/// <summary>
/// Pushes the tick into this enumerator. This tick will be aggregated into a quote bar
/// and emitted after the alotted time has passed
/// </summary>
/// <param name="data">The new data to be aggregated</param>
public void ProcessData(BaseData data)
{
QuoteBar working;
var tick = data as Tick;
var qty = tick == null ? 0 : tick.Quantity;
var bidPrice = tick == null ? data.Value : tick.BidPrice;
var askPrice = tick == null ? data.Value : tick.AskPrice;
var bidSize = tick == null ? 0m : tick.BidSize;
var askSize = tick == null ? 0m : tick.AskSize;
if (!_queue.TryPeek(out working))
{
// the consumer took the working bar, or time ticked over into next bar
var utcNow = _timeProvider.GetUtcNow();
var currentLocalTime = utcNow.ConvertFromUtc(_timeZone);
var barStartTime = currentLocalTime.RoundDown(_barSize);
working = new QuoteBar();
working.Update(data.Value, bidPrice, askPrice, qty, bidSize, askSize);
working.Period = _barSize;
working.Time = barStartTime;
working.Symbol = data.Symbol;
_queue.Enqueue(working);
if (_liveMode)
{
_realTimeScheduleEventService.ScheduleEvent(_barSize.Subtract(currentLocalTime - barStartTime), utcNow);
}
}
else
{
// we're still within this bar size's time
working.Update(data.Value, bidPrice, askPrice, qty, bidSize, askSize);
}
}
public void Accuracy()
{
var scheduledEventService = new RealTimeScheduleEventService(RealTimeProvider.Instance);
EventHandler handler = (_, __) =>
{
Log.Trace($"{DateTime.UtcNow:O}");
var now = DateTime.UtcNow;
var nextEventTime = now.RoundDown(TimeSpan.FromSeconds(1)).Add(TimeSpan.FromSeconds(1) + TimeSpan.FromMilliseconds(101));
scheduledEventService.ScheduleEvent(nextEventTime - now, now);
};
scheduledEventService.NewEvent += handler;
handler(this, null);
Thread.Sleep(5000);
scheduledEventService.DisposeSafely();
}
/// <summary>
/// Pushes the tick into this enumerator. This tick will be aggregated into a quote bar
/// and emitted after the alotted time has passed
/// </summary>
/// <param name="data">The new data to be aggregated</param>
public void ProcessData(BaseData data)
{
QuoteBar working;
var tick = data as Tick;
var qty = tick == null ? 0 : tick.Quantity;
var bidPrice = tick == null ? data.Value : tick.BidPrice;
var askPrice = tick == null ? data.Value : tick.AskPrice;
var bidSize = tick == null ? 0m : tick.BidSize;
var askSize = tick == null ? 0m : tick.AskSize;
if (!_queue.TryPeek(out working))
{
// the consumer took the working bar, or time ticked over into next bar
var utcNow = _timeProvider.GetUtcNow();
var currentLocalTime = utcNow.ConvertFromUtc(_timeZone);
var barStartTime = currentLocalTime.RoundDown(_barSize);
working = new QuoteBar();
// open ask and bid should match previous close ask and bid
if (Current != null)
{
// note that we will only fill forward previous close ask and bid when a new data point comes in and we generate a new working bar which is not a fill forward bar
var previous = Current as QuoteBar;
working.Update(0, previous.Bid?.Close ?? 0, previous.Ask?.Close ?? 0, 0, previous.LastBidSize, previous.LastAskSize);
}
working.Update(data.Value, bidPrice, askPrice, qty, bidSize, askSize);
working.Period = _barSize;
working.Time = barStartTime;
working.Symbol = data.Symbol;
_queue.Enqueue(working);
if (_liveMode)
{
_realTimeScheduleEventService.ScheduleEvent(_barSize.Subtract(currentLocalTime - barStartTime), utcNow);
}
}
else
{
// we're still within this bar size's time
working.Update(data.Value, bidPrice, askPrice, qty, bidSize, askSize);
}
}
/// <summary>
/// Pushes the tick into this enumerator. This tick will be aggregated into a OI bar
/// and emitted after the alotted time has passed
/// </summary>
/// <param name="data">The new data to be aggregated</param>
public void ProcessData(Tick data)
{
OpenInterest working;
if (!_queue.TryPeek(out working))
{
// the consumer took the working bar, or time ticked over into next bar
var utcNow = _timeProvider.GetUtcNow();
var currentLocalTime = utcNow.ConvertFromUtc(_timeZone);
var barStartTime = currentLocalTime.RoundDown(_barSize);
working = new OpenInterest(barStartTime, data.Symbol, data.Value);
working.EndTime = barStartTime + _barSize;
_queue.Enqueue(working);
if (_liveMode)
{
_realTimeScheduleEventService.ScheduleEvent(_barSize.Subtract(currentLocalTime - barStartTime), utcNow);
}
}
else
{
working.Value = data.Value;
}
}
