public void Invoke_OnQuoteTick(Quote qt)
{
QuoteEventArgs args = new QuoteEventArgs();
args.quote = qt;
OnQuoteTick?.Invoke(this, args);
}
protected virtual void OnNewQuote(object sender, QuoteEventArgs args)
{
if (((IntradayEventArgs)args).Provider != this.marketDataProvider)
{
return;
}
QuoteViewRow quoteViewRow;
bool flag;
lock (this.lockObject)
flag = this.quoteRows.TryGetValue(((IntradayEventArgs)args).Instrument, out quoteViewRow);
if (!flag)
{
return;
}
if (this.eventQueue.Enabled)
{
this.eventQueue.Enqueue(new MarketDataUpdateItem((MarketDataViewRow)quoteViewRow, args.Quote, (Trade)null, (Bar)null));
}
else
{
quoteViewRow.Update(args.Quote, (Trade)null, (Bar)null);
}
this.instrumentPad.OnNewQuote(sender, args);
}
private void OnNewQuote(object sender, QuoteEventArgs args)
{
if (this.HandleMarketData(args.Provider, args.Instrument))
{
this.metaStrategyBase.SetNewQuote(args);
}
}
internal void EmitNewQuote(QuoteEventArgs e)
{
this.Quote = e.Quote;
if (this.NewQuote != null)
{
this.NewQuote(this, e);
}
}
private void ProviderManager_NewQuote(object sender, QuoteEventArgs args)
{
lock (this)
{
++this.countQuote;
++this.countMarketDataTotal;
}
}
public void Add(QuoteEventArgs args)
{
lock (this.lockObject)
{
this.GetProviderCounter((IProvider)((IntradayEventArgs)args).Provider).AddQuote(((IntradayEventArgs)args).Instrument);
this.Quotes.Increment();
}
}
public void Publish(int count)
{
for (int i = 1; i <= count; ++i)
{
double value = Fetch(i);
var e = new QuoteEventArgs(value);
Available?.Invoke(this, e);
}
}
internal void EmitQuoteTrade(object sender, UpdateMessageEventArgs args)
{
IQFeedDataRequestRecord rr = htL1WatchedSymbols[args.Message.Symbol] as IQFeedDataRequestRecord;
/*
* if (SmartQuant.TraceLevel.Verbose == trace) {
* string s;
* s = string.Format(" sym='{0}',lst='{1}',vol='{2}',bid='{3}',ask='{4}',bsz='{5}',asz='{6}',typ='{7}'",
* args.Message.Symbol, args.Message.Last, args.Message.LastSize,
* args.Message.Bid, args.Message.Ask, args.Message.BidSize, args.Message.Type );
* Console.WriteLine(s);
* }
*/
switch (args.Message.Type)
{
case "a":
case "b":
if (null != NewQuote)
{
QuoteEventArgs q = new QuoteEventArgs(
new Quote(
rr.GetUniqueTimeStamp(),
args.Message.Bid,
args.Message.BidSize,
args.Message.Ask,
args.Message.AskSize),
rr.instrument, this);
NewQuote(this, q);
}
break;
case "t":
case "T":
Trade trade = new Trade(
rr.GetUniqueTimeStamp(),
args.Message.Last,
args.Message.LastSize);
if (null != NewTrade)
{
TradeEventArgs t = new TradeEventArgs(trade, rr.instrument, this);
NewTrade(this, t);
}
if (null != factory)
{
factory.OnNewTrade(rr.instrument, trade);
}
break;
case "o":
break;
default:
break;
}
}
public void Publish(int count)
{
for (int i = 1; i <= count; ++i)
{
double value = Generate(i);
var e = new QuoteEventArgs(value);
Available?.Invoke(this, e); //if(Available != null) Available.Invoke(this, e)
}
}
void m_messageUtilities_OnQuote(object sender, QuoteEventArgs e)
{
try
{
DataSet1.StockQuotesRow row = e.ClientObject as DataSet1.StockQuotesRow;
OnQuote(e.Quote, row);
}
catch (Exception ex)
{
OnError("Error reading QuoteEventArgs", ex);
}
}
private void marketDataProvider_NewQuote(object sender, QuoteEventArgs args)
{
FreeQuant.Instruments.Instrument instrument = args.Instrument as FreeQuant.Instruments.Instrument;
List <StrategyRunner> list = (List <StrategyRunner>)null;
if (!this.instrumentTable.TryGetValue(instrument, out list))
{
return;
}
foreach (StrategyRunner strategyRunner in list)
{
if (strategyRunner.Enabled)
{
