static void CQG_var_InstrumentChanged(CQGInstrument cqgInstrument, CQGQuotes cqgQuotes,
CQGInstrumentProperties cqgInstrumentProperties)
{
double qtIndicativeOpen = -1;
double qtSettlement = -1;
double qtMarker = -1;
double qtTodayMarker = -1;
//var dailyValueModel=new DailyValueModel();
// var prop=cqgInstrument.Properties[ep]
var quote = cqgInstrument.Quotes[eQuoteType.qtIndicativeOpen];
if (quote != null && quote.IsValid)
qtIndicativeOpen = quote.Price;
quote = cqgInstrument.Quotes[eQuoteType.qtSettlement];
if (quote != null && quote.IsValid)
qtSettlement = quote.Price;
quote = cqgInstrument.Quotes[eQuoteType.qtMarker];
if (quote != null && quote.IsValid)
qtMarker = quote.Price;
quote = cqgInstrument.Quotes[eQuoteType.qtTodayMarker];
if (quote != null && quote.IsValid)
qtTodayMarker = quote.Price;
ClientDatabaseManager.AddDailyValue(qtIndicativeOpen, qtMarker, qtSettlement, qtTodayMarker, cqgInstrument.FullName, DateTime.Today,cqgInstrument.ExpirationDate);
_cqgVar.RemoveInstrument(cqgInstrument);
SubscribedSymbol.Remove(cqgInstrument.FullName);
//To DB
}
public static String InsertData(String TableName,CQGInstrument instrument,int depth,uint groupID,bool isNew)
{
String symbol = instrument.FullName;
String query = "INSERT INTO `" + TableName + "`";
query += "(`symbol`,`depth`,`DOMBid`,`DOMAsk`,`DOMBidVol`,`DOMAskVol`,`Trade`,`TradeVol`,`IsNewTrade`,`ts`,GroupID)";
String runQuery = "";
int BalancedDepth = (instrument.DOMAsks.Count < instrument.DOMBids.Count)
? instrument.DOMAsks.Count
: instrument.DOMBids.Count;
for (int index = 0; ((index < BalancedDepth) && (index < depth)); index++)
{
//query += "(`symbol`,`depth`,`DOMBid`,`DOMAsk`,`DOMBidVol`,`DOMAskVol`,`Trade`,`TradeVol`,`ts`)";
CQGQuote DOMAsk = instrument.DOMAsks[index];
CQGQuote DOMBid = instrument.DOMBids[index];
runQuery += query + " VALUES('" + symbol + "'," + Convert.ToString(index+1) + ",";
runQuery += DOMBid.Price.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += DOMAsk.Price.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += DOMBid.Volume.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += DOMAsk.Volume.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += instrument.Trade.Price.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += instrument.Trade.Volume.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += "" + isNew + ",";
runQuery += "'" + instrument.Timestamp.ToString("yyyy-MM-dd hh:mm:ss fff") + "',";
runQuery += Convert.ToString(groupID) + ");";
}
//instrument.
return runQuery;
}
private static void _cel_InstrumentSubscribed(string symbol, CQGInstrument cqgInstrument)
{
_FullNameSYmbol = cqgInstrument.FullName;
SubscribedSymbol.Add(symbol);
// foreach (var symbol in symbols)
{
// CQGInstrument instrument = _cqgVar.Instruments[symbol];
CQGInstrumentProperties props = cqgInstrument.Properties;
double tickSize = -1;
double tickValue = -1;
string curency = " ";
DateTime expiration = DateTime.Today;
var properties = props[eInstrumentProperty.ipTickSize];
if (props != null && _cqgVar.IsValid(properties.Value))
{
tickSize = properties.Value;
}
properties = props[eInstrumentProperty.ipCurrency];
if (props != null && _cqgVar.IsValid(properties.Value))
{
curency = properties.Value;
}
// properties = props[eInstrumentProperty.ipExpirationDate];
// if (props != null && _cqgVar.IsValid(properties.Value))
// expiration = properties.Value;
properties = props[eInstrumentProperty.ipTickValue];
if (props != null && _cqgVar.IsValid(properties.Value))
{
tickValue = properties.Value;
}
ClientDatabaseManager.AddNotChangedValue(symbol, tickSize, curency, tickValue);
}
}
private void SessionOnInstrumentSubscribed(string symbol, CQGInstrument cqgInstrument)
{
_instruments[symbol] = cqgInstrument;
OptionTypes? optionType = null;
if (cqgInstrument.InstrumentType == eInstrumentType.itOptionCall)
optionType = OptionTypes.Call;
else if (cqgInstrument.InstrumentType == eInstrumentType.itOptionPut)
optionType = OptionTypes.Put;
SendOutMessage(new SecurityMessage
{
SecurityId = new SecurityId
{
SecurityCode = cqgInstrument.Commodity,
BoardCode = cqgInstrument.ExchangeAbbreviation,
Native = cqgInstrument.InstrumentID,
},
Currency = cqgInstrument.Currency.To<CurrencyTypes>(),
Name = cqgInstrument.FullName,
ExpiryDate = cqgInstrument.ExpirationDate.ApplyTimeZone(TimeHelper.Est),
SecurityType = cqgInstrument.InstrumentType.ToStockSharp(),
Strike = cqgInstrument.Strike,
UnderlyingSecurityCode = cqgInstrument.UnderlyingInstrumentName,
OptionType = optionType,
PriceStep = (decimal)cqgInstrument.TickSize,
Decimals = cqgInstrument.Scale
});
SendLevel1Message(cqgInstrument);
}
private void SessionOnInstrumentSubscribed(string symbol, CQGInstrument cqgInstrument)
{
SessionHolder.Instruments[symbol] = cqgInstrument;
OptionTypes?optionType = null;
if (cqgInstrument.InstrumentType == eInstrumentType.itOptionCall)
{
optionType = OptionTypes.Call;
}
else if (cqgInstrument.InstrumentType == eInstrumentType.itOptionPut)
{
optionType = OptionTypes.Put;
}
SendOutMessage(new SecurityMessage
{
SecurityId = new SecurityId
{
SecurityCode = cqgInstrument.Commodity,
BoardCode = cqgInstrument.ExchangeAbbreviation,
Native = cqgInstrument.InstrumentID,
},
Currency = cqgInstrument.Currency.To <CurrencyTypes>(),
Name = cqgInstrument.FullName,
ExpiryDate = cqgInstrument.ExpirationDate.ApplyTimeZone(TimeHelper.Est),
SecurityType = cqgInstrument.InstrumentType.ToStockSharp(),
Strike = cqgInstrument.Strike,
UnderlyingSecurityCode = cqgInstrument.UnderlyingInstrumentName,
OptionType = optionType,
});
SendLevel1Message(cqgInstrument);
}
public static String InsertData_dom(String tableName, CQGInstrument instrument, int depth, uint groupID, bool isNew, string userName, out double askPrice, out int askVol, out double bidPrice, out int bidVol, DateTime serverTime)
{
var newTable = "DM_" + tableName.Substring(3, tableName.Length - 3).ToUpper();
String symbol = instrument.FullName;
String query = "INSERT IGNORE INTO `" + newTable + "`";
query += "(`Symbol`,`Depth`,`DOMBid`,`DOMAsk`,`DOMBidVol`,`DOMAskVol`,`Trade`,`TradeVol`,`Time`, `TimeLocal`,GroupID, UserName)";
String runQuery = "";
int balancedDepth = (instrument.DOMAsks.Count < instrument.DOMBids.Count)
? instrument.DOMAsks.Count
: instrument.DOMBids.Count;
askPrice = 0;
askVol = 0;
bidPrice = 0;
bidVol = 0;
for (int index = 0; ((index < balancedDepth) && (index < depth)); index++)
{
//query += "(`symbol`,`depth`,`DOMBid`,`DOMAsk`,`DOMBidVol`,`DOMAskVol`,`Trade`,`TradeVol`,`ts`)";
CQGQuote domAsk = instrument.DOMAsks[index];
CQGQuote domBid = instrument.DOMBids[index];
runQuery += query + " VALUES('" + symbol + "'," + Convert.ToString(index + 1) + ",";
runQuery += domBid.Price.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += domAsk.Price.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += domBid.Volume.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += domAsk.Volume.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += instrument.Trade.Price.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += instrument.Trade.Volume.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += "'" + serverTime.ToString("yyyy/MM/dd H:mm:ss.fff", CultureInfo.InvariantCulture) + "',";
runQuery += "'" + DateTime.Now.ToString("yyyy/MM/dd H:mm:ss.fff", CultureInfo.InvariantCulture) + "',";
runQuery += Convert.ToString(groupID) + ",";
runQuery += "'" + userName + "');";
if (index == 0)
{
askPrice = domAsk.Price;
askVol = domAsk.Volume;
bidPrice = domBid.Price;
bidVol = domBid.Volume;
}
}
//instrument.
return(runQuery);
}
static void _cel_InstrumentSubscribed(string symbol, CQGInstrument cqgInstrument)
{
if (_symbolsInProgress.Exists(oo => oo.Name == symbol))
{
var item = _symbolsInProgress.Find(oo => oo.Name == symbol);
item.Description = "Subscribed.";
item.CqgInstrument = cqgInstrument;
item.TickData = new TickData(ClientDatabaseManager.GetTableTsName(symbol), symbol);
item.DomData = new DomDataModel(ClientDatabaseManager.GetTableTsName(symbol), symbol);
ClientDatabaseManager.CreateLiveTableTs(symbol);
ClientDatabaseManager.CreateLiveTableDm(symbol);
OnSymbolSubscribed(item.Name, item.Depth);
RefreshSubscribedSymbolOnUi();
}
}
//private CQGInstrument Instrument = new CQGInstrument();
/// <summary>
/// This event is fired when a new instrument is resolved and subscribed.
/// </summary>
/// <param name="symbol">
/// The commodity symbol that was requested by the user in the NewInstrument method.
/// </param>
/// <param name="Instrument">
/// The resolved CQGInstrument object.
