1.
아주 우연히 눈에 들어왔습니다. “Island ECN의 소스코드를 공개했다”는 글이었습니다. 이천년대 초반 미국에서 대체거래소(ATS) 및 ECN을 설립하는 붐이 있었습니다. 이 때를 설명한 글입니다.
전자거래시스템의 급속한 성장내에서 ECN(Electronic Communications Network)의 성장은 최근 2-3년 동안 더욱 두드러지고 있다. 이런 완전히 자동화된 시스템을 통해 기관이나 다른 시장참여자들은 다양한 방법으로 전자적으로 거래를 체결시킬 수 있다.
수년간 Nasdaq과 관련한 시장의 증가를 보아온 Day-trading 회사들은 ECNs 설립에 뛰어들었다. Island ECN(대부분 온라인 중개회사인 Datek가 소유), Attain, Archipelago, 및 NexTrade등이 그 예이다. 예외없이, 중개 회사(brokerage firms)들과 다른 전통적인 players는 그들 자신의 그룹을 지지했다. REDIBook은 NYSE의 specialist인 Spear Leeds & Kellogg에 의해 발족되었으며 Strike는 Bear Stearns에 의해 시작되었다.
글 중에 등장한 Island ECN를 이후 Instinet가 2002년 인수하였고 역사속으로 사라졌습니다.
2.
2002년으로부터 10년이 흐른 2012년 Island ECN에 참여했던 분이 그 때 개발하였던 매매체결시스템의 소스코드를 공개하였습니다.
Island ECN 10th Birthday Source Code Release!
무엇보다 놀라운 점은 개발언어가 FoxPro이라는 점입니다. 제가 처음부터 끝까지 프로그램을 개발하여 사용하였던 유일한 언어가 Foxpro입니다. 저는 그저 자료관리 프로그램을 개발하였는데 어떤 이는 방대한 크기의 매매체결시스템을 개발하였습니다.
개발언어가 업무를 제한하는 것이 아니라 개발자의 능력이 개발언어를 제약한다는 생각이 듭니다. 참고로 C++로 개발한 매매체결시스템과 비교해보세요.
이천년대 초반 한국도 ECN이 있었습니다. 한국ECN입니다만 매출부진으로 문을 닫았습니다. 혹 이 때의 소스를 공개할 분이 있을까요? Exture나 Exture+이전에 사용하였던 코스콤 소스로 알고 있습니다만.
위의 사이트에서 소스코드를 확인하실 수 있지만 기록을 위해 저도 옮겨봅니다.
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SET TALK OFF SET CURSOR OFF SET SAFETY OFF SET MEMOWIDTH TO 80 CLEAR ALL CLOSE ALL CLEAR CLEAR MACRO && Get rid of F keys typing commands SET HELP OFF && Needed to clear out F1 key too =rand(-1) #define COREDEST "FFFFFFFF0673" gstoredflag = .F. && Are there any messages buffered that could be flushed? #define VERSION "2.40" malertfile = "M:\logs\island2.err" mholdofffile = "M:\island2\holdoff.txt" blanknbuffer="R"+replicate( " " , 200 ) && get BRIGADEN message here #define CORELINELEN 124 #define COREMESSAGELEN 122 #define READPORT "067F" load int99 define window title from 0,0 to 0,scols()-1 COLOR "W/B" NONE define window output from 1,0 to 10,scols()-1 NONE COLOR "W+/N" define window ticker from 12,0 to srows()-1,scols()-1 NONE define window status from 11,0 to 11,scols()-1 COLOR "W+/R" NONE do title do initstatus activate window title activate window status activate window output activate window ticker s = fopen( "ISLAND2.TXT" ) if s <= 0 wait window "COULD NOT FIND ISLAND2.TXT IN CURRENT DIR. RUN RESET." quit endif x = fgets( s ) if "ISLAND2" # x wait window "ACCOUNT IN ISLAND2.TXT DOES NOT MATCH ACCOUNT ENV VAR. RUN RESET." =fclose( s ) quit endif tcount = 0 && For counting random stuff tseq = val( fgets( s ) ) && Next order number tmatch = val( fgets( s ) ) && Next match number tnextdead = val( fgets( s ) ) && Next dead order (zero=none) =fclose( s ) select select(1) use events set order to WHEN tnow = 0 ttoolate = 0 && Count the too late to cancel events gaccept = .F. && Let any orders in? Set by SOD, cleared by EOD gactaccept = .F. && Let ACT orders in? Set by SOD, cleared by EOA geom = .F. && Have we gotten EOM yet? gprinting = .F. && Print incoming messages? go top if eof("EVENTS") tnext = 99999.999 else tnext = WHEN && Time of next event endif select 0 use sources set order to SOURCE select select(1) use island gsx = alltrim( str( date() - {2/6/1996} ) ) gsession = left( "0000000000" , 9-len( gsx ) ) + gsx + "F" s="N"+gsession+"5050" && Open the islandfile for writing Mold on port 5050 call int99 with s if s # "n" && Valid open file? do alert with "InitMold filed with reason >"+s do case case s = "i" sm ="Error opening files in deney-write mode" case s = "j" sm = "a file had a partial line fragment" case s = "k" sm = "not all trailing files are empty" case s = "l" sm = "all files full" otherwise sm = "Unknown error" endcase do alert with sm wait window "Error on ISLAND.OUT or ISLAND2.OUT OPEN:"+s quit endif select island tecount = 0 && Assume worst case, just to make sure ecount is high enough txcount = 0 && Cancels x = "L"+READPORT+" " && Read Island2 requests call int99 with x if x # "l" do alert with "Could not open Command listen!" endif gstatdelay = 0.25 do showstatus gnextstats = seconds() + gstatdelay gmolddelay = 1 && Time between mold heartbeats gmoldheart = seconds() + gmolddelay && Time to send a MOLD heartbeat by doing a FLUSH gmessages = 0 && Number of messages written to the stream gpackets = 0 && Number of packets writtento the stream mdone = .F. do while !mdone tnow = seconds() do while tnow >= tnext if !EVENTS.PROCESSED do swrite with "G" , EVENTS.CODE select EVENTS replace PROCESSED with .T. select ISLAND else ? time()+" Event bypassed:"+ EVENTS.CODE endif do seteventflags with EVENTS.CODE skip 1 in EVENTS if eof("EVENTS") tnext = 99999.999 else tnext = EVENTS.WHEN endif enddo nbuffer = blanknbuffer call int99 with nbuffer if nbuffer = "r" tlenstr = substr( nbuffer , 2 , 5 ) tlen = val( tlenstr ) tmessage = substr( nbuffer , 43 , tlen ) if gprinting ? time()+" >"+tmessage+"<" endif if tmessage = "P" && PING REQUEST tsource = substr( nbuffer ,11 , 8) do pingreply with tsource , tmessage else do processtcpip with tmessage endif else && No pending commands... if gstoredflag do flush gstoredflag = .F. gmoldheart = seconds() + gmolddelay gpackets = gpackets + 1 else if gmoldheart < seconds() do flush gmoldheart = seconds() + gmolddelay endif endif endif if gnextstats <= seconds() do showstatus gnextstats = seconds() + gstatdelay endif lastkey=inkey() if lastkey # 0 activate window output do case case lastkey = asc("~") ? time()+" Quitting..." mdone = .T. case lastkey = asc("@") ? time()+" Copying to island2.dbf" set order to copy to m:\island2\island2 ?? "Done" case lastkey = asc("#") ? time()+" Suspending..." suspend case lastkey = asc("!") ? time()+" ACCEPT="+iif(gaccept,"T","F")+" ACT="+ iif(gactaccept,"T","F") + " EOM="+iif(geom,"T","F")+" NEXT="+str(tnext,9,3)+ " TOO-LATE="+str(ttoolate,6,0)+" COUNT="+str(tcount,9,0) s = "T"+space(60) call int99 with s if s = "t" tbuffered = val( substr(s,26,5) ) ? "MOLD INFO: SESSION="+substr(s,2,10)+" SEQ="+substr(s,12,10)+" SOCKET="+substr(s,22,4)+" BUFFERED="+str(tbuffered,5,0) else ? "Could not get mold info!" tbuffered = 0 endif if gpackets > 0 ? "MESSAGES:"+str(gmessages-tbuffered,12,0)+" PACKETS:"+str(gpackets,12,0)+" ("+str( (gmessages-tbuffered)/ gpackets , 5 , 3 )+")" gmessages = tbuffered gpackets =0 endif case lastkey = asc("%") ? time()+" Shutdown attempt..." do shutdown case lastkey = asc("(") ? time()+" toggled gaccept" gaccept = !gaccept case lastkey = asc("?") ? "@-Copy to island2.DBF ~-Quit !-Status #-Suspend %-ShutDown $-Print incoming" case lastkey = asc("$") if gprinting ? time()+" Printing off" gprinting = .F. else ? time()+" Printing on" gprinting = .T. endif endcase activate window ticker endif enddo && Main Loop activate window output && Final flush to mak sure everything is sent do flush && Close file s = "C" call int99 with s x = "H"+READPORT call int99 with x if x # "h" do alert with "Could not close PingPort!" endif use && Unuse Island && Create fresh waypoint file f = fcreate("ISLAND2.TXT") if f<=0 ? "Could not create ISLAND.TXT!" suspend endif =fputs( f , "ISLAND2" ) && ROLE =fputs( f , str( tseq , 9 , 0 ) ) && Order number =fputs( f , str( tmatch , 9 , 0 ) ) && Match number =fputs( f , str( tnextdead , 9 , 0 ) ) && Next dead order pointer =fclose(f) quit procedure title activate window title SAME clear @ 0,0 SAY " Island2 � Version "+VERSION+" (c)1996 Joshua Levine � Press [?] for help" activate window ticker SAME return proc werror param wcode do case case wcode = "w" return "Error on file write" case wcode = "s" return "Error on nework send" case wcode = "c" return "Invalid message length" case wcode = "d" return "all files full" endcase return "Unknown error" **** write actualy writes a string the the file, steam, and screen proc write parameter wstring wl = len( wstring ) ws="W"+chr(wl)+wstring call int99 with ws gmessages = gmessages + 1 if ws = 'b' gstoredflag = .T. else if ws = "f" gpackets = gpackets + 1 gstoredflag = .F. else activate window output ? time() +" !!!! ERROR ON WRITE!!!!!!" ? ws do alert with "Erorr on write:"+werror(ws) activate window ticker suspend endif endif return *** Write a message **** ACTIONS: **** A - Accept the order was accepted into Island **** B - Booked this order hit the book **** E - Execute the order was executed for this many shares at this price **** X - Cancel this many shares were canceled **** C - Break this order was executed, now broken **** G - Control stock is the control type **** R - Report trade done away but will report/clear through Island **** ON Cancel CONTRA = Reason for cancel ***** MINDICATE = on accept always "D" (legacy) ***** on execute "A"= added liquidity, "R"=Removed liquidity ***** on report "Y" trade report, "N" don't report, "S" step-out ****** mmatch = on accept or book is MINIMUM shares, in execution is match number ****** not defined on cancels, but 0 for now proc mwrite parameter maction,mseq,mshares,mprice,mcontra,mindicate,mmatch,mlocate mwhen = str( tnow , 9 , 3) w = left( mwhen , 5 ) + "," +maction+","+str(mseq,9,0)+","+PORT+","+USER+","+TOKEN+","+BUY_SELL+","+str(mshares,9,0)+","+str(mmatch,9,0)+","+STOCK+","+str(mprice,11,4)+"," +str(mlocate,8,0)+ ", 0,"+SHORT+","+MMID+","+PA+","+mcontra+","+mindicate+","+DISPLAY+","+right(mwhen,3)+","+CLEARING+",D" do write with w return ****** Swrite writes a status message that doesnot concern an order, Like G-Good morning proc