/// <summary>
/// Shuts down the TT API
/// </summary>
public void Dispose()
{
lock (m_lock)
{
if (!m_disposed)
{
// Unattached callbacks and dispose of all subscriptions
if (plsList != null)
{
for (int i = 0; i < plsList.Count; i++)
{
plsList[i].Update -= pls_Update;
plsList[i].Dispose();
plsList[i] = null;
}
}
if (ics != null)
{
ics.InstrumentsUpdated -= ics_InstrumentsUpdated;
ics.Dispose();
ics = null;
}
// Begin shutdown the TT API
TTAPI.ShutdownCompleted += new EventHandler(TTAPI_ShutdownCompleted);
TTAPI.Shutdown();
m_disposed = true;
}
}
}
/// <summary>
/// Subscribe to the instrument catalog for a given option.
/// </summary>
/// <param productName="product">Product to subscribe to.</param>
private void SubscribeToInstrumentCatalog(Product product)
{
log.Info($"Suscribe to product: {product.Name}");
InstrumentCatalogSubscription instrumentCatalogSubscription = new InstrumentCatalogSubscription(product, Dispatcher.Current);
instrumentCatalogSubscription.InstrumentsUpdated += InstrumentsUpdated;
instrumentCatalogSubscription.Start();
}
//TA.TickerheadConverters.ConvertFromDB2TT(TickerHead)
void pls_Update(object sender, ProductLookupSubscriptionEventArgs e)
{
if (e.Error == null)
{
Console.WriteLine("Product Found: {0}", e.Product.Name);
InstrumentCatalogSubscription ics = new InstrumentCatalogSubscription(e.Product, Dispatcher.Current);
ics.InstrumentsUpdated += new EventHandler <InstrumentCatalogUpdatedEventArgs>(ics_InstrumentsUpdated);
ics.Start();
}
else
{
Console.WriteLine(e.Error.Message);
}
}
public void Subscribe2InstrumentCatalogs(object sender, ProductLookupSubscriptionEventArgs e)
{
if (e.Error == null)
{
Console.WriteLine("Product Found: {0}", e.Product.Name);
InstrumentCatalogSubscription ICS = new InstrumentCatalogSubscription(e.Product, Dispatcher.Current);
IcsDictionary.Add(e.Product.Key, ICS);
ICS.InstrumentsUpdated += new EventHandler <InstrumentCatalogUpdatedEventArgs>(ICUEventHandler);
ICS.Start();
}
else
{
Console.WriteLine(e.Error.Message);
}
}
/// <summary>
/// InstrumentCatalogSubscription InstrumentsUpdated event.
/// </summary>
private void InstrumentsUpdated(object sender, InstrumentCatalogUpdatedEventArgs e)
{
InstrumentCatalogSubscription instrumentCatalogSubscription = sender as InstrumentCatalogSubscription;
if (instrumentCatalogSubscription?.Instruments?.Values != null)
{
foreach (Instrument instru in instrumentCatalogSubscription.Instruments.Values)
{
if (!_availableInstrumentDico.ContainsKey(instru.Key.SeriesKey))
{
_availableInstrumentDico.Add(instru.Key.SeriesKey, instru);
InstrumentDetails instruDetails = instru.InstrumentDetails;
DataUpdateEvent?.Invoke(this, instruDetails.Key.SeriesKey, instruDetails.ExpirationDate.ToDateTime(), instruDetails.StrikePrice, instruDetails.OptionType.ToString().ToUpper(), instruDetails.Name, instru.Product.Type.Name, instru.Product.Name);
}
}
}
}
/// <summary>
/// Subscribe to the instrument catalog for a given product.
/// </summary>
/// <param name="product">Product to subscribe to.</param>
private void subscribeToInstrumentCatalog(Product product)
{
if (!m_instrumentCatalogSubscriptionList.ContainsKey(product))
{
// Create and start an instrument catalog subscription.