/// </param>
public void CEL_InstrumentSubscribed(string symbol, CQGInstrument instrument)
{
string p = instrument.FullName.ToString(); //.DOMAsks.ToString();
MessageBox.Show(p );
//if (m_InitializingCEL || instrument == null) return;
//try
//{
// if (m_reSubcriptionCount > 0)
// {
// m_reSubcriptionCount--;
// Debug.WriteLine("m_reSubcriptionCount: " + symbol);
// if (m_reSubcriptionCount == 0)
// {
// SetSubscriptionLevel();
// }
// return;
// }
// int index = lstInstruments.Items.IndexOf(instrument.FullName);
// if (index == -1)
// {
// lstInstruments.Items.Add(instrument.FullName);
// //Changing the selection triggers a call to DisplayQuotesAndDynamicProperties
// lstInstruments.SelectedIndex = lstInstruments.Items.Count - 1;
// }
// else
// {
// lstInstruments.SelectedIndex = index;
// }
// btnSubscribe.Enabled = false;
// txtSymbol.Text = "";
// txtSymbol.Focus();
// SetSubscriptionLevel();
//}
//catch (Exception ex)
//{
// ErrorHandler.HandleError("frmInstrumentProperties", "CEL_InstrumentSubscribed -" + symbol, ex);
//}
}
static void _cel_InstrumentSubscribed(string symbol, CQGInstrument cqgInstrument)
{
//Check expired date
DateTime d = cqgInstrument.ExpirationDate;
Console.WriteLine("Symbol: '" + symbol + "' will be expired:" + d.ToShortDateString());
if ((d - DateTime.Now).TotalHours < (Settings.Default.DaysToExpiration * 24))
{
if (!Settings.Default.EmailedSymbols.Contains(symbol))
{
OnSendReport("Symbol: '" + symbol + "' will expired soon", "Hello. \n The symbol: '" + symbol + "' will be expired on less then " + Settings.Default.DaysToExpiration + " days. \nExpiration date: " + d.ToShortDateString() + "\n\nGood luck");
Settings.Default.EmailedSymbols += symbol;
}
}
//Month
MonthCharYearModel variable = new MonthCharYearModel();
variable.MonthChar = "def";
variable.Year = "def";
foreach (var monthCharYearModel in monthCharYearlList)
{
if (monthCharYearModel.Symbol == symbol)
{
return;
}
}
CQGInstrumentProperties props = cqgInstrument.Properties;
var properties = props[eInstrumentProperty.ipMonthChar];
if (props != null && Cel.IsValid(properties.Value))
{
variable.MonthChar = properties.Value.ToString();
}
properties = props[eInstrumentProperty.ipYear];
if (props != null && Cel.IsValid(properties.Value))
{
variable.Year = properties.Value.ToString();
}
variable.Symbol = symbol;
monthCharYearlList.Add(variable);
Cel.RemoveInstrument(cqgInstrument);
}
static void CQG_var_InstrumentChanged(CQGInstrument cqgInstrument, CQGQuotes cqgQuotes, CQGInstrumentProperties cqgInstrumentProperties)
{
double qtIndicativeOpen = -1;
double qtSettlement = -1;
double qtMarker = -1;
double qtTodayMarker = -1;
//var dailyValueModel=new DailyValueModel();
var quote = cqgInstrument.Quotes[eQuoteType.qtIndicativeOpen];
if (quote != null && quote.IsValid) qtIndicativeOpen = quote.Price;
quote = cqgInstrument.Quotes[eQuoteType.qtSettlement];
if (quote != null && quote.IsValid) qtSettlement = quote.Price;
quote = cqgInstrument.Quotes[eQuoteType.qtMarker];
if (quote != null && quote.IsValid) qtMarker = quote.Price;
quote = cqgInstrument.Quotes[eQuoteType.qtTodayMarker];
if (quote != null && quote.IsValid) qtTodayMarker = quote.Price;
DatabaseManager.AddDailyValue(qtIndicativeOpen, qtMarker, qtSettlement, qtTodayMarker, _SymbolNow, DateTime.Today);
//To DB
}
static void CQG_var_InstrumentChanged(CQGInstrument cqgInstrument, CQGQuotes cqgQuotes,
CQGInstrumentProperties cqgInstrumentProperties)
{
double qtIndicativeOpen = -1;
double qtSettlement = -1;
double qtMarker = -1;
double qtTodayMarker = -1;
//var dailyValueModel=new DailyValueModel();
// var prop=cqgInstrument.Properties[ep]
var quote = cqgInstrument.Quotes[eQuoteType.qtIndicativeOpen];
if (quote != null && quote.IsValid)
{
qtIndicativeOpen = quote.Price;
}
quote = cqgInstrument.Quotes[eQuoteType.qtSettlement];
if (quote != null && quote.IsValid)
{
qtSettlement = quote.Price;
}
quote = cqgInstrument.Quotes[eQuoteType.qtMarker];
if (quote != null && quote.IsValid)
{
qtMarker = quote.Price;
}
quote = cqgInstrument.Quotes[eQuoteType.qtTodayMarker];
if (quote != null && quote.IsValid)
{
qtTodayMarker = quote.Price;
}
ClientDatabaseManager.AddDailyValue(qtIndicativeOpen, qtMarker, qtSettlement, qtTodayMarker, cqgInstrument.FullName, DateTime.Today, cqgInstrument.ExpirationDate);
_cqgVar.RemoveInstrument(cqgInstrument);
SubscribedSymbol.Remove(cqgInstrument.FullName);
//To DB
}
private void SessionOnInstrumentDomChanged(CQGInstrument cqgInstrument, CQGDOMQuotes prevAsks, CQGDOMQuotes prevBids)
{
SendOutMessage(new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = cqgInstrument.Commodity,
BoardCode = cqgInstrument.ExchangeAbbreviation,
},
ServerTime = cqgInstrument.ServerTimestamp.ApplyTimeZone(TimeHelper.Est),
Bids = cqgInstrument.DOMBids
.Cast <CQGQuote>()
.Where(q => q.IsValid)
.Select(q => new QuoteChange(Sides.Buy, (decimal)q.Price, q.HasVolume ? q.Volume : 0)),
Asks = cqgInstrument.DOMAsks
.Cast <CQGQuote>()
.Where(q => q.IsValid)
.Select(q => new QuoteChange(Sides.Sell, (decimal)q.Price, q.HasVolume ? q.Volume : 0)),
});
}
private void SessionOnInstrumentDomChanged(CQGInstrument cqgInstrument, CQGDOMQuotes prevAsks, CQGDOMQuotes prevBids)
{
SendOutMessage(new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = cqgInstrument.Commodity,
BoardCode = cqgInstrument.ExchangeAbbreviation,
},
ServerTime = cqgInstrument.ServerTimestamp.ApplyTimeZone(TimeHelper.Est),
Bids = cqgInstrument.DOMBids
.Cast<CQGQuote>()
.Where(q => q.IsValid)
.Select(q => new QuoteChange(Sides.Buy, (decimal)q.Price, q.HasVolume ? q.Volume : 0)),
Asks = cqgInstrument.DOMAsks
.Cast<CQGQuote>()
.Where(q => q.IsValid)
.Select(q => new QuoteChange(Sides.Sell, (decimal)q.Price, q.HasVolume ? q.Volume : 0)),
});
}
static void CQG_var_InstrumentChanged(CQGInstrument cqgInstrument, CQGQuotes cqgQuotes, CQGInstrumentProperties cqgInstrumentProperties)
{
double qtIndicativeOpen = -1;
double qtSettlement = -1;
double qtMarker = -1;
double qtTodayMarker = -1;
//var dailyValueModel=new DailyValueModel();
var quote = cqgInstrument.Quotes[eQuoteType.qtIndicativeOpen];
if (quote != null && quote.IsValid)
{
qtIndicativeOpen = quote.Price;
}
quote = cqgInstrument.Quotes[eQuoteType.qtSettlement];
if (quote != null && quote.IsValid)
{
qtSettlement = quote.Price;
}
quote = cqgInstrument.Quotes[eQuoteType.qtMarker];
if (quote != null && quote.IsValid)
{
qtMarker = quote.Price;
}
quote = cqgInstrument.Quotes[eQuoteType.qtTodayMarker];
if (quote != null && quote.IsValid)
{
qtTodayMarker = quote.Price;
}
DatabaseManager.AddDailyValue(qtIndicativeOpen, qtMarker, qtSettlement, qtTodayMarker, _SymbolNow, DateTime.Today);
//To DB
}
/// <summary>
/// Publish a quote from CQG
/// </summary>
/// <param name="instrument"></param>
private void publishQuote(CQGInstrument instrument)
{
try
{
publishQuote(instrument.FullName, instrument);
}
catch (Exception myE)
{
}
}
private List<KaiTrade.Interfaces.IDOMSlot> ProcessDOM(CQGInstrument instrument, CQGDOMQuotes prev_asks, CQGDOMQuotes prev_bids)
{
List<KaiTrade.Interfaces.IDOMSlot> domSlots = new List<KaiTrade.Interfaces.IDOMSlot>();
try
{
decimal? price;
decimal? vol;
CQGQuote bidQt;
CQGQuote askQt;
CQGQuote prevBidQt;
CQGQuote prevAskQt;
int prevBidQtIndex = 0;
int prevAskQtIndex = 0;
int qtBidIndex = 0;
int qtAskIndex = 0;
//dumpDOMUpdate(instrument, prev_asks, prev_bids);
while ((qtBidIndex < instrument.DOMBids.Count) || (qtAskIndex < instrument.DOMAsks.Count))
{
bidQt = instrument.DOMBids[9 - qtBidIndex];
askQt = instrument.DOMAsks[qtAskIndex];
prevBidQt = prev_bids[9 - prevBidQtIndex];
prevAskQt = prev_asks[prevBidQtIndex];
if (qtBidIndex < instrument.DOMAsks.Count)
{
// start at bottom of current bids
if (bidQt.Price < prevBidQt.Price)
{
// prices have dropped
// ADD SLOT with BidZ = sz AskSz =null
domSlots.Add(new K2DataObjects.DOMSlot((decimal)bidQt.Price, (decimal)bidQt.Volume, null));
qtBidIndex++;
}
if (bidQt.Price == prevBidQt.Price)
{
// same price so just replace
if (bidQt.Volume != prevBidQt.Volume)
{
domSlots.Add(new K2DataObjects.DOMSlot((decimal)bidQt.Price, (decimal)bidQt.Volume, null));
}
prevBidQtIndex++;
qtBidIndex++;
}
if (bidQt.Price > prevBidQt.Price)
{
// prices moved up
if (prevBidQtIndex < prev_bids.Count)
{
domSlots.Add(new K2DataObjects.DOMSlot((decimal)prevBidQt.Price, null, null));
prevBidQtIndex++;
}
else
{
domSlots.Add(new K2DataObjects.DOMSlot((decimal)bidQt.Price, (decimal)bidQt.Volume, null));
qtBidIndex++;
}
}
}
else
{
// do the asks
if (askQt.Price < prevAskQt.Price)
{
// prices have dropped
domSlots.Add(new K2DataObjects.DOMSlot((decimal)askQt.Price, null, (decimal)askQt.Volume));
qtAskIndex++;
}
if (askQt.Price == prevAskQt.Price)
{
// same price so just replace
if (askQt.Volume != prevAskQt.Volume)
{
