void stiQuote_OnSTIQuoteUpdate(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;
if (q.bstrExch != "*")
{
k.ex = q.bstrExch;
}
if (q.bstrBidExch != "*")
{
k.be = q.bstrBidExch;
}
if (q.bstrAskExch != "*")
{
k.oe = q.bstrAskExch;
}
int now = Convert.ToInt32(q.bstrUpdateTime);
k.date = Util.ToTLDate(DateTime.Now);
int sec = now % 100;
k.time = now;
k.trade = (decimal)q.fLastPrice;
k.size = q.nLastSize;
tl.newTick(k);
if ((q.bValidMktImb == 0) || !imbalance)
{
return;
}
tl.newImbalance(new ImbalanceImpl(k.symbol, k.ex, q.nMktImbalance, k.time, 0, 0, 0));
}
private void api_LevelOneStreaming(object sender, Axtdaactx.ITDAAPICommEvents_OnL1QuoteEvent e)
{
DateTime DT = new DateTime(1970, 1, 1);
//Axtdaactx.AxTDAL1Quote quote = (Axtdaactx.AxTDAL1Quote)e.quote;
//if (args.FunctionType != AmeritradeBrokerAPI.RequestState.AsyncType.LevelOneStreaming) return;
Tick t = new TickImpl();
/* don't understand the time format provided here
* int date = 0;
* int ttime = 0;
* if (int.TryParse(args.oLevelOneData[0].quotedate, out date))
* t.date = date;
* if (int.TryParse(args.oLevelOneData[0].quotetime, out ttime))
* t.time = ttime;
*/
t.date = Util.ToTLDate(DateTime.Now);
t.time = Util.DT2FT(DateTime.Now);
t.symbol = e.quote.Symbol;
t.bid = Convert.ToDecimal(e.quote.Bid);
t.ask = Convert.ToDecimal(e.quote.Ask);
t.ex = e.quote.Exchange.ToString();
t.trade = Convert.ToDecimal(e.quote.Last);
t.size = Convert.ToInt32(e.quote.LastSize) * 100;
t.bs = Convert.ToInt32(e.quote.BidSize);
t.os = Convert.ToInt32(e.quote.AskSize);
tl.newTick(t);
//debug(t.symbol + " " + t.ltrade + "\n");
}
void SimBroker_GotOrderCancel(string sym, bool side, uint id)
{
// if we get an order cancel notify from the broker, pass along to our clients
tl.newOrderCancel(id);
// send the updated book to our clients for same side as order
Tick book = OrderToTick(h.SimBroker.BestBidOrOffer(sym, side));
tl.newTick(book);
}
void MBTQUOTELib.IMbtQuotesNotify.OnTSData(ref TSRECORD pRec)
{
TickImpl k = new TickImpl();
k.symbol = pRec.bstrSymbol;
enumTickType tt = (enumTickType)pRec.lType;
switch (tt)
{
case enumTickType.ttAskTick:
k.ask = (decimal)pRec.dPrice;
k.oe = pRec.bstrExchange;
k.os = pRec.lSize;
break;
case enumTickType.ttBidTick:
k.bid = (decimal)pRec.dPrice;
k.be = pRec.bstrExchange;
k.bs = pRec.lSize;
break;
case enumTickType.ttTradeTick:
k.trade = (decimal)pRec.dPrice;
k.ex = pRec.bstrExchange;
k.size = pRec.lSize;
break;
}
tl.newTick(k);
}
void rs_LevelOneStreaming_TickWithArgs(DateTime time, AmeritradeBrokerAPI.ATradeArgument args)
{
if (args.FunctionType != AmeritradeBrokerAPI.RequestState.AsyncType.LevelOneStreaming)
{
return;
}
Tick t = new TickImpl();
/* don't understand the time format provided here
* int date = 0;
* int ttime = 0;
* if (int.TryParse(args.oLevelOneData[0].quotedate, out date))
* t.date = date;
* if (int.TryParse(args.oLevelOneData[0].quotetime, out ttime))
* t.time = ttime;
*/
t.date = Util.ToTLDate(DateTime.Now);
t.time = Util.DT2FT(DateTime.Now);
t.symbol = args.oLevelOneData[0].stock;
t.bid = Convert.ToDecimal(args.oLevelOneData[0].bid);
t.ask = Convert.ToDecimal(args.oLevelOneData[0].ask);
t.ex = args.oLevelOneData[0].exchange;
t.trade = Convert.ToDecimal(args.oLevelOneData[0].last);
t.size = Convert.ToInt32(args.oLevelOneData[0].lastsize) * 100;
t.bs = Convert.ToInt32(args.oLevelOneData[0].bid_size);
t.os = Convert.ToInt32(args.oLevelOneData[0].ask_size);
tl.newTick(t);
}
public void TickTests()
{
// havent' sent any ticks, so shouldn't have any counted
Assert.That(ticks == 0, ticks.ToString());
// have to subscribe to a stock to get notified on fills for said stock
c.Subscribe(new BasketImpl(new SecurityImpl(SYM)));
//send a tick from the server
TickImpl t = TickImpl.NewTrade(SYM, 10, 100);
s.newTick(t);
// make sure the client got it
Assert.That(ticks == 1, ticks.ToString());
// make sure other clients did not get ticks
// (cause we didnt' subscribe from other clients)
Assert.AreNotEqual(copyticks, ticks);
}
