void stiQuote_OnSTIQuoteSnap(ref structSTIQuoteSnap q)
{
TickImpl k = new TickImpl();
k.symbol = 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);
k.time = now;
k.trade = (decimal)q.fLastPrice;
k.size = q.nLastSize;
tl.newTick(k);
}
void stiQuote_OnSTIQuoteSnap(ref structSTIQuoteSnap q)
{
if (UseXmlMode)
{
return;
}
dosnap(ref q);
}
private void SessionOnStiQuoteSnap(ref structSTIQuoteSnap structQuoteSnap)
{
var l1CngMsg = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structQuoteSnap.bstrSymbol,
BoardCode = structQuoteSnap.bstrExch
},
ServerTime = structQuoteSnap.bstrUpdateTime.StrToTime(),
};
l1CngMsg.TryAdd(Level1Fields.BestAskPrice, (decimal)structQuoteSnap.fAskPrice);
l1CngMsg.TryAdd(Level1Fields.BestBidPrice, (decimal)structQuoteSnap.fAskPrice);
l1CngMsg.TryAdd(Level1Fields.BestAskVolume, (decimal)structQuoteSnap.nAskSize);
l1CngMsg.TryAdd(Level1Fields.BestBidVolume, (decimal)structQuoteSnap.nBidSize);
l1CngMsg.TryAdd(Level1Fields.OpenPrice, (decimal)structQuoteSnap.fOpenPrice);
l1CngMsg.TryAdd(Level1Fields.HighPrice, (decimal)structQuoteSnap.fHighPrice);
l1CngMsg.TryAdd(Level1Fields.LowPrice, (decimal)structQuoteSnap.fLowPrice);
l1CngMsg.TryAdd(Level1Fields.LastTradePrice, (decimal)structQuoteSnap.fLastPrice);
l1CngMsg.TryAdd(Level1Fields.LastTradeVolume, (decimal)structQuoteSnap.nLastSize);
l1CngMsg.TryAdd(Level1Fields.OpenInterest, (decimal)structQuoteSnap.nOpenInterest);
l1CngMsg.TryAdd(Level1Fields.Volume, (decimal)structQuoteSnap.nCumVolume);
l1CngMsg.TryAdd(Level1Fields.VWAP, (decimal)structQuoteSnap.fVwap);
l1CngMsg.TryAdd(Level1Fields.ClosePrice, (decimal)structQuoteSnap.fClosePrice); // цена закрытия прошлого дня.
SendOutMessage(l1CngMsg);
if (_subscribedSecuritiesToTrade.Cache.Contains(structQuoteSnap.bstrSymbol) && structQuoteSnap.fLastPrice != 0)
{
var tickMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = new SecurityId {
SecurityCode = structQuoteSnap.bstrSymbol, BoardCode = structQuoteSnap.bstrExch
},
//TradeId = structQuoteSnap.,
TradePrice = (decimal)structQuoteSnap.fLastPrice,
Volume = structQuoteSnap.nLastSize,
//OriginSide = action.ToSide(),
ServerTime = structQuoteSnap.bstrUpdateTime.StrToTime()
};
SendOutMessage(tickMsg);
}
}
void stiQuote_OnSTIQuoteSnapXML(ref string bstrQuote)
{
try
{
XmlSerializer xs = new XmlSerializer(typeof(SterlingLib.structSTIQuoteSnap));
structSTIQuoteSnap q = (structSTIQuoteSnap)xs.Deserialize(new System.IO.StringReader(bstrQuote));
dosnap(ref q);
}
catch (Exception ex)
{
debug("Error deserializing quote: " + bstrQuote);
debug(ex.Message + ex.StackTrace);
}
}
private void SessionOnStiQuoteSnap(ref structSTIQuoteSnap structQuoteSnap)
{
var l1CngMsg = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structQuoteSnap.bstrSymbol,
BoardCode = structQuoteSnap.bstrExch
},
ServerTime = structQuoteSnap.bstrUpdateTime.StrToTime(),
};
if (structQuoteSnap.bAskPrice != 0)
l1CngMsg.TryAdd(Level1Fields.BestAskPrice, (decimal)structQuoteSnap.fAskPrice);
if (structQuoteSnap.bBidPrice != 0)
l1CngMsg.TryAdd(Level1Fields.BestBidPrice, (decimal)structQuoteSnap.fBidPrice);
l1CngMsg.TryAdd(Level1Fields.BestAskVolume, (decimal)structQuoteSnap.nAskSize);
l1CngMsg.TryAdd(Level1Fields.BestBidVolume, (decimal)structQuoteSnap.nBidSize);
if (structQuoteSnap.bOpenPrice != 0)
l1CngMsg.TryAdd(Level1Fields.OpenPrice, (decimal)structQuoteSnap.fOpenPrice);
if (structQuoteSnap.bHighPrice != 0)
l1CngMsg.TryAdd(Level1Fields.HighPrice, (decimal)structQuoteSnap.fHighPrice);
if (structQuoteSnap.bLowPrice != 0)
l1CngMsg.TryAdd(Level1Fields.LowPrice, (decimal)structQuoteSnap.fLowPrice);
if (structQuoteSnap.bLastPrice != 0)
l1CngMsg.TryAdd(Level1Fields.LastTradePrice, (decimal)structQuoteSnap.fLastPrice);
l1CngMsg.TryAdd(Level1Fields.LastTradeVolume, (decimal)structQuoteSnap.nLastSize);
l1CngMsg.TryAdd(Level1Fields.OpenInterest, (decimal)structQuoteSnap.nOpenInterest);
l1CngMsg.TryAdd(Level1Fields.Volume, (decimal)structQuoteSnap.nCumVolume);
l1CngMsg.TryAdd(Level1Fields.VWAP, (decimal)structQuoteSnap.fVwap);
l1CngMsg.TryAdd(Level1Fields.ClosePrice, (decimal)structQuoteSnap.fClosePrice); // öåíà çàêðûòèÿ ïðîøëîãî äíÿ.
SendOutMessage(l1CngMsg);
if (_subscribedSecuritiesToTrade.Cache.Contains(structQuoteSnap.bstrSymbol) && structQuoteSnap.fLastPrice != 0)
{
var tickMsg= new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = new SecurityId{SecurityCode = structQuoteSnap.bstrSymbol,BoardCode = structQuoteSnap.bstrExch},
//TradeId = structQuoteSnap.,
TradePrice = (decimal)structQuoteSnap.fLastPrice,
TradeVolume = structQuoteSnap.nLastSize,
//OriginSide = action.ToSide(),
ServerTime = structQuoteSnap.bstrUpdateTime.StrToTime()
};
SendOutMessage(tickMsg);
}
}
void dosnap(ref structSTIQuoteSnap q)
{
TickImpl k = new TickImpl();
k.symbol = 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);
k.time = now;
k.trade = (decimal)q.fLastPrice;
k.size = q.nLastSize;
tl.newTick(k);
}
void stiQuote_OnSTIQuoteSnap(ref structSTIQuoteSnap q)
{
if (UseXmlMode) return;
dosnap(ref q);
}