domSlots.Add(new K2DataObjects.DOMSlot((decimal)askQt.Price, null, (decimal)askQt.Volume));
}
prevAskQtIndex++;
qtAskIndex++;
}
if (askQt.Price > prevAskQt.Price)
{
// prices moved up
if (prevAskQtIndex < prev_asks.Count)
{
// this slot would have been done in the bid processing
//domSlots[slotIndex++] = new K2DataObjects.DOMSlot((decimal)prevAskQt.Price, null, null);
prevAskQtIndex++;
}
else
{
domSlots.Add(new K2DataObjects.DOMSlot((decimal)askQt.Price, null, (decimal)askQt.Volume));
qtAskIndex++;
}
}
}
}
}
catch
{
}
return domSlots;
}
private List<KaiTrade.Interfaces.IDOMSlot> ProcessDOMasImage(CQGInstrument instrument, CQGDOMQuotes prev_asks, CQGDOMQuotes prev_bids)
{
List<KaiTrade.Interfaces.IDOMSlot> domSlots = new List<KaiTrade.Interfaces.IDOMSlot>();
try
{
CQGQuote bidQt;
CQGQuote askQt;
int qtBidIndex = instrument.DOMBids.Count - 1;
int qtAskIndex = 0;
while (qtBidIndex >= 0)
{
bidQt = instrument.DOMBids[qtBidIndex--];
domSlots.Add(new K2DataObjects.DOMSlot((decimal)bidQt.Price, (decimal)bidQt.Volume, null));
}
while (qtAskIndex < instrument.DOMAsks.Count)
{
askQt = instrument.DOMAsks[qtAskIndex++];
domSlots.Add(new K2DataObjects.DOMSlot((decimal)askQt.Price, null, (decimal)askQt.Volume));
}
}
catch
{
}
return domSlots;
}
/// <summary>
/// publish a quote for the given mnemonic
/// </summary>
/// <param name="myMnemonic">mnemonic/subject key</param>
/// <param name="instrument">CQG instrument that has changed</param>
private void publishTradeUpdate(string myMnemonic, CQGInstrument instrument, CQGQuote quote)
{
try
{
L1PriceSupport.PXUpdateBase pxupdate = new L1PriceSupport.PXUpdateBase(m_ID);
pxupdate.Mnemonic = myMnemonic;
pxupdate.DriverTag = "T";
pxupdate.UpdateType = KaiTrade.Interfaces.PXUpdateType.trade;
if (instrument.Bid.IsValid)
{
pxupdate.BidSize = instrument.Bid.Volume;
pxupdate.BidPrice = (decimal)instrument.Bid.Price;
pxupdate.Ticks = instrument.Bid.ServerTimestamp.Ticks;
}
if (instrument.Ask.IsValid)
{
pxupdate.OfferSize = instrument.Ask.Volume;
pxupdate.OfferPrice = (decimal)instrument.Ask.Price;
pxupdate.Ticks = instrument.Ask.ServerTimestamp.Ticks;
}
pxupdate.TradePrice = (decimal)quote.Price;
pxupdate.ServerTicks = quote.ServerTimestamp.Ticks;
if (quote.HasVolume)
{
pxupdate.TradeVolume = quote.Volume;
}
ApplyPriceUpdate(pxupdate);
}
catch (Exception myE)
{
log.Error("publishTradeUpdate", myE);
}
}
private void CEL_InstrumentDOMChanged(CQGInstrument instrument, CQGDOMQuotes prevAsks, CQGDOMQuotes prevBids)
{
if (!_symbolsTable.Keys.Contains(instrument.FullName))
{
return;
}
lock (_waitingLocker)
{
SymbolData symbolData = _symbolsTable[instrument.FullName];
if (symbolData.IsCanceled)
{
RemoveSymbol(instrument.FullName);
return;
}
if (!(_cel.IsValid(instrument.DOMBids) && _cel.IsValid(instrument.DOMAsks)))
{
return;
}
if (!symbolData.FirstTride)
{
const double epsilon = 0.0000001;
if ((Math.Abs(instrument.Trade.Price - symbolData.PrevTradePrice) > epsilon) ||
(Math.Abs(instrument.Trade.Volume - symbolData.PrevTradeVol) > epsilon))
{
symbolData.IsNewTrade = true;
if (_isMoreInfo)
{
if (symbolData.MsgObject.Parent.Parent != null)
{
symbolData.MsgObject.Parent.Parent.BeginInvoke(
new Action(
() =>
symbolData.MsgObject.Text =
@"DOMBids depth: " + instrument.DOMBids.Count + @" DOMAsks depth: " +
instrument.DOMAsks.Count));
}
}
}
else
{
symbolData.IsNewTrade = false;
}
symbolData.PrevTradePrice = instrument.Trade.Price;
symbolData.PrevTradeVol = instrument.Trade.Volume;
symbolData.PrevTradeTime = instrument.Timestamp;
}
else
{
symbolData.PrevTradePrice = instrument.Trade.Price;
symbolData.PrevTradeVol = instrument.Trade.Volume;
symbolData.PrevTradeTime = instrument.Timestamp;
}
symbolData.FirstTride = false;
double askPrice;
double bidPrice;
int askVol;
int bidVol;
var serverTimestamp = new DateTime(instrument.ServerTimestamp.Year,
instrument.ServerTimestamp.Month,
instrument.ServerTimestamp.Day,
instrument.ServerTimestamp.Hour,
instrument.ServerTimestamp.Minute,
instrument.ServerTimestamp.Second,
instrument.ServerTimestamp.Millisecond);
var query = QueryBuilder.InsertData_dom(symbolData.TableName, instrument,
Convert.ToInt32(symbolData.Depth), ++symbolData.GroupId,
symbolData.IsNewTrade, _userName, out askPrice, out askVol, out bidPrice, out bidVol, serverTimestamp);
if (instrument.ServerTimestamp < DateTime.Now.AddDays(-1))
{
return;
}
var tickDomData = new TickData
{
AskPrice = askPrice,
AskVolume = askVol,
BidPrice = bidPrice,
BidVolume = bidVol,
SymbolName = symbolData.SymbolName,
Timestamp = serverTimestamp,
GroupID = symbolData.GroupId
};
if (_onSymbolsList.Contains(instrument.FullName))
{
DatabaseManager.AddToBuffer(query, true, tickDomData);
if (_allowedSymbols.ContainsKey(_symbolsTable[instrument.FullName].SymbolName) ||
!DatabaseManager.CurrentDbIsShared)
{
if (DatabaseManager.CurrentDbIsShared && serverTimestamp < _allowedSymbols[instrument.FullName])
{
return;
}
DatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
}
_symbolsTable[instrument.FullName] = symbolData;
}
}
private void SessionOnInstrumentChanged(CQGInstrument cqgInstrument, CQGQuotes cqgQuotes, CQGInstrumentProperties cqgInstrumentProperties)
{
SendLevel1Message(cqgInstrument);
}
static void _cel_InstrumentSubscribed(string symbol, CQGInstrument cqgInstrument)
{
//Check expired date
DateTime d = cqgInstrument.ExpirationDate;
Console.WriteLine("Symbol: '" + symbol + "' will be expired:" + d.ToShortDateString());
if ((d - DateTime.Now).TotalHours < (Settings.Default.DaysToExpiration * 24))
{
if (!Settings.Default.EmailedSymbols.Contains(symbol))
{
OnSendReport("Symbol: '" + symbol + "' will expired soon", "Hello. \n The symbol: '" + symbol + "' will be expired on less then " + Settings.Default.DaysToExpiration + " days. \nExpiration date: " + d.ToShortDateString() + "\n\nGood luck");
Settings.Default.EmailedSymbols += symbol;
}
}
//Month
MonthCharYearModel variable = new MonthCharYearModel();
variable.MonthChar = "def";
variable.Year = "def";
foreach (var monthCharYearModel in monthCharYearlList)
{
if (monthCharYearModel.Symbol == symbol)
return;
}
CQGInstrumentProperties props = cqgInstrument.Properties;
var properties = props[eInstrumentProperty.ipMonthChar];
if (props != null && Cel.IsValid(properties.Value))
variable.MonthChar = properties.Value.ToString();
properties = props[eInstrumentProperty.ipYear];
if (props != null && Cel.IsValid(properties.Value))
variable.Year = properties.Value.ToString();
variable.Symbol = symbol;
monthCharYearlList.Add(variable);
Cel.RemoveInstrument(cqgInstrument);
}
public void sendUpdateToContractSummaryLiveData(OptionRealtimeMonitor optionRealtimeMonitor)
{
DataGridView gridViewContractSummary = optionRealtimeMonitor.getGridViewContractSummary;
try
{
for (int contractSummaryExpressionCnt = 0;
contractSummaryExpressionCnt < optionSpreadManager.contractSummaryExpressionListIdx.Count(); contractSummaryExpressionCnt++)
{
CQGInstrument cqgInstrument =
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]]
.cqgInstrument;
if (cqgInstrument != null)
{
statusAndConnectedUpdates.checkUpdateStatus(gridViewContractSummary, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.TIME,
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]]);
//if (optionSpreadManager.realtimeMonitorSettings.eodAnalysis)
if (optionSpreadManager
.optionSpreadExpressionList
[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]]
.instrument.eodAnalysisAtInstrument)
{
//gridViewContractSummary.Columns[(int)CONTRACTSUMMARY_DATA_COLUMNS.TIME].DefaultCellStyle.Font = new Font("Tahoma", 6);
fillContractSummaryLiveData(optionRealtimeMonitor,
contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.TIME,
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]]
.lastTimeUpdated.ToString("yyyy-MM-dd HH:mm", DateTimeFormatInfo.InvariantInfo),
false, 0);
}
else
{
//gridViewContractSummary.Columns[(int)CONTRACTSUMMARY_DATA_COLUMNS.TIME].DefaultCellStyle.Font = new Font("Tahoma", 8);
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.TIME,
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]]
.lastTimeUpdated.ToString("HH:mm", DateTimeFormatInfo.InvariantInfo),
false, 0);
}
// gridViewContractSummary
// .Rows[heldLotsExpressionCnt].Cells[(int)CONTRACTSUMMARY_DATA_COLUMNS.TOTAL_QTY].Value =
// optionSpreadExpressionList[i].numberOfLotsHeldForContractSummary
// * optionSpreadManager.portfolioGroupTotalMultiple;
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.ASK,
cqgInstrument.ToDisplayPrice(
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].ask),
false,
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].ask);
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.BID,
cqgInstrument.ToDisplayPrice(
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].bid),
false,
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].bid);
