private unsafe void BookRebuild(LimeQuoteMessage message)
{
//UNDONE: Use the symbol_len field from the message and the action to filter
LimeQuotesInterop.book_rebuild_msg *bookMsg = (LimeQuotesInterop.book_rebuild_msg *)message.Ptr;
int last = 0;
for (int i = 0; i < LimeQuotesInterop.SYMBOL_LEN; i++)
{
if (bookMsg->symbol[i] == 0)
{
last = i;
break;
}
}
string symbol = new string((sbyte *)bookMsg->symbol, 0, last);
log.InfoFormat("Book Rebuild for {0} id {1} flags {2}", symbol, bookMsg->symbol_index, bookMsg->symbol_flags);
using (_SymbolIDLock.Using())
{
uint id = Reverse(bookMsg->symbol_index);
if (!_SymbolID.ContainsKey(symbol))
{
_SymbolID.Add(symbol, id);
_IDToSymbol.Add(id, symbol);
_IDToBookRebuild.Add(id, (bookMsg->symbol_flags & 1) == 0);
}
else
{
_SymbolID[symbol] = id;
_IDToSymbol[id] = symbol;
_IDToBookRebuild[id] = (bookMsg->symbol_flags & 1) == 0;
}
}
}
private unsafe void SymbolRequest(LimeQuoteMessage message)
{
LimeQuotesInterop.subscription_request_msg *subRequest = (LimeQuotesInterop.subscription_request_msg *)message.Ptr;
String symbol = "";
for (int i = 0; subRequest->syb_symbols[i] != 0; i++)
{
symbol += (char)subRequest->syb_symbols[i];
}
var symbolInfo = Factory.Symbol.LookupSymbol(symbol);
log.Info("Lime: Received symbol request for " + symbolInfo);
ProviderSimulator.AddSymbol(symbolInfo.Symbol);
var writePacket = (LimeQuoteMessage)QuoteSocket.MessageFactory.Create();
LimeQuotesInterop.subscription_reply_msg *reply = (LimeQuotesInterop.subscription_reply_msg *)writePacket.Ptr;
reply->msg_type = LimeQuotesInterop.limeq_message_type.SUBSCRIPTION_REPLY;
var msg_len = (ushort)sizeof(LimeQuotesInterop.subscription_reply_msg);
reply->msg_len = Reverse(msg_len);
writePacket.Length = msg_len;
reply->outcome = LimeQuotesInterop.subscription_outcome.SUBSCRIPTION_SUCCESSFUL;
for (int i = 0; i < 4; i++)
{
reply->qsid[i] = subRequest->qsid[i];
}
QuotePacketQueue.Enqueue(writePacket, message.SendUtcTime);
var bookRebuildMessage = (LimeQuoteMessage)QuoteSocket.MessageFactory.Create();
LimeQuotesInterop.book_rebuild_msg *book = (LimeQuotesInterop.book_rebuild_msg *)bookRebuildMessage.Ptr;
book->msg_type = LimeQuotesInterop.limeq_message_type.BOOK_REBUILD;
msg_len = (ushort)sizeof(LimeQuotesInterop.book_rebuild_msg);
book->msg_len = Reverse(msg_len);
bookRebuildMessage.Length = msg_len;
book->symbol_index = (uint)symbolInfo.BinaryIdentifier;
for (int i = 0; i < symbol.Length; i++)
{
book->symbol[i] = (byte)symbol[i];
}
QuotePacketQueue.Enqueue(bookRebuildMessage, message.SendUtcTime);
}
