Example #1
0
File: HD.go Project: 6xiao/GoQuant
func Recv(conn net.Conn) {
	defer func() { sendChan <- nil }()

	for {
		nethead := [HeadLen]byte{}
		if _, e := io.ReadFull(conn, nethead[:]); e != nil {
			fmt.Println(conn.RemoteAddr().String(), "Error recv head : ", e)
			break
		}
		msglen := *(*uint64)(unsafe.Pointer(&nethead))
		msgbuf := make([]byte, HeadLen+msglen)

		if _, e := io.ReadFull(conn, msgbuf[HeadLen:]); e != nil {
			fmt.Println(conn.RemoteAddr().String(), "Error recv body : ", e)
			break
		}

		mh := (*MessageHead)(unsafe.Pointer(&msgbuf[0]))
		mh.Msglen = msglen
		if uint32(len(msgbuf)) < MsgLen+RecLen {
			continue
		}

		rh := (*RecordHead)(unsafe.Pointer(&msgbuf[MsgLen]))

		if uint32(len(msgbuf)) < MsgLen+RecLen+rh.Length {
			continue
		}

		bodybuf := msgbuf[MsgLen+RecLen : MsgLen+RecLen+rh.Length]
		if rh.HashCode != Common.Hash(bodybuf) {
			continue
		}

		switch rh.RecType {
		case uint32(ConstDefine_E_DepthMarketData):
			dmd := &DepthMarketData{}
			proto.Unmarshal(bodybuf, dmd)
			quoteChan <- dmd

		case uint32(ConstDefine_E_ReqKLine):
			rkl := &ReqKLine{}
			proto.Unmarshal(bodybuf, rkl)
			klineChan <- &KlineReq{mh.Sender, mh.Copyer, mh.SendTime, rkl}

		case uint32(ConstDefine_E_ReqTick):
			rt := &ReqTick{}
			proto.Unmarshal(bodybuf, rt)
			tickChan <- &TickReq{mh.Sender, mh.Copyer, mh.SendTime, rt}
		}
	}
}
Example #2
0
File: ST.go Project: 6xiao/GoQuant
func SendTo(conn net.Conn, sender, recver, copyer uint64, tp ConstDefine, buf []byte) {
	sockbuf := make([]byte, MsgLen+RecLen+uint32(len(buf)))
	mh := (*MessageHead)(unsafe.Pointer(&sockbuf[0]))
	rh := (*RecordHead)(unsafe.Pointer(&sockbuf[MsgLen]))
	bodybuf := sockbuf[MsgLen+RecLen:]
	mh.Msglen = uint64(len(sockbuf)) - HeadLen
	mh.Sender = sender
	mh.Recver = recver
	mh.Copyer = copyer
	rh.HashCode = Common.Hash(buf)
	rh.RecType = uint32(tp)
	rh.Length = uint32(len(buf))
	copy(bodybuf, buf)
	conn.Write(sockbuf)
}
Example #3
0
File: HD.go Project: 6xiao/GoQuant
func SendTo(id uint64, copyer uint64, tp ConstDefine, buf []byte) {
	sockbuf := make([]byte, MsgLen+RecLen+uint32(len(buf)))
	mh := (*MessageHead)(unsafe.Pointer(&sockbuf[0]))
	rh := (*RecordHead)(unsafe.Pointer(&sockbuf[MsgLen]))
	bodybuf := sockbuf[MsgLen+RecLen:]
	mh.Msglen = uint64(len(sockbuf)) - HeadLen
	mh.Sender = MakeID(*flgName)
	mh.Recver = id
	mh.Copyer = copyer
	if buf != nil {
		rh.HashCode = Common.Hash(buf)
		rh.RecType = uint32(tp)
		rh.Length = uint32(len(buf))
		copy(bodybuf, buf)
	}
	sendChan <- sockbuf
}
Example #4
0
File: ST.go Project: 6xiao/GoQuant
func Recv(conn net.Conn) {
	for {
		nethead := [HeadLen]byte{}
		if _, e := io.ReadFull(conn, nethead[:]); e != nil {
			fmt.Println(conn.RemoteAddr().String(), "Error recv head : ", e)
			break
		}

		msglen := *(*uint64)(unsafe.Pointer(&nethead))
		msgbuf := make([]byte, HeadLen+msglen)