swrite param maction , mcode mwhen = str( tnow , 9 , 3) xcode = left( padr( mcode , 3) , 3 ) w = left( mwhen , 5 ) +","+maction+","+" 0"+", , , , , 0, 0,*"+xcode+" , 0.0000,00000000, 0, , , , , , ,"+right( mwhen , 3 )+", , " do write with w return ****** Enter order adds the audit, tries for a match, and if it don't work, books it. ****** Enter order assumes ostock and obuy_sell are the right length. ****** Also assumes that buy_sell has aready been checked to be B or S. ****** Also assumes that the token is no already used proc enter2order parameter oport,ouser,otoken,obuy_sell,oshares,ostock,oprice,otif,oshort,ommid,opa,odisplay,omin,oclearing,oflags if odisplay = "P" obasefirm = ouser else obasefirm = "####" endif && Get the working record if tnextdead > 0 tlocate = tnextdead goto tnextdead tnextdead = SEQ else insert into ISLAND (LEAVES) values (0) && Keep it out of the indexes for now tlocate = recno() endif tseq = tseq + 1 awhen = str( tnow , 9 , 3) oleaves = oshares ofilled = 0 aflag = .f. && have we written the "A" message yet? if obuy_sell = "B" && Buy order... set order to SSEEK do case case omin > 1 && Minimum quantity specified? *** if the min is bigger than the size, set it to the size if omin > oshares mmin = oshares else mmin = omin endif *** First prescan to see if we have enough size to fill it if seek( ostock ) scan while mmin > 0 .and. ostock = STOCK .and. BUY_SELL = "S" .and. oprice >= PRICE mmin = mmin - LEAVES endscan endif if mmin <= 0 *** There were at least enough to fill the minimum quantity mmax = oshares else *** Not enough to fill the min, so fill none mmax = 0 endif case odisplay = "R" .or. odisplay = "P" && Is this a round-lot only order? mmax = 0 *** Prescan to find the number of a shares available if seek( ostock ) scan while mmax <= oshares .and. ostock = STOCK .and. BUY_SELL = "S" .and. oprice >= PRICE .and. obasefirm # MMID mmax = mmax + LEAVES endscan endif if mmax >= oshares *** Max out with the number of shares specified mmax = oshares endif *** Round down to nearest round lot wihtout using floating point mmax = val( substr( str( mmax , 6, 0 ) , 1 ,4 ) + "00" ) otherwise mmax = oshares endcase do while mmax > 0 .and. seek( ostock ) .and. oprice >= PRICE if !aflag w = left( awhen , 5 ) +",A," +str(tseq,9,0) +"," +oport+"," +ouser +"," +otoken +"," +obuy_sell +", " +str(oshares,6,0) +", " +str(omin,6,0) +"," +ostock +"," +str(oprice,11,4) +"," +str(tlocate,8,0) +"," +str(otif,5,0) +"," +oshort +"," +ommid +"," +opa+","+oflags+", ," +odisplay +"," +right(awhen,3) +"," +oclearing+",D" do write with w aflag = .T. endif tecount = tecount + 1 eshares = min( LEAVES , mmax ) oleaves = oleaves - eshares mmax = mmax - eshares ofilled = ofilled + eshares tmatch = tmatch + 1 w = left( awhen , 5 ) +",E," +str( SEQ ,9,0) +"," +PORT +"," +USER +"," +TOKEN +"," +BUY_SELL +", " +str(eshares,6,0) +"," +str(tmatch,9,0) +"," +ostock +"," +str(PRICE,11,4) +"," +str( recno() ,8,0)+ ", 0," +SHORT +"," +MMID +"," +PA+"," +ommid+",A," +DISPLAY +"," +right(awhen,3) +"," +CLEARING+",D" do write with w w = left( awhen , 5 ) +",E," +str(tseq,9,0) +"," +oport+"," +ouser +"," +otoken +"," +obuy_sell +", " +str(eshares,6,0) +"," +str(tmatch,9,0) +"," +ostock +"," +str(PRICE,11,4) +"," +str(tlocate,8,0)+", 0," +oshort +"," +ommid +"," +opa+","+MMID+",R," +odisplay +"," +right(awhen,3) +"," +oclearing+",D" do write with w dleaves = LEAVES - eshares if dleaves <= 0 && Dead record? replace LEAVES with 0 , SEQ with tnextdead tnextdead = recno() else replace LEAVES with dleaves , FILLED with FILLED + eshares endif enddo else && sell order.. set order to BSEEK do case case omin > 1 && Minimum quantity specified? *** if the min is bigger than the size, set it to the size if omin > oshares mmin = oshares else mmin = omin endif *** First prescan to see if we have enough size to fill it if seek( ostock ) scan while mmin > 0 .and. ostock = STOCK .and. BUY_SELL = "B" .and. oprice <= PRICE mmin = mmin - LEAVES endscan endif if mmin <= 0 mmax = oshares else mmax = 0 endif case odisplay = "R" .or. odisplay = "P" && Is this a round-lot only order? mmax = 0 *** Prescan to find the number of a shares available if seek( ostock ) scan while mmax <= oshares .and. ostock = STOCK .and. BUY_SELL = "B" .and. oprice <= PRICE .and. obasefirm # MMID mmax = mmax + LEAVES endscan endif if mmax >= oshares mmax = oshares endif *** Round down to nearest round lot wihtout using floating point mmax = val( substr( str( mmax , 6, 0 ) , 1 ,4 ) + "00" ) otherwise mmax = oshares endcase do while mmax > 0 .and. seek( ostock ) .and. oprice <= PRICE if !aflag w = left( awhen , 5 ) +",A," +str(tseq,9,0) +"," +oport+"," +ouser +"," +otoken +"," +obuy_sell +", " +str(oshares,6,0) +", " +str(omin,6,0) +"," +ostock +"," +str(oprice,11,4) +"," +str(tlocate,8,0) +","+str(otif,5,0) +"," +oshort +"," +ommid +"," +opa+","+oflags+", ," +odisplay +"," +right(awhen,3) +"," +oclearing+",D" do write with w aflag = .T. endif tecount = tecount + 1 eshares = min( LEAVES , mmax ) oleaves = oleaves - eshares mmax = mmax - eshares ofilled = ofilled + eshares tmatch = tmatch + 1 w = left( awhen , 5 ) +",E," +str( SEQ ,9,0) +"," +PORT +"," +USER +"," +TOKEN +"," +BUY_SELL +", " +str(eshares,6,0) +"," +str(tmatch,9,0) +"," +ostock +"," +str(PRICE,11,4) +"," +str( recno() ,8,0) +", 0," +SHORT +"," +MMID +"," +PA+"," +ommid+",A," +DISPLAY +"," +right(awhen,3) +"," +CLEARING+",D" do write with w w = left( awhen , 5 ) +",E," +str(tseq,9,0) +"," +oport+"," +ouser +"," +otoken +"," +obuy_sell +", " +str(eshares,6,0) +"," +str(tmatch,9,0) +"," +ostock +"," +str(PRICE,11,4) +"," +str(tlocate,8,0) +", 0," +oshort +"," +ommid +"," +opa+","+MMID+",R," +odisplay +"," +right(awhen,3) +"," +oclearing+",D" do write with w dleaves = LEAVES - eshares if dleaves <= 0 && Dead record? replace LEAVES with 0 , SEQ with tnextdead tnextdead = recno() else replace LEAVES with dleaves , FILLED with FILLED + eshares endif enddo endif if oleaves > 0 && any non-executed shares left? if otif = 0 && Fill or kill, so cancel leaves if !aflag && did we not make an A message yet? w = left( awhen , 5 ) +",A," +str(tseq,9,0) +"," +oport+"," +ouser +"," +otoken +"," +obuy_sell +", " +str(oshares,6,0) +", " +str(omin,6,0) +"," +ostock +"," +str(oprice,11,4) +"," +str(tlocate,8,0)+ "," +str(otif,5,0) +"," +oshort +"," +ommid +"," +opa+","+oflags+", ," +odisplay +"," +right(awhen,3) +"," +oclearing+",D" do write with w endif w = left( awhen , 5 ) +",X," +str(tseq,9,0) +"," +oport+"," +ouser +"," +otoken +"," +obuy_sell +", " +str(oleaves,6,0) +", 0," +ostock +"," +str(oprice,11,4) +"," +str(tlocate,8,0)+ ", 0," +oshort +"," +ommid +"," +opa+",#IOC, ," +odisplay +"," +right(awhen,3) +"," +oclearing+",D" do write with w oleaves = 0 else if !aflag && did we not make an A message yet? w = left( awhen , 5 ) +",A," +str(tseq,9,0) +"," +oport+"," +ouser +"," +otoken +"," +obuy_sell +", " +str(oshares,6,0) +", " +str(omin,6,0) +"," +ostock +"," +str(oprice,11,4) +"," +str(tlocate,8,0) +"," +str(otif,5,0) +"," +oshort +"," +ommid +"," +opa+","+oflags+",B," +odisplay +"," +right(awhen,3) +"," +oclearing+",D" else w = left( awhen , 5 ) +",B," +str(tseq,9,0) +"," +oport+"," +ouser +"," +otoken +"," +obuy_sell +", " +str(oleaves,6,0) +", 0," +ostock +"," +str(oprice,11,4) +"," +str(tlocate,8,0) +"," +str(otif,5,0) +"," +oshort +"," +ommid +"," +opa+", , ," +odisplay +"," +right(awhen,3) +"," +oclearing+",D" endif do write with w endif && otif == 0 endif && oleaves > 0 if oleaves > 0 && Still open? goto tlocate replace ; PORT with oport,; USER with ouser,; TOKEN with otoken,; BUY_SELL with obuy_sell,; LEAVES with oleaves,; STOCK with ostock,; PRICE with oprice,; SHORT with oshort,; MMID with ommid,; PA with opa,; DISPLAY with odisplay,; CLEARING with oclearing,; FILLED with ofilled,; SEQ with tseq else && leaves = 0 (add current order to deadlist) goto tlocate replace SEQ with tnextdead tnextdead = recno() endif && oleaves > 0 return ****** Enter Report adds a type R line to the file ****** Enter order assumes ostock and obuy_sell are the right length. proc enter2report parameter oport,ouser,otoken,obuy_sell,oshares,ostock,oprice,oshort,ommid,opa,oreport,oclearing,ocontra tseq = tseq + 1 tmatch = tmatch + 1 mwhen = str( tnow , 9 , 3) w = left( mwhen , 5 ) + ",R,"+str(tseq,9,0) +"," +oPORT+"," +oUSER+"," +oTOKEN+"," +oBUY_SELL +", "+str(oshares,6,0)+","+str(tmatch,9,0)+"," +oSTOCK+","+str(oprice,11,4)+",00000000, 0,"+oSHORT+","+oMMID+","+oPA+","+ocontra+","+oreport+",R,"+right(mwhen,3)+","+oCLEARING+",D" do write with w return ****** Enter Reject adds a type J line to the file proc enter2reject parameter oport,ouser,otoken,otype,oreason tseq = tseq + 1 *** Leaves MUST be 0 or it might be included in the match! mwhen = str( tnow , 9 , 3) w = left( mwhen , 5 ) + ",J," +str(tseq,9,0) +"," +oport+"," +ouser +"," +otoken+"," +otype+", 0, 0, , 0.0000,00000000, 0, , , , ," +oreason +",N,"+right(mwhen,3)+", ,D" do write with w return ****** Enter break adds a type C line to the file proc enterbreak parameter oseq, oport , ouser, otoken, obuy_sell, oshares, omatch, ostock, oprice, ommid, oreason, omisc, oclearing , oshort if oseq > tseq .or. oseq < 1 ? time()+" Bad SEQ in Break! OSEQ="+str(oseq,9,0)+" RECS="+str( tseq, 