InstrumentCatalogSubscription instrumentCatalogSubscription = new InstrumentCatalogSubscription(product, Dispatcher.Current);
instrumentCatalogSubscription.InstrumentsUpdated += new EventHandler <InstrumentCatalogUpdatedEventArgs>(instrumentsUpdated);
instrumentCatalogSubscription.Start();
// Track this subscription for cleanup.
m_instrumentCatalogSubscriptionList.Add(product, instrumentCatalogSubscription);
}
else
{
// The instrument subscription was already made. Update the view.
updateInstrumentTreeViewNodes(m_instrumentCatalogSubscriptionList[product]);
}
}
/// <summary>
/// Update the instrument tree view nodes for a given product.
/// </summary>
/// <param name="instrumentCatalogSubscription">InstrumentCatalogSubscription</param>
private void updateInstrumentTreeViewNodes(InstrumentCatalogSubscription instrumentCatalogSubscription)
{
treeViewProductList.BeginUpdate();
TreeNode updatedNode = null;
// Find the product in the tree view for the selected product tree view node.
foreach (TreeNode node in treeViewProductList.Nodes)
{
if (String.Equals((node.Tag as Product).Name, instrumentCatalogSubscription.Product.Name))
{
updatedNode = node;
break;
}
}
// updatedNode should never be null.
if (updatedNode == null)
{
return;
}
// Clear out any items currently in the node. ("Loading ...")
updatedNode.Nodes.Clear();
// Insert the instruments as child nodes within the product tree view node.
foreach (Instrument instr in instrumentCatalogSubscription.Instruments.Values)
{
TreeNode node = updatedNode.Nodes.Add(instr.GetFormattedName(InstrumentNameFormat.Normal));
node.ImageIndex = node.SelectedImageIndex = GetImageCode(instr.Product.Type);
// Add tooltip text from the Definition
node.ToolTipText = instr.GetFormattedName(InstrumentNameFormat.Short) + "\r\n"
+ instr.InstrumentDetails.Currency + "\r\n" + instr.InstrumentDetails.TickSize.Numerator.ToString()
+ " / " + instr.InstrumentDetails.TickSize.Numerator.ToString();
node.Tag = instr;
}
Cursor = Cursors.Default;
treeViewProductList.EndUpdate();
}
////////////////////////////////////////////////////////////////////////////////////////////////////
/// <summary> Event notification for status of authentication. </summary>
////////////////////////////////////////////////////////////////////////////////////////////////////
public void m_api_TTAPIStatusUpdate(object sender, TTAPIStatusUpdateEventArgs e)
{
Console.WriteLine("TTAPIStatusUpdate: {0}", e);
if (e.IsReady == false)
{
// TODO: Do any connection lost processing here
return;
}
// TODO: Do any connection up processing here
// note: can happen multiple times with your application life cycle
WorkerDispatcher dispatcher = new WorkerDispatcher("InstCat");
dispatcher.Run();
InstrumentCatalogSubscription asSpreads = new InstrumentCatalogSubscription(Product.Autospreader, dispatcher);
asSpreads.OnData += OnSpreadDefinitionNotification;
asSpreads.Start();
}
public void Dispose()
{
lock (m_Lock)
{
if (!m_isDisposed)
{
if (m_instCatSubscription != null)
{
m_instCatSubscription.OnData -= OnSpreadDefinitionNotification;
m_instCatSubscription.Dispose();
m_instCatSubscription = null;
}
m_isDisposed = true;
}
TTAPI.Shutdown();
}
}
/// <summary>
/// Update the instrument tree view nodes for a given product.