		if _, e := io.ReadFull(conn, msgbuf[HeadLen:]); e != nil {
			fmt.Println(conn.RemoteAddr().String(), "Error recv body : ", e)
			break
		}

		mh := (*MessageHead)(unsafe.Pointer(&msgbuf[0]))
		mh.Msglen = msglen
		if uint32(len(msgbuf)) < MsgLen+RecLen {
			fmt.Println("error of message head")
			continue
		}

		rh := (*RecordHead)(unsafe.Pointer(&msgbuf[MsgLen]))
		if uint32(len(msgbuf)) < MsgLen+RecLen+rh.Length {
			fmt.Println("error of message length")
			continue
		}

		bodybuf := msgbuf[MsgLen+RecLen : MsgLen+RecLen+rh.Length]
		if rh.HashCode != Common.Hash(bodybuf) {
			fmt.Println("error of message hashcode")
			continue
		}

		switch rh.RecType {
		case uint32(ConstDefine_E_DepthMarketData):
			dmd := &DepthMarketData{}
			err := proto.Unmarshal(bodybuf, dmd)
			if err != nil || dmd.GetTickerName() != *flgTicker {
				break
			}

			fmt.Println(dmd.GetTime(), dmd.GetTickerName(), dmd.GetVolume(), dmd.GetLastPrice())
			order := dmd.GetOrder()
			for i, ord := range order {
				fmt.Println(i, ord.GetTime(), ord.GetAccount(), ord.GetTickerName(),
					ord.GetVolume(), ord.GetPrice(), ord.GetLastFilled(),
					ord.GetTotalFilled(), ord.GetExplain(), ord.GetOrderID(),
					ord.GetIsForce(), ord.GetIsToday())
			}
			position := dmd.GetPosition()
			for i, pos := range position {
				fmt.Println(i, pos.GetAccount(), pos.GetTickerName(), pos.GetMargin(),
					"longAvgPrice/q/v/c:", pos.GetLongAvgPrice(), pos.GetQueuingLongVolume(),
					pos.GetValidLongVolume(), pos.GetClosingLongVolume(),
					"shotAvgPrice/q/v/c:", pos.GetShortAvgPrice(), pos.GetQueuingShortVolume(),
					pos.GetValidShortVolume(), pos.GetClosingShortVolume())
			}

		case uint32(ConstDefine_E_RspSendOrder):
			so := &RspSendOrder{}
			err := proto.Unmarshal(bodybuf, so)
			if err != nil {
				fmt.Println("error : unmarshal message RspSendOrder")
				break
			}
			fmt.Println("OnRecvRspSendOrder:")
			if ord := so.GetLastReport(); ord != nil {
				fmt.Println(ord.GetTime(), ord.GetAccount(), ord.GetTickerName(),
					ord.GetVolume(), ord.GetPrice(), ord.GetLastFilled(), ord.GetTotalFilled(),
					ord.GetExplain(), ord.GetOrderID(), ord.GetIsForce(), ord.GetIsToday())
			}

		case uint32(ConstDefine_E_ReqCancelOrder):
			co := &ReqCancelOrder{}
			err := proto.Unmarshal(bodybuf, co)
			if err != nil {
				fmt.Println("error : unmarshal message ReqCancelOrder")
				break
			}
			fmt.Println("OnRecvReqCancelOrder:")
			fmt.Println(co.GetAccount(), co.GetTickerName(), co.GetOrderID())

		case uint32(ConstDefine_E_RspCancelOrder):
			co := &RspCancelOrder{}
			err := proto.Unmarshal(bodybuf, co)
			if err != nil {
				fmt.Println("error : unmarshal message RspCancelOrder")
				break
			}
			fmt.Println("OnRecvRspCancelOrder:")
			if ord := co.GetLastReport(); ord != nil {
				fmt.Println(ord.GetTime(), ord.GetAccount(), ord.GetTickerName(),
					ord.GetVolume(), ord.GetPrice(), ord.GetLastFilled(), ord.GetTotalFilled(),
					ord.GetExplain(), ord.GetOrderID(), ord.GetIsForce(), ord.GetIsToday())
			}

