def send_cancel_replace(self, order_id, price, qty):
# print "Attempting to cancel/replace %s to price=%s qty=%s" % (order_id, price, qty)
assert order_id in self.orders
assert order_id in self.live_order_ids
order = self.orders[order_id]
assert (
order.price != price or order.qty != qty
), "Trying to cancel/replace without changing anything for order %s" % str(order_id)
request_id = fresh_id()
logger.info(
"send_cancel_replace: orig_id=%s, replace_id=%s price=%s qty=%s" % (order_id, request_id, price, qty)
)
pb = self._make_cancel_replace_request(request_id, order, price, qty)
venue = order.venue
socket = self.order_sockets[venue]
tag = int_to_bytes(order_engine_constants.ORDER_REPLACE)
bytes = pb.SerializeToString()
socket.send_multipart([tag, self.strategy_id, request_id.bytes, bytes])
self.orders[request_id] = order
self.pending.add(order_id, request_id)
return request_id
def send_new_order(self, venue, symbol, side, price, qty, order_type=LIM, time_in_force=GFD):
# print "Attempting to create new order: venue = %s, symbol = %s, side = %s, price = %s, size = %s" % \
# (venue, symbol, side, price, qty)
order_id = fresh_id()
logger.info(
"send_new_order: id=%s, venue=%s, symbol=%s, side=%s, price=%f, size=%s",
order_id,
venue,
symbol,
side,
price,
qty,
)
order = Order(order_id, venue, symbol, side, price, qty, order_type=order_type, time_in_force=time_in_force)
pb = self._make_new_order_request(order)
socket = self.order_sockets[venue]
tag = int_to_bytes(order_engine_constants.ORDER_NEW)
bytes = pb.SerializeToString()
socket.send_multipart([tag, self.strategy_id, order_id.bytes, bytes])
self.orders[order_id] = order
self.live_order_ids.add(order_id)
self.pending.add(order_id, order_id)
return order_id
def ping(socket, name=None):
t0 = time.time()
socket.send(int_to_bytes(order_engine_constants.PING))
message_parts = poll_single_socket(socket, 0.25)
if message_parts:
tag = int_from_bytes(message_parts[0])
tag == order_engine_constants.PING_ACK
return time.time() - t0
else:
if not name:
name = '<not given>'
raise RuntimeError('Timed out waiting for ping ack from %s'
% name)
def send_cancel(self, order_id):
assert order_id in self.orders, "send_cancel: Unknown order %s" % str(order_id)
# assert order_id in self.live_order_ids, "send_cancel: Can't cancel dead order %s" % str(order_id)
order = self.orders[order_id]
request_id = fresh_id()
logger.info("Sending cancel for order_id=%s, cancel_request_id=%s", str(order_id), str(request_id))
pb = self._make_cancel_request(request_id, order)
tag = int_to_bytes(order_engine_constants.ORDER_CANCEL)
bytes = pb.SerializeToString()
socket = self.order_sockets[order.venue]
socket.send_multipart([tag, self.strategy_id, request_id.bytes, bytes])
self.orders[request_id] = order
self.live_order_ids.add(request_id)
self.pending.add(order_id, request_id)
return request_id
msg_parts = socket.recv_multipart(zmq.NOBLOCK)
except:
pass
if msg_parts:
return msg_parts
else:
if i == 0:
sys.stdout.write('Waiting for socket...')
sys.stdout.flush()
else:
sys.stdout.write('.')
sys.stdout.flush()
return None
hello_tag = int_to_bytes(order_engine_constants.STRATEGY_HELO)
def say_hello(socket, strategy_id_bytes):
socket.send_multipart([hello_tag, strategy_id_bytes])
message_parts = poll_single_socket(socket, 1)
if message_parts:
[tag, venue_id] = message_parts
tag = int_from_bytes(tag)
venue_id = int_from_bytes(venue_id)
assert tag == order_engine_constants.STRATEGY_HELO_ACK, \
'Unexpected response to HELO: %d' % tag
return venue_id
else:
raise RuntimeError("Didn't get response to HELO from order engine"
)
