public void SendTimeAndSales()
{
if (!isRunning)
{
return;
}
if (symbol.TimeAndSales != TimeAndSales.ActualTrades)
{
if (!errorWrongTimeAndSalesType)
{
log.Error("Received " + TimeAndSales.ActualTrades + " trade but " + symbol + " is configured for TimeAndSales = " + symbol.TimeAndSales + " in the symbol dictionary.");
errorWrongTimeAndSalesType = true;
}
return;
}
if (!isTradeInitialized && !VerifyTrade())
{
return;
}
if (symbol.QuoteType == QuoteType.Level1)
{
if (!isQuoteInitialized && !VerifyQuote())
{
if (!errorNeverAnyLevel1Tick)
{
log.Warn("Found a Trade tick w/o any " + QuoteType.Level1 + " quote yet but " + symbol + " is configured for QuoteType = " + symbol.QuoteType + " in the symbol dictionary.");
errorNeverAnyLevel1Tick = true;
}
}
else if (errorNeverAnyLevel1Tick)
{
log.Notice("Okay. Found a Level 1 quote tick that resolves the earlier warning message.");
errorNeverAnyLevel1Tick = false;
}
}
if (Last == 0D)
{
log.Error("Found last trade price was set to " + Last + " so skipping this tick.");
return;
}
if (symbol.TimeAndSales == TimeAndSales.ActualTrades)
{
tickIO.Initialize();
tickIO.SetSymbol(symbol.BinaryIdentifier);
tickIO.SetTime(Time);
tickIO.SetTrade(Last, LastSize);
if (symbol.QuoteType == QuoteType.Level1 && isQuoteInitialized && VerifyQuote())
{
tickIO.SetQuote(Bid, Ask, (short)BidSize, (short)AskSize);
}
var box = tickPool.Create();
box.TickBinary = tickIO.Extract();
if (tickIO.IsTrade && tickIO.Price == 0D)
{
log.Warn("Found trade tick with zero price: " + tickIO);
}
receiver.OnEvent(symbol, (int)EventType.Tick, box);
}
}
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++;
}
public void ProcessTimeAndSales(ref TSRECORD pTimeAndSales)
{
if (trace)
{
log.Trace("TimeAndSale: " +
pTimeAndSales.bstrExchange + ", " +
pTimeAndSales.bstrSymbol + ", " +
pTimeAndSales.cond + ", " +
pTimeAndSales.dPrice + ", " +
pTimeAndSales.lSize + ", " +
pTimeAndSales.lType + ", " +
pTimeAndSales.status + ", " +
pTimeAndSales.tick + ", " +
pTimeAndSales.type + ", " +
pTimeAndSales.UTCDateTime);
}
int InsideMarketHours = 30030;
if (pTimeAndSales.status == enumTickStatus.tsNormal &&
pTimeAndSales.type == enumTickType.ttTradeTick &&
pTimeAndSales.cond == enumTickCondition.tcTrade_RegularSale &&
pTimeAndSales.lType == InsideMarketHours)
{
CreateTick();
lastAsk = lastBid = pTimeAndSales.dPrice;
CheckSignalSync();
tick.SetTrade(pTimeAndSales.dPrice, pTimeAndSales.lSize);
if (Symbol.QuoteType == QuoteType.Level1)
{
TryAddLevel1();
}
else if (Symbol.QuoteType == QuoteType.Level2)
{
TryAddLevel2();
}
SendTick();
}
}
public void SendTimeAndSales()
{
if (isInitialized)
{
if (symbol.TimeAndSales == TimeAndSales.ActualTrades)
{
tickIO.Initialize();
tickIO.SetTrade(Last, LastSize);
if (symbol.QuoteType == QuoteType.Level1)
{
if (Bid == 0)
{
Bid = Last;
BidSize = LastSize;
}
if (Ask == 0)
{
Ask = Last;
AskSize = LastSize;
}
tickIO.SetQuote(Bid, Ask, (ushort)BidSize, (ushort)AskSize);
}
tickIO.SetSymbol(symbol.BinaryIdentifier);
tickIO.SetTime(TimeStamp.UtcNow);
TickBinary binary = tickIO.Extract();
receiver.OnSend(ref binary);
}
}
else
{
VerifyInitialized();
}
}
public void SendOptionPrice()
{
if (!isRunning)
{
return;
}
if (Symbol.OptionChain != OptionChain.Complete)
{
if (!errorOptionChainType)
{
log.Error("Received option price but " + Symbol + " is configured for TimeAndSales = " + Symbol.OptionChain + " in the symbol dictionary.");
errorOptionChainType = true;
}
return;
}
if (!isQuoteInitialized && !VerifyQuote())
{
return;
}
if (strikePrice == 0D || utcOptionExpiration == default(TimeStamp))
{
if (!errorStrikeAndExpiration)
{
log.Error("Received option price but strike or expiration was blank: Strike " + strikePrice + ", " + utcOptionExpiration);
errorStrikeAndExpiration = true;
}
return;
}
tickIO.Initialize();
tickIO.SetSymbol(Symbol.BinaryIdentifier);
tickIO.SetTime(Time);
tickIO.SetOption(optionType, strikePrice, utcOptionExpiration);
if (Last != 0D)
{
tickIO.SetTrade(Last, LastSize);
}
if (Bid != 0 && Ask != 0 && BidSize != 0 && AskSize != 0)
{
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;
if (tickIO.IsTrade && tickIO.Price == 0D)
{
log.Warn("Found trade tick with zero price: " + tickIO);
}
salesLatency.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 trade tick for " + Symbol + ": " + tickIO);
}
}