		case uint32(ConstDefine_E_RspOrdersInfo):
			oi := &RspOrdersInfo{}
			err := proto.Unmarshal(bodybuf, oi)
			if err != nil {
				fmt.Println("error : unmarshal message RspOrdersInfo")
				break
			}
			fmt.Println("OnRecvRspOrdersInfo")
			if order := oi.GetOrder(); order != nil {
				for i, ord := range order {
					fmt.Println(i, ord.GetTime(), ord.GetAccount(), ord.GetTickerName(),
						ord.GetVolume(), ord.GetPrice(), ord.GetLastFilled(),
						ord.GetTotalFilled(), ord.GetExplain(), ord.GetOrderID(),
						ord.GetIsForce(), ord.GetIsToday())
				}
			}

		case uint32(ConstDefine_E_RspPosition):
			p := &RspPosition{}
			err := proto.Unmarshal(bodybuf, p)
			if err != nil {
				fmt.Println("error : unmarshal message RspPosition")
				break
			}
			fmt.Println("OnRecvRspPosition")
			if position := p.GetPosition(); position != nil {
				for i, pos := range position {
					fmt.Println(i, pos.GetAccount(), pos.GetTickerName(), pos.GetMargin(),
						"longAvgPrice/q/v/c:", pos.GetLongAvgPrice(), pos.GetQueuingLongVolume(),
						pos.GetValidLongVolume(), pos.GetClosingLongVolume(),
						"shotAvgPrice/q/v/c:", pos.GetShortAvgPrice(), pos.GetQueuingShortVolume(),
						pos.GetValidShortVolume(), pos.GetClosingShortVolume())
				}
			}

		case uint32(ConstDefine_E_ReqPosition):
			p := &ReqPosition{}
			err := proto.Unmarshal(bodybuf, p)
			if err != nil {
				fmt.Println("error : unmarshal message ReqPosition")
				break
			}
			fmt.Println("OnRecvReqPosition")
			fmt.Println(p.GetAccount(), p.GetTickerName())

		case uint32(ConstDefine_E_RspAccount):
			a := &RspAccount{}
			err := proto.Unmarshal(bodybuf, a)
			if err != nil {
				fmt.Println("error : unmarshal message RspAccount")
				break
			}
			fmt.Println("OnRecvRspAccount/v/m:", a.GetAccount(), a.GetAvailable(), a.GetMargin())
			order := a.GetOrders()
			for i, ord := range order {
				fmt.Println(i, ord.GetTime(), ord.GetAccount(), ord.GetTickerName(),
					ord.GetVolume(), ord.GetPrice(), ord.GetLastFilled(),
					ord.GetTotalFilled(), ord.GetExplain(), ord.GetOrderID(),
					ord.GetIsForce(), ord.GetIsToday())
			}
			position := a.GetPositions()
			for i, pos := range position {
				fmt.Println(i, pos.GetAccount(), pos.GetTickerName(), pos.GetMargin(),
					"longAvgPrice/q/v/c:", pos.GetLongAvgPrice(), pos.GetQueuingLongVolume(),
					pos.GetValidLongVolume(), pos.GetClosingLongVolume(),
					"shotAvgPrice/q/v/c:", pos.GetShortAvgPrice(), pos.GetQueuingShortVolume(),
					pos.GetValidShortVolume(), pos.GetClosingShortVolume())
			}

		case uint32(ConstDefine_E_RspAlgoOrder):
			ao := &RspAlgoOrder{}
			err := proto.Unmarshal(bodybuf, ao)
			if err != nil {
				fmt.Println("error : unmarshal message RspAlgoOrder")
				break
			}
			fmt.Println("OnRecvRspAlgoOrder")

		case uint32(ConstDefine_E_RspTickerInfo):
			ti := &RspTickerInfo{}
			err := proto.Unmarshal(bodybuf, ti)
			if err != nil {
				fmt.Println("error : unmarshal message RspTickerInfo")
				break
			}
			fmt.Println("OnRecvRspTickerInfo")
			for i, ts := range ti.GetTradingSession() {
				fmt.Println(i, ts.GetStartTime(), ts.GetEndTime())
			}
		}
	}
}
Example #5
0
File: VE.go Project: 6xiao/GoQuant
func Recv(conn net.Conn) {
	defer func() { sendChan <- nil }()

	for {
		nethead := [HeadLen]byte{}
		if _, e := io.ReadFull(conn, nethead[:]); e != nil {
			fmt.Println(conn.RemoteAddr().String(), "Error recv head : ", e)
			break
		}

		msglen := *(*uint64)(unsafe.Pointer(&nethead))
		msgbuf := make([]byte, HeadLen+msglen)

