void stiQuote_OnSTIQuoteUpdate(ref structSTIQuoteUpdate q)
{
Tick k = new TickImpl(q.bstrSymbol);
k.bid = (decimal)q.fBidPrice;
k.ask = (decimal)q.fAskPrice;
k.bs = q.nBidSize / 100;
k.os = q.nAskSize / 100;
if (q.bstrExch != "*")
{
k.ex = q.bstrExch;
}
if (q.bstrBidExch != "*")
{
k.be = q.bstrBidExch;
}
if (q.bstrAskExch != "*")
{
k.oe = q.bstrAskExch;
}
int now = Convert.ToInt32(q.bstrUpdateTime);
k.date = Util.ToTLDate(DateTime.Now);
int sec = now % 100;
k.time = now;
k.trade = (decimal)q.fLastPrice;
k.size = q.nLastSize;
tl.newTick(k);
if ((q.bValidMktImb == 0) || !imbalance)
{
return;
}
tl.newImbalance(new ImbalanceImpl(k.symbol, k.ex, q.nMktImbalance, k.time, 0, 0, 0));
}
void stiQuote_OnSTIQuoteUpdate(ref structSTIQuoteUpdate q)
{
if (UseXmlMode)
{
return;
}
doquote(ref q);
}
private void SessionOnStiQuoteUpdate(ref structSTIQuoteUpdate structQuoteUpdate)
{
var message = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structQuoteUpdate.bstrSymbol,
BoardCode = structQuoteUpdate.bstrExch,
},
ServerTime = structQuoteUpdate.bstrUpdateTime.StrToTime(),
};
if (structQuoteUpdate.bAskPrice != 0)
message.TryAdd(Level1Fields.BestAskPrice, (decimal)structQuoteUpdate.fAskPrice);
if (structQuoteUpdate.bBidPrice != 0)
message.TryAdd(Level1Fields.BestBidPrice, (decimal)structQuoteUpdate.fBidPrice);
message.TryAdd(Level1Fields.BestAskVolume, (decimal)structQuoteUpdate.nAskSize);
message.TryAdd(Level1Fields.BestBidVolume, (decimal)structQuoteUpdate.nBidSize);
if (structQuoteUpdate.bOpenPrice != 0)
message.TryAdd(Level1Fields.OpenPrice, (decimal)structQuoteUpdate.fOpenPrice);
if (structQuoteUpdate.bHighPrice != 0)
message.TryAdd(Level1Fields.HighPrice, (decimal)structQuoteUpdate.fHighPrice);
if (structQuoteUpdate.bLowPrice != 0)
message.TryAdd(Level1Fields.LowPrice, (decimal)structQuoteUpdate.fLowPrice);
if (structQuoteUpdate.bLastPrice != 0)
message.TryAdd(Level1Fields.LastTradePrice, (decimal)structQuoteUpdate.fLastPrice);
message.TryAdd(Level1Fields.LastTradeVolume, (decimal)structQuoteUpdate.nLastSize);
message.TryAdd(Level1Fields.OpenInterest, (decimal)structQuoteUpdate.nOpenInterest);
message.TryAdd(Level1Fields.Volume, (decimal)structQuoteUpdate.nCumVolume);
message.TryAdd(Level1Fields.VWAP, (decimal)structQuoteUpdate.fVwap);
SendOutMessage(message);
if (_subscribedSecuritiesToTrade.Cache.Contains(structQuoteUpdate.bstrSymbol) && structQuoteUpdate.fLastPrice != 0)
{
var tickMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = new SecurityId { SecurityCode = structQuoteUpdate.bstrSymbol, BoardCode = structQuoteUpdate.bstrExch },
//TradeId = structQuoteSnap.,
TradePrice = (decimal)structQuoteUpdate.fLastPrice,
Volume = structQuoteUpdate.nLastSize,
//OriginSide = action.ToSide(),
ServerTime = structQuoteUpdate.bstrUpdateTime.StrToTime()
};
SendOutMessage(tickMsg);
}
}
void stiQuote_OnSTIQuoteUpdateXML(ref string bstrQuote)
{
try
{
XmlSerializer xs = new XmlSerializer(typeof(SterlingLib.structSTIQuoteUpdate));
structSTIQuoteUpdate q = (structSTIQuoteUpdate)xs.Deserialize(new System.IO.StringReader(bstrQuote));
doquote(ref q);
}
catch (Exception ex)
{
debug("Error deserializing quote: " + bstrQuote);
debug(ex.Message + ex.StackTrace);
}
}
