private void MarketDataUpdate(OrderBookEvent orderBookEvent)
{
long placeOrderInstructionId = NextInstructionId();
_orderInstructions.Add(placeOrderInstructionId);
_session.PlaceLimitOrder(new LimitOrderSpecification(placeOrderInstructionId, _instrumentId, 10m, 10m, TimeInForce.GoodForDay),
instructionId => Console.WriteLine("limit order placed with instruction id " + instructionId),
FailureCallback("Place order failed for instruction ID " + placeOrderInstructionId));
}
private void MarketDataUpdate(OrderBookEvent onOrderBookEvent)
{
Console.WriteLine(onOrderBookEvent);
// React to price updates from the exchange.
HandleBidPrice(onOrderBookEvent.BidPrices);
HandleAskPrice(onOrderBookEvent.AskPrices);
}
public bool Equals(OrderBookEvent other)
{
if (object.ReferenceEquals((object)null, (object)other))
{
return(false);
}
if (object.ReferenceEquals((object)this, (object)other))
{
return(true);
}
return(other._instrumentId == this._instrumentId && other._hasValuationBidPrice.Equals(this._hasValuationBidPrice) && (other._hasValuationAskPrice.Equals(this._hasValuationAskPrice) && other._valuationBidPrice == this._valuationBidPrice && (other._valuationAskPrice == this._valuationAskPrice && other._mktClosePrice == this._mktClosePrice) && (other._lastTradedPrice == this._lastTradedPrice && other._dailyHighestTradedPrice == this._dailyHighestTradedPrice && (other._dailyLowestTradedPrice == this._dailyLowestTradedPrice && object.Equals((object)other._mktClosePriceTimestamp, (object)this._mktClosePriceTimestamp))) && (other._timestamp == this._timestamp && OrderBookEvent.EqualPrices(other._bidPrices, this._bidPrices))) && OrderBookEvent.EqualPrices(other._askPrices, this._askPrices));
}
private void MarketDataUpdate(OrderBookEvent orderBookEvent)
{
long instrumentId = orderBookEvent.InstrumentId;
decimal bestBid = GetBestPrice(orderBookEvent.BidPrices);
decimal bestAsk = GetBestPrice(orderBookEvent.AskPrices);
if (_instrumentInfoById.ContainsKey(instrumentId))
{
InstrumentInfo instrument;
_instrumentInfoById.TryGetValue(instrumentId, out instrument);
instrument.Update(bestBid, bestAsk);
}
}
public bool Equals(OrderBookEvent other)
{
if (ReferenceEquals(null, other))
{
return(false);
}
if (ReferenceEquals(this, other))
{
return(true);
}
return(other._instrumentId == _instrumentId && other._hasValuationBidPrice.Equals(_hasValuationBidPrice) && other._hasValuationAskPrice.Equals(_hasValuationAskPrice) &&
other._valuationBidPrice == _valuationBidPrice && other._valuationAskPrice == _valuationAskPrice && other._mktClosePrice == _mktClosePrice &&
other._lastTradedPrice == _lastTradedPrice && other._dailyHighestTradedPrice == _dailyHighestTradedPrice && other._dailyLowestTradedPrice == _dailyLowestTradedPrice &&
Equals(other._mktClosePriceTimestamp, _mktClosePriceTimestamp) && other._timestamp == _timestamp && EqualPrices(other._bidPrices, _bidPrices) && EqualPrices(other._askPrices, _askPrices));
}
private void OnSessionMarketDataChanged(OrderBookEvent orderBookEvent)
{
var time = TimeHelper.GregorianStart.AddMilliseconds(orderBookEvent.Timestamp).ApplyTimeZone(TimeZoneInfo.Utc);
var secId = new SecurityId { Native = orderBookEvent.InstrumentId };
var l1Msg = new Level1ChangeMessage
{
ServerTime = time,
SecurityId = secId,
};
if (orderBookEvent.HasMarketClosePrice)
l1Msg.Add(Level1Fields.ClosePrice, orderBookEvent.MktClosePrice);
if (orderBookEvent.HasDailyHighestTradedPrice)
l1Msg.Add(Level1Fields.HighPrice, orderBookEvent.DailyHighestTradedPrice);
if (orderBookEvent.HasDailyLowestTradedPrice)
l1Msg.Add(Level1Fields.LowPrice, orderBookEvent.DailyLowestTradedPrice);
if (orderBookEvent.HasLastTradedPrice)
{
l1Msg.Add(Level1Fields.LastTradePrice, orderBookEvent.LastTradedPrice);
}
SendOutMessage(l1Msg);
SendOutMessage(new QuoteChangeMessage
{
SecurityId = secId,
Bids = orderBookEvent.BidPrices.Select(p => new QuoteChange(Sides.Buy, p.Price, p.Quantity)),
Asks = orderBookEvent.AskPrices.Select(p => new QuoteChange(Sides.Sell, p.Price, p.Quantity)),
ServerTime = time
});
}
public override string ToString()
{
return(string.Format("OrderBookEvent{{InstrumentId: {0}, ValuationBidPrice: {1}, ValuationAskPrice: {2}, BidPrices: {3}, AskPrices: {4}, MarketClosePrice: {5}, MarketClosePriceTimestamp: {6}, LastTradedPrice: {7}, DailyHighestTradedPrice: {8}, DailyLowestTradedPrice: {9}, Timestamp: {10}}}", (object)this._instrumentId, (object)this._valuationBidPrice, (object)this._valuationAskPrice, (object)OrderBookEvent.FormatPricePoints(this._bidPrices), (object)OrderBookEvent.FormatPricePoints(this._askPrices), (object)this._mktClosePrice, (object)this._mktClosePriceTimestamp, (object)this._lastTradedPrice, (object)this._dailyHighestTradedPrice, (object)this._dailyLowestTradedPrice, (object)this._timestamp));
}
public bool Equals(OrderBookEvent other)
{
if (ReferenceEquals(null, other)) return false;
if (ReferenceEquals(this, other)) return true;
return other._instrumentId == _instrumentId && other._hasValuationBidPrice.Equals(_hasValuationBidPrice) && other._hasValuationAskPrice.Equals(_hasValuationAskPrice) &&
other._valuationBidPrice == _valuationBidPrice && other._valuationAskPrice == _valuationAskPrice && other._mktClosePrice == _mktClosePrice &&
other._lastTradedPrice == _lastTradedPrice && other._dailyHighestTradedPrice == _dailyHighestTradedPrice && other._dailyLowestTradedPrice == _dailyLowestTradedPrice &&
Equals(other._mktClosePriceTimestamp, _mktClosePriceTimestamp) && other._timestamp == _timestamp && EqualPrices(other._bidPrices, _bidPrices) && EqualPrices(other._askPrices, _askPrices);
}