		if _, e := io.ReadFull(conn, msgbuf[HeadLen:]); e != nil {
			fmt.Println(conn.RemoteAddr().String(), "Error recv body : ", e)
			break
		}

		mh := (*MessageHead)(unsafe.Pointer(&msgbuf[0]))
		mh.Msglen = msglen
		//fmt.Println("msgSender -> Recver:", mh.Sender, mh.Recver)
		if uint32(len(msgbuf)) < MsgLen+RecLen {
			continue
		}

		rh := (*RecordHead)(unsafe.Pointer(&msgbuf[MsgLen]))

		if uint32(len(msgbuf)) < MsgLen+RecLen+rh.Length {
			continue
		}

		bodybuf := msgbuf[MsgLen+RecLen : MsgLen+RecLen+rh.Length]
		if rh.HashCode != Common.Hash(bodybuf) {
			continue
		}

		switch rh.RecType {
		case uint32(ConstDefine_E_DepthMarketData):
			dmd := &DepthMarketData{}
			proto.Unmarshal(bodybuf, dmd)
			quoteChan <- dmd

		case uint32(ConstDefine_E_ReqCancelOrder):
			co := &ReqCancelOrder{}
			proto.Unmarshal(bodybuf, co)
			cancelChan <- &CancelReq{mh.Sender, mh.SendTime, co}

		case uint32(ConstDefine_E_ReqOrdersInfo):
			buf, _ := proto.Marshal(&RspOrdersInfo{})
			SendTo(mh.Sender, 0, ConstDefine_E_RspOrdersInfo, buf)

		case uint32(ConstDefine_E_ReqPosition):
			buf, _ := proto.Marshal(&RspPosition{})
			SendTo(mh.Sender, 0, ConstDefine_E_RspPosition, buf)

		case uint32(ConstDefine_E_ReqAccount):
			buf, _ := proto.Marshal(&RspAccount{})
			SendTo(mh.Sender, 0, ConstDefine_E_RspAccount, buf)

		case uint32(ConstDefine_E_ReqSendOrder):
			so := &ReqSendOrder{}
			proto.Unmarshal(bodybuf, so)
			fmt.Println("order...")
			orderChan <- &OrderReq{mh.Sender, 0, "", OrderStatus_OrderStatus_NIL, so}

		case uint32(ConstDefine_E_HeartBeat):
			if len(reqtickChan) > 0 {
				quoteChan <- <-reqtickChan
			}
			if len(reqklineChan) > 0 {
				rk := <-reqklineChan
				buf, _ := proto.Marshal(rk)
				SendTo(MakeID(*flgQuote), 0, ConstDefine_E_RspKLine, buf)
			}

		case uint32(ConstDefine_E_RspKLine):
			go func() {
				rk := &RspKLine{}
				proto.Unmarshal(bodybuf, rk)
				klines := rk.GetBar_Minute()
				if nil == klines {
					return
				}
				fmt.Println(time.Now(), " GetKLine:", len(klines))
				for _, kl := range klines {
					rk.Bar_Minute = []*TOHLCV{kl}
					reqklineChan <- rk
				}
			}()

		case uint32(ConstDefine_E_RspTick):
			tickBuffer <- bodybuf
		}
	}
}
Example #6
0
File: OS.go Project: 6xiao/GoQuant
func Spliter(key, mode string) {
	defer delete(algos, key)

	algo, ok := algos[key]
	if !ok {
		log.Println("Can't get algo from key:", key)
		return
	}

	log.Println("start routine by key:", key)

	ticker := algo.GetTickerName()
	account := algo.GetAccount()
	strategy := algo.GetStrategyName()
	exchange := algo.GetExchangeName()

	conn, err := net.Dial("tcp", *flgMc)
	if err != nil {
		log.Println("error:", err)
		return
	}
	defer conn.Close()

