private static void ProcessEvent(WebSocketMessage msg)
{
if (msg is ClientLoginResponse)
{
ClientLoginResponse loginResp = (ClientLoginResponse)msg;
if (loginResp.JsonWebToken != null)
{
ClientLoginResponse = loginResp;
}
Thread publishOrderBookThread = new Thread(PublishOrderBookThread);
publishOrderBookThread.Start();
DoLog(string.Format("Client successfully logged with token {0}", loginResp.JsonWebToken));
SubscribeOrderBook();
}
if (msg is DepthOfBook)
{
DepthOfBook depthOfBookDelta = (DepthOfBook)msg;
ProcessDepthOfBook(depthOfBookDelta);
}
}
private static void ProcessEvent(WebSocketMessage msg)
{
if (msg is ClientLoginResponse)
{
ClientLoginResponse loginResp = (ClientLoginResponse)msg;
if (loginResp.JsonWebToken != null)
{
ClientLoginResponse = loginResp;
}
Thread publishOrderBookThread = new Thread(PublishOrderBookThread);
publishOrderBookThread.Start();
DoLog(string.Format("Client successfully logged with token {0}", loginResp.JsonWebToken));
SubscribeLastSales();
SubscribeQuotes();
Thread.Sleep(1000);
SubscribeOrderBook();
}
else if (msg is DepthOfBook)
{
DepthOfBook depthOfBookDelta = (DepthOfBook)msg;
ProcessDepthOfBook(depthOfBookDelta);
}
else if (msg is LastSale)
{
LastSale lastSale = (LastSale)msg;
DoLog(string.Format("Received last sale for symbol {1}: {0}", lastSale.LastPrice, lastSale.Symbol));
}
else if (msg is Quote)
{
Quote quote = (Quote)msg;
DoLog(string.Format("Received quote for symbol {4}: Bid {0}-{1} -- Ask {2}-{3}",
quote.BidSize, quote.Bid, quote.AskSize, quote.Ask, quote.Symbol));
}
}
private static void ProcessDepthOfBook(DepthOfBook depthOfBookDelta)
{
lock (Security)
{
if (depthOfBookDelta.cAction == DepthOfBook._ACTION_INSERT)
{
InitialSnapshotReceived = true;
// If the price level existed, we create the price level but a HUGE warning (WARNING3) should be logged
PriceLevel pl = Security.MarketData.OrderBook.Where(x => x.Price == depthOfBookDelta.Price &&
x.IsBidOrAsk(depthOfBookDelta.IsBid()))
.FirstOrDefault();
if (pl != null)
{
pl.Size = depthOfBookDelta.Size;
DoLog(string.Format("WARNING3 - Received ADD DepthOfBook message for a price level that existed. Price Level = {0}",
depthOfBookDelta.Price.ToString("0.##")));
}
else
{
PriceLevel newPl = new PriceLevel()
{
Price = depthOfBookDelta.Price,
Size = depthOfBookDelta.Size,
OrderBookEntryType = depthOfBookDelta.IsBid() ? OrderBookEntryType.Bid : OrderBookEntryType.Ask
};
Security.MarketData.OrderBook.Add(newPl);
}
}
else if (depthOfBookDelta.cAction == DepthOfBook._ACTION_CHANGE)
{
PriceLevel pl = Security.MarketData.OrderBook.Where(x => x.Price == depthOfBookDelta.Price &&
x.IsBidOrAsk(depthOfBookDelta.IsBid()))
.FirstOrDefault();
if (pl != null)
{
pl.Size = depthOfBookDelta.Size;
}
else
{
//This is not ok, we receive a PriceLevel for a Price that didn't exist.
//We create the price level, but we log a HUGE warning (WARNING4)
PriceLevel newPl = new PriceLevel()
{
Price = depthOfBookDelta.Price,
Size = depthOfBookDelta.Size,
OrderBookEntryType = depthOfBookDelta.IsBid() ? OrderBookEntryType.Bid : OrderBookEntryType.Ask
};
Security.MarketData.OrderBook.Add(newPl);
DoLog(string.Format("WARNING4 - Received CHANGE DepthOfBook message for a price level that did not exist. Price Level = {0}",
depthOfBookDelta.Price.ToString("0.##")));
}
}
else if (depthOfBookDelta.cAction == DepthOfBook._ACTION_REMOVE)
{
PriceLevel pl = Security.MarketData.OrderBook.Where(x => x.Price == depthOfBookDelta.Price &&
x.IsBidOrAsk(depthOfBookDelta.IsBid()))
.FirstOrDefault();
if (pl != null)
{
Security.MarketData.OrderBook.Remove(pl);
}
else
{
//Another HUGE warning. We receive a message to delete a price level that didn't exist
//We have to log another HUGE warning (WARNING5)
DoLog(string.Format("WARNING5 - Received REMOVE DepthOfBook message for a price level that did not exist. Price Level = {0}",
depthOfBookDelta.Price.ToString("0.##")));
}
}
}
}
