private void OnQuotes(QuoteEventArgs obj)
{
if (obj.Data.Length == 1)
{
Log("ping ....");
return;
}
BinaryQuotes[] quotes = BinaryQuotes.Parse(obj.Data);
for (int i = 0; i < quotes.Length; i++)
{
Level2 l2 = quotes[i] as Level2;
if (l2 == null)
{
continue;
}
Log($"LTT= {l2.LastTradedTime}, TimeStamp= {l2.TimeStamp} LTP={l2.LastTradedPrice}");
}
}
public void Process(BinaryQuotes bq)
{
if (this.Instrument == null)
{
return;
}
Level2 l2 = bq as Level2;
if (l2 != null)
{
DateTime time = GetTime(l2.TimeStamp);
DateTime ltt = GetTime(l2.LastTradedTime);
if (this.open != l2.OpenPrice)
{
this.open = l2.OpenPrice;
ExternalConnectionBase.AppendRealTimeQuotes(this.Instrument, time, GetPrice(l2.OpenPrice), 0L, 0L, MarketDataType.Open);
}
if (this.high != l2.HighPrice)
{
this.high = l2.HighPrice;
ExternalConnectionBase.AppendRealTimeQuotes(this.Instrument, time, GetPrice(l2.HighPrice), 0L, 0L, MarketDataType.High);
}
if (this.low != l2.LowPrice)
{
this.low = l2.LowPrice;
ExternalConnectionBase.AppendRealTimeQuotes(this.Instrument, time, GetPrice(l2.LowPrice), 0L, 0L, MarketDataType.Low);
}
if (this.prClose != l2.ClosePrice)
{
this.prClose = l2.ClosePrice;
ExternalConnectionBase.AppendRealTimeQuotes(this.Instrument, time, GetPrice(l2.ClosePrice), 0L, 0L, MarketDataType.PreviousClose);
}
if (this.vwap != l2.AvgTradedPrice)
{
this.vwap = l2.AvgTradedPrice;
ExternalConnectionBase.AppendRealTimeQuotes(this.Instrument, time, GetPrice(l2.AvgTradedPrice), 0L, 0L, MarketDataType.VWAP);
}
if (this.openInterest != l2.OpenInterest)
{
this.openInterest = l2.OpenInterest;
ExternalConnectionBase.AppendRealTimeQuotes(this.Instrument, time, 0.0d, 0L, l2.OpenInterest, MarketDataType.OpenInterest);
}
for (int i = 0; i < 5; i++)
{
if (l2.AskLevels != null && l2.AskLevels.Length > i && l2.AskLevels[i] != null)
{
if (l2.AskLevels[i].Price != asks[i] || l2.AskLevels[i].Quantity != askVolume[i])
{
askVolume[i] = l2.AskLevels[i].Quantity;
asks[i] = l2.AskLevels[i].Price;
if (i == 0)
{
ExternalConnectionBase.AppendRealTimeQuotes(this.Instrument, time, GetPrice(l2.AskLevels[i].Price), l2.AskLevels[i].Quantity, 0L, MarketDataType.Ask);
}
ExternalConnectionBase.AppendL2Data(this.Instrument, time, i, GetPrice(l2.AskLevels[i].Price), l2.AskLevels[i].Quantity, (l2.AskLevels[i].Quantity <= 0 ? Operation.Delete : Operation.Added), MarketDataType.Ask);
}
}
if (l2.BidLevels != null && l2.BidLevels.Length >= 5)
{
if (l2.BidLevels != null && l2.BidLevels.Length > i && l2.BidLevels[i] != null)
{
if (l2.BidLevels[i].Price != bids[i] || l2.BidLevels[i].Quantity != bidVolume[i])
{
bidVolume[i] = l2.BidLevels[i].Quantity;
bids[i] = l2.BidLevels[i].Price;
if (i == 0)
{
ExternalConnectionBase.AppendRealTimeQuotes(this.Instrument, time, GetPrice(l2.BidLevels[i].Price), l2.BidLevels[i].Quantity, 0L, MarketDataType.Bid);
}
ExternalConnectionBase.AppendL2Data(this.Instrument, time, i, GetPrice(l2.BidLevels[i].Price), l2.BidLevels[i].Quantity, (l2.BidLevels[i].Quantity <= 0 ? Operation.Delete : Operation.Added), MarketDataType.Bid);
}
}
}
}
//Previous trading date is stamped as the Last Traded Time of the pre-opening (9:00AM - 9:07AM) quotes. Thus we ignore those quotes
if (ltt.Date != time.Date)
{
this.HasInitialized = true;
this.totalVolume = 0;
return;
}
//and append the last
if (this.HasInitialized)
{
if (l2.TotalVolume > this.totalVolume)
{
ExternalConnectionBase.AppendRealTimeQuotes(this.Instrument, ltt, GetPrice(l2.LastTradedPrice), l2.TotalVolume - this.totalVolume, 0L, MarketDataType.Last);
this.totalVolume = l2.TotalVolume;
ExternalConnectionBase.AppendRealTimeQuotes(this.Instrument, time, 0.0d, l2.TotalVolume, 0L, MarketDataType.TotalVolume);
}
}
else
{
this.HasInitialized = true;
if (DateTime.UtcNow.Add(this.utcOffset).Date == time.Date)
{
this.totalVolume = l2.TotalVolume;
}
else
{
this.totalVolume = 0;
}
ExternalConnectionBase.AppendRealTimeQuotes(this.Instrument, time, 0.0d, l2.TotalVolume, 0L, MarketDataType.TotalVolume);
}
}
else
{
Indices indices = bq as Indices;
if (indices != null)
{
DateTime time = GetTime(indices.TimeStamp);
if (this.open != indices.OpenPrice)
{
this.open = indices.OpenPrice;
ExternalConnectionBase.AppendRealTimeQuotes(this.Instrument, time, GetPrice(indices.OpenPrice), 0L, 0L, MarketDataType.Open);
}
if (this.high != indices.HighPrice)
{
this.high = indices.HighPrice;
ExternalConnectionBase.AppendRealTimeQuotes(this.Instrument, time, GetPrice(indices.HighPrice), 0L, 0L, MarketDataType.High);
}
if (this.low != indices.LowPrice)
{
this.low = indices.LowPrice;
ExternalConnectionBase.AppendRealTimeQuotes(this.Instrument, time, GetPrice(indices.LowPrice), 0L, 0L, MarketDataType.Low);
}
if (this.prClose != indices.ClosePrice)
{
this.prClose = indices.ClosePrice;
ExternalConnectionBase.AppendRealTimeQuotes(this.Instrument, time, GetPrice(indices.ClosePrice), 0L, 0L, MarketDataType.PreviousClose);
}
if (this.HasInitialized)
{
if (this.ltp != indices.LastTradedPrice)
{
this.ltp = indices.LastTradedPrice;
ExternalConnectionBase.AppendRealTimeQuotes(this.Instrument, time, GetPrice(indices.LastTradedPrice), 0L, 0L, MarketDataType.Last);
}
}
else
{
this.ltp = indices.LastTradedPrice;
this.HasInitialized = true;
}
}
}
}