	Register(conn, algo.GetQuoteName())

	if *flgTest {
		hb := &HeartBeat{}
		if buf, err := proto.Marshal(hb); err == nil {
			SendTo(conn, MakeID(strategy), MakeID(exchange), 0, ConstDefine_E_HeartBeat, buf)
		}
	}

	for {
		nethead := [HeadLen]byte{}
		if _, e := io.ReadFull(conn, nethead[:]); e != nil {
			log.Println(conn.RemoteAddr().String(), "error recv head : ", e)
			break
		}

		msglen := *(*uint64)(unsafe.Pointer(&nethead))
		msgbuf := make([]byte, HeadLen+msglen)

		if _, e := io.ReadFull(conn, msgbuf[HeadLen:]); e != nil {
			log.Println(conn.RemoteAddr().String(), "error recv body : ", e)
			break
		}

		mh := (*MessageHead)(unsafe.Pointer(&msgbuf[0]))
		mh.Msglen = msglen
		if uint32(len(msgbuf)) < MsgLen+RecLen {
			log.Println(conn.RemoteAddr().String(), "error recv half-head")
			continue
		}

		rh := (*RecordHead)(unsafe.Pointer(&msgbuf[MsgLen]))

		if uint32(len(msgbuf)) < MsgLen+RecLen+rh.Length {
			log.Println(conn.RemoteAddr().String(), "error recv half-body")
			continue
		}

		bodybuf := msgbuf[MsgLen+RecLen : MsgLen+RecLen+rh.Length]
		if rh.HashCode != Common.Hash(bodybuf) {
			log.Println(conn.RemoteAddr().String(), "error hash")
			continue
		}

		if rh.RecType != uint32(ConstDefine_E_DepthMarketData) {
			continue
		}

		dmd := &DepthMarketData{}
		err := proto.Unmarshal(bodybuf, dmd)
		if err != nil || dmd.GetTickerName() != ticker {
			continue
		}

		buyOpen, buyClose, sellOpen, sellClose := GetOrders(ticker, account, dmd)
		_, longPos, _, _, shortPos, _ := GetPositionNumber(ticker, account, dmd)
		lastPrice := dmd.GetLastPrice()
		buyPrice := dmd.GetLastPrice()
		sellPrice := dmd.GetLastPrice()
		longVolume := algo.GetLongVolume()
		shortVolume := algo.GetShortVolume()

		if longVolume+shortVolume == 0 {
			return
		}

		switch mode {
		case MODE_FAST:
			buyPrice = algo.GetMaxLongPrice()
			sellPrice = algo.GetMinShortPrice()

		case MODE_MARKET:
		}

		if longPos < longVolume {
			for i, ord := range sellClose {
				if ord == nil {
					continue
				}

				log.Println("longPos < longVolume:", longPos, longVolume, "cancel sell-close order:", ord.GetOrderID())
				co := CancelOrder(ticker, account, ord.GetOrderID())
				SendTo(conn, MakeID(strategy), MakeID(exchange), 0, ConstDefine_E_ReqCancelOrder, co)
				longPos += ord.GetVolume()
				sellClose[i] = nil
			}
		}

		for i, ord := range buyOpen {
			if ord == nil {
				continue
			}

			if !Equ(ord.GetPrice(), buyPrice) && ord.GetPrice() < buyPrice {
				log.Println("ord.Price < buyprice, cancel buy-open order:", ord.GetOrderID())
			} else if longPos >= longVolume {
				log.Println("longPos >= longVolume:", longPos, longVolume, "cancel buy-open order:", ord.GetOrderID())
			} else if longPos+ord.GetVolume() > longVolume {
				log.Println("too big order, cancel buy-open order:", ord.GetOrderID())
			} else {
				longPos += ord.GetVolume()
				log.Println("keep order:", ord.GetOrderID())
				continue
			}

			co := CancelOrder(ticker, account, ord.GetOrderID())
			SendTo(conn, MakeID(strategy), MakeID(exchange), 0, ConstDefine_E_ReqCancelOrder, co)
			buyOpen[i] = nil
		}

		if buyPrice < algo.GetMaxLongPrice() || Equ(algo.GetMaxLongPrice(), buyPrice) {
			for ; longPos < longVolume; longPos++ {
				so := SendOrder(ticker, account, true, true, buyPrice, lastPrice, 1)
				SendTo(conn, MakeID(strategy), MakeID(exchange), 0, ConstDefine_E_ReqSendOrder, so)
			}
		}

		if longPos > longVolume {
			for i, ord := range buyOpen {
				if ord == nil {
					continue
				}

				log.Println("longPos > longVolume:", longPos, longVolume, "cancel buy-open order:", ord.GetOrderID())
				co := CancelOrder(ticker, account, ord.GetOrderID())
				SendTo(conn, MakeID(strategy), MakeID(exchange), 0, ConstDefine_E_ReqCancelOrder, co)
				buyOpen[i] = nil
			}
		}