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.LAST,
cqgInstrument.ToDisplayPrice(
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].trade),
false,
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].trade);
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.DFLT_PRICE,
cqgInstrument.ToDisplayPrice(
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].defaultPrice),
false,
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].defaultPrice);
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.STTLE,
cqgInstrument.ToDisplayPrice(
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].settlement),
false,
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].settlement);
if (optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]]
.settlementDateTime.Date.CompareTo(DateTime.Now.Date) >= 0)
{
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.SETL_TIME,
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].settlementDateTime
.ToString("yyyy-MM-dd HH:mm", DateTimeFormatInfo.InvariantInfo),
true, 1);
}
else
{
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.SETL_TIME,
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].settlementDateTime
.ToString("yyyy-MM-dd HH:mm", DateTimeFormatInfo.InvariantInfo),
true, -1);
}
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.YEST_STTLE,
cqgInstrument.ToDisplayPrice(
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].yesterdaySettlement),
false,
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].yesterdaySettlement);
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.IMPL_VOL,
cqgInstrument.ToDisplayPrice(
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].impliedVol),
false,
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].impliedVol);
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.THEOR_PRICE,
cqgInstrument.ToDisplayPrice(
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].theoreticalOptionPrice),
false,
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].theoreticalOptionPrice);
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.SPAN_IMPL_VOL,
Math.Round(
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].impliedVolFromSpan,
2).ToString(),
false,
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].impliedVolFromSpan);
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.SETL_IMPL_VOL,
Math.Round(
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].settlementImpliedVol,
2).ToString(),
false,
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].settlementImpliedVol);
int lots = optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]]
.numberOfLotsHeldForContractSummary
* optionSpreadManager.portfolioGroupTotalMultiple;
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.TOTAL_QTY,
lots.ToString(),
false,
lots);
double delta = Math.Round(
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].deltaChgForContractSummary
* optionSpreadManager.portfolioGroupTotalMultiple, 2);
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.DELTA,
delta.ToString(),
true,
delta);
double plChg = Math.Round(
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].plChgForContractSummary
* optionSpreadManager.portfolioGroupTotalMultiple, 2);
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.PL_DAY_CHG,
plChg.ToString(),
true,
plChg);
int numberOfOrderContracts =
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].numberOfOrderContracts
* optionSpreadManager.portfolioGroupTotalMultiple;
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.ORDER_QTY,
numberOfOrderContracts.ToString(),
false,
numberOfOrderContracts);
double plChgOrders = Math.Round(
optionSpreadManager.optionSpreadExpressionList[optionSpreadManager.contractSummaryExpressionListIdx[contractSummaryExpressionCnt]].plChgOrders
* optionSpreadManager.portfolioGroupTotalMultiple, 2);
fillContractSummaryLiveData(optionRealtimeMonitor, contractSummaryExpressionCnt,
(int)CONTRACTSUMMARY_DATA_COLUMNS.ORDER_PL_CHG,
plChgOrders.ToString(),
true,
plChgOrders);
}
}
}
catch (Exception ex)
{
TSErrorCatch.errorCatchOut(Convert.ToString(this), ex);
}
}
/// <summary>
/// This event is fired when a new instrument is resolved and subscribed.
/// </summary>
/// <param name="symbol">The commodity symbol that was requested by user in NewInstrument method.</param>
/// <param name="instrument">Subscribed CQGInstrument object.</param>
private void cel_InstrumentSubscribed(string symbol, CQGInstrument instrument)
{
try
{
driverLog.Info("cel_InstrumentSubscribed:Pre" + symbol);
lock (m_InstrSubscribed)
{
try
{
driverLog.Info("cel_InstrumentSubscribed" + symbol);
KaiTrade.Interfaces.IProduct myProduct = null;
if (_productRegister.ContainsKey(symbol))
{
myProduct = _productRegister[symbol];
if (symbol != instrument.FullName)
{
if (_productGenericNameRegister.ContainsKey(instrument.FullName))
{
_productGenericNameRegister[instrument.FullName] = symbol;
}
else
{
_productGenericNameRegister.Add(instrument.FullName, symbol);
}
}
if (instrument.FullName.StartsWith("SPREAD"))
{
DefineCQGStrategy(instrument.FullName);
}
}
else
{
// Use the product manager directly to add a product
myProduct = Facade.GetProductManager().CreateProductWithSecID(instrument.FullName, Name, instrument.ExchangeAbbreviation, instrument.FullName, Name);
_productRegister.Add(symbol, myProduct);
}
setProductValues(myProduct, symbol, instrument);
// This will case a register update to be sent to subscribers of the product manager - e.g. like the rabbit publisher
Facade.GetProductManager().RegisterProduct(myProduct);
}
catch (Exception myE)
{
log.Error("cel_InstrumentSubscribed", myE);
}
}
}
catch
{
}
}
/// <summary>
/// This event is fired when any of the instrument quotes or dynamic instrument properties are changed.
/// </summary>
/// <param name="instrument">Changed instrument.</param>
/// <param name="quotes">Collection of changed quotes.</param>
/// <param name="props">Collection of changed dynamic properties. </param>
private void cel_InstrumentChanged(CQGInstrument instrument, CQGQuotes quotes, CQGInstrumentProperties props)
{
try
{
lock (m_InstrToken1)
{
try
{
if (!_publisherRegister.ContainsKey(instrument.FullName))
{
return;
}
if (!_pXContexts.ContainsKey(instrument.FullName))
{
_pXContexts.Add(instrument.FullName, new DriverBase.PXUpdateContext(instrument.FullName));
}
L1PriceSupport.PXUpdateBase pxupdate = null;
if (quotes.Count > 0)
{
foreach (CQGQuote quote in quotes)
{
switch (quote.Type)
{
case eQuoteType.qtTrade:
pxupdate = new L1PriceSupport.PXUpdateBase(m_ID);
pxupdate.Mnemonic = instrument.FullName;
pxupdate.UpdateType = KaiTrade.Interfaces.PXUpdateType.trade;
pxupdate.DriverTag = "Q";
if (quote.HasVolume)
{
pxupdate.TradeVolume = quote.Volume;
}
else
{
pxupdate.TradeVolume = 0;
}
pxupdate.TradePrice = (decimal)quote.Price;
pxupdate.ServerTicks = quote.ServerTimestamp.Ticks;
if (_pXContexts[instrument.FullName].IsUpdatedTrade(pxupdate))
{
ApplyPriceUpdate(pxupdate);
}
break;
case eQuoteType.qtAsk:
pxupdate = new L1PriceSupport.PXUpdateBase(m_ID);
pxupdate.Mnemonic = instrument.FullName;
pxupdate.UpdateType = KaiTrade.Interfaces.PXUpdateType.ask;
pxupdate.DriverTag = "Q";
if (quote.HasVolume)
{
pxupdate.OfferSize = quote.Volume;
}
else
{
pxupdate.OfferSize = 0;
}
pxupdate.OfferPrice = (decimal)quote.Price;
pxupdate.ServerTicks = quote.ServerTimestamp.Ticks;
if (_pXContexts[instrument.FullName].IsUpdatedOffer(pxupdate))
{
ApplyPriceUpdate(pxupdate);
}
break;
case eQuoteType.qtBid:
pxupdate = new L1PriceSupport.PXUpdateBase(m_ID);
pxupdate.Mnemonic = instrument.FullName;
pxupdate.UpdateType = KaiTrade.Interfaces.PXUpdateType.bid;
pxupdate.DriverTag = "Q";
if (quote.HasVolume)
{
pxupdate.BidSize = quote.Volume;
}
else
{
pxupdate.BidSize = 0;
}
pxupdate.BidPrice = (decimal)quote.Price;
pxupdate.ServerTicks = quote.ServerTimestamp.Ticks;
if (_pXContexts[instrument.FullName].IsUpdatedBid(pxupdate))
{
ApplyPriceUpdate(pxupdate);
}
break;
default:
pxupdate = new L1PriceSupport.PXUpdateBase(m_ID);
pxupdate.Mnemonic = instrument.FullName;
pxupdate.UpdateType = KaiTrade.Interfaces.PXUpdateType.none;
pxupdate.DriverTag = "Q";
if (instrument.Bid.IsValid)
{
pxupdate.BidSize = instrument.Bid.Volume;
pxupdate.BidPrice = (decimal)instrument.Bid.Price;
pxupdate.Ticks = instrument.Bid.ServerTimestamp.Ticks;
}
if (instrument.Ask.IsValid)
{
pxupdate.OfferSize = instrument.Ask.Volume;
pxupdate.OfferPrice = (decimal)instrument.Ask.Price;
pxupdate.Ticks = instrument.Ask.ServerTimestamp.Ticks;
}
pxupdate.TradePrice = (decimal)instrument.Trade.Price;
pxupdate.ServerTicks = instrument.ServerTimestamp.Ticks;
if (instrument.Trade.HasVolume)
{
pxupdate.TradeVolume = instrument.Trade.Volume;
}
ApplyPriceUpdate(pxupdate);
//publishQuote(instrument);
break;
}
}
}
else
{
}
