static void HandleMarketHighLow(T4.API.Market market)
{
string tickerID = G.MarketToTickerID(market);
var msg = new JObject();
var daily = new JObject();
daily["high"] = market.ConvertTicksToRealDecimal(market.LastHighLow.HighTicks);
daily["low"] = market.ConvertTicksToRealDecimal(market.LastHighLow.LowTicks);
daily["open"] = market.ConvertTicksToRealDecimal(market.LastHighLow.OpenTicks);
msg["daily"] = daily;
var msgParts = new List <ZFrame>();
msgParts.Add(new ZFrame(tickerID + "\x03"));
msgParts.Add(new ZFrame(" " + msg.ToString()));
G.pubAQ.Enqueue(() => G.sockMDPUB.SendMultipart(msgParts));
}
static void HandleMarketTradeVolume(T4.API.Market market,
T4.API.Market.TradeVolume poChanges)
{
string tickerID = G.MarketToTickerID(market);
var ld = market.LastDepth;
var msg = new JObject();
msg["price"] = market.ConvertTicksToRealDecimal(ld.LastTradeSpdTicks);
msg["size"] = ld.LastTradeSpdVolume;
msg["spread_trade"] = ld.LastTradeDueToSpread;
var msgParts = new List <ZFrame>();
msgParts.Add(new ZFrame(tickerID + "\x02"));
msgParts.Add(new ZFrame(" " + msg.ToString()));
var msg2 = new JObject();
msg2["daily"] = new JObject();
msg2["daily"]["num_trades"] = market.LastDepth.TotalTradeCount;
msg2["daily"]["volume"] = market.LastDepth.TotalTradedVolume;
var msgParts2 = new List <ZFrame>();
msgParts2.Add(new ZFrame(tickerID + "\x03"));
msgParts2.Add(new ZFrame(" " + msg2.ToString()));
G.pubAQ.Enqueue(() =>
{
G.sockMDPUB.SendMultipart(msgParts);
G.sockMDPUB.SendMultipart(msgParts2);
});
// emit volume-by-price info from poChanges?
}
static JArray OrderBookToJArray(T4.API.Market market, T4.API.Market.Depth.DepthList book)
{
JArray res = new JArray();
for (int i = 0; i < book.Count; i++)
{
var lvl = book[i];
JObject r = new JObject();
r["price"] = market.ConvertTicksToRealDecimal(lvl.Ticks);
r["size"] = lvl.Volume;
r["num_orders"] = lvl.NumOfOrders;
r["position"] = i;
res.Add(r);
}
return(res);
}