		for i, ord := range sellClose {
			if ord == nil {
				continue
			}

			if ord.GetPrice() > sellPrice && !Equ(ord.GetPrice(), sellPrice) {
				log.Println("ord.Price > sellprice, cancel sell-close order:", ord.GetOrderID())
			} else if longPos <= longVolume {
				log.Println("longPos <= longVolume:", longPos, longVolume, "cancel sell-close order:", ord.GetOrderID())
			} else if longPos < longVolume+ord.GetVolume() {
				log.Println("too big order, cancel sell-close order:", ord.GetOrderID())
			} else {
				longVolume += ord.GetVolume()
				log.Println("keep order:", ord.GetOrderID())
				continue
			}

			co := CancelOrder(ticker, account, ord.GetOrderID())
			SendTo(conn, MakeID(strategy), MakeID(exchange), 0, ConstDefine_E_ReqCancelOrder, co)
			sellClose[i] = nil
		}

		for ; longPos > longVolume; longVolume++ {
			so := SendOrder(ticker, account, false, false, sellPrice, lastPrice, 1)
			SendTo(conn, MakeID(strategy), MakeID(exchange), 0, ConstDefine_E_ReqSendOrder, so)
		}

		if shortPos < shortVolume {
			for i, ord := range buyClose {
				if ord == nil {
					continue
				}

				log.Println("shortPos < shortVolume:", shortPos, shortVolume, "cancel buy-close order:", ord.GetOrderID())
				co := CancelOrder(ticker, account, ord.GetOrderID())
				SendTo(conn, MakeID(strategy), MakeID(exchange), 0, ConstDefine_E_ReqCancelOrder, co)
				shortPos += ord.GetVolume()
				buyClose[i] = nil
			}
		}

		for i, ord := range sellOpen {
			if ord == nil {
				continue
			}

			if ord.GetPrice() > sellPrice && !Equ(ord.GetPrice(), sellPrice) {
				log.Println("ord.Price > sellPrice, cancel sell-open order:", ord.GetOrderID())
			} else if shortPos >= shortVolume {
				log.Println("shortPos >= shortVolume:", shortPos, shortVolume, "cancel sell-open order:", ord.GetOrderID())
			} else if shortPos+ord.GetVolume() > shortVolume {
				log.Println("too big order, cancel sell-open order:", ord.GetOrderID())
			} else {
				shortPos += ord.GetVolume()
				log.Println("keep order:", ord.GetOrderID())
				continue
			}

			co := CancelOrder(ticker, account, ord.GetOrderID())
			SendTo(conn, MakeID(strategy), MakeID(exchange), 0, ConstDefine_E_ReqCancelOrder, co)
			sellOpen[i] = nil
		}

		if sellPrice > algo.GetMinShortPrice() || Equ(sellPrice, algo.GetMinShortPrice()) {
			for ; shortPos < shortVolume; shortPos++ {
				so := SendOrder(ticker, account, false, true, sellPrice, lastPrice, 1)
				SendTo(conn, MakeID(strategy), MakeID(exchange), 0, ConstDefine_E_ReqSendOrder, so)
			}
		}

		if shortPos > shortVolume {
			for i, ord := range sellOpen {
				if ord == nil {
					continue
				}

				log.Println("shortPos > shortVolume, cancel sell-open order", ord.GetOrderID())
				co := CancelOrder(ticker, account, ord.GetOrderID())
				SendTo(conn, MakeID(strategy), MakeID(exchange), 0, ConstDefine_E_ReqCancelOrder, co)
				sellOpen[i] = nil
			}
		}

		for i, ord := range buyClose {
			if ord == nil {
				continue
			}

			if ord.GetPrice() < buyPrice && !Equ(buyPrice, ord.GetPrice()) {
				log.Println("ord.Price < buyprice, cancel buy-close order:", ord.GetOrderID())
			} else if shortPos <= shortVolume {
				log.Println("shortPos <= shortVolume:", shortPos, shortVolume, "cancel buy-close order:", ord.GetOrderID())
			} else if shortPos < shortVolume+ord.GetVolume() {
				log.Println("too big order, cancel buy-close order:", ord.GetOrderID())
			} else {
				shortVolume += ord.GetVolume()
				log.Println("keep order:", ord.GetOrderID())
				continue
			}