/// </summary>
/// <param name="instrumentCatalogSubscription">InstrumentCatalogSubscription</param>
private void updateInstrumentTreeViewNodes(InstrumentCatalogSubscription instrumentCatalogSubscription)
{
treeViewProductList.BeginUpdate();
TreeNode updatedNode = null;
// Find the product in the tree view for the selected product tree view node.
foreach (TreeNode node in treeViewProductList.Nodes)
{
if (String.Equals((node.Tag as Product).Name, instrumentCatalogSubscription.Product.Name))
{
updatedNode = node;
break;
}
}
// updatedNode should never be null.
if (updatedNode == null)
{
return;
}
// Clear out any items currently in the node. ("Loading ...")
updatedNode.Nodes.Clear();
// Insert the instruments as child nodes within the product tree view node.
foreach (Instrument instr in instrumentCatalogSubscription.Instruments.Values)
{
TreeNode node = updatedNode.Nodes.Add(instr.GetFormattedName(InstrumentNameFormat.Normal));
node.ImageIndex = node.SelectedImageIndex = GetImageCode(instr.Product.Type);
// Add tooltip text from the Definition
node.ToolTipText = instr.GetFormattedName(InstrumentNameFormat.Short) + "\r\n"
+ instr.InstrumentDetails.Currency + "\r\n" + instr.InstrumentDetails.TickSize.Numerator.ToString()
+ " / " + instr.InstrumentDetails.TickSize.Numerator.ToString();
node.Tag = instr;
}
Cursor = Cursors.Default;
treeViewProductList.EndUpdate();
}
/// <summary>
/// Subscribe to the instrument catalog for a given product.
/// </summary>
/// <param name="product">Product to subscribe to.</param>
private void subscribeToInstrumentCatalog(Product product)
{
if (!m_instrumentCatalogSubscriptionList.ContainsKey(product))
{
// Create and start an instrument catalog subscription.
InstrumentCatalogSubscription instrumentCatalogSubscription = new InstrumentCatalogSubscription(product, Dispatcher.Current);
instrumentCatalogSubscription.InstrumentsUpdated += new EventHandler<InstrumentCatalogUpdatedEventArgs>(instrumentsUpdated);
instrumentCatalogSubscription.Start();
// Track this subscription for cleanup.
m_instrumentCatalogSubscriptionList.Add(product, instrumentCatalogSubscription);
}
else
{
// The instrument subscription was already made. Update the view.
updateInstrumentTreeViewNodes(m_instrumentCatalogSubscriptionList[product]);
}
}
/// <summary>
/// Shuts down the TT API
/// </summary>
public void Dispose()
{
lock (m_lock)
{
if (!m_disposed)
{
// Unattached callbacks and dispose of all subscriptions
if (pls != null)
{
pls.Update -= pls_Update;
pls.Dispose();
pls = null;
}
if (ics != null)
{
ics.InstrumentsUpdated -= ics_InstrumentsUpdated;
ics.Dispose();
ics = null;
}
// Begin shutdown the TT API
TTAPI.ShutdownCompleted += new EventHandler(TTAPI_ShutdownCompleted);
TTAPI.Shutdown();
m_disposed = true;
}
}
}
}//Job
// *****************************************************************
// **** Job Processing Methods ****
// *****************************************************************
/// <summary>
/// Called by the thread's dispatcher after an outside thread has pushed a new Job.
/// </summary>
private void ProcessAJob()
{
if (m_isDisposing)
{
return;
}
Job aJob;
while (m_InQueue.TryDequeue(out aJob)) // NET 4.5 concurrent queue. No locking needed.
{
m_WorkQueue.Enqueue(aJob); // push onto my private queue.
}
//
// Process the jobs now.
//
while (m_WorkQueue.Count > 0)
{
Job job = m_WorkQueue.Dequeue();
if (job.Product != null)
{ //
if (string.IsNullOrEmpty(job.SeriesName))
{ // User wants all instruments assoc with this product.
