def cancel(self, session, order):
if not order:
# Generate an Order Cancel Reject - Order not found
return
# let's find the order position
self_side = []
if order.is_buy:
self_side = self.buy_side
elif order.is_sell:
self_side = self.sell_side
order_found = False
order_pos = bisect.bisect_left(self_side, order)
for x in xrange( order_pos, len(self_side)):
tmp_order = self_side[x]
if tmp_order.id == order.id:
order_found = True
break
if tmp_order.price != order.price:
break
order_pos += 1
if not order_found:
# Generate an Order Cancel Reject - Order not found
return
# update the order
order.cancel_qty( order.leaves_qty )
session.commit()
# remove the order from the book
self_side.pop( order_pos )
# Generate a cancel report
cancel_rpt = ExecutionReport( order, '1' if order.is_buy else '2' )
TradeApplication.instance().publish(order.user_id, cancel_rpt.toJson() )
if order.user_id != order.account_id:
TradeApplication.instance().publish(order.account_id, cancel_rpt.toJson() )
# market data
md_entry_type = '0' if order.is_buy else '1'
MarketDataPublisher.publish_cancel_order( self.symbol, md_entry_type, order_pos+1 )
return ""
def cancel(self, session, order):
if not order:
# Generate an Order Cancel Reject - Order not found
return
# let's find the order position
self_side = []
if order.is_buy:
self_side = self.buy_side
elif order.is_sell:
self_side = self.sell_side
order_found = False
order_pos = bisect.bisect_left(self_side, order)
for x in xrange( order_pos, len(self_side)):
tmp_order = self_side[x]
if tmp_order.id == order.id:
order_found = True
break
if tmp_order.price != order.price:
break
order_pos += 1
if not order_found:
# Generate an Order Cancel Reject - Order not found
return
# update the order
order.cancel_qty( order.leaves_qty )
session.commit()
# remove the order from the book
self_side.pop( order_pos )
# Generate a cancel report
cancel_rpt = ExecutionReport( order, '1' if order.is_buy else '2' )
TradeApplication.instance().publish(order.user_id, cancel_rpt.toJson() )
if order.user_id != order.account_id:
TradeApplication.instance().publish(order.account_id, cancel_rpt.toJson() )
# market data
md_entry_type = '0' if order.is_buy else '1'
MarketDataPublisher.publish_cancel_order( self.symbol, md_entry_type, order_pos+1 )
return ""
def match(self, session, order, order_matcher_disabled=False):
other_side = []
self_side = []
if order.is_buy:
self_side = self.buy_side
other_side = self.sell_side
elif order.is_sell:
other_side = self.buy_side
self_side = self.sell_side
execution_reports = []
trades_to_publish = []
execution_side = '1' if order.is_buy else '2'
rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, rpt_order.toJson() ) )
is_last_match_a_partial_execution_on_counter_order = False
execution_counter = 0
number_of_filled_counter_market_orders = 0
if not order_matcher_disabled:
for execution_counter in xrange(0, len(other_side) + 1):
if execution_counter == len(other_side):
break # workaround to make the execution_counter be counted until the last order.
if not order.leaves_qty > 0:
break
counter_order = other_side[execution_counter]
if not order.has_match(counter_order):
break
# check for self execution
if order.account_id == counter_order.account_id:
# self execution.... let's cancel the counter order
counter_order.cancel_qty( counter_order.leaves_qty )
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# Get the desired executed price and qty, by matching against the counter_order
executed_qty = order.match( counter_order, order.leaves_qty)
if counter_order.type == '1': # Market Order
executed_price = order.price
number_of_filled_counter_market_orders += 1
else:
executed_price = counter_order.price
# let's get the available qty to execute on the order side
available_qty_on_order_side = order.get_available_qty_to_execute(session,
'1' if order.is_buy else '2',
executed_qty,
executed_price )
qty_to_cancel_from_order = 0
if available_qty_on_order_side < executed_qty:
# ops ... looks like the order.user didn't have enough to execute the order
executed_qty = available_qty_on_order_side
# cancel the remaining qty
qty_to_cancel_from_order = order.leaves_qty - executed_qty
# check if the order got fully cancelled
if not executed_qty:
order.cancel_qty( qty_to_cancel_from_order )
cancel_rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, cancel_rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, cancel_rpt_order.toJson() ) )
break
# let's get the available qty to execute on the counter side
available_qty_on_counter_side = counter_order.get_available_qty_to_execute(session,
'1' if counter_order.is_buy else '2',
executed_qty,
executed_price )
qty_to_cancel_from_counter_order = 0
if available_qty_on_counter_side < executed_qty:
if qty_to_cancel_from_order:
qty_to_cancel_from_order -= executed_qty - available_qty_on_order_side
# ops ... looks like the counter_order.user didn't have enough to execute the order
executed_qty = available_qty_on_counter_side
# cancel the remaining qty
qty_to_cancel_from_counter_order = counter_order.leaves_qty - executed_qty
# check if the counter order was fully cancelled due the lack
if not executed_qty:
# just cancel the counter order, and go to the next order.
counter_order.cancel_qty( qty_to_cancel_from_counter_order )
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# lets perform the execution
if executed_qty:
order.execute( executed_qty, executed_price )
counter_order.execute(executed_qty, executed_price )
trade = Trade.create(session, order, counter_order, self.symbol, executed_qty, executed_price )
trades_to_publish.append(trade)
rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, rpt_order.toJson() ) )
rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, rpt_counter_order.toJson() ) )
def generate_email_subject_and_body( session, order, trade ):
from json import dumps
from pyblinktrade.json_encoder import JsonEncoder
from models import Currency
qty_currency = order.symbol[:3]
formatted_qty = Currency.format_number( session, qty_currency, trade.size / 1.e8 )
price_currency = order.symbol[3:]
formatted_price = Currency.format_number( session, price_currency, trade.price / 1.e8 )
formatted_total_price = Currency.format_number( session, price_currency, trade.size/1.e8 * trade.price/1.e8 )
email_subject = 'E'
email_template = "order-execution"
email_params = {
'username': order.user.username,
'order_id': order.id,
'trade_id': trade.id,
'side': order.side,
'executed_when': trade.created,
'qty': formatted_qty,
'price': formatted_price,
'total': formatted_total_price
}
return email_subject, email_template, dumps(email_params, cls=JsonEncoder)
email_data = generate_email_subject_and_body(session, order, trade)
UserEmail.create( session = session,
user_id = order.account_id,
broker_id = order.broker_id,
subject = email_data[0],
template= email_data[1],
language= order.email_lang,
params = email_data[2])
email_data = generate_email_subject_and_body(session, counter_order, trade)
UserEmail.create( session = session,
user_id = counter_order.account_id,
broker_id = counter_order.broker_id,
subject = email_data[0],
template= email_data[1],
language= counter_order.email_lang,
params = email_data[2])
#
# let's do the partial cancels
#
# Cancel the qty from the current order
if qty_to_cancel_from_order:
order.cancel_qty(qty_to_cancel_from_order)
# generate a cancel report
cancel_rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, cancel_rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, cancel_rpt_order.toJson() ) )
if qty_to_cancel_from_counter_order:
counter_order.cancel_qty(qty_to_cancel_from_counter_order)
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.leaves_qty > 0:
is_last_match_a_partial_execution_on_counter_order = True
md_entry_type = '0' if order.is_buy else '1'
counter_md_entry_type = '1' if order.is_buy else '0'
# let's include the order in the book if the order is not fully executed.
if order.leaves_qty > 0:
insert_pos = bisect.bisect_right(self_side, order)
self_side.insert( insert_pos, order )
if order.type == '2': # Limited orders go to the book.