// there were no quotes
pxupdate = new L1PriceSupport.PXUpdateBase(m_ID);
pxupdate.Mnemonic = instrument.FullName;
pxupdate.UpdateType = KaiTrade.Interfaces.PXUpdateType.none;
pxupdate.DriverTag = "I";
if (instrument.Bid.IsValid)
{
pxupdate.BidSize = instrument.Bid.Volume;
pxupdate.BidPrice = (decimal)instrument.Bid.Price;
pxupdate.Ticks = instrument.Bid.ServerTimestamp.Ticks;
}
if (instrument.Ask.IsValid)
{
pxupdate.OfferSize = instrument.Ask.Volume;
pxupdate.OfferPrice = (decimal)instrument.Ask.Price;
pxupdate.Ticks = instrument.Ask.ServerTimestamp.Ticks;
}
if (instrument.Trade.IsValid)
{
pxupdate.TradePrice = (decimal)instrument.Trade.Price;
pxupdate.ServerTicks = instrument.Ask.ServerTimestamp.Ticks;
if (instrument.Trade.HasVolume)
{
pxupdate.TradeVolume = instrument.Trade.Volume;
}
}
ApplyPriceUpdate(pxupdate);
//publishQuote(instrument);
}
catch (Exception ex)
{
log.Error("cel_InstrumentChanged", ex);
}
}
}
catch
{
}
}
void CEL_InstrumentSubscribed(string symbol, CQGInstrument cqg_instrument)
{
_dataCollector.SessionAdd(cqg_instrument.Sessions, symbol);
}
void CQGApp_InstrumentDOMChanged(CQGInstrument cqg_instrument, CQGDOMQuotes prev_asks, CQGDOMQuotes prev_bids)
{
try
{
int prevAskCount = prev_asks.Count;
int prevBidCount = prev_bids.Count;
int x = cqg_instrument.DOMAsks.Count;
int y = cqg_instrument.DOMBids.Count;
if (_publisherRegister.ContainsKey(cqg_instrument.FullName))
{
//List<KaiTrade.Interfaces.IDOMSlot> slots = ProcessDOM(cqg_instrument,prev_asks, prev_bids);
List<KaiTrade.Interfaces.IDOMSlot> slots = ProcessDOMasImage(cqg_instrument, prev_asks, prev_bids);
base.ApplyDOMUpdate(cqg_instrument.FullName, slots.ToArray());
return;
}
}
catch (Exception myE)
{
log.Error("CQGApp_InstrumentDOMChanged", myE);
}
}
private void setProductValues(KaiTrade.Interfaces.IProduct myProduct, string symbol, CQGInstrument instrument)
{
try
{
myProduct.TradeVenue = Name;
myProduct.Commodity = instrument.Commodity;
myProduct.Exchange = instrument.ExchangeAbbreviation;
myProduct.SecurityID = instrument.FullName;
myProduct.IDSource = Name;
myProduct.GenericName = symbol;
myProduct.Symbol = instrument.Commodity;
myProduct.TickSize = (decimal)instrument.TickSize;
myProduct.TickValue = (decimal)instrument.TickValue;
myProduct.LongName = instrument.FullName;
myProduct.CFICode = "FXXXXX";
}
catch (Exception myE)
{
log.Error("setProductValues", myE);
}
}
private void CEL_InstrumentDOMChanged(CQGInstrument instrument, CQGDOMQuotes prevAsks, CQGDOMQuotes prevBids)
{
if (!_symbolsTable.Keys.Contains(instrument.FullName)) return;
lock (_waitingLocker)
{
SymbolData symbolData = _symbolsTable[instrument.FullName];
if (symbolData.IsCanceled)
{
RemoveSymbol(instrument.FullName);
return;
}
if (!(_cel.IsValid(instrument.DOMBids) && _cel.IsValid(instrument.DOMAsks))) return;
if (!symbolData.FirstTride)
{
const double epsilon = 0.0000001;
if ((Math.Abs(instrument.Trade.Price - symbolData.PrevTradePrice) > epsilon) ||
(Math.Abs(instrument.Trade.Volume - symbolData.PrevTradeVol) > epsilon))
{
symbolData.IsNewTrade = true;
if (_isMoreInfo)
{
if (symbolData.MsgObject.Parent.Parent != null)
symbolData.MsgObject.Parent.Parent.BeginInvoke(
new Action(
() =>
symbolData.MsgObject.Text =
@"DOMBids depth: " + instrument.DOMBids.Count + @" DOMAsks depth: " +
instrument.DOMAsks.Count));
}
}
else
{
symbolData.IsNewTrade = false;
}
symbolData.PrevTradePrice = instrument.Trade.Price;
symbolData.PrevTradeVol = instrument.Trade.Volume;
symbolData.PrevTradeTime = instrument.Timestamp;
}
else
{
symbolData.PrevTradePrice = instrument.Trade.Price;
symbolData.PrevTradeVol = instrument.Trade.Volume;
symbolData.PrevTradeTime = instrument.Timestamp;
}
symbolData.FirstTride = false;
double askPrice;
double bidPrice;
int askVol;
int bidVol;
var serverTimestamp = new DateTime(instrument.ServerTimestamp.Year,
instrument.ServerTimestamp.Month,
instrument.ServerTimestamp.Day,
instrument.ServerTimestamp.Hour,
instrument.ServerTimestamp.Minute,
instrument.ServerTimestamp.Second,
instrument.ServerTimestamp.Millisecond);
var query = QueryBuilder.InsertData_dom(symbolData.TableName, instrument,
Convert.ToInt32(symbolData.Depth), ++symbolData.GroupId,
symbolData.IsNewTrade, _userName, out askPrice, out askVol, out bidPrice, out bidVol, serverTimestamp);
if (instrument.ServerTimestamp < DateTime.Now.AddDays(-1))
return;
var tickDomData = new TickData
{
AskPrice = askPrice,
AskVolume = askVol,
BidPrice = bidPrice,
BidVolume = bidVol,
SymbolName = symbolData.SymbolName,
Timestamp = serverTimestamp,
GroupID = symbolData.GroupId
};
if (_onSymbolsList.Contains(instrument.FullName))
{
DatabaseManager.AddToBuffer(query, true, tickDomData);
if (_allowedSymbols.ContainsKey(_symbolsTable[instrument.FullName].SymbolName) ||
!DatabaseManager.CurrentDbIsShared)
{
if (DatabaseManager.CurrentDbIsShared && serverTimestamp < _allowedSymbols[instrument.FullName])
return;
DatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
}
_symbolsTable[instrument.FullName] = symbolData;
}
}
private static void _cel_InstrumentSubscribed(string symbol, CQGInstrument cqgInstrument)
{
}
private void CQG_InstrumentChanged(CQGInstrument instrument, CQGQuotes quotes,
CQGInstrumentProperties instrumentProperties)
{
if (!_tickTable.ContainsKey(instrument.FullName)) return;
lock (_waitingLocker)
{
if (_subscribedSymbols.Exists(oo => oo == instrument.FullName))
{
_subscribedSymbols.Remove(instrument.FullName);
if (SymbolSubscribed != null)
SymbolSubscribed(new List<string> { instrument.FullName }, GetDepthForSymbol(instrument.FullName));
}
var tickData = _tickTable[instrument.FullName];
if (!tickData.IsCanceled)
{
tickData.TickCount = 0;
foreach (CQGQuote item in quotes)
{
CQGQuote tick = item;
tickData.IsNewTrade = tick.Name == "Trade";
switch (tick.Name)
{
case "Ask":
{
tickData.AskPrice = tick.Price;
tickData.AskVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Bid":
{
tickData.BidPrice = tick.Price;
tickData.BidVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Trade":
{
tickData.TradePrice = tick.Price;
tickData.TradeVolume = tick.Volume;
break;
}
}
tickData.TickCount++;
}
if (tickData.TickCount > 0)
{
var quoteList = (from CQGQuote item in quotes
where item.Name == "Ask" ||
item.Name == "Bid" ||
item.Name == "Trade"
select item).ToList();
quoteList.OrderBy(quote => quote.ServerTimestamp);
if (quoteList.Any())
{
tickData.Timestamp = quoteList.Last().ServerTimestamp;
tickData.TickType = quoteList.Last().Name;
}
else
tickData.Timestamp = instrument.ServerTimestamp;
if (tickData.Timestamp < DateTime.Now.AddDays(-1))
return;
if (_onSymbolsList.Contains(instrument.FullName))
{
//DatabaseManager.AddToBuffer(query, false, tickData);
if (_allowedSymbols.ContainsKey(tickData.SymbolName) ||
!DatabaseManager.CurrentDbIsShared)
{
if (DatabaseManager.CurrentDbIsShared && tickData.Timestamp < _allowedSymbols[tickData.SymbolName])
return;
DatabaseManager.InsertTickts(tickData.TableName, tickData.SymbolName,
tickData.BidPrice,
tickData.BidVolume,
tickData.AskPrice, tickData.AskVolume,
tickData.TradePrice,
tickData.TradeVolume,
tickData.IsNewTrade, tickData.Timestamp,
++tickData.GroupID,
_userName, tickData.TickType);
}
}
}
}
else
{
RemoveSymbol(instrument.FullName);
return;
}
_tickTable[instrument.FullName] = tickData;
}
}
static void Cel_InstrumentDOMChanged(CQGInstrument instrument, CQGDOMQuotes prev_asks, CQGDOMQuotes prev_bids)
{
var symbolData = _symbolsInProgress.Find(oo => oo.Name == instrument.FullName);
if (symbolData == null)
{
return;
}
lock (_waitingLocker)
{
var domData = symbolData.DomData;
if (!(Cel.IsValid(instrument.DOMBids) && Cel.IsValid(instrument.DOMAsks)))
{
return;
}
if (!domData.FirstTride)
{
const double epsilon = 0.0000001;
if ((Math.Abs(instrument.Trade.Price - domData.PrevTradePrice) > epsilon) ||
(Math.Abs(instrument.Trade.Volume - domData.PrevTradeVol) > epsilon))
{
domData.IsNewTrade = true;
//if (_isMoreInfo)
//{
// if (symbolData.MsgObject.Parent.Parent != null)
// symbolData.MsgObject.Parent.Parent.BeginInvoke(
// new Action(
// () =>
// symbolData.MsgObject.Text =
// @"DOMBids depth: " + instrument.DOMBids.Count + @" DOMAsks depth: " +
// instrument.DOMAsks.Count));
//}
}
else
{
domData.IsNewTrade = false;
}
domData.PrevTradePrice = instrument.Trade.Price;
domData.PrevTradeVol = instrument.Trade.Volume;
domData.PrevTradeTime = instrument.Timestamp;
}
else
{
domData.PrevTradePrice = instrument.Trade.Price;
domData.PrevTradeVol = instrument.Trade.Volume;
domData.PrevTradeTime = instrument.Timestamp;
}
domData.FirstTride = false;
double askPrice;
double bidPrice;
int askVol;
int bidVol;
var serverTimestamp = new DateTime(instrument.ServerTimestamp.Year,
instrument.ServerTimestamp.Month,
instrument.ServerTimestamp.Day,
instrument.ServerTimestamp.Hour,
instrument.ServerTimestamp.Minute,