//
// Process Instrument Catalog requests
//
InstrumentCatalogSubscription instrumentSub = null;
if (!m_InstrumentCatalogs.TryGetValue(job.Product.Key, out instrumentSub))
{ // Failed to find a subscription. Create a new one!
instrumentSub = new InstrumentCatalogSubscription(job.Product, m_Dispatcher);
instrumentSub.InstrumentsUpdated += InstrumentCatalog_InstrumentsUpdated;
instrumentSub.Start(); // submit the request.
m_InstrumentCatalogs.Add(job.Product.Key, instrumentSub); // store the catalog object
Log.NewEntry(LogLevel.Minor, "{0}: Subscribing to instr catalog for {1}.", this.Name, job.Product.Name);
}
}
else
{ // User requested Instrument info using the ProductKey and a series Name only. (Not instr Key).
//InstrumentLookupSubscription lookup = null;
Log.NewEntry(LogLevel.Major, "{0}: InstrumentLookup {1} {2}.", this.Name, job.Product, job.SeriesName);
InstrumentLookupSubscription subscriber = new InstrumentLookupSubscription(m_TTServices.session, m_Dispatcher, job.Product.Key, job.SeriesName);
subscriber.Update += new EventHandler <InstrumentLookupSubscriptionEventArgs>(InstrumentLookup_InstrumentUpdated);
//m_InstrumentLookupsUnknown.Add(job.InstrumentKey, subscriber);
subscriber.Start();
}
}
else if (job.InstrumentKey != null && job.Settings == null && !job.IsTimeAndSales)
{ //
// Process an Instrument information request
//
InstrumentLookupSubscription lookup = null;
if (!m_InstrumentLookups.TryGetValue(job.InstrumentKey, out lookup))
{
Log.NewEntry(LogLevel.Major, "{0}: InstrumentLookup {1}.", this.Name, job.InstrumentKey);
InstrumentLookupSubscription subscriber = new InstrumentLookupSubscription(m_TTServices.session, m_Dispatcher, job.InstrumentKey);
subscriber.Update += new EventHandler <InstrumentLookupSubscriptionEventArgs>(InstrumentLookup_InstrumentUpdated);
m_InstrumentLookups.Add(job.InstrumentKey, subscriber);
subscriber.Start();
}
else
{
Log.NewEntry(LogLevel.Major, "{0}: InstrumentLookup {1} already submitted.", this.Name, job.InstrumentKey);
}
}
else if (job.InstrumentKey != null)
{ //
// Subscribe to an instrument price
//
Instrument instrument = null;
InstrumentCatalogSubscription catalog = null; // First, find instrument catalog for this instr.
InstrumentLookupSubscription instrumentSub = null; // or find a specific instrument subscription.
//InstrumentDetails instrumentDetails = null;
//UVProd.InstrumentName instrumentName ;
if (m_InstrumentLookups.TryGetValue(job.InstrumentKey, out instrumentSub))
{
instrument = instrumentSub.Instrument;
}
else if (m_InstrumentCatalogs.TryGetValue(job.InstrumentKey.ProductKey, out catalog))
{
catalog.Instruments.TryGetValue(job.InstrumentKey, out instrument);
}
//else if (m_KeyToInstruments.TryGetValue(job.InstrumentKey, out instrumentName) && m_InstrumentDetails.TryGetValue(instrumentName, out instrumentDetails))
//{
// m_InstrumentLookups.TryGetValue(job.InstrumentKey, out instrumentSub)
//}
else
{
Log.NewEntry(LogLevel.Minor, "{0}: I failed to find instrument key {1}.", this.Name, job.InstrumentKey.ToString());
return;
}
if (instrument != null)
{
if (!job.IsTimeAndSales)
{ // this is a market data subscription request - Subscribe or update pre-existing subscription.
PriceSubscription priceSub = null;
if (!m_PriceSubscriptions.TryGetValue(instrument.Key, out priceSub))
{ // Can't find a subscription, so create one.
