public void StartSymbol(Receiver receiver, SymbolInfo symbol, object eventDetail) { TickIO tickIO = Factory.TickUtil.TickIO(); tickIO.Initialize(); tickIO.SetSymbol(symbol.BinaryIdentifier); tickIO.SetTime(new TimeStamp(2000, 1, 1)); tickIO.SetQuote(100D, 100D); while (!receiver.OnEvent(symbol, (int)EventType.StartHistorical, symbol)) { Factory.Parallel.Yield(); } var binaryBox = tickPool.Create(); binaryBox.TickBinary = tickIO.Extract(); while (!receiver.OnEvent(symbol, (int)EventType.Tick, binaryBox)) { Factory.Parallel.Yield(); } tickIO.Initialize(); tickIO.SetSymbol(symbol.BinaryIdentifier); tickIO.SetTime(new TimeStamp(2000, 1, 2)); tickIO.SetQuote(101D, 101D); binaryBox = tickPool.Create(); binaryBox.TickBinary = tickIO.Extract(); while (!receiver.OnEvent(symbol, (int)EventType.Tick, binaryBox)) { Factory.Parallel.Yield(); } while (!receiver.OnEvent(symbol, (int)EventType.EndHistorical, symbol)) { Factory.Parallel.Yield(); } }
public void SendQuote() { if (isQuoteInitialized || VerifyQuote()) { if (isRunning) { if (Symbol.QuoteType != QuoteType.Level1) { if (!errorWrongLevel1Type) { log.Error("Received " + QuoteType.Level1 + " quote but " + Symbol + " is configured for QuoteType = " + Symbol.QuoteType + " in the symbol dictionary."); errorWrongLevel1Type = true; } } else if (Bid == 0D) { log.Error("Found quote bid was set to " + Bid + " so skipping this tick."); return; } else if (Ask == 0D) { log.Error("Found quote ask was set to " + Ask + " so skipping this tick."); return; } else { tickIO.Initialize(); tickIO.SetSymbol(Symbol.BinaryIdentifier); tickIO.SetTime(Time); tickIO.SetQuote(Bid, Ask, (short)BidSize, (short)AskSize); var box = tickPool.Create(tickPoolCallerId); var tickId = box.TickBinary.Id; box.TickBinary = tickIO.Extract(); box.TickBinary.Id = tickId; quotesLatency.TryUpdate(box.TickBinary.Symbol, box.TickBinary.UtcTime); var eventItem = new EventItem(symbol, EventType.Tick, box); agent.SendEvent(eventItem); Interlocked.Increment(ref tickCount); if (Diagnose.TraceTicks) { Diagnose.AddTick(diagnoseMetric, ref box.TickBinary); } if (trace) { log.Trace("Sent quote for " + Symbol + ": " + tickIO); } } } } }
public bool TryReadTick(TickIO tickIO) { try { if (memory.Position >= tickBlockHeader.blockHeader.length) { return(false); } tickIO.SetSymbol(tickIO.lSymbol); var size = memory.GetBuffer()[memory.Position]; dataVersion = tickIO.FromReader(memory); var utcTime = new TimeStamp(tickIO.lUtcTime); tickIO.SetTime(utcTime); return(true); } catch (EndOfStreamException ex) { return(false); } catch (IndexOutOfRangeException) { int x = 0; return(false); } }
public bool TryReadTick(TickIO tickIO) { if (!isInitialized) { return(false); } if (dataIn == null || tickCount > MaxCount || endOfData) { return(false); } try { do { tickIO.SetSymbol(lSymbol); byte size = dataIn.ReadByte(); // Check for old style prior to version 8 where // single byte version # was first. if (dataVersion < 8 && size < 8) { dataVersion = tickIO.FromReader((byte)size, dataIn); } else { // Subtract the size byte. //if (dataIn.BaseStream.Position + size - 1 > length) { // return false; //} int count = 1; memory.SetLength(size); memory.GetBuffer()[0] = size; while (count < size) { var bytesRead = dataIn.Read(buffer, count, size - count); if (bytesRead == 0) { return(false); } count += bytesRead; } memory.Position = 0; dataVersion = tickIO.FromReader(memory); } var utcTime = new TimeStamp(tickIO.lUtcTime); if (utcTime > EndTime) { ReportEndOfData(); return(false); } tickIO.SetTime(utcTime); tickCount++; } while (tickIO.UtcTime < StartTime); return(true); } catch (EndOfStreamException ex) { ReportEndOfData(); return(false); } }
