internal void EmitMarketDepth(object o, LevelIIUpdateMessageEventArgs args)
{
if (null != NewMarketDepth)
{
/*
* Console.WriteLine("EmitMarketDepth {0} {1} {2} {3} {4} {5}",
* args.Message.Symbol, args.Message.MMID, args.Message.BidPrice, args.Message.BidSize,
* args.Message.AskPrice, args.Message.AskSize);
*/
MarketDepth md;
string Symbol = args.Message.Symbol;
IQFeedDataRequestRecord rr = htL2WatchedSymbols[Symbol] as IQFeedDataRequestRecord;
md = new MarketDepth(
rr.GetUniqueTimeStamp(),
args.Message.MMID, 0, MDOperation.Undefined, MDSide.Bid, args.Message.BidPrice, args.Message.BidSize);
NewMarketDepth(this, new MarketDepthEventArgs(md, rr.instrument, this));
md = new MarketDepth(
rr.GetUniqueTimeStamp(),
args.Message.MMID, 0, MDOperation.Undefined, MDSide.Ask, args.Message.AskPrice, args.Message.AskSize);
NewMarketDepth(this, new MarketDepthEventArgs(md, rr.instrument, this));
}
}
internal void EmitQuoteTrade(object sender, UpdateMessageEventArgs args)
{
IQFeedDataRequestRecord rr = htL1WatchedSymbols[args.Message.Symbol] as IQFeedDataRequestRecord;
/*
* if (SmartQuant.TraceLevel.Verbose == trace) {
* string s;
* s = string.Format(" sym='{0}',lst='{1}',vol='{2}',bid='{3}',ask='{4}',bsz='{5}',asz='{6}',typ='{7}'",
* args.Message.Symbol, args.Message.Last, args.Message.LastSize,
* args.Message.Bid, args.Message.Ask, args.Message.BidSize, args.Message.Type );
* Console.WriteLine(s);
* }
*/
switch (args.Message.Type)
{
case "a":
case "b":
if (null != NewQuote)
{
QuoteEventArgs q = new QuoteEventArgs(
new Quote(
rr.GetUniqueTimeStamp(),
args.Message.Bid,
args.Message.BidSize,
args.Message.Ask,
args.Message.AskSize),
rr.instrument, this);
NewQuote(this, q);
}
break;
case "t":
case "T":
Trade trade = new Trade(
rr.GetUniqueTimeStamp(),
args.Message.Last,
args.Message.LastSize);
if (null != NewTrade)
{
TradeEventArgs t = new TradeEventArgs(trade, rr.instrument, this);
NewTrade(this, t);
}
if (null != factory)
{
factory.OnNewTrade(rr.instrument, trade);
}
break;
case "o":
break;
default:
break;
}
}
internal void EmitFundamental(object o, FundamentalMessageEventArgs args)
{
if (null != NewFundamental)
{
string sSymbol = args.Message.items[1];
IQFeedDataRequestRecord rr = htL1WatchedSymbols[sSymbol] as IQFeedDataRequestRecord;
FundamentalEventArgs f = new FundamentalEventArgs(new Fundamental(), rr.instrument, this);
try {
if ("" != args.Message.items[10])
{
f.Fundamental.EarningsPerShare = Convert.ToDouble(args.Message.items[10]);
}
}
catch {
}
NewFundamental(this, f);
}
}
internal void EmitTradeSummary(object sender, SummaryMessageEventArgs args)
{
IQFeedDataRequestRecord rr = htL1WatchedSymbols[args.Message.Symbol] as IQFeedDataRequestRecord;
if (null != TradeSummary)
{
//if (0 < args.Message.Last) {
TradeEventArgs t = new TradeEventArgs(new Trade(
rr.GetUniqueTimeStamp(),
args.Message.Last,
args.Message.LastSize
),
rr.instrument, this);
TradeSummary(this, t);
//}
//else {
// Console.WriteLine("*** IQFeedProvider tradesummary dLast is {0} ***", args.Message.Last);
//}
}
}
public void SendMarketDataRequest(FIXMarketDataRequest request)
{
// need to request as iqfeed's native symbol type, but return as a generic symbol
FIXRelatedSymGroup symgrp;
IQFeedDataRequestRecord rr;
bool tradeRequest = false;
bool quoteRequest = false;
bool marketDepthRequest = false;
if (request.NoMDEntryTypes > 0)
{
FIXMDEntryTypesGroup mdEntryTypesGroup = request.GetMDEntryTypesGroup(0);
switch (mdEntryTypesGroup.MDEntryType)
{
case FIXMDEntryType.Trade: {
tradeRequest = true;
}
break;
case FIXMDEntryType.Bid:
case FIXMDEntryType.Offer: {
if (request.MarketDepth == 1)
{
quoteRequest = true;
}
else
{
marketDepthRequest = true;
}
}
break;
}
}