MarketDataPublisher.publish_new_order( self.symbol, md_entry_type , insert_pos, order)
# don't send the first execution report (NEW) if the order was fully cancelled
if order.is_cancelled and order.cum_qty == 0:
execution_reports.pop(0)
# Publish all execution reports
for user_id, execution_report in execution_reports:
TradeApplication.instance().publish( user_id, execution_report )
# Publish Market Data for the counter order
if execution_counter:
if is_last_match_a_partial_execution_on_counter_order:
del other_side[0: execution_counter-1]
MarketDataPublisher.publish_executions( self.symbol,
counter_md_entry_type,
execution_counter - 1 - number_of_filled_counter_market_orders,
other_side[0] )
else:
del other_side[0: execution_counter]
MarketDataPublisher.publish_executions( self.symbol,
counter_md_entry_type,
execution_counter - number_of_filled_counter_market_orders )
if trades_to_publish:
MarketDataPublisher.publish_trades(self.symbol, trades_to_publish)
return ""
def match(self, session, order, order_matcher_disabled=False):
other_side = []
self_side = []
if order.is_buy:
self_side = self.buy_side
other_side = self.sell_side
elif order.is_sell:
other_side = self.buy_side
self_side = self.sell_side
execution_reports = []
trades_to_publish = []
execution_side = '1' if order.is_buy else '2'
rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, rpt_order.toJson() ) )
is_last_match_a_partial_execution_on_counter_order = False
execution_counter = 0
number_of_filled_counter_market_orders = 0
if not order_matcher_disabled:
for execution_counter in xrange(0, len(other_side) + 1):
if execution_counter == len(other_side):
break # workaround to make the execution_counter be counted until the last order.
if not order.leaves_qty > 0:
break
counter_order = other_side[execution_counter]
if not order.has_match(counter_order):
break
# check for self execution
if order.account_id == counter_order.account_id:
# self execution.... let's cancel the counter order
counter_order.cancel_qty( counter_order.leaves_qty )
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# Get the desired executed price and qty, by matching against the counter_order
executed_qty = order.match( counter_order, order.leaves_qty)
if counter_order.type == '1': # Market Order
executed_price = order.price
number_of_filled_counter_market_orders += 1
else:
executed_price = counter_order.price
# let's get the available qty to execute on the order side
available_qty_on_order_side = order.get_available_qty_to_execute(session,
'1' if order.is_buy else '2',
executed_qty,
executed_price )
qty_to_cancel_from_order = 0
if available_qty_on_order_side < executed_qty:
# ops ... looks like the order.user didn't have enough to execute the order
executed_qty = available_qty_on_order_side
# cancel the remaining qty
qty_to_cancel_from_order = order.leaves_qty - executed_qty
# check if the order got fully cancelled
if not executed_qty:
order.cancel_qty( qty_to_cancel_from_order )
cancel_rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, cancel_rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, cancel_rpt_order.toJson() ) )
break
# let's get the available qty to execute on the counter side
available_qty_on_counter_side = counter_order.get_available_qty_to_execute(session,
'1' if counter_order.is_buy else '2',
executed_qty,
executed_price )
qty_to_cancel_from_counter_order = 0
if available_qty_on_counter_side < executed_qty:
if qty_to_cancel_from_order:
qty_to_cancel_from_order -= executed_qty - available_qty_on_order_side
# ops ... looks like the counter_order.user didn't have enough to execute the order
executed_qty = available_qty_on_counter_side
# cancel the remaining qty
qty_to_cancel_from_counter_order = counter_order.leaves_qty - executed_qty
# check if the counter order was fully cancelled due the lack
if not executed_qty:
# just cancel the counter order, and go to the next order.
counter_order.cancel_qty( qty_to_cancel_from_counter_order )
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# lets perform the execution
if executed_qty:
order.execute( executed_qty, executed_price )
counter_order.execute(executed_qty, executed_price )
trade = Trade.create(session, order, counter_order, self.symbol, executed_qty, executed_price )
trades_to_publish.append(trade)
rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, rpt_order.toJson() ) )
rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, rpt_counter_order.toJson() ) )
def generate_email_subject_and_body( session, order, trade ):
from json import dumps
from pyblinktrade.json_encoder import JsonEncoder
from models import Currency
qty_currency = order.symbol[:3]
formatted_qty = Currency.format_number( session, qty_currency, trade.size / 1.e8 )
price_currency = order.symbol[3:]
formatted_price = Currency.format_number( session, price_currency, trade.price / 1.e8 )
formatted_total_price = Currency.format_number( session, price_currency, trade.size/1.e8 * trade.price/1.e8 )
email_subject = 'E'
email_template = "order-execution"
email_params = {
'username': order.user.username,
'order_id': order.id,
'trade_id': trade.id,
'side': order.side,
'executed_when': trade.created,
'qty': formatted_qty,
'price': formatted_price,
'total': formatted_total_price
}
return email_subject, email_template, dumps(email_params, cls=JsonEncoder)
email_data = generate_email_subject_and_body(session, counter_order, trade)
UserEmail.create( session = session,
user_id = counter_order.account_id,
broker_id = counter_order.broker_id,
subject = email_data[0],
template= email_data[1],
language= counter_order.email_lang,
params = email_data[2])
#
# let's do the partial cancels
#
# Cancel the qty from the current order
if qty_to_cancel_from_order:
order.cancel_qty(qty_to_cancel_from_order)
# generate a cancel report
cancel_rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, cancel_rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, cancel_rpt_order.toJson() ) )
if qty_to_cancel_from_counter_order:
counter_order.cancel_qty(qty_to_cancel_from_counter_order)
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.leaves_qty > 0:
is_last_match_a_partial_execution_on_counter_order = True
md_entry_type = '0' if order.is_buy else '1'
counter_md_entry_type = '1' if order.is_buy else '0'
# let's include the order in the book if the order is not fully executed.
if order.leaves_qty > 0:
insert_pos = bisect.bisect_right(self_side, order)
self_side.insert( insert_pos, order )
if order.type == '2': # Limited orders go to the book.
MarketDataPublisher.publish_new_order( self.symbol, md_entry_type , insert_pos, order)
# don't send the first execution report (NEW) if the order was fully cancelled
if order.is_cancelled and order.cum_qty == 0:
execution_reports.pop(0)
# Publish all execution reports
for user_id, execution_report in execution_reports:
TradeApplication.instance().publish( user_id, execution_report )
# Publish Market Data for the counter order
if execution_counter:
if is_last_match_a_partial_execution_on_counter_order:
del other_side[0: execution_counter-1]
MarketDataPublisher.publish_executions( self.symbol,
counter_md_entry_type,
execution_counter - 1 - number_of_filled_counter_market_orders,
other_side[0] )
else:
del other_side[0: execution_counter]
MarketDataPublisher.publish_executions( self.symbol,
counter_md_entry_type,
execution_counter - number_of_filled_counter_market_orders )
if trades_to_publish:
MarketDataPublisher.publish_trades(self.symbol, trades_to_publish)
return ""
def run(self):
from pyblinktrade.message import JsonMessage, InvalidMessageException
from market_data_publisher import MarketDataPublisher
from execution import OrderMatcher
from models import Order
orders = self.db_session.query(Order).filter(Order.status.in_(("0", "1"))).order_by(Order.created)
for order in orders:
OrderMatcher.get(order.symbol).match(self.db_session, order, self.order_matcher_disabled)
while True:
raw_message = self.input_socket.recv()
msg_header = raw_message[:3]
session_id = raw_message[4:20]
json_raw_message = raw_message[21:].strip()
try:
msg = None
if json_raw_message:
try:
msg = JsonMessage(json_raw_message)
except InvalidMessageException, e:
self.log("IN", "TRADE_IN_REQ_ERROR", raw_message)
raise InvalidMessageError()
# never write passwords in the log file
if msg.has("Password"):
raw_message = raw_message.replace(msg.get("Password"), "*")
if msg.has("NewPassword"):
raw_message = raw_message.replace(msg.get("NewPassword"), "*")
self.log("IN", "TRADE_IN_REQ", raw_message)
if msg:
if msg.isMarketDataRequest(): # Market Data Request
req_id = msg.get("MDReqID")
market_depth = msg.get("MarketDepth")
instruments = msg.get("Instruments")
entries = msg.get("MDEntryTypes")
transact_time = msg.get("TransactTime")
timestamp = None
if transact_time:
timestamp = transact_time
else:
trade_date = msg.get("TradeDate")
if not trade_date:
trade_date = time.strftime("%Y%m%d", time.localtime())
self.log("OUT", "TRADEDATE", trade_date)
timestamp = datetime.datetime.strptime(trade_date, "%Y%m%d")
self.log("OUT", "TIMESTAMP", timestamp)
if len(instruments) > 1:
raise InvalidMessageError()
instrument = instruments[0]
om = OrderMatcher.get(instrument)
response_message = MarketDataPublisher.generate_md_full_refresh(
self.db_session, instrument, market_depth, om, entries, req_id, timestamp
)
response_message = "REP," + json.dumps(response_message, cls=JsonEncoder)
elif msg.isTradeHistoryRequest():
page = msg.get("Page", 0)
page_size = msg.get("PageSize", 100)
offset = page * page_size
columns = [
"TradeID",
"Market",
"Side",
"Price",
"Size",
"BuyerID",
"SellerID",
"BuyerUsername",
"SellerUsername",
"Created",
"OrderId",
"CounterOrderID",
]
trade_list = MarketDataPublisher.generate_trade_history(self.db_session, page_size, offset)
response_message = "REP," + json.dumps(
{
"MsgType": "U33", # TradeHistoryResponse
"TradeHistoryReqID": -1,
"Page": page,
"PageSize": page_size,
"Columns": columns,
"TradeHistoryGrp": trade_list,
},
cls=JsonEncoder,
)
else:
response_message = self.session_manager.process_message(msg_header, session_id, msg)
else:
response_message = self.session_manager.process_message(msg_header, session_id, msg)
except TradeRuntimeError, e:
self.db_session.rollback()
self.session_manager.close_session(session_id)
response_message = (
'ERR,{"MsgType":"ERROR", "Description":"'
+ e.error_description.replace("'", "")
+ '", "Detail": ""}'
)
def run(self):
from bitex.message import JsonMessage, InvalidMessageException
from market_data_publisher import MarketDataPublisher
from execution import OrderMatcher
from models import Order
orders = self.db_session.query(Order).filter(Order.status.in_(("0", "1"))).order_by(Order.created)
for order in orders:
OrderMatcher.get( order.symbol ).match(self.db_session, order)
while True:
raw_message = self.input_socket.recv()
msg_header = raw_message[:3]
session_id = raw_message[4:20]
json_raw_message = raw_message[21:].strip()
try:
msg = None
if json_raw_message:
try:
msg = JsonMessage(json_raw_message)
except InvalidMessageException, e:
self.log('IN', 'TRADE_IN_REQ_ERROR', raw_message)
raise InvalidMessageError()
# never write passwords in the log file
if msg.has('Password'):
raw_message = raw_message.replace(msg.get('Password'), '*')
if msg.has('NewPassword'):
raw_message = raw_message.replace(msg.get('NewPassword'), '*')
self.log('IN', 'TRADE_IN_REQ' ,raw_message )
if msg:
if msg.isMarketDataRequest(): # Market Data Request
req_id = msg.get('MDReqID')
market_depth = msg.get('MarketDepth')
instruments = msg.get('Instruments')
entries = msg.get('MDEntryTypes')
transact_time = msg.get('TransactTime')
timestamp = None
if transact_time:
timestamp = transact_time
else:
trade_date = msg.get('TradeDate')
if not trade_date:
trade_date = time.strftime("%Y%m%d", time.localtime())
self.log('OUT', 'TRADEDATE', trade_date)
timestamp = datetime.datetime.strptime(trade_date, "%Y%m%d")
self.log('OUT', 'TIMESTAMP', timestamp )
if len(instruments) > 1:
raise InvalidMessageError()
instrument = instruments[0]