			co := CancelOrder(ticker, account, ord.GetOrderID())
			SendTo(conn, MakeID(strategy), MakeID(exchange), 0, ConstDefine_E_ReqCancelOrder, co)
			buyClose[i] = nil
		}

		for ; shortPos > shortVolume; shortVolume++ {
			so := SendOrder(ticker, account, true, false, buyPrice, lastPrice, 1)
			SendTo(conn, MakeID(strategy), MakeID(exchange), 0, ConstDefine_E_ReqSendOrder, so)
		}

		if *flgTest {
			time.Sleep(time.Second)
			hb := &HeartBeat{}
			if buf, err := proto.Marshal(hb); err == nil {
				SendTo(conn, MakeID(strategy), MakeID(exchange), 0, ConstDefine_E_HeartBeat, buf)
			}
		}
	}
}
Example #7
0
File: OS.go Project: 6xiao/GoQuant
func Recv(conn net.Conn) {
	for {
		nethead := [HeadLen]byte{}
		if _, e := io.ReadFull(conn, nethead[:]); e != nil {
			log.Println(conn.RemoteAddr().String(), "error recv head : ", e)
			break
		}

		msglen := *(*uint64)(unsafe.Pointer(&nethead))
		msgbuf := make([]byte, HeadLen+msglen)

		if _, e := io.ReadFull(conn, msgbuf[HeadLen:]); e != nil {
			log.Println(conn.RemoteAddr().String(), "error recv body : ", e)
			break
		}

		mh := (*MessageHead)(unsafe.Pointer(&msgbuf[0]))
		mh.Msglen = msglen
		if uint32(len(msgbuf)) < MsgLen+RecLen {
			log.Println(conn.RemoteAddr().String(), "error recv half-head")
			continue
		}

		rh := (*RecordHead)(unsafe.Pointer(&msgbuf[MsgLen]))

		if uint32(len(msgbuf)) < MsgLen+RecLen+rh.Length {
			log.Println(conn.RemoteAddr().String(), "error recv half-body")
			continue
		}

		bodybuf := msgbuf[MsgLen+RecLen : MsgLen+RecLen+rh.Length]
		if rh.HashCode != Common.Hash(bodybuf) {
			log.Println(conn.RemoteAddr().String(), "error hash")
			continue
		}

		switch rh.RecType {
		default:
			log.Println("recv other msg", mh.Sender)

		case uint32(ConstDefine_E_DepthMarketData):
			dmd := &DepthMarketData{}
			err := proto.Unmarshal(bodybuf, dmd)
			if err == nil {
				fmt.Println(dmd.GetTime(), dmd.GetTickerName(), dmd.GetVolume(), dmd.GetLastPrice())
			}

		case uint32(ConstDefine_E_ReqAlgoOrder):
			ao := &ReqAlgoOrder{}
			err := proto.Unmarshal(bodybuf, ao)
			if err != nil {
				log.Println("error:", err)
				break
			}

			if ai := ao.GetAlgo(); ai != nil {
				tk := ai.GetTickerName()
				st := ai.GetStrategyName()
				ac := ai.GetAccount()
				ex := ai.GetExchangeName()
				qt := ai.GetQuoteName()
				an := ai.GetAlgoName()
				lv := ai.GetLongVolume()
				sv := ai.GetShortVolume()
				log.Println("AlgoOrder:", tk, st, ac, ex, qt, an, lv, sv)

				if MakeID(st) != mh.Sender {
					log.Println("error: ", st, "not assign sender ", mh.Sender)
					break
				}

				key := fmt.Sprint(tk, "_", st, "_", ac, "_", ex, "_", qt, "_", an)
				if v, ok := algos[key]; ok {
					*v = *ai
				} else if lv+sv > 0 {
					algos[key] = ai
					switch ai.GetAlgoName() {
					case MODE_FAST:
						go Spliter(key, MODE_FAST)

					case MODE_MARKET:
						go Spliter(key, MODE_MARKET)
					}
				}

				rao := &RspAlgoOrder{Algo: ai}
				if buf, err := proto.Marshal(rao); err == nil {
					SendTo(conn, mh.Recver, mh.Sender, mh.Copyer, ConstDefine_E_RspSendOrder, buf)
				} else {
					log.Panicln("error:", err)
				}
			}
		}
	}
}