9,0) return endif if oshares <= 0 ? time()+" Jerk boy BREAK zero shares SEQ="+str(oseq,9,0) return endif if oprice <= 0 ? time()+" Jerk boy BREAK zero price SEQ="+str(oseq,9,0) return endif if ! omisc $ "AR" ? time()+" Invalid A/R BREAK MISC="+omisc+" SEQ="+str(oseq,9,0) return endif mwhen = str( tnow , 9 , 3) w = left( mwhen , 5 ) + ",C,"+str(oseq,9,0) +"," +oPORT+"," +oUSER+"," +oTOKEN+"," +oBUY_SELL +", "+str(oshares,6,0)+","+str(omatch,9,0)+"," +oSTOCK+","+str(oprice,11,4)+",00000000, 0,"+oshort+","+oMMID+", ,"+oreason +","+omisc+", ,"+right(mwhen,3)+","+oCLEARING+",D" do write with w return ****** Enter maint adds a type M line to the file *** SHORTTYPE ***** N - No short sale checks ***** B - Bidtick test ***** L - Lasttrade test *** BLOCKSUB - Block subscriber only orders? ***** B - Block ***** N - No block *** CENTER ***** Q - NASDAQ ***** L - LISTED proc entermaint parameter oport,ouser,otoken,ostock,oshorttype,oblocksub,ocenter,omisc if ! oshorttype $ "NBL" ? time()+" Bad SHORTTYPE="+oshorttype+" STOCK="+ostock return endif if !oblocksub $ "BN" ? time()+" Bad BLOCKSUB="+oblocksub+" STOCK="+ostock return endif if !ocenter $ "QL" ? time()+" Bad CENTER="+ocenter+" STOCK="+ostock return endif if len( omisc ) # 4 ? time()+" Bad omisc len!"+omisc return endif for eml = 1 to 4 emb = substr( omisc , eml , 1 ) if !isalpha( emb ) .and. emb # " " ? time()+" Bad omisc letter!"+omisc return endif endfor awhen = str( tnow , 9 , 3 ) w = left( awhen , 5 ) +",M, 0,"+oport+","+ouser+","+otoken+",S, 0, 0," +ostock +", 0.0000,00000000, 0,"+oshorttype+", , ,"+omisc+","+ocenter+","+oblocksub+"," +right(awhen,3) +", , " do write with w return *** STATE - Trading state ***** T - Trading ***** H - Halted proc enterstate parameter oport,ouser,otoken,ostock,ostate if !ostate $ "TH" ? time()+" Bad STATE="+ostate+" STOCK="+ostock return endif awhen = str( tnow , 9 , 3 ) w = left( awhen , 5 ) +",M, 0,"+oport+","+ouser+","+otoken+",T, 0, 0," +ostock +", 0.0000,00000000, 0, , , , ,"+ostate+", ," +right(awhen,3) +", , " do write with w return *** Enter account configures an OUCH account proc enteraccount parameter oaccount,opassword,otest,otrusted, othresh, osscheck,oiflag, odefault if !otest$"TN" ? time()+" Bad TEST flag in enteraccount:"+otest return endif if !otrusted$"TN" ? time()+" Bad TRUSTED flag in enteraccount:"+otrusted return endif if !osscheck$"YN" ? time()+" Bad SSCHECK flag in enteraccount:"+osscheck return endif if !oiflag$"IN" ? time()+" Bad IFLAG flag in enteraccount:"+oiflag return endif if len( opassword ) # 10 ? time()+" Bad opassword len!"+opassword return endif for eml = 1 to 10 emb = substr( opassword , eml , 1 ) if !isalpha( emb ) .and. !isdigit( emb) .and. emb # " " .and. emb # "!" .and. emb # "#" ? time()+" Bad opassword letter!"+opassword+":"+str(eml) return endif endfor if len( oaccount ) # 6 ? time()+" Bad oaccount len!"+oaccount return endif for eml = 1 to 6 emb = substr( oaccount , eml , 1 ) if !isalpha( emb ) .and. !isdigit( emb ) .and. emb # " " ? time()+" Bad oaccount letter!"+oaccount+":"+str(eml) return endif endfor if len( odefault ) # 4 ? time()+" Bad odefault len!"+odefault return endif for eml = 1 to 4 emb = substr( odefault , eml , 1 ) if !isalpha( emb ) .and. !isdigit( emb) .and. emb # " " ? time()+" Bad odefault letter!"+odefault +":"+str(eml) return endif endfor awhen = str( tnow , 9 , 3 ) w = left( awhen , 5 ) +",M, 0,"+oaccount+", ,"+opassword+",A,"+str(othresh,9,0)+", 0, , 0.0000,00000000, 0,"+osscheck+","+odefault +", ,"+otest+ " "+ otrusted +" ,"+oiflag+", ," +right(awhen,3) +", , " do write with w return *** Enter firm configures an OUCH account for clearing proc enterfirm parameter oaccount,ommid,oclearing if !oclearing$"AIQRN" ? time()+" Bad clearing in enterfirm:"+oclearing return endif if len( ommid ) # 4 ? time()+" Bad ommid len!"+ommid return endif for eml = 1 to 4 emb = substr( ommid , eml , 1 ) if !isalpha( emb ) .and. !isdigit( emb) .and. emb # " " ? time()+" Bad ommid letter!"+ommid+":"+str(eml) return endif endfor if len( oaccount ) # 6 ? time()+" Bad oaccount len!"+oaccount return endif for eml = 1 to 6 emb = substr( oaccount , eml , 1 ) if !isalpha( emb ) .and. !isdigit( emb ) .and. emb # " " ? time()+" Bad oaccount letter!"