/// <summary>
/// Updates the publisher price
/// </summary>
/// <param name="myPub"></param>
/// <param name="e"></param>
private void UpdatePrice(KaiTrade.Interfaces.TradableProduct product, AxTWSLib._DTwsEvents_tickPriceEvent e)
{
try
{
KaiTrade.TradeObjects.PXUpdateBase pxupdate = new KaiTrade.TradeObjects.PXUpdateBase(m_ID);
pxupdate.Mnemonic = product.Mnemonic;
pxupdate.DepthOperation = KaiTrade.Interfaces.PXDepthOperation.none;
switch (e.tickType)
{
case 1:
pxupdate.BidPrice = (decimal)e.price;
break;
case 2:
pxupdate.OfferPrice = (decimal)e.price;
break;
case 4:
pxupdate.TradePrice = (decimal)e.price;
break;
case 6:
pxupdate.DayHigh = (decimal)e.price;
break;
case 7:
pxupdate.DayLow = (decimal)e.price;
break;
}
//myPub.APIUpdateTime = DateTime.Now;
ApplyPriceUpdate(pxupdate);
}
catch (Exception myE)
{
_log.Error("UpdateMDSubjectPrice", myE);
}
}
/// <summary>
/// Update the publisher size
/// </summary>
/// <param name="mySubject"></param>
/// <param name="e"></param>
private void UpdateSize(KaiTrade.Interfaces.TradableProduct product, AxTWSLib._DTwsEvents_tickSizeEvent e)
{
KaiTrade.TradeObjects.PXUpdateBase pxupdate = new KaiTrade.TradeObjects.PXUpdateBase(m_ID);
pxupdate.Mnemonic = product.Mnemonic;
switch (e.tickType)
{
case 0:
pxupdate.BidSize = e.size * product.PriceFeedQuantityMultiplier;
break;
case 3:
pxupdate.OfferSize = e.size * product.PriceFeedQuantityMultiplier;
break;
case 5:
pxupdate.TradeVolume = e.size * product.PriceFeedQuantityMultiplier;
break;
}
ApplyPriceUpdate(pxupdate);
}
private void updateMktDepth(int myId, int myRow, string marketMaker, int operation, int mySide, double price, int size)
{
try
{
if (m_IBReqIDProductMap.ContainsKey(myId))
{
KaiTrade.TradeObjects.PXUpdateBase pxupdate = new KaiTrade.TradeObjects.PXUpdateBase(m_ID);
pxupdate.Mnemonic = m_IBReqIDProductMap[myId].Mnemonic;
pxupdate.DepthPosition = myRow;
pxupdate.DepthOperation = GetDepthOperation(operation);
pxupdate.DepthMarket = marketMaker;
pxupdate.Ticks = DateTime.Now.Ticks;
switch (mySide)
{
case 0:
//ASK
pxupdate.OfferPrice = (decimal)price;
pxupdate.OfferSize = (decimal)size;
break;
case 1:
//BID
pxupdate.BidPrice = (decimal)price;
pxupdate.BidSize = (decimal)size;
break;
default:
break;
}
//myPub.APIUpdateTime = DateTime.Now;
ApplyPriceUpdate(pxupdate);
}
}
catch (Exception myE)
{
_log.Error("updateMktDepth", myE);
}
}