instrument.ServerTimestamp.Second,
instrument.ServerTimestamp.Millisecond);
var query = QueryBuilder.InsertData_dom(domData.TableName, instrument,
Convert.ToInt32(symbolData.Depth), ++domData.GroupId,
domData.IsNewTrade, _userName, out askPrice, out askVol, out bidPrice, out bidVol, serverTimestamp);
if (instrument.ServerTimestamp < DateTime.Now.AddDays(-1))
{
return;
}
var tickDomData = new TickData
{
AskPrice = askPrice,
AskVolume = askVol,
BidPrice = bidPrice,
BidVolume = bidVol,
SymbolName = domData.SymbolName,
Timestamp = serverTimestamp,
GroupID = domData.GroupId
};
ClientDatabaseManager.AddToBuffer(query, true, tickDomData);
if (!ClientDatabaseManager.CurrentDbIsShared || symbolData.CanInsert)
{
//if (DatabaseManager.CurrentDbIsShared && serverTimestamp < _allowedSymbols[instrument.FullName])return;
ClientDatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
symbolData.DomData = domData;
}
}
private void CEL_InstrumentDOMChanged(CQGInstrument instrument, CQGDOMQuotes prevAsks, CQGDOMQuotes prevBids)
{
ticks += 1;
if (!isCanceled)
{
tsAskDpth.Text = Convert.ToString(instrument.DOMAsks.Count);
tsBidDpth.Text = Convert.ToString(instrument.DOMBids.Count);
if (!firstTride)
{
if ((instrument.Trade.Price != PrevTradePrice) || (instrument.Trade.Volume != PrevTradeVol) || (instrument.Timestamp != PrevTradeTime))
{
isNewTrade = true;
}
else
{
isNewTrade = false;
}
PrevTradePrice = instrument.Trade.Price;
PrevTradeVol = instrument.Trade.Volume;
PrevTradeTime = instrument.Timestamp;
}
else
{
PrevTradePrice = instrument.Trade.Price;
PrevTradeVol = instrument.Trade.Volume;
PrevTradeTime = instrument.Timestamp;
}
firstTride = false;
String _query = QueryBuilder.InsertData(m_tableName, instrument, Convert.ToInt32(nudDOMDepth.Value), m_qroup_ID,isNewTrade);
RunSQL(_query, "InsertData");
m_qroup_ID +=1;
}
else
{
RunSQL("DROP TABLE IF EXISTS " + m_tableName, "flush");
//m_CEL.Shutdown();
connector.CQG_Stop();
//isCanceled = false;
}
}
private void CQG_InstrumentChanged(CQGInstrument instrument, CQGQuotes quotes,
CQGInstrumentProperties instrumentProperties)
{
if (!_tickTable.ContainsKey(instrument.FullName))
{
return;
}
lock (_waitingLocker)
{
if (_subscribedSymbols.Exists(oo => oo == instrument.FullName))
{
_subscribedSymbols.Remove(instrument.FullName);
if (SymbolSubscribed != null)
{
SymbolSubscribed(new List <string> {
instrument.FullName
}, GetDepthForSymbol(instrument.FullName));
}
}
var tickData = _tickTable[instrument.FullName];
if (!tickData.IsCanceled)
{
tickData.TickCount = 0;
foreach (CQGQuote item in quotes)
{
CQGQuote tick = item;
tickData.IsNewTrade = tick.Name == "Trade";
switch (tick.Name)
{
case "Ask":
{
tickData.AskPrice = tick.Price;
tickData.AskVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Bid":
{
tickData.BidPrice = tick.Price;
tickData.BidVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Trade":
{
tickData.TradePrice = tick.Price;
tickData.TradeVolume = tick.Volume;
break;
}
}
tickData.TickCount++;
}
if (tickData.TickCount > 0)
{
var quoteList = (from CQGQuote item in quotes
where item.Name == "Ask" ||
item.Name == "Bid" ||
item.Name == "Trade"
select item).ToList();
quoteList.OrderBy(quote => quote.ServerTimestamp);
if (quoteList.Any())
{
tickData.Timestamp = quoteList.Last().ServerTimestamp;
tickData.TickType = quoteList.Last().Name;
}
else
{
tickData.Timestamp = instrument.ServerTimestamp;
}
if (tickData.Timestamp < DateTime.Now.AddDays(-1))
{
return;
}
if (_onSymbolsList.Contains(instrument.FullName))
{
//DatabaseManager.AddToBuffer(query, false, tickData);
if (_allowedSymbols.ContainsKey(tickData.SymbolName) ||
!DatabaseManager.CurrentDbIsShared)
{
if (DatabaseManager.CurrentDbIsShared && tickData.Timestamp < _allowedSymbols[tickData.SymbolName])
{
return;
}
DatabaseManager.InsertTickts(tickData.TableName, tickData.SymbolName,
tickData.BidPrice,
tickData.BidVolume,
tickData.AskPrice, tickData.AskVolume,
tickData.TradePrice,
tickData.TradeVolume,
tickData.IsNewTrade, tickData.Timestamp,
++tickData.GroupID,
_userName, tickData.TickType);
}
}
}
}
else
{
RemoveSymbol(instrument.FullName);
return;
}
_tickTable[instrument.FullName] = tickData;
}
}
public void sendUpdateToADMPositionsGrid(OptionRealtimeMonitor optionRealtimeMonitor) //*eQuoteType cqgQuoteType,*/ int spreadExpressionIdx /*int colIdx*/)
{
//CQGQuote quote = optionSpreadExpressionList[spreadExpressionIdx].cqgInstrument.Quotes[cqgQuoteType];
DataGridView gridLiveFCMData = optionRealtimeMonitor.getGridLiveFCMData;
try
{
List <ADMPositionImportWeb> admPositionImportWeb = optionSpreadManager.admPositionImportWeb;
//int optionSpreadCounter = 0;
//List<LiveADMStrategyInfo> liveADMStrategyInfoList = optionSpreadManager.liveADMStrategyInfoList;
for (int admWebPositionCounter = 0; admWebPositionCounter < admPositionImportWeb.Count; admWebPositionCounter++)
{
// int totalLegs = liveADMStrategyInfoList[optionSpreadCounter].admLegInfo.Count;
// //if (optionSpreadExpressionList[spreadExpressionIdx].cqgInstrument != null)
// for (int legCounter = 0; legCounter < totalLegs; legCounter++)
// {
if (admPositionImportWeb[admWebPositionCounter].contractData.optionSpreadExpression != null)
{
CQGInstrument cqgInstrument = admPositionImportWeb[admWebPositionCounter].contractData.optionSpreadExpression.cqgInstrument;
if (cqgInstrument != null) // && CQG. cqgInstrument)
{
OptionSpreadExpression optionSpreadExpressionList =
admPositionImportWeb[admWebPositionCounter].contractData.optionSpreadExpression;
//checkUpdateStatus(admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
// optionSpreadExpressionList, true);
optionSpreadManager.statusAndConnectedUpdates.checkUpdateStatus(gridLiveFCMData, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.TIME,
optionSpreadExpressionList);
//if (optionSpreadManager.realtimeMonitorSettings.eodAnalysis)
if (optionSpreadExpressionList.instrument.eodAnalysisAtInstrument)
{
gridLiveFCMData.Columns[(int)OPTION_LIVE_ADM_DATA_COLUMNS.TIME].DefaultCellStyle.Font = new Font("Tahoma", 6);
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.TIME,
optionSpreadExpressionList.lastTimeUpdated.ToString("yyyy-MM-dd HH:mm", DateTimeFormatInfo.InvariantInfo),
false, 0);
}
else
{
gridLiveFCMData.Columns[(int)OPTION_LIVE_ADM_DATA_COLUMNS.TIME].DefaultCellStyle.Font = new Font("Tahoma", 8);
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.TIME,
optionSpreadExpressionList.lastTimeUpdated.ToString("HH:mm", DateTimeFormatInfo.InvariantInfo),
false, 0);
}
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.ASK,
cqgInstrument.ToDisplayPrice(optionSpreadExpressionList.ask), false, optionSpreadExpressionList.ask);
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.BID,
cqgInstrument.ToDisplayPrice(optionSpreadExpressionList.bid), false, optionSpreadExpressionList.bid);
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.LAST,
cqgInstrument.ToDisplayPrice(optionSpreadExpressionList.trade), false, optionSpreadExpressionList.trade);
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.DFLT_PRICE,
cqgInstrument.ToDisplayPrice(optionSpreadExpressionList.defaultPrice),
false, optionSpreadExpressionList.defaultPrice);
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.STTLE,
cqgInstrument.ToDisplayPrice(optionSpreadExpressionList.settlement),
false, optionSpreadExpressionList.settlement);
if (optionSpreadExpressionList.settlementDateTime.Date.CompareTo(DateTime.Now.Date) >= 0)
{
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.SETL_TIME,
optionSpreadExpressionList.settlementDateTime.ToString("yyyy-MM-dd HH:mm", DateTimeFormatInfo.InvariantInfo),
true, 1);
}
else
{
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.SETL_TIME,
optionSpreadExpressionList.settlementDateTime.ToString("yyyy-MM-dd HH:mm", DateTimeFormatInfo.InvariantInfo),
true, -1);
}
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.YEST_STTLE,
cqgInstrument.ToDisplayPrice(optionSpreadExpressionList.yesterdaySettlement),
false, optionSpreadExpressionList.yesterdaySettlement);
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.IMPL_VOL,
Math.Round(optionSpreadExpressionList.impliedVol, 2).ToString(),
false, optionSpreadExpressionList.impliedVol);
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.THEOR_PRICE,
cqgInstrument.ToDisplayPrice(
optionSpreadExpressionList.theoreticalOptionPrice),
false, optionSpreadExpressionList.theoreticalOptionPrice);
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.SPAN_IMPL_VOL,
Math.Round(optionSpreadExpressionList.impliedVolFromSpan, 2).ToString(),
false, optionSpreadExpressionList.impliedVolFromSpan);
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.SETL_IMPL_VOL,
Math.Round(optionSpreadExpressionList.settlementImpliedVol, 2).ToString(),
false, optionSpreadExpressionList.settlementImpliedVol);