+oaccount+":"+str(eml) return endif endfor awhen = str( tnow , 9 , 3 ) w = left( awhen , 5 ) +",M, 0,"+oaccount+", , ,F, 0, 0, , 0.0000,00000000, 0, ,"+ ommid +", , , , ," +right(awhen,3) +","+oclearing+", " do write with w return proc new2cancel parameter olocate,oseq,oshares,ocontra && Contra indeicates reason for cancel if olocate <= 0 .or. olocate > reccount() ? time()+" CANCEL LOCATE OUT OF BOUNDS " +str( olocate , 8 , 0)+ " SEQ=" +str(oseq,8,0) return 0 endif goto olocate if oseq # SEQ *** ? time()+" CANCEL OUT OF DATE " +str( olocate , 8 , 0)+ " SEQ=" +str(oseq,8,0) ttoolate = ttoolate + 1 return 0 endif if LEAVES <= oshares ttoolate = ttoolate + 1 return endif xshares = LEAVES - oshares do mwrite with "X", SEQ , xshares , PRICE , ocontra , " " , 0 , recno() txcount = txcount + 1 dleaves = LEAVES - xshares if dleaves <=0 && Must set LEAVES to zero to pull order from indexes replace LEAVES with 0 , SEQ with tnextdead tnextdead = recno() else replace LEAVES with dleaves endif return ****** Cancel Order takes a locator and a SEQ number ****** passed shares in new intedned order size ****** returns number of shares canceled and leaves record pointer on order canceled. proc i2cancel parameter olocate,oseq,oshares,ocontra && Contra indeicates reason for cancel if olocate <= 0 .or. olocate > reccount() ? time()+" CANCEL LOCATE OUT OF BOUNDS " +str( olocate , 8 , 0)+ " SEQ=" +str(oseq,8,0) return 0 endif goto olocate if oseq # SEQ *** ? time()+" CANCEL OUT OF DATE " +str( olocate , 8 , 0)+ " SEQ=" +str(oseq,8,0) ttoolate = ttoolate + 1 return 0 endif msize = LEAVES + FILLED && Current size of order if oshares >= msize *** ? time()+" INTENEDED CANCEL BIGGER THAN ORDER SHARES="+str( oshares, 6 , 0 )+" REASON="+ocontra return 0 endif xshares = msize - oshares && HOwmany do we have to cancel to get from current size to new size? if xshares > LEAVES && Don't cancel more than are open xshares = LEAVES endif if xshares = 0 ttoolate = ttoolate + 1 return 0 endif do mwrite with "X", SEQ , xshares , PRICE , ocontra , " " , 0 , recno() txcount = txcount + 1 dleaves = LEAVES - xshares if dleaves <=0 && Must set LEAVES to zero to pull order from indexes replace LEAVES with 0 , SEQ with tnextdead tnextdead = recno() else replace LEAVES with dleaves endif return xshares proc initstatus activate window status @ 0,1 SAY "Orders:" @ 0,27 SAY "Executions:" @ 0,52 SAY "Cancels:" activate window ticker return proc showstatus activate window status @ 0,11 SAY tseq PICTURE "##,###,###" @ 0,38 SAY tmatch PICTURE "##,###,###" @ 0,60 SAY txcount PICTURE "##,###,###" activate window ticker return proc processtcpip param ptm tcommand = substr( ptm , 1 , 1 ) if geom ? time()+" Command recieved after EOM:"+tcommand return endif do case case tcommand = "H" tport = substr( ptm , 2 , 6 ) if !seek( tport , "SOURCES" ) insert into SOURCES values ( tport , 1 ) endif tinseq = val(substr( ptm , 73, 9 ) ) if tinseq # SOURCES.SEQ if tinseq < SOURCES.SEQ *** ? time()+" Duped inseq "+tport+" Expected:"+str( SOURCES.SEQ , 9, 0)+" Got:"+str( tinseq , 9 , 0 ) return endif do alert with "Gapped inseq "+tport+" Expected:"+str( SOURCES.SEQ , 9, 0)+" Got:"+str( tinseq , 9 , 0 ) endif tuser = substr( ptm , 8 , 4 ) ttoken = substr( ptm , 12 , 10 ) tbuy_sell = substr( ptm , 22 , 1 ) tshares = val( substr( ptm , 23 , 6 ) ) tmin = val( substr( ptm , 29 , 6 ) ) tstock = substr( ptm , 35 , 6 ) tprice = val( substr( ptm , 41 , 11 ) ) ttif = val( substr( ptm , 52 , 5 ) ) tdisplay = substr( ptm , 57 , 1 ) tshort = substr( ptm , 58 , 1 ) tpa = substr( ptm , 59 , 1 ) tmmid = substr( ptm , 60 , 4 ) tclearing = substr( ptm , 64 , 1 ) tflags = substr( ptm , 65 , 4 ) if tbuy_sell = "B" xshort = " " else if tbuy_sell # "S" ? time()+" Bad buy_sell "+tbuy_sell+" port="+tport return endif do case case tshort = "Y" xshort = "S" case tshort = "S" xshort = "S" case tshort = "N" xshort = "L" case tshort = "L" xshort = "L" case tshort = "E" xshort = "E" otherwise xshort = "?" endcase endif if tshares <= 0 ? time()+" Jerk boy zero shares TOKEN " +tport+"-" +tuser+"-" +ttoken return endif if tshares >= 1000000 ? time()+" Jerk boy million shares TOKEN " +tport+"-" +tuser+"-" +ttoken return endif if tprice <= 0 ? time()+" Jerk boy zero price TOKEN " +tport+"-" +tuser+"-" +ttoken return endif if tprice >= 1000000 ? time()+" Jerk boy million price TOKEN " +tport+"-" +tuser+"-" +ttoken return endif if ! tclearing $ "AIQOR" ? time()+" Jerk boy strange clearing >" +tclearing+"< TOKEN " +tport+"-" +tuser+"-" +ttoken return endif if ! tdisplay $ "YNLRP" ? time()+" Jerk boy strange display >" +tdisplay+"< TOKEN " +tport+"-" +tuser+"-" +ttoken return endif if (tdisplay = "R" .or. tdisplay = "P" ) .and. ttif > 0 ? time()+" Jerk boy R or P or Q display with nonzero tif >" +str(ttif,5,0)+"< TOKEN " +tport+"-"+tuser+"-"+ttoken return endif if !gaccept ? time()+" Trade ignored outside SOD-EOD time "+tport+"-" +tuser+"-" +ttoken return endif if tclearing = "A" if !gactaccept ? time()+" ACT trade ignored outside ACT time " +tport+"-" +tuser+"-" +ttoken