Log.NewEntry(LogLevel.Major, "{0}: Creating new subscription for {1} with settings {2}.", this.Name, instrument.Name, job.Settings.PriceData);
priceSub = new PriceSubscription(instrument, Dispatcher.Current);
m_PriceSubscriptions.Add(instrument.Key, priceSub); // add to our list of subscription objects.
if (!m_InstrKeyToVolume.ContainsKey(instrument.Key))
{
m_InstrKeyToVolume.Add(instrument.Key, new int[4]); // create a new array for volume aggregations
}
priceSub.FieldsUpdated += new FieldsUpdatedEventHandler(PriceSubscription_Updated); // attach my handler to it.
priceSub.Settings = job.Settings;
priceSub.Start();
}
else
{
Log.NewEntry(LogLevel.Major, "{0}: Found old subscription for {1}. Overwriting settings {2}.", this.Name, instrument.Name, job.Settings.ToString());
priceSub.Settings = job.Settings;
priceSub.Start();
}
}
else
{ // this is a time and sales data request
TimeAndSalesSubscription timeAndSalesSub = null;
if (!m_TimeAndSalesSubscriptions.TryGetValue(instrument.Key, out timeAndSalesSub))
{ // Can't find a subscription, so create one.
Log.NewEntry(LogLevel.Major, "{0}: Creating new time and sales subscription for {1}", this.Name, instrument.Name);
timeAndSalesSub = new TimeAndSalesSubscription(instrument, Dispatcher.Current);
m_TimeAndSalesSubscriptions.Add(instrument.Key, timeAndSalesSub); // add to our list of subscription objects.
if (!m_InstrKeyToVolume.ContainsKey(instrument.Key))
{
m_InstrKeyToVolume.Add(instrument.Key, new int[4]); // create a new array for volume aggregations
}
timeAndSalesSub.Update += new EventHandler <TimeAndSalesEventArgs>(TimeAndSalesSubscription_Updated); // attach my handler to it.
timeAndSalesSub.Start();
}
else
{
Log.NewEntry(LogLevel.Major, "{0}: Found existing time and sales subscription for {1}.", this.Name, instrument.Name, job.Settings.ToString());
}
}
}
}
} //wend Job in WorkQueue.
} //ProcessAJob()
/// <summary>
/// InstrumentCatalogSubscription InstrumentsUpdated event.
/// </summary>
private void instrumentsUpdated(object sender, InstrumentCatalogUpdatedEventArgs e)
{
InstrumentCatalogSubscription instrumentCatalogSubscription = sender as InstrumentCatalogSubscription;
updateInstrumentTreeViewNodes(instrumentCatalogSubscription);
}
}//Job
// *****************************************************************
// **** Job Processing Methods ****
// *****************************************************************
/// <summary>
/// Called by the thread's dispatcher after an outside thread has pushed a new Job.
/// </summary>
private void ProcessAJob()
{
if (m_isDisposing)
{
return;
}
Job aJob;
while (m_InQueue.TryDequeue(out aJob)) // NET 4.5 concurrent queue. No locking needed.
{
m_WorkQueue.Enqueue(aJob); // push onto my private queue.
}
//
// Process the jobs now.
//
while (m_WorkQueue.Count > 0)
{
Job job = m_WorkQueue.Dequeue();
if (job.Product != null)
{ //
// Process Instrument Catalog requests
//
InstrumentCatalogSubscription instrumentSub = null;
if (!m_InstrumentCatalogs.TryGetValue(job.Product.Key, out instrumentSub))
{ // Failed to find a subscription. Create a new one!
instrumentSub = new InstrumentCatalogSubscription(job.Product, m_Dispatcher);
instrumentSub.InstrumentsUpdated += InstrumentCatalog_InstrumentsUpdated;
instrumentSub.Start(); // submit the request.
