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ba5fff0168 |
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@@ -8,6 +8,7 @@ using bts.api.core;
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using bts.api.orderman;
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using bts.api.position;
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using bts.co2;
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using bts.metrics;
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using bts.md;
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using Microsoft.Extensions.Configuration;
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@@ -86,6 +87,7 @@ public static class SparkApiServices {
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services.AddSparkdService<OrderService>();
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services.AddSingleton<IOrdersClient, OrdersClient>();
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}
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services.AddSparkdService<ShellLatencyService>();
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if (configurationSection.GetValue("EnablePosition", true)) {
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services.TryAddSingleton<ISecurityResolver>(ActivatorUtilities.GetServiceOrCreateInstance<PassiveSecurityResolver>);
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services.AddSparkdService<PositionService>()
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@@ -176,6 +178,7 @@ public static class SparkApiServices {
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services.AddSparkdService<OrderService>();
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services.AddSingleton<IOrdersClient, OrdersClient>();
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}
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services.AddSparkdService<ShellLatencyService>();
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if (isPositionsEnabled) {
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services.AddSparkdService<PositionService>();
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}
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@@ -3,6 +3,7 @@ namespace Bts.Spark.Sdk;
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using bts.api;
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using bts.api.core;
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using bts.api.orderman;
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using bts.metrics;
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using global::Spark.Api.Admin;
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using global::Spark.Api.MarketData;
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@@ -28,6 +29,7 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
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readonly IOrdersClient ordersClient;
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readonly IAdminClient adminClient;
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readonly ISecurityResolver securityResolver;
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readonly ShellLatencyService shellLatencyService;
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readonly ISparkLoginService loginService;
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readonly SimpleSparkClientConfig config;
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readonly ILogger<AuthenticatedSimpleSparkClient> logger;
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@@ -39,6 +41,7 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
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IOrdersClient ordersClient,
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IAdminClient adminClient,
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ISecurityResolver securityResolver,
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ShellLatencyService shellLatencyService,
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ISparkLoginService loginService,
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IOptions<SimpleSparkClientConfig> config,
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ILogger<AuthenticatedSimpleSparkClient> logger) {
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@@ -46,6 +49,7 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
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this.ordersClient = ordersClient;
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this.adminClient = adminClient;
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this.securityResolver = securityResolver;
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this.shellLatencyService = shellLatencyService;
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this.loginService = loginService;
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this.config = config.Value;
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this.logger = logger;
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@@ -61,7 +65,7 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
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}
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cancellationToken.ThrowIfCancellationRequested();
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var user = loginRes.user.Value;
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simpleClient = new(user.name, user.id, mdClient, ordersClient, adminClient, securityResolver, config.OrderPoolCapacity, config.OrderPoolReplenishInterval);
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simpleClient = new(user.name, user.id, mdClient, ordersClient, shellLatencyService, adminClient, securityResolver, config.OrderPoolCapacity, config.OrderPoolReplenishInterval);
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simpleClientSubject.OnNext(simpleClient);
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logger.LogInformation("SimpleSparkClient started");
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}
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@@ -97,6 +101,9 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
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public IObservable<TableUpdate<PriceTicker, uint>> PriceTicker(SecurityCriteria? securityCriteria) =>
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simpleClient?.PriceTicker(securityCriteria) ?? simpleClientSubject.Take(1).Select(c => c.PriceTicker(securityCriteria)).FlattenSeries();
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public Task<bool> PingAsync() =>
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simpleClient?.PingAsync() ?? pingBeforeStartAsync();
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public Task<Response> CreateOrder(OrderDefinition orderDef, double quantity, double price) =>
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orderOp(cli => cli.CreateOrder(orderDef, quantity, price));
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@@ -134,4 +141,15 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
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async Task<T> LateImpl() =>