strategyRunner.SetNewQuote(instrument, args.Quote);
}
}
}
private void OnNewQuote(object sender, QuoteEventArgs args)
{
if (!this.isRunning || !this.cbxQuotes.Checked)
{
return;
}
this.queue.Enqueue((Action)(() =>
{
Instrument local_0 = ((IntradayEventArgs)args).Instrument as Instrument;
InstrumentRow local_1 = this.instruments[local_0] as InstrumentRow;
if (local_1 == null)
{
return;
}
local_0.Add(args.Quote);
++local_1.Quotes;
}));
}
private void OnQuotes(QuoteEventArgs obj)
{
if (obj.Data.Length == 1)
{
Log("ping ....");
return;
}
BinaryQuotes[] quotes = BinaryQuotes.Parse(obj.Data);
for (int i = 0; i < quotes.Length; i++)
{
Level2 l2 = quotes[i] as Level2;
if (l2 == null)
{
continue;
}
Log($"LTT= {l2.LastTradedTime}, TimeStamp= {l2.TimeStamp} LTP={l2.LastTradedPrice}");
}
}
private void Instance_OnQuoteTick(object sender, QuoteEventArgs e)
{
List <RecordTransItem> needsTestNextTime = new List <RecordTransItem>();
RecordTransItem testItem;
while (WaitingRecords.TryDequeue(out testItem))
{
if (testItem.direction == TransDirection.Buy)
{
if (e.quote.ask_price1 <= testItem.price)
{
Invoke_OnRemoveWaitingOrder(testItem);
//成交
_TradedOrder(testItem);
}
else
{
needsTestNextTime.Add(testItem);
}
}
else
{
if (e.quote.bid_price1 >= testItem.price)
{
Invoke_OnRemoveWaitingOrder(testItem);
//成交
_TradedOrder(testItem);
}
else
{
needsTestNextTime.Add(testItem);
}
}
}
foreach (var it in needsTestNextTime)
{
WaitingRecords.Enqueue(it);
}
}
private static void OnNewQuote(object sender, QuoteEventArgs e)
{
Instrument instrument = e.Instrument as Instrument ?? InstrumentManager.Instruments[e.Instrument.Symbol, e.Provider.Name];
if (instrument == null)
{
return;
}
Quote quote = e.Quote;
if (DataManager.quoteArrayLength != 0)
{
QuoteArray quoteArray = DataManager.quoteArrayList[instrument];
quoteArray.Add(quote);
if (DataManager.quoteArrayLength != -1 && quoteArray.Count > DataManager.quoteArrayLength)
{
quoteArray.RemoveAt(0);
}
}
instrument.EmitNewQuote(new QuoteEventArgs(quote, instrument, e.Provider));
}
public void OnNewQuote(object sender, QuoteEventArgs args)
{
if (((IntradayEventArgs)args).Instrument != this.instrument)
{
return;
}
if (((DataArray)DataManager.Quotes[this.instrument]).Count == 1 && ((DataArray)DataManager.Trades[this.instrument]).Count == 0)
{
this.isFirstTime = true;
}
DateTime lastDateTime = ((DataArray)DataManager.Quotes[this.instrument]).LastDateTime;
int num = ((DataArray)DataManager.Quotes[this.instrument]).Count - 2;
while (num >= 0 && DataManager.Quotes[this.instrument][num].DateTime == lastDateTime)
{
--num;
}
if (num < 0)
{
return;
}
// DataManager.Quotes[this.instrument][num].DateTime;
if (lastDateTime >= this.lastUpdateDate)
{
if (this.isFirstTime)
{
this.pad.SetRangeX((double)(((DataArray)DataManager.Quotes[this.instrument]).LastDateTime.Ticks - 9000000000L), (double)((DataArray)DataManager.Quotes[this.instrument]).LastDateTime.Ticks);
this.isFirstTime = false;
}
else
{
this.pad.SetRangeX((double)((DataArray)DataManager.Quotes[this.instrument]).LastDateTime.Ticks + this.pad.XMin - (double)this.lastUpdateDate.Ticks, (double)((DataArray)DataManager.Quotes[this.instrument]).LastDateTime.Ticks + (this.pad.XMax - (double)this.lastUpdateDate.Ticks));
}
}
this.lastUpdateDate = lastDateTime;
}
private void OnNewQuote(object sender, QuoteEventArgs args)
{
SingleOrder singleOrder = this.fOrder as SingleOrder;
Quote quote = args.Quote;
switch (singleOrder.Side)
{
case Side.Buy:
if (quote.Ask != this.fQuote.Ask || quote.AskSize != this.fQuote.AskSize)
{
