public RealTimeTickEventArgs ToTickEventArgs()
{
var args = new RealTimeTickEventArgs(TickType.Trade);
if (decimal.TryParse(Price, out decimal price))
{
args.Last = price;
}
if (decimal.TryParse(Quantity, out decimal lastQuant))
{
args.LastQuantity = lastQuant;
}
args.DT = MyUtils.TimestampToDateTimeByMillisecond(TradeTime);
return(args);
}
/// <summary>
/// When tick data arrives from an external data source to the broker, this event is fired.
/// </summary>
private void BrokerRealTimeTickArrived(object sender, RealTimeTickEventArgs e)
{
lock (_publisherSocketLock)
{
if (_publisherSocket == null)
{
return;
}
using (var ms = new MemoryStream())
{
Serializer.Serialize(ms, e);
_publisherSocket.SendMoreFrame(BitConverter.GetBytes(e.InstrumentID)); // Start by sending the ticker before the data
_publisherSocket.SendMoreFrame(MessageType.RealTimeTick);
_publisherSocket.SendFrame(ms.ToArray()); // Then send the serialized bar
}
}
}
private void TickReceived(object sender, RealTimeTickEventArgs e)
{
RaiseEvent(RealTimeTickArrived, this, e);
//continuous futures aliases
lock (_aliasLock)
{
int instrumentID = e.InstrumentID;
if (_aliases.ContainsKey(instrumentID))
{
for (int i = 0; i < _aliases[instrumentID].Count; i++)
{
e.InstrumentID = _aliases[instrumentID][i];
RaiseEvent(RealTimeTickArrived, this, e);
}
}
}
//todo add saving to storage after we get a tick storage
}