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await op(await simpleClientSubject.FirstAsync());
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}
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async Task<bool> pingBeforeStartAsync() {
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var request = new BufferMessage() {
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Sequence = (ulong)DateTimeOffset.UtcNow.ToUnixTimeMilliseconds(),
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Data = "spark-sdk-ping"
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};
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var result = await shellLatencyService.ping_async(request);
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return result.success &&
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result.value.Sequence == request.Sequence &&
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result.value.Data == request.Data;
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}
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}
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@@ -48,6 +48,9 @@ public class ExecutionFacadeSimpleSparkClient : ISimpleSparkClient {
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public IObservable<TableUpdate<PriceTicker, uint>> PriceTicker(SecurityCriteria? securityCriteria) =>
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sparkClient.PriceTicker(securityCriteria);
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public Task<bool> PingAsync() =>
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sparkClient.PingAsync();
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public Task<Response> CreateOrder(OrderDefinition orderDef, double quantity, double price) {
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logger.LogInformation("CreateOrder {account} {tag} {securityId} {side} {quantity} @ {price}", orderDef.Account, orderDef.Tag, orderDef.SecurityKey, orderDef.Side, quantity, price);
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return Task.FromResult(facadeResponse());
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@@ -12,6 +12,8 @@ using mbts.spark;
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using System;
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public interface ISimpleSparkClient {
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Task<bool> PingAsync();
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// Market Data
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IObservable<TableUpdate<SecurityImmutable, uint>> Securities(SecurityCriteria? securityCriteria);
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IObservable<TableUpdate<BookRecord, uint>> Books(SecurityCriteria? securityCriteria);
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@@ -16,12 +16,14 @@ using global::Spark.Core.Disposables;
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using global::Spark.Core.Reactive;
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using mbts.spark;
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using bts.metrics;
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using System.Reactive.Linq;
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public class SimpleSparkClient : ISimpleSparkClient, IDisposable {
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readonly IMarketDataClient mdClient;
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readonly IOrdersClient ordersClient;
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readonly ShellLatencyService shellLatencyService;
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readonly OrderPool limitOrderPool;
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readonly OrderPool marketOrderPool;
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readonly TableUpdateDemuxer<OrderRecordTupleWithRoot, uint, uint> orderSecurityDmx;
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@@ -46,6 +48,7 @@ public class SimpleSparkClient : ISimpleSparkClient, IDisposable {
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uint userId,
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IMarketDataClient mdClient,
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IOrdersClient ordersClient,
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ShellLatencyService shellLatencyService,
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IAdminClient adminClient,
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ISecurityResolver securityResolver,
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int orderPoolCapacity,
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@@ -53,6 +56,7 @@ public class SimpleSparkClient : ISimpleSparkClient, IDisposable {
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) {
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this.mdClient = mdClient;
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this.ordersClient = ordersClient;
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this.shellLatencyService = shellLatencyService;
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limitOrderPool = new(orderPoolCapacity, () => new() { User = userName, UserId = userId, TimeInForce = TimeInForce.Gtc, CustomDef = new() { Limit = new() } });
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marketOrderPool = new(orderPoolCapacity, () => new() { User = userName, UserId = userId, TimeInForce = TimeInForce.Gtc, CustomDef = new() { Market = new() } });
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orderSecurityDmx = new TableUpdateDemuxer<OrderRecordTupleWithRoot, uint, uint>(o => o.order.order.Key, o => o.security_id);
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@@ -140,6 +144,17 @@ public class SimpleSparkClient : ISimpleSparkClient, IDisposable {
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}
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}
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public async Task<bool> PingAsync() {
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var request = new BufferMessage() {
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Sequence = (ulong)DateTimeOffset.UtcNow.ToUnixTimeMilliseconds(),
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Data = "spark-sdk-ping"
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};
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var result = await shellLatencyService.ping_async(request);
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return result.success &&
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result.value.Sequence == request.Sequence &&
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result.value.Data == request.Data;
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}
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public IObservable<TableUpdate<BookRecord, uint>> Books(SecurityCriteria? securityCriteria) {
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var booksSource = this.booksSource;
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var secFilter = securityCriteria?.ToPredicate();
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