this.Process(quote, null, null);
}
break;
case Side.Sell:
case Side.SellShort:
if (quote.Bid != this.fQuote.Bid || quote.BidSize != this.fQuote.BidSize)
{
this.Process(quote, null, null);
}
break;
}
this.fQuote = quote;
}
private void ProviderManager_NewQuote(object sender, QuoteEventArgs args)
{
this.counter.Add(args);
}
private void PyJFklA8yp(object obj0, QuoteEventArgs obj1)
{
SingleOrder singleOrder = this.PYBF7sahqY as SingleOrder;
Quote quote = obj1.Quote;
if (this.A8bFJItyyx.FillAtWorstQuoteRate || this.smCF4MYTNu.Bid <= this.smCF4MYTNu.Ask || quote.Bid <= quote.Ask)
{
switch (singleOrder.Side)
{
case Side.Buy:
if (quote.Ask != this.smCF4MYTNu.Ask || quote.AskSize != this.smCF4MYTNu.AskSize)
{
this.Y18FFPmDy5(quote, (Trade)null, (Bar)null);
break;
}
else
{
break;
}
case Side.Sell:
case Side.SellShort:
if (quote.Bid != this.smCF4MYTNu.Bid || quote.BidSize != this.smCF4MYTNu.BidSize)
{
this.Y18FFPmDy5(quote, (Trade)null, (Bar)null);
break;
}
else
{
break;
}
}
}
else
{
switch (singleOrder.Side)
{
case Side.Buy:
if (quote.Bid != this.smCF4MYTNu.Bid || quote.BidSize != this.smCF4MYTNu.BidSize)
{
this.Y18FFPmDy5(quote, (Trade)null, (Bar)null);
break;
}
else
{
break;
}
case Side.Sell:
case Side.SellShort:
if (quote.Ask != this.smCF4MYTNu.Ask || quote.AskSize != this.smCF4MYTNu.AskSize)
{
this.Y18FFPmDy5(quote, (Trade)null, (Bar)null);
break;
}
else
{
break;
}
}
}
this.smCF4MYTNu = quote;
}
private void pub_Available(object sender, QuoteEventArgs e)
{
Console.WriteLine("Quote recieved with value = {0}", e.Value);
}
private void m_messageUtilities_OnQuote(object sender, QuoteEventArgs e)
{
string ticker = null;
try
{
if (IsSubscribed)
{
ticker = e.Quote.Ticker;
IQuoteRow row = e.ClientObject as IQuoteRow;
lock (m_portfolioLock)
{
bool bUpdated = false;
if (e.Quote.SubscriptionStatus != SubscriptionStatus.Unchanged)
{
row.SubscriptionStatus = e.Quote.SubscriptionStatus.ToString();
bUpdated = true;
}
if (e.Quote.OpenStatus == OpenStatus.Closed)
{
row.Closed = true;
bUpdated = true;
}
else if (e.Quote.OpenStatus == OpenStatus.Open)
{
row.Closed = false;
bUpdated = true;
}
if (e.Quote.HasOpen)
{
row.Open = e.Quote.Open;
bUpdated = true;
}
if (e.Quote.HasPrevClose)
{
row.PrevClose = e.Quote.PrevClose;
bUpdated = true;
}
if (!row.Closed)
{
if (e.Quote.HasLast)
{
row.LastPrice = e.Quote.Last;
bUpdated = true;
}
if (e.Quote.HasBid)
{
row.Bid = e.Quote.Bid;
bUpdated = true;
}
if (e.Quote.HasAsk)
{
row.Ask = e.Quote.Ask;
bUpdated = true;
}
if (e.Quote.HasDelta)
{
row.Delta = e.Quote.Delta;
bUpdated = true;
}
if (e.Quote.HasGamma)
{
row.Gamma = e.Quote.Gamma;
bUpdated = true;
}
if (e.Quote.HasTheta)
{
row.Theta = e.Quote.Theta;
bUpdated = true;
}
if (e.Quote.HasVega)
{
row.Vega = e.Quote.Vega;
bUpdated = true;
}
if (e.Quote.HasImpliedVol)
{
row.ImpliedVol = e.Quote.ImpliedVol;
bUpdated = true;
}
}
else // i.e., if row.Closed
{
if (e.Quote.HasClose)
{
row.ClosingPrice = e.Quote.Close;
bUpdated = true;
}
}
if (bUpdated)
{
LastQuoteTime = row.UpdateTime = DateTime.Now.TimeOfDay;
}
}
}
}
catch (Exception ex)
{
PositionMonitorUtilities.Error(Name + " unable to process quote for " + (ticker ?? "<NULL>"), ex);
}
}
private void MT_OnQuote(object sender, QuoteEventArgs args)
{
BeginInvoke(new UpdateTextCallback(this.updateTickDisplay),
new object[] { args.Ask, args.Bid });
}
private void pub_Available(object sender, QuoteEventArgs e)
{
Console.WriteLine($"Received value {e.Value}");
}
void m_reader_OnQuote(object sender, QuoteEventArgs e)
{
m_writer.PublishQuote(e.Quote, e.ClientObject);
}