// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
//
//
//
// *********************************************************
// **** Market_MarketChanged ****
// *********************************************************
/// <summary>
/// Called on every tick from the market. Attempt was made to optimize this
/// by filtering out times when we don't have a position to manage. Additionally
/// all calls that are not top of book are ignored. Checks are created to watch for when market
/// quantity crosses thresholds as this is what triggers the scratch event.
/// </summary>
/// <param name="sender"></param>
/// <param name="eventArgs"></param>
public void Market_MarketChanged(object sender, EventArgs eventArgs)
{
if (m_IPriceToPosition.Count == 0)
{ // we are not actively managing a position, we dont care about market updates
return;
}
if (m_Market.IsLastTickBestPriceChange)
{ // this update was a best price change! we need to check everything to see if we need to scratch
m_IPriceWorkSpaceList.Clear(); // use this list since TryScratchPosition removes keys from m_IPricePosition, we cannot iterate on it!
foreach (KeyValuePair <int, int> kvPair in m_IPriceToPosition)
{ // check each price we have a position at, if we need to scratch, then add it to our list of prices to scratch
if (IsScratchNeededAtIPrice(kvPair.Key))
{
m_IPriceWorkSpaceList.Add(kvPair.Key);
}
}
for (int i = 0; i < m_IPriceWorkSpaceList.Count; i++)
{ // for every price we need to scratch
TryScratchPosition(m_IPriceWorkSpaceList[i], true);
}
// update our state variables with new market quantities!
for (int side = 0; side < 2; ++side)
{
m_WasInsideMarketQtyAboveThreshold[side] = m_Market.Qty[side][0] > m_ScratchThreshold;
}
}
else
{ // this could be a top of book qty change, lets check
bool isMarketQtyOverThreshold;
for (int side = 0; side < 2; ++side)
{
if (m_Market.BestDepthUpdated[side] == 0)
{ // the last update on this side was top of market!
isMarketQtyOverThreshold = m_Market.Qty[side][0] > m_ScratchThreshold;
if ((m_IsActive & !isMarketQtyOverThreshold & m_WasInsideMarketQtyAboveThreshold[side]) |
(!m_IsActive & isMarketQtyOverThreshold & !m_WasInsideMarketQtyAboveThreshold[side]))
{ // we are actively scratching, the market is now under our threshold and it was previously above!
// OR we are passively scratching the market is now over our threshold and it was previously below!
int iPrice = QTMath.RoundToSafeIPrice(m_Market.Price[side][0], side, m_InstrumentDetails.TickSize);
if (IsScratchNeededAtIPrice(iPrice))
{ // this call will complete the checks and if returns true we actually need to scratch
TryScratchPosition(iPrice, true);
}
}
m_WasInsideMarketQtyAboveThreshold[side] = isMarketQtyOverThreshold; // save new threshold state
}
}
}
}