private static void writeBoardData()
{
if (MarketDataLog.getNumBoardData() > 100)
{
DBManager.insertBoardData(MarketDataLog.getAllBoardData());
}
}
private async static void marketDataThread()
{
A:
disconnect_flg = false;
//var api = new API();
//var api2 = new API();
var api3 = new API();
//api.Subscribe<Tick>(api.TickerFxBtcJpy, OnReceive, OnConnect, OnError);
//api2.Subscribe<BoardDiff>(api.boardFxBtcJpy, OnReceiveBoard, OnConnectBoard, OnError);
api3.Subscribe <List <Executions> >(api3.ExecutionsFxBtcJpy, OnReceiveExecutions, OnConnectExecutions, OnErrorExecutions);
while (SystemFlg.getMarketDataFlg())
{
await Task.Delay(300);
//Thread.Sleep(10);
Form1.Form1Instance.Invoke((Action)(() =>
{
Form1.Form1Instance.setLabel("num executions log=" + MarketDataLog.getNumExecutionsLog().ToString());
Form1.Form1Instance.setLabel2("num board data log=" + MarketDataLog.getNumBoardData().ToString());
}));
if (disconnect_flg)
{
goto A;//make new instance when unexpectedlly disconnected
}
}
api3.unsubscribe();
}
private static void writeExecutionsData()
{
if (MarketDataLog.getNumExecutionsLog() > 10000)
{
DBManager.insertExecutions(MarketDataLog.getExecutionsData());
}
}
public static async void startBoardUpdate()
{
initialize();
await Task.Run(async() =>
{
while (SystemFlg.getMarketDataFlg())
{
if (FlyerAPI2.getApiAccessProhibition() == false)
{
var board = await FlyerAPI2.getBoardAsync("FX_BTC_JPY");
if (board.MidPrice != 0)
{
board.dt = DateTime.Now;
var ask_p = board.Asks.Select(c => c.Price).ToArray();
var bid_p = board.Bids.Select(c => c.Price).ToArray();
var ask_min = ask_p.Min();
var bid_max = bid_p.Max();
board.spread = ask_min - bid_max;
setCurrentBoard(board);
MarketDataLog.addBoardData(board.dt, new double[] { bid_max, ask_min, board.spread });
Form1.Form1Instance.Invoke((Action)(() =>
{
Form1.Form1Instance.setLabel3(board.spread.ToString());
}));
}
}
//await Task.Delay(0);
}
});
}
private static void OnReceiveExecutions(List <Executions> data)
{
MarketDataLog.addExecutionsData(data);
foreach (var v in data)
{
Form1.Form1Instance.addListBox3(v.exec_date + ", id=" + v.id + ", side=" + v.side + ", price=" + v.price + ", size=" + v.size);
}
}
public static void startMarketData()
{
SystemFlg.setMarketDataFlg(true);
MarketDataLog.initialize();
//BoardDataUpdate.getCurrentBoard();
BoardDataUpdate.startBoardUpdate();
marketDataThread();
DBWriter.startDBWriter();
//System.Diagnostics.Debug.WriteLine("kita2");
}
public async Task <string> checkExecutionAndUpdateOrders()
{
var res = "";
if (MarketDataLog.getNumExecutionsLog() < last_ind_marketdata)
{
last_ind_marketdata = 0;
}
var exe_data = MarketDataLog.getExecutionsDataRange(last_ind_marketdata);
last_ind_marketdata += exe_data.Count;
var ord = getAllOrders();
for (int i = 0; i < ord.Count; i++)
{
for (int j = 0; j < exe_data.Count; j++)
{
if (exe_data[j].buy_child_order_acceptance_id == ord[i].order_id || exe_data[j].sell_child_order_acceptance_id == ord[i].order_id)
{
addHolding(ord[i].order_price, exe_data[j].size, ord[i].order_side);
takeLog(DateTime.Now + ": executed " + ord[i].order_side + " for " + exe_data[j].price + " x " + exe_data[j].size);
Log.addLog("Account-checkExecutionAndUpdateOrders", ": executed " + ord[i].order_side + " for " + exe_data[j].price + " x " + exe_data[j].size);
Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("executed " + ord[i].order_side + " for " + exe_data[j].price + " x " + exe_data[j].size); }));
if ((ord[i].order_lot - exe_data[j].size) <= 0)
{
takeLog(DateTime.Now + ": order " + ord[i].order_id + " was full filled and removed");
Log.addLog("Account-checkExecutionAndUpdateOrders", ": order " + ord[i].order_id + " was full filled and removed");
Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("order " + ord[i].order_id + " was full filled and removed"); }));
removeOrder(ord[i].order_id);
num_trade++;
}
else
{
Log.addLog("Account-checkExecutionAndUpdateOrders", ": order " + ord[i].order_id + " was partially executed");
updateOrderSize(ord[i].order_lot - exe_data[j].size, ord[i].order_id);
}
}
}
}
return(res);
}
private static void OnReceiveBoard(BoardDiff data)
{
//if (BoardDataUpdate.getCurrentBoard().MidPrice > 0)
{
var current_board = BoardDataUpdate.getCurrentBoard();
current_board.dt = DateTime.Now;
var ask_min = current_board.Asks.Select(x => x.Price).ToList().Min();
var bid_max = current_board.Bids.Select(x => x.Price).ToList().Max();
foreach (var v in data.Asks)
