public void PublishPriceTest()
{
RabbitMQPublisher.RMQFactory.Instance().HostName = hostName;
var channel = RabbitMQPublisher.RMQFactory.Instance().GetRMQChannel(KaiTrade.Interfaces.MQExchanges.DEFAULT);
Assert.IsNotNull(channel);
RabbitMQPublisher.RMQ rmqHelper = new RabbitMQPublisher.RMQ();
KaiTrade.Interfaces.IPXUpdate pxu = new L1PriceSupport.PXUpdateBase();
pxu.Mnemonic = "DELL";
pxu.BidPrice = 22M;
pxu.BidSize = 101;
pxu.OfferPrice = 23M;
pxu.OfferSize = 99;
rmqHelper.PublishPrice("DELL", pxu);
}
public void PublishPriceListenTest()
{
RabbitMQPublisher.RMQFactory.Instance().HostName = hostName;
var channel = RabbitMQPublisher.RMQFactory.Instance().GetRMQChannel(KaiTrade.Interfaces.MQExchanges.DEFAULT);
Assert.IsNotNull(channel);
listner = new RabbitMQPublisher.RMQListner();
listner.SubscribeInfo();
listner.OnRMQMessage += OnRMQMessage;
listner.SubscribePricesRMQ("DELL");
RabbitMQPublisher.RMQ rmqHelper = new RabbitMQPublisher.RMQ();
KaiTrade.Interfaces.IPXUpdate pxu = new L1PriceSupport.PXUpdateBase();
pxu.Mnemonic = "DELL";
pxu.BidPrice = 22M;
pxu.BidSize = 101;
pxu.OfferPrice = 23M;
pxu.OfferSize = 99;
rmqHelper.PublishPrice("DELL", pxu);
System.Threading.Thread.Sleep(10000);
}
/// <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);
}
}
/// <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);
}
}
/// <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
{
}
}