return endif endif select SOURCES replace SEQ with tinseq + 1 select ISLAND do enter2order with tport , tuser , ttoken , tbuy_sell , tshares , tstock , tprice , ttif , xshort , tmmid , tpa , tdisplay , tmin , tclearing , tflags case tcommand = "L" tolocate = val( substr( ptm , 2 , 8 ) ) toseq = val( substr( ptm , 10 , 9 ) ) tshares = val( substr( ptm , 19 , 6 ) ) treason = substr( ptm , 25 , 1 ) do case case treason = "A" xreason = "#USR" case treason = "B" xreason = "#TME" case treason = "C" xreason = "#HLT" case treason = "D" xreason = "#SUP" case treason = "E" xreason = "#DNT" case treason = "F" xreason = "#MBL" otherwise xreason = "#USR" endcase do new2cancel with tolocate , toseq , tshares , xreason case tcommand = "I" tport = substr( ptm , 2 , 6 ) if !seek( tport , "SOURCES" ) insert into SOURCES values ( tport , 1 ) endif tinseq = val( substr( ptm , 24 , 9 ) ) if tinseq # SOURCES.SEQ if tinseq < SOURCES.SEQ *** ? time()+" Duped REJ inseq "+tport+" Expected:"+str( SOURCES.SEQ , 9, 0)+" Got:"+str( tinseq , 9 , 0 ) return endif do alert with "Gapped REJ inseq "+tport+" Expected:"+str( SOURCES.SEQ , 9, 0)+" Got:"+str( tinseq , 9 , 0 ) endif tuser = substr( ptm , 8 , 4 ) ttoken = substr( ptm , 12 , 10 ) ttype = substr( ptm , 22 , 1 ) treason = substr( ptm , 23 , 1 ) do enter2reject with tport , tuser , ttoken , ttype , treason select SOURCES replace SEQ with tinseq + 1 select ISLAND case tcommand = "Z" tolocate = val( substr( ptm , 2 , 8 ) ) toseq = val( substr( ptm , 10 , 9 ) ) tshares = val( substr( ptm , 19 , 6 ) ) treason = substr( ptm , 25 , 1 ) do case case treason = "A" xreason = "#USR" case treason = "B" xreason = "#TME" case treason = "C" xreason = "#HLT" case treason = "D" xreason = "#SUP" case treason = "E" xreason = "#DNT" case treason = "F" xreason = "#MBL" otherwise xreason = "#USR" endcase =i2cancel( tolocate , toseq , tshares , xreason ) case tcommand = "S" tport = substr( ptm , 2 , 6 ) if !seek( tport , "SOURCES" ) insert into SOURCES values ( tport , 1 ) endif tinseq = val(substr( ptm , 58 , 9 ) ) if tinseq # SOURCES.SEQ if tinseq < SOURCES.SEQ *** ? time()+" Duped REP inseq "+tport+" Expected:"+str( SOURCES.SEQ , 9, 0)+" Got:"+str( tinseq , 9 , 0 ) return endif do alert with "Gapped REP inseq "+tport+" Expected:"+str( SOURCES.SEQ , 9, 0)+" Got:"+str( tinseq , 9 , 0 ) endif tuser = substr( ptm , 8 , 4 ) ttoken = substr( ptm , 12 , 10 ) tbuy_sell = substr( ptm , 22 , 1 ) tshares = val( substr( ptm , 23 , 6 ) ) tstock = substr( ptm , 29 , 6 ) tprice = val( substr( ptm , 35 , 11 ) ) treport = substr( ptm , 46 , 1 ) tshort = substr( ptm , 47 , 1 ) tpa = substr( ptm , 48 , 1 ) tmmid = substr( ptm , 49 , 4 ) tclearing = substr( ptm , 53 , 1 ) tcontra = substr( ptm , 54 , 4 ) if ! treport $ "YNS" ? time()+" Jerk boy REPORT code TOKEN " +tport return endif if tshares <= 0 ? time()+" Jerk boy REPORT zero shares TOKEN "+tport+"-"+tuser+"-"+ttoken return endif if tshares >= 1000000 ? "Jerk boy REPORT million shares TOKEN "+tport+"-"+tuser+"-"+ttoken return endif if tprice <= 0 ? "Jerk boy REPORT zero price TOKEN "+tport+"-"+tuser+"-"+ttoken return endif if tprice >= 1000000 ? "Jerk boy REPORT million price TOKEN "+tport+"-"+tuser+"-"+ttoken return endif if ! tclearing $ "ABSIQORN" ? "Jerk boy REPORT strange clearing >"+tclearing+"< TOKEN "+tport+"-"+tuser+"-"+ttoken return endif if !gaccept ? "Report ignored outside SOD-EOD time "+tport+"-"+tuser+"-"+ttoken return endif if tclearing = "A" if !gactaccept ? "ACT trade REPORT ignored outside ACT time "+tport+"-"+tuser+"-"+ttoken return endif endif do enter2report with tport , tuser , ttoken , tbuy_sell , tshares , tstock , tprice , tshort , tmmid , tpa , treport , tclearing , tcontra select SOURCES replace SEQ with tinseq + 1 select ISLAND case tcommand = "D" tcseq = val( substr( ptm , 2 , 9 ) ) tcport = substr( ptm , 11 , 6 ) tcuser = substr( ptm , 17 , 4 ) tctoken = substr( ptm , 21 , 10 ) tcbuy_sell = substr( ptm , 31 , 1 ) tcshares = val( substr( ptm , 32 , 6 ) ) tcmatch = val( substr( ptm , 38 , 9 ) ) tcstock = substr( ptm , 47 , 6 ) tcprice = val( substr( ptm , 53 , 11 ) ) tcmmid = substr( ptm , 64 , 4 ) tcmisc = substr( ptm , 68 , 1 ) tcreason = substr( ptm , 69 , 1 ) tcclearing = substr( ptm , 70 , 1 ) do case case tcreason = "A" xreason = "#ERR" case tcreason = "B" xreason = "#CON" case tcreason = "C" xreason = "#SUP" case tcreason = "D" xreason = "#SYS" case tcreason = "E" xreason = "#EXT" otherwise ? time()+" Unvalid break reason = "+tcreason return endcase do case case tcbuy_sell = "B" xbuy_sell = "B" xshort = " " case tcbuy_sell = "S" xbuy_sell = "S" xshort = "L" case