om = OrderMatcher.get(instrument)
response_message = MarketDataPublisher.generate_md_full_refresh( application.db_session, instrument, market_depth, om, entries, req_id, timestamp )
response_message = 'REP,' + json.dumps( response_message , cls=JsonEncoder)
elif msg.isTradeHistoryRequest():
page = msg.get('Page', 0)
page_size = msg.get('PageSize', 100)
offset = page * page_size
columns = [ 'TradeID' , 'Market', 'Side', 'Price', 'Size',
'Buyer' , 'Seller', 'Created' ]
trade_list = MarketDataPublisher.generate_trade_history(application.db_session, page_size, offset )
response_message = 'REP,' + json.dumps( {
'MsgType' : 'U33', # TradeHistoryResponse
'TradeHistoryReqID' : -1,
'Page' : page,
'PageSize' : page_size,
'Columns' : columns,
'TradeHistoryGrp' : trade_list
}, cls=JsonEncoder )
else:
response_message = self.session_manager.process_message( msg_header, session_id, msg )
else:
response_message = self.session_manager.process_message( msg_header, session_id, msg )
except TradeRuntimeError, e:
self.db_session.rollback()
self.session_manager.close_session(session_id)
response_message = 'ERR,{"MsgType":"ERROR", "Description":"' + e.error_description.replace("'", "") + '", "Detail": ""}'
def run(self):
from message import JsonMessage, InvalidMessageException
from market_data_publisher import MarketDataPublisher
from execution import OrderMatcher
from models import Order
orders = self.db_session.query(Order).filter(
Order.status.in_(("0", "1"))).order_by(Order.created)
for order in orders:
OrderMatcher.get(order.symbol).match(self.db_session, order,
self.order_matcher_disabled)
while True:
raw_message = self.input_socket.recv()
msg_header = raw_message[:3]
session_id = raw_message[4:20]
json_raw_message = raw_message[21:].strip()
try:
msg = None
if json_raw_message:
try:
msg = JsonMessage(json_raw_message)
except InvalidMessageException, e:
self.log('IN', 'TRADE_IN_REQ_ERROR', raw_message)
raise InvalidMessageError()
# never write passwords in the log file
if msg.has('Password'):
raw_message = raw_message.replace(
msg.get('Password'), '*')
if msg.has('NewPassword'):
raw_message = raw_message.replace(
msg.get('NewPassword'), '*')
self.log('IN', 'TRADE_IN_REQ', raw_message)
if msg:
if msg.isMarketDataRequest(): # Market Data Request
req_id = msg.get('MDReqID')
market_depth = msg.get('MarketDepth')
instruments = msg.get('Instruments')
entries = msg.get('MDEntryTypes')
transact_time = msg.get('TransactTime')
timestamp = None
if transact_time:
timestamp = transact_time
else:
trade_date = msg.get('TradeDate')
if not trade_date:
trade_date = time.strftime(
"%Y%m%d", time.localtime())
self.log('OUT', 'TRADEDATE', trade_date)
timestamp = datetime.datetime.strptime(
trade_date, "%Y%m%d")
self.log('OUT', 'TIMESTAMP', timestamp)
if len(instruments) > 1:
raise InvalidMessageError()
instrument = instruments[0]
om = OrderMatcher.get(instrument)
response_message = MarketDataPublisher.generate_md_full_refresh(
self.db_session, instrument, market_depth, om,
entries, req_id, timestamp)
response_message = 'REP,' + json.dumps(
response_message, cls=JsonEncoder)
elif msg.isTradeHistoryRequest():
page = msg.get('Page', 0)
page_size = msg.get('PageSize', 100)
offset = page * page_size
columns = [
'TradeID', 'Market', 'Side', 'Price', 'Size',
'BuyerID', 'SellerID', 'BuyerUsername',
'SellerUsername', 'Created', 'OrderId',
'CounterOrderID'
]
trade_list = MarketDataPublisher.generate_trade_history(
self.db_session, page_size, offset)
response_message = 'REP,' + json.dumps(
{
'MsgType': 'U33', # TradeHistoryResponse
'TradeHistoryReqID': -1,
'Page': page,
'PageSize': page_size,
'Columns': columns,
'TradeHistoryGrp': trade_list
},
cls=JsonEncoder)
else:
response_message = self.session_manager.process_message(
msg_header, session_id, msg)
else:
response_message = self.session_manager.process_message(
msg_header, session_id, msg)
except TradeRuntimeError, e:
self.db_session.rollback()
self.session_manager.close_session(session_id)
response_message = 'ERR,{"MsgType":"ERROR", "Description":"' + e.error_description.replace(
"'", "") + '", "Detail": ""}'