m_InstrumentCatalogs.Add(job.Product.Key, instrumentSub); // store the catalog object
Log.NewEntry(LogLevel.Minor, "{0}: Subscribing to instr catalog for {1}.", this.Name, job.Product.Name);
}
}
else if (job.InstrumentKey != null && job.Settings == null)
{ //
// Process an Instrument information request
//
InstrumentLookupSubscription lookup = null;
if (!m_InstrumentLookups.TryGetValue(job.InstrumentKey, out lookup))
{
Log.NewEntry(LogLevel.Major, "{0}: InstrumentLookup {1}.", this.Name, job.InstrumentKey);
InstrumentLookupSubscription subscriber = new InstrumentLookupSubscription(m_TTServices.session, m_Dispatcher, job.InstrumentKey);
subscriber.Update += new EventHandler <InstrumentLookupSubscriptionEventArgs>(InstrumentLookup_InstrumentUpdated);
m_InstrumentLookups.Add(job.InstrumentKey, subscriber);
subscriber.Start();
}
else
{
Log.NewEntry(LogLevel.Major, "{0}: InstrumentLookup {1} already submitted.", this.Name, job.InstrumentKey);
}
}
else if (job.InstrumentKey != null)
{ //
// Subscribe to an instrument
//
Instrument instrument = null;
InstrumentCatalogSubscription catalog = null; // First, find instrument catalog for this instr.
InstrumentLookupSubscription instrumentSub = null; // or find a specific instrument subscription.
if (m_InstrumentLookups.TryGetValue(job.InstrumentKey, out instrumentSub))
{
instrument = instrumentSub.Instrument;
}
else if (m_InstrumentCatalogs.TryGetValue(job.InstrumentKey.ProductKey, out catalog))
{
catalog.Instruments.TryGetValue(job.InstrumentKey, out instrument);
}
else
{
Log.NewEntry(LogLevel.Minor, "{0}: I failed to find instrument key {1}.", this.Name, job.InstrumentKey.ToString());
return;
}
if (instrument != null)
{
// Subscribe or update pre-existing subscription.
PriceSubscription priceSub = null;
if (!m_PriceSubscriptions.TryGetValue(instrument.Key, out priceSub))
{ // Can't find a subscription, so create one.
Log.NewEntry(LogLevel.Major, "{0}: Creating new subscription for {1} with settings {2}.", this.Name, instrument.Name, job.Settings.PriceData);
priceSub = new PriceSubscription(instrument, Dispatcher.Current);
m_PriceSubscriptions.Add(instrument.Key, priceSub); // add to our list of subscription objects.
priceSub.FieldsUpdated += new FieldsUpdatedEventHandler(PriceSubscription_Updated); // attach my handler to it.
priceSub.Settings = job.Settings;
priceSub.Start();
}
else
{
Log.NewEntry(LogLevel.Major, "{0}: Found old subscription for {1}. Overwriting settings {2}.", this.Name, instrument.Name, job.Settings.ToString());
priceSub.Settings = job.Settings;
priceSub.Start();
}
}
}
} //wend Job in WorkQueue.
} //ProcessAJob()
void pls_Update(object sender, ProductLookupSubscriptionEventArgs e)
{
if (e.Error == null)
{
Console.WriteLine("Product Found: {0}", e.Product.Name);
InstrumentCatalogSubscription ics = new InstrumentCatalogSubscription(e.Product, Dispatcher.Current);
ics.InstrumentsUpdated += new EventHandler<InstrumentCatalogUpdatedEventArgs>(ics_InstrumentsUpdated);
ics.Start();
}
else
{
Console.WriteLine(e.Error.Message);
}
}
public void Subscribe2InstrumentCatalogs(object sender, ProductLookupSubscriptionEventArgs e)
{
if (e.Error == null)
{
Console.WriteLine("Product Found: {0}", e.Product.Name);
InstrumentCatalogSubscription ICS = new InstrumentCatalogSubscription(e.Product, Dispatcher.Current);
IcsDictionary.Add(e.Product.Key, ICS);
ICS.InstrumentsUpdated += new EventHandler<InstrumentCatalogUpdatedEventArgs>(ICUEventHandler);
ICS.Start();
}
else
{
Console.WriteLine(e.Error.Message);
}
}