switch (request.SubscriptionRequestType)
{
case DataManager.MARKET_DATA_SUBSCRIBE:
for (int i = 0; i < request.NoRelatedSym; i++)
{
symgrp = request.GetRelatedSymGroup(i);
string sWatchedSymbol = symgrp.Symbol;
Instrument instrument = InstrumentManager.Instruments[symgrp.Symbol];
foreach (FIXSecurityAltIDGroup grp in symgrp.SecurityAltIDGroup)
{
if (Name == grp.SecurityAltIDSource)
{
sWatchedSymbol = grp.SecurityAltID;
}
}
if (tradeRequest || quoteRequest)
{
if (htL1WatchedSymbols.ContainsKey(sWatchedSymbol))
{
rr = htL1WatchedSymbols[sWatchedSymbol] as IQFeedDataRequestRecord;
rr.cnt++;
rr = null;
}
else
{
rr = new IQFeedDataRequestRecord();
rr.request = request;
rr.instrument = instrument;
// Symbol = instrument.GetSymbol(Name); <== hint for other code
rr.sCurrency = symgrp.Currency;
rr.sSecurityType = symgrp.SecurityType;
rr.sSecurityExchange = symgrp.SecurityExchange;
htL1WatchedSymbols.Add(sWatchedSymbol, rr);
Console.WriteLine("MARKET_DATA_SUBSCRIBE {0}", sWatchedSymbol);
if (1 == htL1WatchedSymbols.Count)
{
iqf.HandleFundamentalMessage += new FundamentalMessageHandler(EmitFundamental);
iqf.HandleSummaryMessage += new SummaryMessageHandler(EmitTradeSummary);
iqf.HandleUpdateMessage += new UpdateMessageHandler(EmitQuoteTrade);
}
iqf.startWatch(sWatchedSymbol);
rr = null;
}
}
if (marketDepthRequest)
{
if (htL2WatchedSymbols.ContainsKey(sWatchedSymbol))
{
rr = htL1WatchedSymbols[sWatchedSymbol] as IQFeedDataRequestRecord;
rr.cnt++;
rr = null;
}
else
{
instrument.OrderBook.Clear();
rr = new IQFeedDataRequestRecord();
rr.request = request;
rr.instrument = instrument;
// Symbol = instrument.GetSymbol(Name); <== hint for other code
rr.sCurrency = symgrp.Currency;
rr.sSecurityType = symgrp.SecurityType;
rr.sSecurityExchange = symgrp.SecurityExchange;
htL2WatchedSymbols.Add(sWatchedSymbol, rr);
Console.WriteLine("MARKETDEPTH_DATA_SUBSCRIBE {0}", sWatchedSymbol);
iqfl2.StartWatch(sWatchedSymbol, new LevelIIUpdateMessageHandler(EmitMarketDepth));
rr = null;
}
}
}
break;
case DataManager.MARKET_DATA_UNSUBSCRIBE:
for (int i = 0; i < request.NoRelatedSym; i++)
{
symgrp = request.GetRelatedSymGroup(i);
string sWatchedSymbol = symgrp.Symbol;
Instrument instrument = InstrumentManager.Instruments[symgrp.Symbol];
foreach (FIXSecurityAltIDGroup grp in symgrp.SecurityAltIDGroup)
{
if (Name == grp.SecurityAltIDSource)
{
sWatchedSymbol = grp.SecurityAltID;
}
}
if (tradeRequest || quoteRequest)
{
if (htL1WatchedSymbols.ContainsKey(sWatchedSymbol))
{
rr = htL1WatchedSymbols[sWatchedSymbol] as IQFeedDataRequestRecord;
rr.cnt--;
if (0 == rr.cnt)
{
Console.WriteLine("MARKET_DATA_UNSUBSCRIBE {0}", sWatchedSymbol);
iqf.stopWatch(sWatchedSymbol);
if (0 == htL1WatchedSymbols.Count)
{
iqf.HandleFundamentalMessage -= new FundamentalMessageHandler(EmitFundamental);
iqf.HandleSummaryMessage -= new SummaryMessageHandler(EmitTradeSummary);
iqf.HandleUpdateMessage -= new UpdateMessageHandler(EmitQuoteTrade);
}
rr.request = null;
rr.instrument = null;
}
rr = null;
}
else
{
throw new ArgumentException("No to stop l1 for symbol " + symgrp.Symbol + "/" + sWatchedSymbol);
}
}
if (marketDepthRequest)
{
if (htL2WatchedSymbols.ContainsKey(sWatchedSymbol))
{
rr = htL2WatchedSymbols[sWatchedSymbol] as IQFeedDataRequestRecord;
rr.cnt--;
if (0 == rr.cnt)
{
Console.WriteLine("MARKETDEPTH_DATA_UNSUBSCRIBE {0}", sWatchedSymbol);
iqfl2.StopWatch(sWatchedSymbol, new LevelIIUpdateMessageHandler(EmitMarketDepth));
rr.request = null;
rr.instrument = null;
}
rr = null;
}
else
{
throw new ArgumentException("No to stop l2 for symbol " + symgrp.Symbol + "/" + sWatchedSymbol);
}
}
}
break;
default:
throw new ArgumentException("Unknown subscription type: " + request.SubscriptionRequestType.ToString());
}
}