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.RFR,
optionSpreadExpressionList.riskFreeRate.ToString(),
false, optionSpreadExpressionList.riskFreeRate);
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.PL_DAY_CHG,
Math.Round(admPositionImportWeb[admWebPositionCounter].contractData.pAndLDay, 2).ToString(),
true, admPositionImportWeb[admWebPositionCounter].contractData.pAndLDay);
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.PL_TRANS,
Math.Round(admPositionImportWeb[admWebPositionCounter].contractData.pAndLDayOrders, 2).ToString(),
true, admPositionImportWeb[admWebPositionCounter].contractData.pAndLDayOrders);
//fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
// (int)OPTION_LIVE_ADM_DATA_COLUMNS.PL_DAY_CHG,
// Math.Round(admPositionImportWeb[admWebPositionCounter].contractData.pAndLDay, 2).ToString(),
// true, admPositionImportWeb[admWebPositionCounter].contractData.pAndLDay);
fillLiveADMDataPage(optionRealtimeMonitor, admPositionImportWeb[admWebPositionCounter].liveADMRowIdx,
(int)OPTION_LIVE_ADM_DATA_COLUMNS.DELTA,
Math.Round(admPositionImportWeb[admWebPositionCounter].contractData.delta, 2).ToString(),
true, admPositionImportWeb[admWebPositionCounter].contractData.delta);
// //int numberOfContracts = (int)optionStrategies[optionSpreadCounter].optionStrategyParameters[
// // (int)TBL_STRATEGY_STATE_FIELDS.currentPosition].stateValueParsed[legCounter];
// //fillLiveADMDataPage(liveADMStrategyInfoList[optionSpreadCounter].admLegInfo[legCounter].rowIndex,
// // (int)OPTION_LIVE_ADM_DATA_COLUMNS.SPREAD_QTY,
// // numberOfContracts.ToString(), true, numberOfContracts);
// }
}
}
// fillLiveADMDataPage(liveADMStrategyInfoList[optionSpreadCounter].summaryRowIdx,
// (int)OPTION_LIVE_ADM_DATA_COLUMNS.PL_DAY_CHG,
// Math.Round(liveADMStrategyInfoList[optionSpreadCounter].liveSpreadADMTotals.pAndLDay, 2).ToString(),
// true, liveADMStrategyInfoList[optionSpreadCounter].liveSpreadADMTotals.pAndLDay);
// fillLiveADMDataPage(liveADMStrategyInfoList[optionSpreadCounter].summaryRowIdx,
// (int)OPTION_LIVE_ADM_DATA_COLUMNS.DELTA,
// Math.Round(liveADMStrategyInfoList[optionSpreadCounter].liveSpreadADMTotals.delta, 2).ToString(),
// true, liveADMStrategyInfoList[optionSpreadCounter].liveSpreadADMTotals.delta);
// optionSpreadCounter++;
}
}
catch (Exception ex)
{
TSErrorCatch.errorCatchOut(Convert.ToString(this), ex);
}
}
static void _cel_InstrumentSubscribed(string symbol, CQGInstrument cqgInstrument)
{
MonthCharYearModel variable = new MonthCharYearModel();
variable.MonthChar = "def";
variable.Year = "def";
foreach (var monthCharYearModel in monthCharYearlList)
{
if (monthCharYearModel.Symbol == symbol)
return;
}
CQGInstrumentProperties props = cqgInstrument.Properties;
var properties = props[eInstrumentProperty.ipMonthChar];
if (props != null && Cel.IsValid(properties.Value))
variable.MonthChar = properties.Value.ToString();
properties = props[eInstrumentProperty.ipYear];
if (props != null && Cel.IsValid(properties.Value))
variable.Year = properties.Value.ToString();
variable.Symbol = symbol;
monthCharYearlList.Add(variable);
Cel.RemoveInstrument(cqgInstrument);
}
private void SendLevel1Message(CQGInstrument cqgInstrument)
{
}
private void SendLevel1Message(CQGInstrument cqgInstrument)
{
}
static void Cel_InstrumentChanged(CQGInstrument instrument, CQGQuotes quotes, CQGInstrumentProperties cqg_instrument_properties)
{
var symbolData = _symbolsInProgress.Find(oo => oo.Name == instrument.FullName);
if (symbolData == null) return;
lock (_waitingLocker)
{
var tickData = symbolData.TickData;
tickData.TickCount = 0;
foreach (CQGQuote item in quotes)
{
CQGQuote tick = item;
tickData.IsNewTrade = tick.Name == "Trade";
switch (tick.Name)
{
case "Ask":
{
tickData.AskPrice = tick.Price;
tickData.AskVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Bid":
{
tickData.BidPrice = tick.Price;
tickData.BidVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Trade":
{
tickData.TradePrice = tick.Price;
tickData.TradeVolume = tick.Volume;
break;
}
}
tickData.TickCount++;
}
if (tickData.TickCount > 0)
{
var quoteList = (from CQGQuote item in quotes
where item.Name == "Ask" ||
item.Name == "Bid" ||
item.Name == "Trade"
select item).ToList();
quoteList.OrderBy(quote => quote.ServerTimestamp);
if (quoteList.Any())
{
tickData.Timestamp = quoteList.Last().ServerTimestamp;
tickData.TickType = quoteList.Last().Name;
}
else
tickData.Timestamp = instrument.ServerTimestamp;
var query = QueryBuilder.InsertData(tickData.TableName, tickData.SymbolName,
tickData.BidPrice,
tickData.BidVolume,
tickData.AskPrice, tickData.AskVolume,
tickData.TradePrice,
tickData.TradeVolume,
tickData.IsNewTrade, tickData.Timestamp,
++tickData.GroupID,
_userName, tickData.TickType);
if (tickData.Timestamp < DateTime.Now.AddDays(-1))
return;
ClientDatabaseManager.AddToBuffer(query, false, tickData);
if (!ClientDatabaseManager.CurrentDbIsShared || symbolData.CanInsert)
{
//todo if (DatabaseManager.CurrentDbIsShared && tickData.Timestamp < _allowedSymbols[tickData.SymbolName])return;
ClientDatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
}
symbolData.TickData = tickData;
}
}
/// <summary>
/// publish a quote for the given mnemonic
/// </summary>
/// <param name="myMnemonic">mnemonic/subject key</param>
/// <param name="instrument">CQG instrument that has changed</param>
private void publishQuote(string myMnemonic, CQGInstrument instrument)
{
try
{
L1PriceSupport.PXUpdateBase pxupdate = new L1PriceSupport.PXUpdateBase(m_ID);
pxupdate.Mnemonic = myMnemonic;
if (instrument.Bid.IsValid)
{
pxupdate.BidSize = instrument.Bid.Volume;
pxupdate.BidPrice = (decimal)instrument.Bid.Price;
pxupdate.Ticks = instrument.Bid.ServerTimestamp.Ticks;
}
if (instrument.Ask.IsValid)
{
pxupdate.OfferSize = instrument.Ask.Volume;
pxupdate.OfferPrice = (decimal)instrument.Ask.Price;
pxupdate.Ticks = instrument.Ask.ServerTimestamp.Ticks;
}
if (instrument.Trade.IsValid)
{
switch (instrument.Trade.Type)
{
/*
case eQuoteType.qtTrade:
pxupdate.TradePrice = (decimal)instrument.Trade.Price;
pxupdate.TradeVolume = instrument.Trade.Volume;
pxupdate.LastTradeTicks = instrument.Trade.ServerTimestamp.Ticks;
break;
*/
case eQuoteType.qtDayHigh:
pxupdate.DayHigh = (decimal)instrument.Trade.Price;
pxupdate.TradePrice = 0;
pxupdate.TradeVolume = 0;
break;
case eQuoteType.qtDayLow:
pxupdate.DayLow = (decimal)instrument.Trade.Price;
pxupdate.TradePrice = 0;
pxupdate.TradeVolume = 0;
break;
case eQuoteType.qtDayOpen:
//myPub.Open = instrument.Trade.Price.ToString();
break;
default:
pxupdate.TradePrice = null;
pxupdate.TradeVolume = null;
break;
}
pxupdate.Ticks = instrument.Timestamp.Ticks;
}
else
{
pxupdate.TradePrice = 0;
pxupdate.TradeVolume = 0;
}
ApplyPriceUpdate(pxupdate);
}
catch (Exception myE)
{
log.Error("publishQuote", myE);
}
}
public static String InsertData_dom(String tableName, CQGInstrument instrument, int depth, uint groupID, bool isNew, string userName, out double askPrice, out int askVol, out double bidPrice, out int bidVol, DateTime serverTime)
{
var newTable = "DM_" + tableName.Substring(3, tableName.Length - 3).ToUpper();
String symbol = instrument.FullName;
String query = "INSERT IGNORE INTO `" + newTable + "`";
query += "(`Symbol`,`Depth`,`DOMBid`,`DOMAsk`,`DOMBidVol`,`DOMAskVol`,`Trade`,`TradeVol`,`Time`, `TimeLocal`,GroupID, UserName)";
String runQuery = "";
int balancedDepth = (instrument.DOMAsks.Count < instrument.DOMBids.Count)
? instrument.DOMAsks.Count
: instrument.DOMBids.Count;
askPrice = 0;
askVol = 0;
bidPrice = 0;
bidVol = 0;
for (int index = 0; ((index < balancedDepth) && (index < depth)); index++)
{
//query += "(`symbol`,`depth`,`DOMBid`,`DOMAsk`,`DOMBidVol`,`DOMAskVol`,`Trade`,`TradeVol`,`ts`)";
CQGQuote domAsk = instrument.DOMAsks[index];
CQGQuote domBid = instrument.DOMBids[index];
runQuery += query + " VALUES('" + symbol + "'," + Convert.ToString(index + 1) + ",";
runQuery += domBid.Price.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += domAsk.Price.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += domBid.Volume.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += domAsk.Volume.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += instrument.Trade.Price.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += instrument.Trade.Volume.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += "'" + serverTime.ToString("yyyy/MM/dd H:mm:ss.fff", CultureInfo.InvariantCulture) + "',";
runQuery += "'" + DateTime.Now.ToString("yyyy/MM/dd H:mm:ss.fff", CultureInfo.InvariantCulture) + "',";
runQuery += Convert.ToString(groupID) + ",";
runQuery += "'" + userName + "');";
if (index == 0)
{
askPrice = domAsk.Price;
askVol = domAsk.Volume;
bidPrice = domBid.Price;
bidVol = domBid.Volume;
}
}
//instrument.