tcbuy_sell = "T" xbuy_sell = "S" xshort = "S" case tcbuy_sell = "E" xbuy_sell = "S" xshort = "E" otherwise ? time()+" Unvalid break buy_sell = "+tcbuy_sell return endcase do enterbreak with tcseq , tcport, tcuser, tctoken, xbuy_sell, tcshares , tcmatch ,tcstock , tcprice , tcmmid , xreason , tcmisc , tcclearing , xshort case tcommand = "M" tctype = substr( ptm , 2 , 1 ) do case case tctype = "S" && Stock maintence tport = substr( ptm , 3 , 6 ) tuser = substr( ptm , 9 , 4 ) ttoken = substr( ptm , 13 , 10 ) tcstock = substr( ptm , 23 , 6 ) tcshorttype = substr( ptm , 29 , 1 ) tcblocksub = substr( ptm , 30 , 1 ) tccenter = substr( ptm , 31 , 1 ) tcmisc = substr( ptm , 32 , 4 ) do entermaint with tport, tuser, ttoken, tcstock , tcshorttype , tcblocksub , tccenter , tcmisc case tctype = "A" && Account settings taccount = substr( ptm , 3 , 6 ) tpassword = substr( ptm , 9 , 10 ) ttest = substr( ptm , 19 , 1 ) ttrusted = substr( ptm , 20 , 1 ) tthresh = val( substr( ptm , 21 , 6 ) ) tsscheck = substr( ptm , 27 , 1 ) tiflag = substr( ptm , 28 , 1 ) tdefault = substr( ptm , 29 , 4 ) do enteraccount with taccount, tpassword, ttest , ttrusted , tthresh, tsscheck, tiflag, tdefault case tctype = "F" && Account settings taccount = substr( ptm , 3 , 6 ) tmmid = substr( ptm , 9 , 4 ) tclearing = substr( ptm , 13 , 1 ) do enterfirm with taccount, tmmid, tclearing case tctype = "T" && Stock state tport = substr( ptm , 3 , 6 ) tuser = substr( ptm , 9 , 4 ) ttoken = substr( ptm , 13 , 10 ) tcstock = substr( ptm , 23 , 6 ) tcstate = substr( ptm , 29 , 1 ) do enterstate with tport, tuser, ttoken, tcstock , tcstate otherwise ? time()+" Unvalid maint reason = "+tctype endcase otherwise do alert with "Unknown command"+ptm endcase return proc sendeos s = "E" call int99 with s if s # "f" .and. s # "b" activate window output ? time() +" !!!! ERROR ON EOS WRITE!!!!!!" ? ws activate window ticker suspend endif return proc flush s = "F" call int99 with s if s # "f" ? "!!!!ERROR ON FLUSH!!!!" do alert with "Error on flush:"+werror(s) suspend endif gstoredflag = .F. return proc shutdown do alert with "Shutdown initiated" if !geom && Shutting down too early? Just in case... wait window "Can't end day, EOM has not happened yet!" nowait do alert with "Ending day attempted before EOM time!" return endif sdk = chr( (rand() * 25) + asc("A") ) wait window "Initiate Shutdown by pressing ["+sdk+"] within 10 seconds" to sdh timeout 10 if upper( sdh ) # sdk wait window "Shutdown Aborted" nowait do alert with "Shutdown aborted" return endif wait window "Confirm Shutdown by pressing the magic key within 10 seconds" to sdh timeout 10 if upper( sdh ) # "M" wait window "Inccorect Shutdown confirmation" nowait do alert with "Incorrect shutdown magic key" return endif do alert with "Shutdown confirmed" if file( mholdofffile ) ? "Holdoff file exists! Escalate!" suspend else sdf = fcreate( mholdofffile ) =fputs( sdf , "Stop in the name of love!") =fclose( sdf ) endif if !file( mholdofffile ) wait window "No HOLDOFF file created, aborting Shutdown" nowait do alert with "No HOLDOFF file created, aborting shutdown" return endif wait window "Shutting down..." nowait do swrite with "N" , "" wait window "Shutting down... 3" timeout 1 do swrite with "N" , "" wait window "Shutting down... 2" timeout 1 do swrite with "N" , "" wait window "Shutting down... 1" timeout 1 do flush wait window "Flushing..." timeout 1 do sendeos do flush wait window "Sending End of Session... 3" timeout 1 do flush wait window "Sending End of Session... 2" timeout 1 do flush wait window "Sending End of Session... 1" timeout 1 do flush wait window "Sending End of Session... 0" timeout 1 do flush mdone = .T. zap return proc pingreply param preply , ptm ptoken = substr( ptm , 2 , 12 ) pport = substr( ptm , 14 , 4 ) x = "R"+ptoken+str( tseq ,9,0)+str( tmatch ,9,0)+str(0,9,0) s = "S"+chr(len(x))+ preply+pport+ x call int99 with s return proc seteventflags param secode do case case secode = "SOD" gaccept = .T. gactaccept = .T. case secode = "EOA" gactaccept = .F. case secode = "EOD" gaccept = .F. case secode = "EOM" geom = .T. endcase return proc alert parameter s xs = dtoc(date())+" "+time() +"-"+ s ? xs IF FILE( malertfile ) && Does file exist? errfile = FOPEN( malertfile ,12) && If so, open read/write ELSE errfile = FCREATE( malertfile ) && If not create it ENDIF IF errfile < 0 && Check for error opening file WAIT 'Cannot open or create output file' WINDOW NOWAIT ELSE && If no error, write to file =fseek( errfile, 0 , 2 ) =FWRITE(errfile, xs + chr(13) + chr(10) ) ENDIF =FCLOSE(errfile) && Close file * ? chr(07)+chr(07)+chr(07)+chr(07) return |
