbuyPrice); } } } else { // make sure the order is the same or from another client instance // check and replace order to get closer to the order in the second position and gather more avaible funds List <OrderBook.Order> buyside = _tradeclient.GetOrderBook(symbol).GetBidOrders(); MiniOMS.IOrder own_buy_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategyBuyOrderClorid); if (buyside[0].OrderId == own_buy_order.OrderID) { ulong price_delta = buyside.Count > 1 ? buyside[0].Price - buyside[1].Price : 0; ulong newBuyPrice = (price_delta > (ulong)(0.01 * 1e8) ? bestBid.Price - price_delta + (ulong)(0.01 * 1e8) : bestBid.Price); ulong availableQty = calculateOrderQty(symbol, OrderSide.BUY, newBuyPrice); if (newBuyPrice < bestBid.Price || availableQty > bestBid.Qty) { replaceOrder(webSocketConnection, symbol, OrderSide.BUY, newBuyPrice, availableQty); } } } } else { // empty book scenario ulong availableQty = calculateOrderQty(symbol, OrderSide.BUY, _buyTargetPrice); Debug.Assert(_buyTargetPrice > 0); ulong buy_price = Math.Min(_buyTargetPrice, bestOffer != null ? bestOffer.Price - (ulong)(0.01 * 1e8) : ulong.MaxValue); sendOrder(webSocketConnection, symbol, OrderSide.BUY, availableQty, buy_price); } }
private void OnBrokerNotification(object sender, SystemEventArgs evt) { IWebSocketClientConnection webSocketConnection = (IWebSocketClientConnection)sender; try { switch (evt.evtType) { case SystemEventType.LOGIN_OK: LogStatus(LogStatusType.INFO, "Processing after succesful LOGON"); this._myUserID = evt.json["UserID"].Value <ulong>(); // disable test request to avoid disconnection during the "slow" market data processing webSocketConnection.EnableTestRequest = false; StartInitialRequestsAfterLogon(webSocketConnection); break; case SystemEventType.MARKET_DATA_REQUEST_REJECT: LogStatus(LogStatusType.ERROR, "Unexpected Marketdata Request Reject"); webSocketConnection.Shutdown(); break; case SystemEventType.MARKET_DATA_FULL_REFRESH: { string symbol = evt.json["Symbol"].Value <string>(); // dump the order book LogStatus(LogStatusType.WARN, _allOrderBooks[symbol].ToString()); // bring back the testrequest keep-alive mechanism after processing the book webSocketConnection.EnableTestRequest = true; // run the trading strategy to buy and sell orders based on the top of the book _tradingStrategy.runStrategy(webSocketConnection, symbol); // TODO: remove the temp dump bellow this._vwapForTradingSym.PrintTradesAndTheVWAP(); // example how to notify the application to start //this._tradingStrategy.OnStart(webSocketConnection); } break; // --- Order Book Management Events --- case SystemEventType.ORDER_BOOK_CLEAR: { string symbol = evt.json["Symbol"].Value <string>(); OrderBook orderBook = null; if (_allOrderBooks.TryGetValue(symbol, out orderBook)) { orderBook.Clear(); } else { orderBook = new OrderBook(symbol); _allOrderBooks.Add(symbol, orderBook); } } break; case SystemEventType.ORDER_BOOK_NEW_ORDER: { string symbol = evt.json["Symbol"].Value <string>(); OrderBook orderBook = null; if (_allOrderBooks.TryGetValue(symbol, out orderBook)) { orderBook.AddOrder(evt.json); } else { LogStatus(LogStatusType.ERROR, "Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString()); } } break; case SystemEventType.ORDER_BOOK_DELETE_ORDERS_THRU: { string symbol = evt.json["Symbol"].Value <string>(); OrderBook orderBook = null; if (_allOrderBooks.TryGetValue(symbol, out orderBook)) { orderBook.DeleteOrdersThru(evt.json); } else { LogStatus(LogStatusType.ERROR, "Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString() ); } } break; case SystemEventType.ORDER_BOOK_DELETE_ORDER: { string symbol = evt.json["Symbol"].Value <string>(); OrderBook orderBook = null; if (_allOrderBooks.TryGetValue(symbol, out orderBook)) { orderBook.DeleteOrder(evt.json); } else { LogStatus(LogStatusType.ERROR, "Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString() ); } } break; case SystemEventType.ORDER_BOOK_UPDATE_ORDER: { string symbol = evt.json["Symbol"].Value <string>(); OrderBook orderBook = null; if (_allOrderBooks.TryGetValue(symbol, out orderBook)) { orderBook.UpdateOrder(evt.json); } else { LogStatus(LogStatusType.ERROR, "Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString() ); } } break; // ------------------------------------ case SystemEventType.TRADE_CLEAR: LogStatus(LogStatusType.WARN, "Receieved Market Data Event " + evt.evtType.ToString()); break; case SystemEventType.SECURITY_STATUS: { LogStatus(LogStatusType.WARN, "Receieved Market Data Event " + evt.evtType.ToString() + " " + (evt.json != null ? evt.json.ToString() : ".") ); SecurityStatus securityStatus = new SecurityStatus(); securityStatus.Market = evt.json["Market"].Value <string>(); securityStatus.Symbol = evt.json["Symbol"].Value <string>(); securityStatus.LastPx = evt.json["LastPx"].Value <ulong>(); securityStatus.HighPx = evt.json["HighPx"].Value <ulong>(); if (evt.json["BestBid"].Type != JTokenType.Null) { securityStatus.BestBid = evt.json["BestBid"].Value <ulong>(); } else { securityStatus.BestBid = 0; } if (evt.json["BestAsk"].Type != JTokenType.Null) { securityStatus.BestAsk = evt.json["BestAsk"].Value <ulong>(); } else { securityStatus.BestAsk = 0; } if (evt.json["LowPx"].Type != JTokenType.Null) { securityStatus.LowPx = evt.json["LowPx"].Value <ulong>(); } else { securityStatus.LowPx = 0; } securityStatus.SellVolume = evt.json["SellVolume"].Value <ulong>(); securityStatus.BuyVolume = evt.json["BuyVolume"].Value <ulong>(); // update the security status information string securityKey = securityStatus.Market + ":" + securityStatus.Symbol; _securityStatusEntries[securityKey] = securityStatus; // update the strategy when a new market information arrives _tradingStrategy.runStrategy(webSocketConnection, _tradingSymbol); } break; case SystemEventType.TRADE: { JObject msg = evt.json; LogStatus(LogStatusType.WARN, "Receieved Market Data Event " + evt.evtType.ToString() + msg); _vwapForTradingSym.pushTrade( new ShortPeriodTickBasedVWAP.Trade( msg["TradeID"].Value <ulong>(), msg["Symbol"].Value <string>(), msg["MDEntryPx"].Value <ulong>(), msg["MDEntrySize"].Value <ulong>(), String.Format("{0} {1}", msg["MDEntryDate"].Value <string>(), msg["MDEntryTime"].Value <string>()) ) ); /* * LogStatus( * LogStatusType.INFO, * String.Format( * "New Trade : VWAP = {0} | LastPx = {1} - {2} | Size = {3}", * _vwapForTradingSym.calculateVWAP(), * _vwapForTradingSym.getLastPx(), * msg["MDEntryPx"].Value<ulong>(), * msg["MDEntrySize"].Value<ulong>() * ) * ); */ } break; case SystemEventType.TRADING_SESSION_STATUS: break; case SystemEventType.MARKET_DATA_INCREMENTAL_REFRESH: LogStatus(LogStatusType.WARN, "Receieved Market Data Incremental Refresh : " + evt.evtType.ToString()); // update the strategy when an incremental message is processed _tradingStrategy.runStrategy(webSocketConnection, _tradingSymbol); break; // --- Order Entry Replies --- case SystemEventType.EXECUTION_REPORT: { LogStatus(LogStatusType.WARN, "Receieved " + evt.evtType.ToString() + "\n" + evt.json.ToString()); MiniOMS.IOrder order = ProcessExecutionReport(evt.json); _tradingStrategy.OnExecutionReport(webSocketConnection, order); } break; case SystemEventType.ORDER_LIST_RESPONSE: { // process the requested list of orders JObject msg = evt.json; LogStatus(LogStatusType.WARN, "Received " + evt.evtType.ToString() + " : " + "Page=" + msg["Page"].Value <string>() ); JArray ordersLst = msg["OrdListGrp"].Value <JArray>(); if (ordersLst != null && ordersLst.Count > 0) { var columns = msg["Columns"].Value <JArray>(); Dictionary <string, int> indexOf = new Dictionary <string, int>(); int index = 0; foreach (JToken col in columns) { indexOf.Add(col.Value <string>(), index++); } foreach (JArray data in ordersLst) { MiniOMS.Order order = new MiniOMS.Order(); order.ClOrdID = data[indexOf["ClOrdID"]].Value <string>(); order.OrderID = data[indexOf["OrderID"]].Value <ulong>(); order.Symbol = data[indexOf["Symbol"]].Value <string>(); order.Side = data[indexOf["Side"]].Value <char>(); order.OrdType = data[indexOf["OrdType"]].Value <char>(); order.OrdStatus = data[indexOf["OrdStatus"]].Value <char>(); order.AvgPx = data[indexOf["AvgPx"]].Value <ulong>(); order.Price = data[indexOf["Price"]].Value <ulong>(); order.OrderQty = data[indexOf["OrderQty"]].Value <ulong>(); order.OrderQty = data[indexOf["LeavesQty"]].Value <ulong>(); order.CumQty = data[indexOf["CumQty"]].Value <ulong>(); order.CxlQty = data[indexOf["CxlQty"]].Value <ulong>(); order.Volume = data[indexOf["Volume"]].Value <ulong>(); order.OrderDate = data[indexOf["OrderDate"]].Value <string>(); order.TimeInForce = data[indexOf["TimeInForce"]].Value <char>(); LogStatus(LogStatusType.WARN, "Adding Order to MiniOMS -> ClOrdID = " + order.ClOrdID.ToString() + " OrdStatus = " + order.OrdStatus ); try { _miniOMS.AddOrder(order); } catch (System.ArgumentException) { } } // check and request the next page if (ordersLst.Count >= msg["PageSize"].Value <int>()) { LogStatus(LogStatusType.INFO, "Requesting Page " + msg["Page"].Value <int>() + 1); SendRequestForOpenOrders(webSocketConnection, msg["Page"].Value <int>() + 1); } else { LogStatus(LogStatusType.INFO, "EOT - no more Order List pages to process."); // notify application that all requestes where replied, // assuming the ORDER_LIST_REQUEST was the last in the StartInitialRequestsAfterLogon //_tradingStrategy.OnStart(webSocketConnection); } } } break; case SystemEventType.BALANCE_RESPONSE: if (evt.json != null) { //JObject receivedBalances = evt.json[_brokerId.ToString()].Value<JObject>(); foreach (var rb in evt.json[_brokerId.ToString()].Value <JObject>()) { try { this._balances[rb.Key] = rb.Value.Value <ulong>(); } catch (System.OverflowException) { // TODO: find a better solution for this kind of conversion problem // {"4": {"BRL_locked": -1, "BTC_locked": 0, "BRL": 48460657965, "BTC": 50544897}, "MsgType": "U3", "ClientID": 90826379, "BalanceReqID": 3} this._balances[rb.Key] = 0; } } // update the strategy when the balance is updated _tradingStrategy.runStrategy(webSocketConnection, _tradingSymbol); } break; case SystemEventType.TRADE_HISTORY_RESPONSE: { JObject msg = evt.json; LogStatus(LogStatusType.WARN, "Received " + evt.evtType.ToString() + " : " + "Page=" + msg["Page"].Value <string>() ); /* * JArray all_trades = msg["TradeHistoryGrp"].Value<JArray>(); * * if (all_trades != null && all_trades.Count > 0) * { * var columns = msg["Columns"].Value<JArray>(); * Dictionary<string, int> indexOf = new Dictionary<string, int>(); * int index = 0; * foreach (JToken col in columns) * { * indexOf.Add(col.Value<string>(), index++); * } * * foreach (JArray trade in all_trades) * { * _vwapForTradingSym.pushTrade( * new ShortPeriodTickBasedVWAP.Trade( * trade[indexOf["TradeID"]].Value<ulong>(), * trade[indexOf["Market"]].Value<string>(), * trade[indexOf["Price"]].Value<ulong>(), * trade[indexOf["Size"]].Value<ulong>(), * trade[indexOf["Created"]].Value<string>() * ) * ); * } * * // check and request the next page * if (all_trades.Count >= msg["PageSize"].Value<int>()) * { * LogStatus(LogStatusType.INFO, "TODO: Requesting Page " + msg["Page"].Value<int>() + 1); * //TODO: create a function to call here and request a new page if requested period in minutes is not satified * } * else * { * LogStatus(LogStatusType.INFO, "EOT - no more Trade History pages to process."); * } * * LogStatus(LogStatusType.INFO, String.Format("VWAP = {0}", _vwapForTradingSym.calculateVWAP())); * } */ } // break; case SystemEventType.CLOSED: // notify the application the connection was broken //_tradingStrategy.OnClose(webSocketConnection); break; // Following events are ignored because inheritted behaviour is sufficient for this prototype case SystemEventType.OPENED: case SystemEventType.ERROR: case SystemEventType.LOGIN_ERROR: case SystemEventType.HEARTBEAT: break; default: LogStatus(LogStatusType.WARN, "Unhandled Broker Notification Event : " + evt.evtType.ToString()); break; } } catch (Exception ex) { LogStatus(LogStatusType.ERROR, " OnBrokerNotification Event Handler Error : " + ex.Message.ToString() + "\n" + ex.StackTrace ); } }