static unsafe void OnNxCoreExgQuote(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
if (keepcurrent && (STATUS < 4))
{
return;
}
if (DOLIVESKIPTEST)
{
if (pNxCoreSys->nxTime.MsOfDay < (DateTime.UtcNow.TimeOfDay.TotalMilliseconds - (DateTime.Now.IsDaylightSavingTime() ? (1000 * 60 * 60 * 4) : (1000 * 60 * 60 * 5))))
{
return;
}
DOLIVESKIPTEST = false;
D("NxCore starting realtime data");
}
// Get the symbol for category message
int idx = _nxsyms.getindex(new string(&pNxCoreMsg->coreHeader.pnxStringSymbol->String));
if (idx < 0)
{
return;
}
if (!_nxsyms[idx])
{
return;
}
// Assign a pointer to the ExgQuote data
NxCoreExgQuote *Quote = &pNxCoreMsg->coreData.ExgQuote;
NxCoreQuote cq = Quote->coreQuote;
// Get bid and ask price
double bid = 0;
double ask = 0;
int bs = 0;
int os = 0;
string be = string.Empty;
string oe = string.Empty;
bool bbid = false;
bool bask = false;
if ((cq.BidPriceChange != 0) || (cq.BidSizeChange != 0))
{
bid = NxCore.PriceToDouble(Quote->coreQuote.BidPrice, Quote->coreQuote.PriceType);
bs = Quote->coreQuote.BidSize;
be = excode2name(Quote->BestBidExg);
bbid = true;
}
if ((cq.AskPriceChange != 0) || (cq.AskSizeChange != 0))
{
ask = NxCore.PriceToDouble(Quote->coreQuote.AskPrice, Quote->coreQuote.PriceType);
os = Quote->coreQuote.AskSize;
oe = excode2name(Quote->BestAskExg);
bask = true;
}
if (bask || bbid)
{
NxTime time = pNxCoreMsg->coreHeader.nxExgTimestamp;
int tltime = time.Hour * 10000 + time.Minute * 100 + time.Second;
NxDate date = pNxCoreMsg->coreHeader.nxSessionDate;
int tldate = (int)date.Year * 10000 + (int)date.Month * 100 + (int)date.Day;
Tick k = new TickImpl();
k.symbol = _realsym2nxidx.getlabel(idx);
k.date = tldate;
k.time = tltime;
if (bask && bbid)
{
k.bid = (decimal)bid;
k.bs = bs;
k.be = be;
k.ask = (decimal)ask;
k.os = os;
k.oe = oe;
}
else if (bbid)
{
k.bid = (decimal)bid;
k.bs = bs;
k.be = be;
}
else
{
k.ask = (decimal)ask;
k.os = os;
k.oe = oe;
}
try
{
tl.newTick(k);
}
catch (Exception ex)
{
D("bad tick: " + k.ToString() + " " + ex.Message + ex.StackTrace);
}
}
}
static unsafe void OnNxCoreTrade(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
if (keepcurrent && (STATUS < 4))
{
return;
}
if (DOLIVESKIPTEST)
{
if (pNxCoreSys->nxTime.MsOfDay < (DateTime.UtcNow.TimeOfDay.TotalMilliseconds - (DateTime.Now.IsDaylightSavingTime() ? (1000 * 60 * 60 * 4) : (1000 * 60 * 60 * 5))))
{
return;
}
DOLIVESKIPTEST = false;
D("NxCore starting realtime data");
}
// Get the symbol for category message
int idx = _nxsyms.getindex(new string(&pNxCoreMsg->coreHeader.pnxStringSymbol->String));
if (idx < 0)
{
return;
}
if (!_nxsyms[idx])
{
return;
}
// Assign a pointer to the Trade data
NxCoreTrade *Trade = &pNxCoreMsg->coreData.Trade;
// Get the price and net change
double Price = NxCore.PriceToDouble(Trade->Price, Trade->PriceType);
//double NetChange = NxCore.PriceToDouble(Trade->NetChange, Trade->PriceType);
NxTime time = pNxCoreMsg->coreHeader.nxExgTimestamp;
int tltime = time.Hour * 10000 + time.Minute * 100 + time.Second;
NxDate date = pNxCoreMsg->coreHeader.nxSessionDate;
int tldate = (int)date.Year * 10000 + (int)date.Month * 100 + (int)date.Day;
string ex = excode2name(pNxCoreMsg->coreHeader.ReportingExg);
int size = (int)Trade->Size;
// check for index
if (size <= 0)
{
return;
}
Tick k = new TickImpl();
k.symbol = _realsym2nxidx.getlabel(idx);
k.date = tldate;
k.time = tltime;
k.trade = (decimal)Price;
k.ex = ex;
k.size = size;
try
{
tl.newTick(k);
}
catch (Exception e)
{
D("bad tick: " + k.symbol + " " + Price + " " + size + " " + ex + " " + e.Message + e.StackTrace);
}
}
