Ejemplo n.º 1
0
        //New RTD subscription callback
        protected override object ConnectData(Topic topic, IList <string> topicInfo, ref bool newValues)
        {
            object result;
            int    topicId = GetTopicId(topic);

            Logging.Log("ConnectData: {0} - {{{1}}}", topicId, string.Join(", ", topicInfo));

            //parse and validate request
            //---

            //count and default parameters
            if (topicInfo.Count < 2)
            {
                return(ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA)); //need at least a product and a datapoint
            }
            else if (topicInfo.Count == 2)
            {
                topicInfo.Add("0"); //default to top level of book
            }
            //parse parameters
            string product = topicInfo[0];

            DataPoint dataPoint;
            bool      dataPointOk = Enum.TryParse <DataPoint>(topicInfo[1], out dataPoint);

            int  level;
            bool levelOk = Int32.TryParse(topicInfo[2], out level);

            //return error if parameters are invalid
            if (!dataPointOk || !levelOk)
            {
                return(ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA)); //incorrect level or datapoint request
            }
            if (level > 9 || level < 0)
            {
                return(ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA)); //level out of range
            }
            //store subscription request
            //---

            //if product has not yet been subscribed, create subscription container
            if (!_topics.ContainsKey(product))
            {
                _topics[product] = new TopicCollection();
            }

            //store subscription request
            _topics[product].TopicItems[Tuple.Create(dataPoint, level)] = topic;
            if (_topicDetails.ContainsKey(topicId))
            {
                Logging.Log("ERROR: duplicate topicId: {0} {1}", topicId, _topicDetails[topicId]);
            }
            _topicDetails.Add(topicId, new TopicSubscriptionDetails(product, dataPoint, level));


            //return data
            //--
            if (dataPoint == DataPoint.Last)
            {
                if (!_cache.Instruments.ContainsKey(product))
                {
                    //may be empty when sheet is first loaded
                    result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorGettingData);             //return "pending data" to Excel
                }
                else
                {
                    //get data from cache
                    BitMexInstrument inst = _cache.Instruments[product];
                    switch (dataPoint)
                    {
                    case DataPoint.Last:
                        result = inst.lastPrice;
                        break;

                    default:
                        result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA);
                        break;
                    }
                }
            }
            else //bid/ask etc
            {
                if (!_cache.MarketData.ContainsKey(product))
                {
                    //if product is not yet in cache, request snapshot
                    //this can happen if a product doesnt update very frequently
                    _api.GetSnapshot(product);
                    result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorGettingData);             //return "pending data" to Excel
                }
                else
                {
                    //get data from cache
                    MarketDataSnapshot snap = _cache.MarketData[product];
                    switch (dataPoint)
                    {
                    case DataPoint.Bid:
                        result = snap.BidDepth[level].Price;
                        break;

                    case DataPoint.BidVol:
                        result = snap.BidDepth[level].Qty;
                        break;

                    case DataPoint.Ask:
                        result = snap.AskDepth[level].Price;
                        break;

                    case DataPoint.AskVol:
                        result = snap.AskDepth[level].Qty;
                        break;

                    default:
                        result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA);
                        break;
                    }
                }
            }

            return(result);
        }
Ejemplo n.º 2
0
        //New RTD subscription callback
        protected override object ConnectData(Topic topic, IList<string> topicInfo, ref bool newValues)
        {
            object result;
            int topicId = GetTopicId(topic);

            Logging.Log("ConnectData: {0} - {{{1}}}", topicId, string.Join(", ", topicInfo));

            //parse and validate request
            //---

            //count and default parameters
            if (topicInfo.Count < 2)
                return ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA); //need at least a product and a datapoint
            else if (topicInfo.Count == 2)
                topicInfo.Add("0"); //default to top level of book

            //parse parameters
            string product = topicInfo[0];

            DataPoint dataPoint;
            bool dataPointOk = Enum.TryParse<DataPoint>(topicInfo[1], out dataPoint);

            int level;
            bool levelOk = Int32.TryParse(topicInfo[2], out level);

            //return error if parameters are invalid
            if(!dataPointOk || !levelOk)
                return ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA); //incorrect level or datapoint request

            if(level > 9 || level < 0)
                return ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA); //level out of range

            //store subscription request
            //---

            //if product has not yet been subscribed, create subscription container
            if (!_topics.ContainsKey(product))
                _topics[product] = new TopicCollection();

            //store subscription request
            _topics[product].TopicItems[Tuple.Create(dataPoint, level)] = topic;
            if(_topicDetails.ContainsKey(topicId))
                Logging.Log("ERROR: duplicate topicId: {0} {1}", topicId, _topicDetails[topicId]);
            _topicDetails.Add(topicId, new TopicSubscriptionDetails(product, dataPoint, level));


            //return data
            //--
            if(dataPoint == DataPoint.Last)
            {
                if (!_cache.Instruments.ContainsKey(product))
                {
                    //may be empty when sheet is first loaded
                    result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorGettingData);             //return "pending data" to Excel
                }
                else
                {
                    //get data from cache
                    BitMexInstrument inst = _cache.Instruments[product];
                    switch(dataPoint)
                    {
                        case DataPoint.Last:
                            result = inst.lastPrice;
                            break;

                        default:
                            result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA);
                            break;
                    }
                }
            }
            else //bid/ask etc
            {
                if (!_cache.MarketData.ContainsKey(product))
                {
                    //if product is not yet in cache, request snapshot
                    //this can happen if a product doesnt update very frequently
                    _api.GetSnapshot(product);
                    result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorGettingData);             //return "pending data" to Excel
                }
                else
                {
                    //get data from cache
                    MarketDataSnapshot snap = _cache.MarketData[product];
                    switch(dataPoint)
                    {
                        case DataPoint.Bid:
                            result = snap.BidDepth[level].Price;
                            break;

                        case DataPoint.BidVol:
                            result = snap.BidDepth[level].Qty;
                            break;

                        case DataPoint.Ask:
                            result = snap.AskDepth[level].Price;
                            break;

                        case DataPoint.AskVol:
                            result = snap.AskDepth[level].Qty;
                            break;

                        default:
                            result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA);
                            break;
                    }
                }
            }

            return result;
        }