void m_nativeUtilities_OnMessage(object sender, EventArgs e)
{
Action a = delegate
{
try
{
BloombergMessageEventArgs args = e as BloombergMessageEventArgs;
ISubscriptionId subscription = args.SubscriptionId;
DataSet1.StockQuotesRow row = subscription.QuoteObject as DataSet1.StockQuotesRow;
if (checkBoxLog.Checked)
{
m_log.Info(args.MessageToXml());
}
bool bUpdated = false;
switch (args.Message.MessageType.ToString())
{
case "SubscriptionStarted":
row.Subscribed = true;
break;
case "SubscriptionTerminated":
case "SubscriptionFailure":
row.Subscribed = false;
break;
case "MarketDataEvents":
if (args.Message.HasElement("OPEN"))
{
row.Open = (double)args.Message.GetElementAsFloat64("OPEN");
bUpdated = true;
}
if (args.Message.HasElement("PREV_CLOSE_VALUE_REALTIME"))
{
row.PrevClose = (double)args.Message.GetElementAsFloat64("PREV_CLOSE_VALUE_REALTIME");
bUpdated = true;
}
if (args.Message.HasElement("LAST_PRICE"))
{
if (!row.Closed)
{
row.LastPrice = (double)args.Message.GetElementAsFloat64("LAST_PRICE");
bUpdated = true;
}
}
if (args.Message.HasElement("BID"))
{
if (!row.Closed)
{
row.Bid = (double)args.Message.GetElementAsFloat64("BID");
bUpdated = true;
}
}
if (args.Message.HasElement("ASK"))
{
if (!row.Closed)
{
row.Ask = (double)args.Message.GetElementAsFloat64("ASK");
bUpdated = true;
}
}
if (args.Message.HasElement("MID"))
{
if (!row.Closed)
{
row.Mid = (double)args.Message.GetElementAsFloat64("MID");
bUpdated = true;
}
}
if (args.Message.HasElement("DELTA_MID_RT"))
{
if (!row.Closed)
{
row.Delta = (double)args.Message.GetElementAsFloat64("DELTA_MID_RT");
bUpdated = true;
}
}
if (args.Message.HasElement("GAMMA_MID_RT"))
{
if (!row.Closed)
{
row.Gamma = (double)args.Message.GetElementAsFloat64("GAMMA_MID_RT");
bUpdated = true;
}
}
if (args.Message.HasElement("THETA_MID_RT"))
{
if (!row.Closed)
{
row.Theta = (double)args.Message.GetElementAsFloat64("THETA_MID_RT");
bUpdated = true;
}
}
if (args.Message.HasElement("VEGA_MID_RT"))
{
if (!row.Closed)
{
row.Vega = (double)args.Message.GetElementAsFloat64("VEGA_MID_RT");
bUpdated = true;
}
}
if (args.Message.HasElement("IVOL_MID_RT"))
{
if (!row.Closed)
{
row.ImpliedVol = (double)args.Message.GetElementAsFloat64("IVOL_MID_RT");
bUpdated = true;
}
}
if (args.Message.HasElement("OFFICIAL_CLOSE_TODAY_RT"))
{
double closingPrice = (double)args.Message.GetElementAsFloat64("OFFICIAL_CLOSE_TODAY_RT");
row.ClosingPrice = closingPrice;
bUpdated = true;
}
if (args.Message.HasElement("RT_SIMP_SEC_STATUS"))
{
switch (args.Message.GetElementAsString("RT_SIMP_SEC_STATUS"))
{
case "CLOS":
case "POST":
case "OUT":
if (!row.Closed)
{
row.Closed = true;
bUpdated = true;
}
break;
default:
if (row.Closed)
{
row.Closed = false;
bUpdated = true;
}
break;
}
}
break;
}
if (bUpdated)
{
row.Time = DateTime.Now - DateTime.Today;
}
}
catch (Exception ex)
{
OnError("Error in message handler", ex);
}
};
if (InvokeRequired)
{
BeginInvoke(a);
}
else
{
a.Invoke();
}
}
QuoteMessage BuildQuoteMessage(Message message, ISubscriptionId id)
{
QuoteMessage quote = new QuoteMessage()
{
Ticker = id.Symbol
};
try
{
switch (message.MessageType.ToString())
{
case "SubscriptionStarted":
quote.SubscriptionStatus = SubscriptionStatus.Subscribed;
Info("Subscription started for " + id.Symbol);
break;
case "SubscriptionTerminated":
quote.SubscriptionStatus = SubscriptionStatus.Unsubscribed;
Info("Subscription terminated for " + id.Symbol);
break;
case "SubscriptionFailure":
quote.SubscriptionStatus = SubscriptionStatus.Rejected;
Info("Subscription rejected for " + id.Symbol);
break;
case "MarketDataEvents":
if (message.HasElement("OPEN", true))
{
quote.Open = (double)message.GetElementAsFloat64("OPEN");
}
if (message.HasElement("PREV_CLOSE_VALUE_REALTIME", true))
{
quote.PrevClose = (double)message.GetElementAsFloat64("PREV_CLOSE_VALUE_REALTIME");
}
if (message.HasElement("LAST_PRICE", true))
{
quote.Last = (double)message.GetElementAsFloat64("LAST_PRICE");
}
if (message.HasElement("BID", true))
{
quote.Bid = (double)message.GetElementAsFloat64("BID");
}
if (message.HasElement("ASK", true))
{
quote.Ask = (double)message.GetElementAsFloat64("ASK");
}
if (message.HasElement("DELTA_MID_RT", true))
{
quote.Delta = (double)message.GetElementAsFloat64("DELTA_MID_RT");
}
if (message.HasElement("GAMMA_MID_RT", true))
{
quote.Gamma = (double)message.GetElementAsFloat64("GAMMA_MID_RT");
}
if (message.HasElement("THETA_MID_RT", true))
{
quote.Theta = (double)message.GetElementAsFloat64("THETA_MID_RT");
}
if (message.HasElement("VEGA_MID_RT", true))
{
quote.Vega = (double)message.GetElementAsFloat64("VEGA_MID_RT");
}
if (message.HasElement("IVOL_MID_RT", true))
{
quote.ImpliedVol = (double)message.GetElementAsFloat64("IVOL_MID_RT");
}
if (message.HasElement("OFFICIAL_CLOSE_TODAY_RT", true))
{
quote.Close = (double)message.GetElementAsFloat64("OFFICIAL_CLOSE_TODAY_RT");
}
if (message.HasElement("RT_SIMP_SEC_STATUS", true))
{
switch (message.GetElementAsString("RT_SIMP_SEC_STATUS"))
{
case "CLOS":
case "POST":
case "OUT":
quote.OpenStatus = OpenStatus.Closed;
break;
default:
quote.OpenStatus = OpenStatus.Open;
break;
}
}
break;
default:
return(null);
}
}
catch (Exception ex)
{
Error("ERROR in Message handler: ", ex);
return(null);
}
return(quote);
}
