/// <summary>
/// Event handler for streaming ticks
/// </summary>
/// <param name="json">The data object containing the received tick</param>
private void OnPricingDataReceived(string json)
{
var obj = (JObject)JsonConvert.DeserializeObject(json);
var type = obj["type"].ToString();
switch (type)
{
case "HEARTBEAT":
PricingConnectionHandler.KeepAlive(DateTime.UtcNow);
break;
case "PRICE":
var data = obj.ToObject <Price>();
var securityType = SymbolMapper.GetBrokerageSecurityType(data.Instrument);
var symbol = SymbolMapper.GetLeanSymbol(data.Instrument, securityType, Market.Oanda);
var time = GetTickDateTimeFromString(data.Time);
// live ticks timestamps must be in exchange time zone
DateTimeZone exchangeTimeZone;
if (!_symbolExchangeTimeZones.TryGetValue(symbol, out exchangeTimeZone))
{
exchangeTimeZone = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.Oanda, symbol, securityType).TimeZone;
_symbolExchangeTimeZones.Add(symbol, exchangeTimeZone);
}
time = time.ConvertFromUtc(exchangeTimeZone);
var bidPrice = data.Bids.Last().Price.ConvertInvariant <decimal>();
var askPrice = data.Asks.Last().Price.ConvertInvariant <decimal>();
var tick = new Tick(time, symbol, bidPrice, askPrice);
EmitTick(tick);
break;
}
}
/// <summary>
/// Event handler for streaming ticks
/// </summary>
/// <param name="data">The data object containing the received tick</param>
private void OnDataReceived(RateStreamResponse data)
{
if (data.IsHeartbeat())
{
PricingConnectionHandler.KeepAlive(DateTime.UtcNow);
return;
}
if (data.tick == null)
{
return;
}
var securityType = SymbolMapper.GetBrokerageSecurityType(data.tick.instrument);
var symbol = SymbolMapper.GetLeanSymbol(data.tick.instrument, securityType, Market.Oanda);
var time = OandaBrokerage.GetDateTimeFromString(data.tick.time);
// live ticks timestamps must be in exchange time zone
DateTimeZone exchangeTimeZone;
if (!_symbolExchangeTimeZones.TryGetValue(symbol, out exchangeTimeZone))
{
exchangeTimeZone = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.Oanda, symbol, securityType).TimeZone;
_symbolExchangeTimeZones.Add(symbol, exchangeTimeZone);
}
time = time.ConvertFromUtc(exchangeTimeZone);
var bidPrice = Convert.ToDecimal(data.tick.bid);
var askPrice = Convert.ToDecimal(data.tick.ask);
var tick = new Tick(time, symbol, bidPrice, askPrice);
EmitTick(tick);
}