int SmallOrder::onResponseMsg(ResponseMessage &rsp) {
if (rsp.type() == TYPE_NEW_ORDER_CONFIRM) {
state = Sent;
} else if (rsp.type() == TYPE_CANCEL_ORDER_CONFIRM) {
if (state == TerminateCancel) {
setRecycle();
return 0;
}
state = Ready;
} else if (rsp.type() == TYPE_TRADE) {
placeQty -= rsp.trade_quantity();
leftQty -= rsp.trade_quantity();
LOG(INFO) << "before trade, the place qty is: " << placeQty + rsp.trade_quantity();
LOG(INFO) << "after trade, the place qty is: " << placeQty;
LOG(INFO) << "after trade, the left qty is: " << leftQty;
if (leftQty == 0) {
setRecycle();
} else if (leftQty < stockMinimumQty) {
cancelOrder(true);
} else if (placeQty == 0) {
updateLeg(SwitchSignal::FinishPhase);
state = Ready;
} else if (placeQty < stockMinimumQty) {
updateLeg(SwitchSignal::FinishPhase);
cancelOrder();
}
} else if (rsp.type() == TYPE_ERROR) {
setRecycle();
}
return 0;
}
int SmallOrder::onMktUpdate(MarketUpdate &mkt) {
switch (state) {
case OrderState::Init: {
halfSpread = calHalfSpread(mkt);
arrivalOrderPT = CedarTimeHelper::getCurPTime();
activeLeg = Starting;
updateLeg(SwitchSignal::Initial);
placeOrder(mkt);
LOG(INFO) << "snap half spread: " << halfSpread;
logStatusInfo(mkt);
break;
}
case Ready: {
placeOrder(mkt);
break;
}
//TODO: move time expiration checking to a separate timer event
case Sent: {
double currentMid = (mkt.bid_price(0) + mkt.ask_price(0)) * 0.5;
double currentPrice = calPlacePrice(mkt);
if (isMaxTimeExpired()) {
LOG(INFO) << "max order life reached, cancelling...";
cancelOrder(true);
} else if (isTimeExpired() || isMktMoved(currentMid)) {
LOG(INFO) << "time expired or market moved, switching legs...";
LOG(INFO) << "current mid: " << currentMid;
LOG(INFO) << "last mid: " << lastLegMid;
updateLeg(SwitchSignal::TimeExpired);
cancelOrder();
} else if (placePrice != currentPrice) {
LOG(INFO) << "price expired, recalculating limit price...";
cancelOrder();
}
break;
}
case TerminateCancel:
default:
return 0;
}
return 0;
}
void Exchange_BTCe::setupApi(QtBitcoinTrader *mainClass, bool tickOnly)
{
tickerOnly=tickOnly;
if(!tickerOnly)
{
connect(mainClass,SIGNAL(reloadOrders()),this,SLOT(reloadOrders()));
connect(mainClass,SIGNAL(apiBuy(double, double)),this,SLOT(buy(double, double)));
connect(mainClass,SIGNAL(apiSell(double, double)),this,SLOT(sell(double, double)));
connect(mainClass,SIGNAL(cancelOrderByOid(QByteArray)),this,SLOT(cancelOrder(QByteArray)));
connect(this,SIGNAL(ordersChanged(QString)),mainClass,SLOT(ordersChanged(QString)));
connect(mainClass,SIGNAL(cancelOrderByOid(QByteArray)),this,SLOT(cancelOrder(QByteArray)));
connect(mainClass,SIGNAL(getHistory(bool)),this,SLOT(getHistory(bool)));
connect(this,SIGNAL(ordersLogChanged(QString)),mainClass,SLOT(ordersLogChanged(QString)));
connect(this,SIGNAL(orderCanceled(QByteArray)),mainClass,SLOT(orderCanceled(QByteArray)));
connect(this,SIGNAL(ordersIsEmpty()),mainClass,SLOT(ordersIsEmpty()));
}
void Application::processCancel( const std::string& id,
