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gregoryyoung/gist:4406378

Last active June 27, 2022 19:58
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  1. gregoryyoung revised this gist Dec 29, 2012. 1 changed file with 2 additions and 2 deletions.
    4 changes: 2 additions & 2 deletions gistfile1.txt
    View file
    Original file line number Diff line number Diff line change
    @@ -13,7 +13,7 @@ namespace marketdata
    static void Main(string[] args)
    {
    var ip = "192.168.3.100";
    int threads = 1;
    int threads = 3;
    int toWrite = 1000;
    int numberOfInstruments = 1000;
    int toSleep = 0;
    @@ -76,7 +76,7 @@ namespace marketdata
    var side = (int) (new Random().Next(0, 100)/50);
    var active = side == 0 ? "seller" : "buyer";
    var eventData = "{'instrument' : '" + key + "', 'newPrice' : '" +
    newprice.ToString("0.00") + "', 'timestamp' : '" + GetMsSinceEpoch() + "'," +
    newprice.ToString("0.00") + "', 'timestamp' : " + GetMsSinceEpoch() + "," +
    "'buyer' : '" + buyer + "'," +
    "'seller' : '" + seller + "'," +
    "'activeside' : '" + active + "'"
  2. gregoryyoung revised this gist Dec 29, 2012. 1 changed file with 6 additions and 1 deletion.
    7 changes: 6 additions & 1 deletion gistfile1.txt
    View file
    Original file line number Diff line number Diff line change
    @@ -76,14 +76,19 @@ namespace marketdata
    var side = (int) (new Random().Next(0, 100)/50);
    var active = side == 0 ? "seller" : "buyer";
    var eventData = "{'instrument' : '" + key + "', 'newPrice' : '" +
    newprice.ToString("0.00") + "', 'timestamp' : '" + DateTime.Now + "'," +
    newprice.ToString("0.00") + "', 'timestamp' : '" + GetMsSinceEpoch() + "'," +
    "'buyer' : '" + buyer + "'," +
    "'seller' : '" + seller + "'," +
    "'activeside' : '" + active + "'"
    + "}";
    return Encoding.UTF8.GetBytes(eventData);
    }

    private static long GetMsSinceEpoch()
    {
    return (long) DateTime.Now.Subtract(new DateTime(1970, 1, 1)).TotalMilliseconds;
    }

    private static Dictionary<string, decimal> PopulateInstruments(int numberOfInstruments)
    {
    var ret = new Dictionary<string, decimal>();
  3. gregoryyoung created this gist Dec 29, 2012.
    121 changes: 121 additions & 0 deletions gistfile1.txt
    View file
    Original file line number Diff line number Diff line change
    @@ -0,0 +1,121 @@
    using System;
    using System.Collections.Generic;
    using System.Linq;
    using System.Net;
    using System.Text;
    using System.Threading;
    using EventStore.ClientAPI;

    namespace marketdata
    {
    class Program
    {
    static void Main(string[] args)
    {
    var ip = "192.168.3.100";
    int threads = 1;
    int toWrite = 1000;
    int numberOfInstruments = 1000;
    int toSleep = 0;
    ThreadPool.SetMinThreads(threads, threads);
    var instruments = PopulateInstruments(numberOfInstruments);
    var waitEvents = new List<AutoResetEvent>(Enumerable.Range(0, threads).Select(x => new AutoResetEvent(false)));
    using (var connection = EventStoreConnection.Create(ConnectionSettings.Create()))
    {
    connection.Connect(new IPEndPoint(IPAddress.Parse(ip), 1113));
    Enumerable.Range(0, threads).ForEach(
    x =>
    ThreadPool.QueueUserWorkItem(
    c => WritePrices("ExchangeFeed" + x, toWrite, connection, instruments, toSleep, waitEvents[x])));
    waitEvents.ForEach(x => x.WaitOne());
    Console.WriteLine("done.");
    Console.ReadLine();
    }
    }

    private static int total;
    private static void WritePrices(string name, int toWrite, EventStoreConnection connection, Dictionary<string, decimal> instruments, int toSleep, AutoResetEvent waitEvent)
    {
    var keys = instruments.Keys.ToArray();
    var r = new Random();
    Enumerable.Range(0, toWrite).ForEach(x =>
    {
    var key = keys[r.Next(0, keys.Length)];
    var price = instruments[key];
    var newprice = price + (((decimal)r.NextDouble() - 0.5m)/10.0m);
    connection.AppendToStream("ticks-" + key,
    ExpectedVersion.Any,
    new IEvent []
    {
    new Event
    {
    EventId = Guid.NewGuid(),
    Type = "TradeOccurred",
    IsJson = true,
    Data = GetEventData(key, newprice, r.Next(0,20), r.Next(0,20)),
    Metadata = GetEventMetaData(name)
    }
    }
    );
    if(toSleep > 0)
    Thread.Sleep(toSleep);
    var t = Interlocked.Increment(ref total);
    if(t % 100 == 0) Console.Write(".");
    });
    waitEvent.Set();
    }

    private static byte[] GetEventMetaData(string name)
    {
    var metaData = "{'feed' : '" + name + "'}";
    return Encoding.UTF8.GetBytes(metaData);
    }

    private static byte[] GetEventData(string key, decimal newprice, int buyer, int seller)
    {
    var side = (int) (new Random().Next(0, 100)/50);
    var active = side == 0 ? "seller" : "buyer";
    var eventData = "{'instrument' : '" + key + "', 'newPrice' : '" +
    newprice.ToString("0.00") + "', 'timestamp' : '" + DateTime.Now + "'," +
    "'buyer' : '" + buyer + "'," +
    "'seller' : '" + seller + "'," +
    "'activeside' : '" + active + "'"
    + "}";
    return Encoding.UTF8.GetBytes(eventData);
    }

    private static Dictionary<string, decimal> PopulateInstruments(int numberOfInstruments)
    {
    var ret = new Dictionary<string, decimal>();
    var r = new Random();
    var instrument = new[] { 'A', 'A', 'A' };
    Enumerable.Range(0, numberOfInstruments).ForEach(x =>
    {
    var copy = instrument.ToArray();
    copy[2] = (char) (copy[2] + x % 26);
    copy[1] = (char) (copy[1] + (x/26) % 26);
    copy[0] = (char) (copy[0] + x/(26*26));
    ret.Add(new string(copy),r.Next(0,100));
    });
    return ret;
    }

    }

    class Event : IEvent
    {
    public Guid EventId { get; set; }
    public string Type { get; set; }
    public bool IsJson { get; set; }
    public byte[] Data { get; set; }
    public byte[] Metadata { get; set; }
    }

    static class IEnumerableExtensions
    {
    public static void ForEach<T>(this IEnumerable<T> enumerable, Action<T> action)
    {
    foreach (var e in enumerable) action(e);
    }
    }
    }