private void CreateTick() { TimeStamp timeStamp = TimeStamp.UtcNow; tick.Initialize(); tick.SetSymbol(symbol.BinaryIdentifier); tick.SetTime(timeStamp); }
public void SendQuote() { if (isInitialized) { if (symbol.QuoteType == QuoteType.Level1) { tickIO.Initialize(); tickIO.SetSymbol(symbol.BinaryIdentifier); tickIO.SetTime(TimeStamp.UtcNow); tickIO.SetQuote(Bid, Ask, (ushort)BidSize, (ushort)AskSize); TickBinary binary = tickIO.Extract(); receiver.OnSend(ref binary); } } else { VerifyInitialized(); } }
public void SendQuote() { if (isQuoteInitialized || VerifyQuote()) { if (isRunning) { if (symbol.QuoteType != QuoteType.Level1) { if (!errorWrongLevel1Type) { log.Error("Received " + QuoteType.Level1 + " quote but " + symbol + " is configured for QuoteType = " + symbol.QuoteType + " in the symbol dictionary."); errorWrongLevel1Type = true; } } else if (Bid == 0D) { log.Error("Found quote bid was set to " + Bid + " so skipping this tick."); return; } else if (Ask == 0D) { log.Error("Found quote ask was set to " + Ask + " so skipping this tick."); return; } else { tickIO.Initialize(); tickIO.SetSymbol(symbol.BinaryIdentifier); tickIO.SetTime(Time); tickIO.SetQuote(Bid, Ask, (short)BidSize, (short)AskSize); var box = tickPool.Create(); box.TickBinary = tickIO.Extract(); receiver.OnEvent(symbol, (int)EventType.Tick, box); if (trace) { log.Trace("Sent tick for " + symbol + ": " + tickIO); } } } } }
private Yield DequeueTick() { LatencyManager.IncrementSymbolHandler(); var result = Yield.NoWork.Repeat; if (isFirstTick) { if (!reader.TryReadTick(currentTick)) { return(result); } } else { currentTick.Inject(nextTick.Extract()); if (!reader.TryReadTick(nextTick)) { return(result); } } tickCounter++; if (isFirstTick) { playbackOffset = fixSimulatorSupport.GetRealTimeOffset(currentTick.UtcTime.Internal); prevTickTime = TimeStamp.UtcNow.Internal + 5000000; } currentTick.SetTime(new TimeStamp(GetNextUtcTime(currentTick.lUtcTime))); prevTickTime = currentTick.UtcTime.Internal; if (tickCounter > 10) { intervalTime = 1000; } isFirstTick = false; FillSimulator.StartTick(currentTick); if (trace) { log.Trace("Dequeue tick " + nextTick.UtcTime + "." + nextTick.UtcTime.Microsecond); } return(Yield.DidWork.Invoke(ProcessTick)); }
private void writeATick(double insertPrice, int volume) { if (tsBits[1].Length <= 3) { tickTime = new TimeStamp(tsBits[0] + " " + tsBits[1] + ":00"); } else { tickTime = new TimeStamp(tsBits[0] + " " + tsBits[1]); } utcTime = tickTime; utcTime.AddSeconds(-GetUtcOffset(tickTime)); double price = insertPrice; tickIO.SetTime(utcTime); if (volume >= 1) { tickIO.SetTrade(price, volume); } else { // tickIO.SetQuote(price, price); tickIO.SetTrade(price, volume); } if (tickWriter == null) { tickWriter = Factory.TickUtil.TickWriter(true); tickWriter.KeepFileOpen = true; string folder = "DataCache"; tickWriter.Initialize(folder, symbol.Symbol); } // Console.WriteLine(tickIO); tickWriter.Add(tickIO); countTicksOut++; }