const std::string& symbol, Order::Side side )
{
Order & order = m_orderMatcher.find( symbol, side, id );
order.cancel();
cancelOrder( order );
m_orderMatcher.erase( order );
}
void Exchange::setupApi(QtBitcoinTrader *mainClass, bool tickOnly)//Execute only once
{
QSettings settingsParams(":/Resources/Exchanges/"+currencyMapFile+".ini",QSettings::IniFormat);
QStringList symbolList=settingsParams.childGroups();
QList<CurrencyPairItem> *newCurrPairs=new QList<CurrencyPairItem>;
for(int n=0;n<symbolList.count();n++)
{
CurrencyPairItem currentPair=defaultCurrencyParams;
currentPair.name=settingsParams.value(symbolList.at(n)+"/Symbol","").toByteArray();
if(currentPair.name.length()!=6)continue;
currentPair.setSymbol(currentPair.name.toLatin1());
currentPair.name.insert(3,"/");
currentPair.currRequestSecond=settingsParams.value(symbolList.at(n)+"/RequestSecond","").toByteArray();
if(!currentPair.currRequestSecond.isEmpty())
currentPair.name.append(" ["+currentPair.currRequestSecond+"]");
currentPair.currRequestPair=settingsParams.value(symbolList.at(n)+"/Request","").toByteArray();
if(currentPair.currRequestPair.isEmpty())continue;
currentPair.priceDecimals=settingsParams.value(symbolList.at(n)+"/PriceDecimals","").toInt();
currentPair.priceMin=settingsParams.value(symbolList.at(n)+"/PriceMin","").toDouble();
currentPair.tradeVolumeMin=settingsParams.value(symbolList.at(n)+"/TradeVolumeMin","").toDouble();
currentPair.tradePriceMin=settingsParams.value(symbolList.at(n)+"/TradePriceMin","").toDouble();
currentPair.currADecimals=settingsParams.value(symbolList.at(n)+"/ItemDecimals").toInt();
currentPair.currBDecimals=settingsParams.value(symbolList.at(n)+"/ValueDecimals").toInt();
(*newCurrPairs)<<currentPair;
}
connect(this,SIGNAL(setCurrencyPairsList(QList<CurrencyPairItem>*)),mainClass,SLOT(setCurrencyPairsList(QList<CurrencyPairItem>*)));
emit setCurrencyPairsList(newCurrPairs);
tickerOnly=tickOnly;
if(!tickerOnly)
{
connect(mainClass,SIGNAL(apiBuy(QString, double, double)),this,SLOT(buy(QString, double, double)));
connect(mainClass,SIGNAL(apiSell(QString, double, double)),this,SLOT(sell(QString, double, double)));
connect(mainClass,SIGNAL(cancelOrderByOid(QString, QByteArray)),this,SLOT(cancelOrder(QString, QByteArray)));
connect(mainClass,SIGNAL(getHistory(bool)),this,SLOT(getHistory(bool)));
connect(this,SIGNAL(orderBookChanged(QString, QList<OrderItem> *)),mainClass,SLOT(orderBookChanged(QString, QList<OrderItem> *)));
connect(this,SIGNAL(historyChanged(QList<HistoryItem>*)),mainClass,SLOT(historyChanged(QList<HistoryItem>*)));
connect(this,SIGNAL(orderCanceled(QString, QByteArray)),mainClass,SLOT(orderCanceled(QString, QByteArray)));
connect(this,SIGNAL(ordersIsEmpty()),mainClass,SLOT(ordersIsEmpty()));
}
// MAIN PROCESSING LOOP
void PosixTestClient::processMessages()
{
fd_set readSet, writeSet, errorSet;
struct timeval tval;
tval.tv_usec = 0;
tval.tv_sec = 0;
