private void CollectAndSortServerDataByMaps(string topic, string[] data)
{
LOGGER.Debug("Starting process of colleting and sorting data. Topic: {0}, data array: {1} ", topic, String.Join(" ", data));
if (futRecievedDataFlag == false || optRecievedDataFlag == false)
{
CheckConnectionFlags();
}
//DDE ORDER IS: futures -> options -> pos
if (topic.Equals(FUTURES_DESK))
{
if (GetBasicFutures() == null)
{
LOGGER.Debug("Initializing basic futures.");
string ticker = data[0];
DateTime maturity = DateTime.Parse(data[1]);
double commission = Convert.ToDouble(data[2]);
double marginRequirement = Convert.ToDouble(data[3]);
double priceStep = Convert.ToDouble(data[4]);
double priceStepValue = Convert.ToDouble(data[5]);
TradeBlotter futuresBlotter = new TradeBlotter();
futuresBlotter.BidPrice = Convert.ToDouble(data[6]);
futuresBlotter.BidSize = Convert.ToDouble(data[7]);
futuresBlotter.AskPrice = Convert.ToDouble(data[8]);
futuresBlotter.AskSize = Convert.ToDouble(data[9]);
string baseContract = data[10];
basicFutures = new Futures(ticker, maturity, commission, marginRequirement, priceStep,
priceStepValue);
basicFutures.BaseContract = baseContract;
basicFutures.AssignTradeBlotter(futuresBlotter);
basicFutures.MinPriceLimit = Convert.ToDouble(data[11]);
basicFutures.MaxPriceLimit = Convert.ToDouble(data[12]);
LOGGER.Debug("Initializing completed. Futures instance: {0}", basicFutures);
}
else
{
LOGGER.Debug("Updating basic futures.");
TradeBlotter futuresBlotter = basicFutures.GetTradeBlotter();
futuresBlotter.BidPrice = Convert.ToDouble(data[6]);
futuresBlotter.BidSize = Convert.ToDouble(data[7]);
futuresBlotter.AskPrice = Convert.ToDouble(data[8]);
futuresBlotter.AskSize = Convert.ToDouble(data[9]);
basicFutures.MinPriceLimit = Convert.ToDouble(data[11]);
basicFutures.MaxPriceLimit = Convert.ToDouble(data[12]);
LOGGER.Debug("Updating completed.");
}
if (OnSpotPriceChanged != null && infoOption != null && futRecievedDataFlag == true)
{
OnSpotPriceChanged(this, new OptionEventArgs(infoOption));
}
}
else if (topic.Equals(OPTIONS_DESK))
{
OptionType optionType = (OptionType)Enum.Parse(typeof(OptionType), data[0]);
double strike = Convert.ToDouble(data[1]);
SortedDictionary <double, Option> suitOptionsMap = GetSuitableOptionsMap(optionType);
Option tempOption;
if (suitOptionsMap.ContainsKey(strike))
{
LOGGER.Debug("Initializing option: {0}, {1}", optionType, strike);
tempOption = suitOptionsMap[strike];
tempOption.MarginRequirementNotCover = Convert.ToDouble(data[2]);
tempOption.MarginRequirementCover = Convert.ToDouble(data[3]);
tempOption.MarginRequirementBuyer = Convert.ToDouble(data[4]);
TradeBlotter optionsBlotter = tempOption.GetTradeBlotter();
optionsBlotter.BidPrice = Convert.ToDouble(data[10]);
optionsBlotter.BidSize = Convert.ToDouble(data[11]);
optionsBlotter.AskPrice = Convert.ToDouble(data[12]);
optionsBlotter.AskSize = Convert.ToDouble(data[13]);
LOGGER.Debug("Initializing completed. Option instance: {0}", tempOption);
}
else
{
LOGGER.Debug("Updating option: {0}, {1}", optionType, strike);
double marginRequirementCover = Convert.ToDouble(data[2]);;
double marginRequirementNotCover = Convert.ToDouble(data[3]);;
double marginRequirementBuyer = Convert.ToDouble(data[4]);;
string ticker = data[5];
double priceStep = Convert.ToDouble(data[6]);
double priceStepValue = Convert.ToDouble(data[7]);
DateTime expirationDate = DateTime.Parse(data[8]);
int remainingDays = Convert.ToInt32(data[9]);
tempOption = new Option(basicFutures, optionType, strike, marginRequirementCover, marginRequirementNotCover, marginRequirementBuyer,
ticker, priceStep, priceStepValue, expirationDate, remainingDays);
TradeBlotter optionsBlotter = new TradeBlotter();
optionsBlotter.BidPrice = Convert.ToDouble(data[10]);
optionsBlotter.BidSize = Convert.ToDouble(data[11]);
optionsBlotter.AskPrice = Convert.ToDouble(data[12]);
optionsBlotter.AskSize = Convert.ToDouble(data[13]);
tempOption.AssignTradeBlotter(optionsBlotter);
suitOptionsMap.Add(strike, tempOption);
tickerMap.Add(ticker, tempOption);
LOGGER.Debug("Updating completed.");
}
if (infoOption == null)
{
//just for access to general options field
infoOption = suitOptionsMap[strike];
LOGGER.Debug("info option created: {0}", infoOption);
}
if (OnOptionsDeskChanged != null &&
optRecievedDataFlag == true &&
tempOption.Strike <= CalculateMaxImportantStrike() &&
tempOption.Strike >= CalculateMinImportantStrike())
{
OnOptionsDeskChanged(this, new OptionEventArgs(tempOption));
}
}
else if (topic.Equals(POS_TABLE))
{
string account = data[0]; // ?
string ticker = data[1];
int pos = Convert.ToInt32(data[2]);
DerivativesClasses cls;
if (ticker.Equals(basicFutures.Ticker))
{
cls = DerivativesClasses.FUTURES;
}
else
{
cls = DerivativesClasses.OPTIONS;
}
if (OnActualPosChanged != null)
{
OnActualPosChanged(this, new TerminalPosEventArgs(cls, ticker, pos));
}
}
else
{
throw new QuikDdeException("table with a such name wasn't mapped: " + String.Join(" ", TOPICS_AND_ROWS_LENGTH_MAP.Keys));
}
}