def cancel_order_from_replace_order(self, replace_order_message, reason = b'U'):
m = OuchClientMessages.CancelOrder(
order_token = replace_order_message['replacement_order_token'],
shares = 0
)
m.meta = replace_order_message.meta
return m
def cancel_order_from_enter_order(self, enter_order_message, reason = b'U'):
m = OuchClientMessages.CancelOrder(
order_token = enter_order_message['order_token'],
shares = 0
)
m.meta = enter_order_message.meta
return m
def sendOrder(self):
order = OuchClientMessages.EnterOrder(
order_token='{:014d}'.format(0).encode('ascii'),
buy_sell_indicator=b'B',
shares=randrange(1,10**6-1),
stock=b'AMAZGOOG',
price=randrange(1,10**9-100),
time_in_force=randrange(0,99999),
firm=b'OUCH',
display=b'N',
capacity=b'O',
intermarket_sweep_eligibility=b'N',
minimum_quantity=1,
cross_type=b'N',
customer_type=b' ')
self.transport.write(bytes(order))
def sendCSVorder(self):
order = OuchClientMessages.EnterOrder(
order_token='{:014d}'.format(0).encode('ascii'),
buy_sell_indicator=self.buy_sell_indicator[self.i],
shares=b'1',
stock=b'AMAZGOOG',
price=self.price[self.i],
time_in_force=self.time_in_force[self.i],
firm=b'OUCH',
display=b'N',
capacity=b'O',
intermarket_sweep_eligibility=b'N',
minimum_quantity=1,
cross_type=b'N',
customer_type=b' ')
# increment through the orders
self.i += 1
#self.transport.write(bytes(order))
print("Sent order: ", order)
def sendOrder(self, priceDelta, buyOrSell):
price = self.V + priceDelta
order = OuchClientMessages.EnterOrder(
order_token='{:014d}'.format(0).encode('ascii'),
buy_sell_indicator=buyOrSell,
shares=1,
stock=b'AMAZGOOG',
price=int(price * 10000),
time_in_force=4,
firm=b'OUCH',
display=b'N',
capacity=b'O',
intermarket_sweep_eligibility=b'N',
minimum_quantity=1,
cross_type=b'N',
customer_type=b' ')
self.client.transport.write(bytes(order))
waitingTime, priceDelta, buyOrSell = self.generateNextOrder()
reactor.callLater(waitingTime, self.sendOrder, priceDelta, buyOrSell)
def dataReceived(self, data):
print("\nDATA RECEIVED FROM CLIENT: ", data)
traderID = self.factory.clients.index(self)
print('received from client', traderID, ': ' + data.decode())
self.factory.book.append(data)
# dictionaries used to calculate BB and BO
buyStock = {} # key is price, value is quantity
sellStock = {} # key is price, value is quantity
#1. parse the message into our database TODO: this has to work with replace orders
text1 = data.decode()
token = text1.split(':')
print("Printing out token:\n")
for t in token:
print(t)
print("\nFinished printing out token.")
if (token[2][0] == 'B'):
temp = token[2].split('B')
else:
temp = token[2].split('S')
print("Printing out temp:\n")
for t in temp:
print(t)
print("\nFinished printing out temp.")
qShares = temp[1].split('x')
stockName = qShares[1].split('@')
# appending to dictionaries
if (token[2][0] == 'B'):
buyStock[stockName[1]] = qShares[0]
else:
sellStock[stockName[1]] = qShares[0]
#2. send OUCH message to exchange server
request = OuchClientMessages.EnterOrder(
order_token='{:014d}'.format(traderID).encode(
'ascii'), #change to orderID after you figure that out
buy_sell_indicator=token[1][0].encode(),
shares=int(qShares[0]),
stock=stockName[0].encode(),
price=int(stockName[1]),
time_in_force=randrange(0, 99999),
firm=b'OUCH',
display=b'N',
capacity=b'O',
intermarket_sweep_eligibility=b'N',
minimum_quantity=1,
cross_type=b'N',
customer_type=b' ')
self.factory.exchangeServer.sendall(bytes(request))
print('sent to exchange: ' + data.decode())
#3. calculate best bid and best offer
i = 0
for key in sorted(buyStock):
i += 1
if (i == len(buyStock)):
bestBid = (key, buyStock[key])
bestBid = (key, buyStock[key])
#print("bestBid\n", bestBid)
break
#print ("%s: %s" % (key, buyStock[key]))
for key in sorted(sellStock):
bestOffer = (key, sellStock[key])
#print("bestOffer\n", bestBid.key)
#print("bestOffer\n", bestBid.sellStock[key])
break
#4. broadcast BB BO to all the clients
for c in self.factory.clients:
request = "BB2x3BO5x6"
c.transport.write(bytes(request.encode()))
print('sent to all clients: ' + request)
async def sender(self, loop):
if self.reader is None:
reader, writer = await asyncio.streams.open_connection(
options.host, options.port, loop=loop)
self.reader = reader
self.writer = writer
for index in itertools.count():
request = OuchClientMessages.EnterOrder(
order_token='{:014d}'.format(index).encode('ascii'),
buy_sell_indicator=b'B' if randint(0, 1) == 1 else b'S',
shares=1, #randrange(1,10**6-1),
stock=b'AMAZGOOG',
price=rounduprounddown(randrange(1, 100), 40, 60, 0,
2147483647),
time_in_force=options.time_in_force,
firm=b'OUCH',
display=b'N',
capacity=b'O',
intermarket_sweep_eligibility=b'N',
minimum_quantity=1,
cross_type=b'N',
customer_type=b' ')
#print('send message: ', request)
#log.info("Sending Ouch message: %s", request)
await self.send(request)
reprequest = OuchClientMessages.ReplaceOrder(
existing_order_token='{:014d}'.format(index).encode('ascii'),
replacement_order_token='{:014d}'.format(
900000000 + index).encode('ascii'),
shares=2 * request['shares'],
price=request['price'],
time_in_force=options.time_in_force,
display=b'N',
intermarket_sweep_eligibility=b'N',
minimum_quantity=1)
#print('send message: ', request)
#log.info("Sending Ouch message: %s", request)
await self.send(reprequest)
reprequestii = OuchClientMessages.ReplaceOrder(
existing_order_token='{:014d}'.format(900000000 +
index).encode('ascii'),
replacement_order_token='{:014d}'.format(
910000000 + index).encode('ascii'),
shares=2 * request['shares'],
price=request['price'],
time_in_force=options.time_in_force,
display=b'N',
intermarket_sweep_eligibility=b'N',
minimum_quantity=1)
#print('send message: ', request)
#log.info("Sending Ouch message: %s", request)
await self.send(reprequestii)
cancelhalf = OuchClientMessages.CancelOrder(
order_token='{:014d}'.format(910000000 +
index).encode('ascii'),
shares=request['shares'])
#print('send message: ', request)
#log.info("Sending Ouch message: %s", request)
await self.send(cancelhalf)
if index % 1000 == 0:
print('sent {} messages'.format(index))
await asyncio.sleep(options.delay)
def decodeClientOUCH(data):
header = chr(data[0]).encode('ascii')
msg_type = OuchClientMessages.lookup_by_header_bytes(header)
msg = msg_type.from_bytes(data[1:], header=False)
return header, msg