public void SerializeDeserilize()
{
// setup imbalance
const string s = "IBM";
const string e = "NYSE";
const int x = 500000;
const int t = 1550;
const int p = 1540;
const int px = 400000;
Imbalance i = new ImbalanceImpl(s, e, x, t, px, p, 999);
// verify it's valid
Assert.IsTrue(i.isValid);
// serialize it
string msg = ImbalanceImpl.Serialize(i);
// deserialize it somewhere else
Imbalance ni = ImbalanceImpl.Deserialize(msg);
// make sure it's valid
Assert.IsTrue(ni.isValid);
// verify it's the same
Assert.AreEqual(i.Symbol, ni.Symbol);
Assert.AreEqual(i.Exchange, ni.Exchange);
Assert.AreEqual(i.PrevImbalance, ni.PrevImbalance);
Assert.AreEqual(i.PrevTime, ni.PrevTime);
Assert.AreEqual(i.ThisImbalance, ni.ThisImbalance);
Assert.AreEqual(i.ThisTime, ni.ThisTime);
Assert.AreEqual(i.InfoImbalance, ni.InfoImbalance);
}
void m_Session_OnNYSEImbalanceMessage(object sender, BWNYSEImbalance imbalanceMsg)
{
string s = imbalanceMsg.Symbol;
int i = imbalanceMsg.ImbalanceVolume;
int it = TradeLink.Common.Util.DT2FT(imbalanceMsg.Time);
int pi = imbalanceMsg.InitImbalanceVolume;
int pt = TradeLink.Common.Util.DT2FT(imbalanceMsg.InitTime);
string ex = imbalanceMsg.FeedID.ToString();
Imbalance imb = new ImbalanceImpl(s, ex, i, it, pi, pt, i);
tl.newImbalance(imb);
}
public static Imbalance[] SampleImbalanceData(int count)
{
Random r = new Random((int)DateTime.Now.Ticks);
string[] syms = TradeLink.Research.RandomSymbol.GetSymbols((int)DateTime.Now.Ticks, 4, count);
Imbalance[] imbs = new Imbalance[syms.Length];
for (int j = 0; j < syms.Length; j++)
{
imbs[j] = new ImbalanceImpl(syms[j], "NYSE", r.Next(-1000, 1000) * r.Next(1000), 1550, r.Next(-1000, 1000) * r.Next(1000), 1540, 0);
}
return(imbs);
}
public void Performance()
{
const int OPS = 10000;
Imbalance[] imbs = SampleImbalanceData(OPS);
DateTime start = DateTime.Now;
bool v = true;
for (int i = 0; i < OPS; i++)
{
Imbalance im = ImbalanceImpl.Deserialize(ImbalanceImpl.Serialize(imbs[i]));
v &= im.ThisImbalance == imbs[i].ThisImbalance;
}
double time = DateTime.Now.Subtract(start).TotalSeconds;
Assert.IsTrue(v);
Assert.LessOrEqual(time, .15);
Console.WriteLine(string.Format("Imbalance performance: {0:n2} {1:n0}i/s", time, OPS / time));
}
void doquote(ref structSTIQuoteUpdate q)
{
Tick k = new TickImpl(q.bstrSymbol);
k.bid = (decimal)q.fBidPrice;
k.ask = (decimal)q.fAskPrice;
k.bs = q.nBidSize / 100;
k.os = q.nAskSize / 100;
k.ex = GetExPretty(q.bstrExch);
k.be = GetExPretty(q.bstrBidExch);
k.oe = GetExPretty(q.bstrAskExch);
int now = Convert.ToInt32(q.bstrUpdateTime);
k.date = Util.ToTLDate(DateTime.Now);
//int sec = now % 100;
k.time = now;
// we don't want to simply return on out-of-order ticks because it'll prevent processing
// of the mdx messages further in this function.
if (!IgnoreOutOfOrderTicks || (k.time > _lasttime))
{
_lasttime = k.time;
k.trade = (decimal)q.fLastPrice;
k.size = q.nLastSize;
// execute orders if papertrade is enabled
if (isPaperTradeEnabled)
{
ptt.newTick(k);
}
// notify clients of tick
if (!_imbalance || (_imbalance && k.isValid))
{
tl.newTick(k);
}
}
/////////////////////////
// MDX Processing
/////////////////////////
if (q.nMdxMsgType == 1)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Regulatory Imbalance for: " + q.bstrSymbol
+ " ValidIntradayMarketImb: " + q.bValidIntradayMktImb
+ " ValidMktImb: " + q.bValidMktImb
+ " Imbalance: " + q.nImbalance
+ " iMktImbalance: " + q.nIntradayMktImbalance
+ " MktImbalance: " + q.nMktImbalance);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Imbalance imb = new ImbalanceImpl(q.bstrSymbol, GetExPretty(q.bstrExch), q.nIntradayMktImbalance, time, 0, 0, 0);
tl.newImbalance(imb);
}
}
else if (q.nMdxMsgType == 2)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Informational Imbalance for: " + q.bstrSymbol
+ " ValidIntradayMarketImb: " + q.bValidIntradayMktImb
+ " ValidMktImb: " + q.bValidMktImb
+ " Imbalance: " + q.nImbalance
+ " iMktImbalance: " + q.nIntradayMktImbalance
+ " MktImbalance: " + q.nMktImbalance);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Imbalance imb = new ImbalanceImpl(q.bstrSymbol, GetExPretty(q.bstrExch), 0, time, 0, 0, q.nIntradayMktImbalance);
tl.newImbalance(imb);
}
}
else if (q.nMdxMsgType == 3)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Halt/Delay for: " + q.bstrSymbol
+ " Status: " + q.bstrHaltResumeStatus
+ " Reason: " + q.bstrHaltResumeReason);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
HaltResume h = new HaltResumeImpl(q.bstrSymbol, GetExPretty(q.bstrExch), time, q.bstrHaltResumeStatus, q.bstrHaltResumeReason);
for (int clientNumber = 0; clientNumber < tl.NumClients; clientNumber++)
{
tl.TLSend(HaltResumeImpl.Serialize(h), MessageTypes.HALTRESUME, clientNumber);
}
}
}
else if (q.nMdxMsgType == 4)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Indication for: " + q.bstrSymbol
+ " ValidIndicators: " + q.bValidIndicators
+ " IndicatorHigh: " + q.fIndicatorHigh
+ " IndicatorLow: " + q.fIndicatorLow);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Indication ind = new IndicationImpl(q.bstrSymbol, GetExPretty(q.bstrExch), time, q.bValidIndicators, (decimal)q.fIndicatorHigh, (decimal)q.fIndicatorLow);
for (int clientNumber = 0; clientNumber < tl.NumClients; clientNumber++)
{
tl.TLSend(IndicationImpl.Serialize(ind), MessageTypes.INDICATION, clientNumber);
}
}
}
}