private void HandleTraded(object sender, TradedEventArgs e)
{
var book = (OrderBook)sender;
SendTradeUpdate(e.Security, e.Time, e.Fills);
SendBookUpdate(e);
SendVolumeUpdate(e, book);
}
private void SendVolumeUpdate(TradedEventArgs e, OrderBook book)
{
var volumeUpdate = new IncrementalUpdate(MatchEventIndicator.LastVolume, e.Time);
volumeUpdate.MDEntries.Add(MarketDataUpdateDataBlock.VolumeNew(e.Security,
incrementalSeqNums[e.Security],
book.SessionVolume));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(volumeUpdate);
}
private void SendOpenInterestUpdate(TradedEventArgs e, OrderBook book)
{
var interestUpdate = new IncrementalUpdate(MatchEventIndicator.None, e.Time);
interestUpdate.MDEntries.Add(MarketDataUpdateDataBlock.OpenInterestNew(e.Security,
incrementalSeqNums[e.Security],
book.PreviousSessionOpenInterest,
book.PreviousSessionDate));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(interestUpdate);
}
private void SendOpenPriceUpdate(TradedEventArgs e, OrderBook book)
{
var tradeHighUpdate = new IncrementalUpdate(MatchEventIndicator.None, e.Time);
tradeHighUpdate.MDEntries.Add(MarketDataUpdateDataBlock.OpenPriceNew(e.Security,
incrementalSeqNums[e.Security],
book.SessionOpenPrice.Value,
false));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(tradeHighUpdate);
}
private void SendSettlementUpdate(TradedEventArgs e, OrderBook book)
{
var settlementUpdate = new IncrementalUpdate(MatchEventIndicator.None, e.Time);
settlementUpdate.MDEntries.Add(MarketDataUpdateDataBlock.SettlePriceNew(e.Security,
incrementalSeqNums[e.Security],
book.PreviousSessionSettlementPrice,
SettlementPriceType.Final,
book.PreviousSessionDate));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(settlementUpdate);
}
private void SendBookUpdate(TradedEventArgs e)
{
var bookUpdate = new IncrementalUpdate(MatchEventIndicator.LastRealQuote, e.Time);
foreach (var bookLevelUpdate in GenerateBookUpdateDataBlock(e.Security))
{
bookLevelUpdate.RptSeq = incrementalSeqNums[e.Security];
incrementalSeqNums[e.Security]++;
bookUpdate.MDEntries.Add(bookLevelUpdate);
}
incrementalServer.Send(bookUpdate);
}
public void OrderTraded()
{
var sec = new Security()
{
Id = 1, Type = SecurityType.Future, Group = "GC", Product = "GC", Contract = "GCZ6"
};
var book = new OrderBook(sec);
book.SetStatus(SecurityTradingStatus.Open);
TradedEventArgs firedArgs = null;
book.Traded += (o, e) => { firedArgs = e; };
book.CreateLimitOrder(1, TimeInForce.Day, null, Side.Buy, 100, 2);
book.CreateLimitOrder(3, TimeInForce.Day, null, Side.Sell, 100, 5);
Debug.Assert(firedArgs != null);
//Debug.Assert(firedArgs.Price == 100);
//Debug.Assert(firedArgs.AggressorSide == Side.Sell);
//Debug.Assert(firedArgs.Quantity == 5);
}
private void SendRangeUpdate(TradedEventArgs e, OrderBook book)
{
var tradeHighUpdate = new IncrementalUpdate(MatchEventIndicator.None, e.Time);
tradeHighUpdate.MDEntries.Add(MarketDataUpdateDataBlock.TradeHighLowNew(e.Security,
incrementalSeqNums[e.Security],
true,
book.SessionMaxTradePrice.Value));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(tradeHighUpdate);
var tradeLowUpdate = new IncrementalUpdate(MatchEventIndicator.None, e.Time);
tradeLowUpdate.MDEntries.Add(MarketDataUpdateDataBlock.TradeHighLowNew(e.Security,
incrementalSeqNums[e.Security],
true,
book.SessionMinTradePrice.Value));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(tradeLowUpdate);
var highBidUpdate = new IncrementalUpdate(MatchEventIndicator.None, e.Time);
highBidUpdate.MDEntries.Add(MarketDataUpdateDataBlock.TradeHighBidLowAskNew(e.Security,
incrementalSeqNums[e.Security],
Side.Buy,
book.SessionMaxBidPrice.Value));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(highBidUpdate);
var lowAskUpdate = new IncrementalUpdate(MatchEventIndicator.None, e.Time);
lowAskUpdate.MDEntries.Add(MarketDataUpdateDataBlock.TradeHighBidLowAskNew(e.Security,
incrementalSeqNums[e.Security],
Side.Sell,
book.SessionMinAskPrice.Value));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(lowAskUpdate);
}