time_t now = time(NULL);
switch (m_state) {
case ST_STARTMONITOR:
startMonitor();
break;
case ST_PLACEORDER:
placeOrder();
break;
case ST_PLACEORDER_ACK:
break;
case ST_CANCELORDER:
cancelOrder();
break;
case ST_CANCELORDER_ACK:
break;
case ST_CHECKALGO:
algoSweep();
break;
case ST_CHECKALGO_ACK:
break;
case ST_PING:
reqCurrentTime();
break;
case ST_PING_ACK:
if( m_sleepDeadline < now) {
disconnect();
return;
}
break;
case ST_IDLE:
if (m_algoSweepTrigger < now) {
m_state = ST_CHECKALGO;
return;
}
if( m_sleepDeadline < now) {
m_state = ST_PING;
return;
}
break;
}
if( m_sleepDeadline > 0) {
// initialize timeout with m_sleepDeadline - now
tval.tv_sec = m_sleepDeadline - now;
}
if( m_pClient->fd() >= 0 ) {
FD_ZERO( &readSet);
errorSet = writeSet = readSet;
FD_SET( m_pClient->fd(), &readSet);
if( !m_pClient->isOutBufferEmpty())
FD_SET( m_pClient->fd(), &writeSet);
FD_CLR( m_pClient->fd(), &errorSet);
int ret = select( m_pClient->fd() + 1, &readSet, &writeSet, &errorSet, &tval);
if( ret == 0) { // timeout
return;
}
if( ret < 0) { // error
disconnect();
return;
}
if( m_pClient->fd() < 0)
return;
if( FD_ISSET( m_pClient->fd(), &errorSet)) {
// error on socket
m_pClient->onError();
}
if( m_pClient->fd() < 0)
return;
if( FD_ISSET( m_pClient->fd(), &writeSet)) {
// socket is ready for writing
m_pClient->onSend();
}
if( m_pClient->fd() < 0)
return;
if( FD_ISSET( m_pClient->fd(), &readSet)) {
// socket is ready for reading
m_pClient->onReceive();
}
}
}
void TwsClient::processMessages()
{
fd_set readSet, writeSet, errorSet;
struct timeval tval;
tval.tv_usec = 0;
tval.tv_sec = 0;
time_t now = time(NULL);
//std::cout<<"m_state "<<m_state<<std::endl;
switch (m_state) {
case ST_PLACEORDER:
placeOrder();
break;
case ST_PLACEORDER_ACK:
break;
case ST_CANCELORDER:
cancelOrder();
break;
case ST_CANCELORDER_ACK:
break;
case ST_PING:
reqCurrentTime();
break;
case ST_PING_ACK:
if( m_sleepDeadline < now) {
disconnect();
return;
}
break;
case ST_IDLE:
if( m_sleepDeadline < now) {
m_state = ST_PING;
return;
}
break;
case ST_MKT_DATA:
reqMktData();
}
if( m_sleepDeadline > 0) {
// initialize timeout with m_sleepDeadline - now
tval.tv_sec = m_sleepDeadline - now;
}
if( m_pClient->fd() >= 0 ) {
FD_ZERO( &readSet);
errorSet = writeSet = readSet;
FD_SET( m_pClient->fd(), &readSet);
if( !m_pClient->isOutBufferEmpty())
FD_SET( m_pClient->fd(), &writeSet);
FD_CLR( m_pClient->fd(), &errorSet);
int ret = select( m_pClient->fd() + 1, &readSet, &writeSet, &errorSet, &tval);
if( ret == 0) { // timeout
return;
}
if( ret < 0) { // error
disconnect();
return;
}
if( m_pClient->fd() < 0)
return;
if( FD_ISSET( m_pClient->fd(), &errorSet)) {
// error on socket
m_pClient->onError();
}
if( m_pClient->fd() < 0)
return;
if( FD_ISSET( m_pClient->fd(), &writeSet)) {
// socket is ready for writing
m_pClient->onSend();
}
if( m_pClient->fd() < 0)
return;
if( FD_ISSET( m_pClient->fd(), &readSet)) {
// socket is ready for reading
m_pClient->onReceive();
}
}
}