{
if (v.Price < ask_min)
{
ask_min = v.Price;
}
break;
}
foreach (var v in data.Bids)
{
if (v.Price > bid_max)
{
bid_max = v.Price;
}
break;
}
current_board.Asks[0].Price = ask_min;
current_board.Bids[0].Price = bid_max;
current_board.spread = ask_min - bid_max;
MarketDataLog.addBoardData(current_board.dt, new double[] { bid_max, ask_min, current_board.spread });
BoardDataUpdate.setCurrentBoard(current_board);
Form1.Form1Instance.setLabel3(current_board.spread.ToString());
}
/*
* foreach (var v in data.Asks)
* line += v.Price + " x " + v.Size;
* Form1.Form1Instance.addListBox(data.MidPrice+" : " + line);
*/
}
private static void OnReceive(Tick data)
{
MarketDataLog.addTickData(data);
//Form1.Form1Instance.addListBox2(data.Timestamp + ", price=" + data.LatestPrice + ", vol=" + data.Volume + ", vol product=" + data.VolumeByProduct);
}
private async void buttonSendOrder_Click(object sender, EventArgs e)
{
if (SystemFlg.getMarketDataFlg() == false)
{
MarketData.startMarketData();
await Task.Delay(3000);
}
var board = await FlyerAPI2.getBoardAsync("FX_BTC_JPY");
double price = board.Asks.Select(x => x.Price).ToList().Min() - 1;
var res = await FlyerAPI2.sendChiledOrderAsync("SELL", price, 0.01, 1);
if (res.order_id != "")
{
addListBox2("completed send order:" + res.order_id);
}
if (id == "")
{
id = res.order_id;
}
System.Diagnostics.Stopwatch sw = new System.Diagnostics.Stopwatch();
sw.Start();
bool flg = true;
string dotti = "";
while (flg)
{
var exe = await FlyerAPI2.getExecutionsAcceptanceIDAsync(res.order_id);
System.Diagnostics.Debug.WriteLine(exe);
if (exe.Count > 0)
{
if (exe[0].child_order_accesptance_id == res.order_id)
{
flg = false;
dotti = "getExecutionsAcceptanceIDAsync";
}
}
if (MarketDataLog.getExecutionStatus(res.order_id))
{
flg = false;
dotti = "getExecutionStatus";
}
}
sw.Stop();
id = res.order_id;
Form1Instance.addListBox2(res.order_id + ":time=" + sw.ElapsedMilliseconds + ", dotti=" + dotti);
SystemFlg.setMarketDataFlg(false);
SystemFlg.setDBWriterFlg(false);
/*
* var board2 = await FlyerAPI2.getBoardAsync("FX_BTC_JPY");
* var res2 = await FlyerAPI2.sendChiledOrderAsync("SELL", board2.Asks.Select(x => x.Price).ToList().Max()-1, 0.01, 1);
*
* var exe2 = await FlyerAPI2.getExecutionsAcceptanceIDAsync(res2.order_id);
*
* var posi2 = await FlyerAPI2.getPositionsAsync();
*/
}
private async Task <string> checkCancel()
{
await Task.Run(async() =>
{
while (SystemFlg.getMMFlg())
{
if (cancelling)
{
var order = await FlyerAPI2.sendChiledOrderAsync("BUY", MarketDataLog.getLastExecutionsData().price - 100000, 0.01, 1); //send dummy order
Log.addLog("Account-CheckCancel", "sendChiledOrderAsync-dummy");
var ord_dt = DateTime.Now;
if (order.order_id.Contains("JRF"))
{
bool flg = true;
do
{
if (FlyerAPI2.getApiAccessProhibition() == false)
{
var orders = await FlyerAPI2.getChildOrderAsync("ACTIVE");//get current active orders
Log.addLog("Account-CheckCancel", "getChildOrderAsync-ACTIVE");
var dt = DateTime.Now;
var orders_id = orders.Select(x => x.child_order_acceptance_id).ToList();
if (orders_id.Contains(order.order_id)) //when the dummy order is in the active order list
{
//treat all cancelling status orders not exist in order list as properlly cancelled
var ord = getAllOrders();
int num_cancelling = 0;
for (int i = 0; i < ord.Count; i++)
{
if (ord[i].order_status == "CANCELLING" && dt > ord[i].order_dt)
{
num_cancelling++;
//if (orders_id.Contains(ord[i].order_id))//
{
takeLog(DateTime.Now + ": cancelled " + ord[i].order_side + ", price=" + ord[i].order_price + " x " + ord[i].order_lot);
Log.addLog("Account-CheckCancel", "cancelled " + ord[i].order_side + ", price=" + ord[i].order_price + " x " + ord[i].order_lot);
Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("cancelled " + ord[i].order_side + ", price=" + ord[i].order_price + " x " + ord[i].order_lot); }));
removeOrder(ord[i].order_id);
}
}
}
if (num_cancelling == 0)//cancel dummy order and stop current checking
{
string res = "error";
do
{
res = await FlyerAPI2.cancelChildOrdersAsync(order.order_id);
flg = false;
cancelling = false;
Log.addLog("Account-CheckCancel", "num cancelling = 0, res=" + res);
} while (res == "error");
}
else if ((DateTime.Now - ord_dt).Seconds > 60)
{
flg = false;
}
}
}
await Task.Delay(500);
} while (flg);
}
}
else
{
Log.addLog("Account-CheckCancel", "cancelling = false, num orders=" + getNumCurrentOrders());
await Task.Delay(1000);
}
}
});
return("");
}