return runQuery;
}
static void Cel_InstrumentDOMChanged(CQGInstrument instrument, CQGDOMQuotes prev_asks, CQGDOMQuotes prev_bids)
{
var symbolData = _symbolsInProgress.Find(oo => oo.Name == instrument.FullName);
if (symbolData == null) return;
lock (_waitingLocker)
{
var domData = symbolData.DomData;
if (!(Cel.IsValid(instrument.DOMBids) && Cel.IsValid(instrument.DOMAsks))) return;
if (!domData.FirstTride)
{
const double epsilon = 0.0000001;
if ((Math.Abs(instrument.Trade.Price - domData.PrevTradePrice) > epsilon) ||
(Math.Abs(instrument.Trade.Volume - domData.PrevTradeVol) > epsilon))
{
domData.IsNewTrade = true;
//if (_isMoreInfo)
//{
// if (symbolData.MsgObject.Parent.Parent != null)
// symbolData.MsgObject.Parent.Parent.BeginInvoke(
// new Action(
// () =>
// symbolData.MsgObject.Text =
// @"DOMBids depth: " + instrument.DOMBids.Count + @" DOMAsks depth: " +
// instrument.DOMAsks.Count));
//}
}
else
{
domData.IsNewTrade = false;
}
domData.PrevTradePrice = instrument.Trade.Price;
domData.PrevTradeVol = instrument.Trade.Volume;
domData.PrevTradeTime = instrument.Timestamp;
}
else
{
domData.PrevTradePrice = instrument.Trade.Price;
domData.PrevTradeVol = instrument.Trade.Volume;
domData.PrevTradeTime = instrument.Timestamp;
}
domData.FirstTride = false;
double askPrice;
double bidPrice;
int askVol;
int bidVol;
var serverTimestamp = new DateTime(instrument.ServerTimestamp.Year,
instrument.ServerTimestamp.Month,
instrument.ServerTimestamp.Day,
instrument.ServerTimestamp.Hour,
instrument.ServerTimestamp.Minute,
instrument.ServerTimestamp.Second,
instrument.ServerTimestamp.Millisecond);
var query = QueryBuilder.InsertData_dom(domData.TableName, instrument,
Convert.ToInt32(symbolData.Depth), ++domData.GroupId,
domData.IsNewTrade, _userName, out askPrice, out askVol, out bidPrice, out bidVol, serverTimestamp);
if (instrument.ServerTimestamp < DateTime.Now.AddDays(-1))
return;
var tickDomData = new TickData
{
AskPrice = askPrice,
AskVolume = askVol,
BidPrice = bidPrice,
BidVolume = bidVol,
SymbolName = domData.SymbolName,
Timestamp = serverTimestamp,
GroupID = domData.GroupId
};
ClientDatabaseManager.AddToBuffer(query, true, tickDomData);
if (!ClientDatabaseManager.CurrentDbIsShared || symbolData.CanInsert)
{
//if (DatabaseManager.CurrentDbIsShared && serverTimestamp < _allowedSymbols[instrument.FullName])return;
ClientDatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
symbolData.DomData = domData;
}
}
private void CEL_InstrumentSubscribed(string symbol, CQGInstrument cqg_instrument)
{
_missingBarManager.SessionAdd(cqg_instrument.Sessions, symbol);
}
static void _cel_InstrumentSubscribed(string symbol, CQGInstrument cqgInstrument)
{
if (_symbolsInProgress.Exists(oo => oo.Name == symbol))
{
var item = _symbolsInProgress.Find(oo => oo.Name == symbol);
item.Description = "Subscribed.";
item.CqgInstrument = cqgInstrument;
item.TickData = new TickData(ClientDatabaseManager.GetTableTsName(symbol), symbol);
item.DomData= new DomDataModel(ClientDatabaseManager.GetTableTsName(symbol),symbol);
ClientDatabaseManager.CreateLiveTableTs(symbol);
ClientDatabaseManager.CreateLiveTableDm(symbol);
OnSymbolSubscribed(item.Name, item.Depth);
RefreshSubscribedSymbolOnUi();
}
}
static void Cel_InstrumentChanged(CQGInstrument instrument, CQGQuotes quotes, CQGInstrumentProperties cqg_instrument_properties)
{
var symbolData = _symbolsInProgress.Find(oo => oo.Name == instrument.FullName);
if (symbolData == null)
{
return;
}
lock (_waitingLocker)
{
var tickData = symbolData.TickData;
tickData.TickCount = 0;
foreach (CQGQuote item in quotes)
{
CQGQuote tick = item;
tickData.IsNewTrade = tick.Name == "Trade";
switch (tick.Name)
{
case "Ask":
{
tickData.AskPrice = tick.Price;
tickData.AskVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Bid":
{
tickData.BidPrice = tick.Price;
tickData.BidVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Trade":
{
tickData.TradePrice = tick.Price;
tickData.TradeVolume = tick.Volume;
break;
}
}
tickData.TickCount++;
}
if (tickData.TickCount > 0)
{
var quoteList = (from CQGQuote item in quotes
where item.Name == "Ask" ||
item.Name == "Bid" ||
item.Name == "Trade"
select item).ToList();
quoteList.OrderBy(quote => quote.ServerTimestamp);
if (quoteList.Any())
{
tickData.Timestamp = quoteList.Last().ServerTimestamp;
tickData.TickType = quoteList.Last().Name;
}
else
{
tickData.Timestamp = instrument.ServerTimestamp;
}
var query = QueryBuilder.InsertData(tickData.TableName, tickData.SymbolName,
tickData.BidPrice,
tickData.BidVolume,
tickData.AskPrice, tickData.AskVolume,
tickData.TradePrice,
tickData.TradeVolume,
tickData.IsNewTrade, tickData.Timestamp,
++tickData.GroupID,
_userName, tickData.TickType);
if (tickData.Timestamp < DateTime.Now.AddDays(-1))
{
return;
}
ClientDatabaseManager.AddToBuffer(query, false, tickData);
if (!ClientDatabaseManager.CurrentDbIsShared || symbolData.CanInsert)
{
//todo if (DatabaseManager.CurrentDbIsShared && tickData.Timestamp < _allowedSymbols[tickData.SymbolName])return;
ClientDatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
}
symbolData.TickData = tickData;
}
}
private static void _cel_InstrumentSubscribed(string symbol, CQGInstrument cqgInstrument)
{
}
private void SessionOnInstrumentChanged(CQGInstrument cqgInstrument, CQGQuotes cqgQuotes, CQGInstrumentProperties cqgInstrumentProperties)
{
SendLevel1Message(cqgInstrument);
}
private void dumpDOMUpdate(CQGInstrument instrument, CQGDOMQuotes prev_asks, CQGDOMQuotes prev_bids)
{
try
{
for (int i = 0; i < prev_bids.Count; i++)
{
string temp = string.Format("BID px {0} sz {1} prev: px {2} sz {3}", instrument.DOMBids[i].Price, instrument.DOMBids[i].Volume, prev_bids[i].Price, prev_bids[i].Volume);
log.Error(temp);
}
for (int i = 0; i < prev_asks.Count; i++)
{
string temp = string.Format("ASK px {0} sz {1} prev: px {2} sz {3}", instrument.DOMAsks[i].Price, instrument.DOMAsks[i].Volume, prev_asks[i].Price, prev_asks[i].Volume);
log.Error(temp);
}
}
catch (Exception myE)
{
}
}