private void SessionOnStiQuoteUpdate(ref structSTIQuoteUpdate structQuoteUpdate)
{
var message = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structQuoteUpdate.bstrSymbol,
BoardCode = structQuoteUpdate.bstrExch,
},
ServerTime = structQuoteUpdate.bstrUpdateTime.StrToTime(),
};
message.TryAdd(Level1Fields.BestAskPrice, (decimal)structQuoteUpdate.fAskPrice);
message.TryAdd(Level1Fields.BestBidPrice, (decimal)structQuoteUpdate.fAskPrice);
message.TryAdd(Level1Fields.BestAskVolume, (decimal)structQuoteUpdate.nAskSize);
message.TryAdd(Level1Fields.BestBidVolume, (decimal)structQuoteUpdate.nBidSize);
message.TryAdd(Level1Fields.OpenPrice, (decimal)structQuoteUpdate.fOpenPrice);
message.TryAdd(Level1Fields.HighPrice, (decimal)structQuoteUpdate.fHighPrice);
message.TryAdd(Level1Fields.LowPrice, (decimal)structQuoteUpdate.fLowPrice);
message.TryAdd(Level1Fields.LastTradePrice, (decimal)structQuoteUpdate.fLastPrice);
message.TryAdd(Level1Fields.LastTradeVolume, (decimal)structQuoteUpdate.nLastSize);
message.TryAdd(Level1Fields.OpenInterest, (decimal)structQuoteUpdate.nOpenInterest);
message.TryAdd(Level1Fields.Volume, (decimal)structQuoteUpdate.nCumVolume);
message.TryAdd(Level1Fields.VWAP, (decimal)structQuoteUpdate.fVwap);
SendOutMessage(message);
if (_subscribedSecuritiesToTrade.Cache.Contains(structQuoteUpdate.bstrSymbol) && structQuoteUpdate.fLastPrice != 0)
{
var tickMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = new SecurityId {
SecurityCode = structQuoteUpdate.bstrSymbol, BoardCode = structQuoteUpdate.bstrExch
},
//TradeId = structQuoteSnap.,
TradePrice = (decimal)structQuoteUpdate.fLastPrice,
Volume = structQuoteUpdate.nLastSize,
//OriginSide = action.ToSide(),
ServerTime = structQuoteUpdate.bstrUpdateTime.StrToTime()
};
SendOutMessage(tickMsg);
}
}
void doquote(ref structSTIQuoteUpdate q)
{
Tick k = new TickImpl(q.bstrSymbol);
k.bid = (decimal)q.fBidPrice;
k.ask = (decimal)q.fAskPrice;
k.bs = q.nBidSize / 100;
k.os = q.nAskSize / 100;
k.ex = GetExPretty(q.bstrExch);
k.be = GetExPretty(q.bstrBidExch);
k.oe = GetExPretty(q.bstrAskExch);
int now = Convert.ToInt32(q.bstrUpdateTime);
k.date = Util.ToTLDate(DateTime.Now);
//int sec = now % 100;
k.time = now;
// we don't want to simply return on out-of-order ticks because it'll prevent processing
// of the mdx messages further in this function.
if (!IgnoreOutOfOrderTicks || (k.time > _lasttime))
{
_lasttime = k.time;
k.trade = (decimal)q.fLastPrice;
k.size = q.nLastSize;
// execute orders if papertrade is enabled
if (isPaperTradeEnabled)
ptt.newTick(k);
// notify clients of tick
if (!_imbalance || (_imbalance && k.isValid))
tl.newTick(k);
}
/////////////////////////
// MDX Processing
/////////////////////////
if (q.nMdxMsgType == 1)
{
if (VerboseDebugging)
debug(q.bstrUpdateTime
+ " Received Regulatory Imbalance for: " + q.bstrSymbol
+ " ValidIntradayMarketImb: " + q.bValidIntradayMktImb
+ " ValidMktImb: " + q.bValidMktImb
+ " Imbalance: " + q.nImbalance
+ " iMktImbalance: " + q.nIntradayMktImbalance
+ " MktImbalance: " + q.nMktImbalance);
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Imbalance imb = new ImbalanceImpl(q.bstrSymbol, GetExPretty(q.bstrExch), q.nIntradayMktImbalance, time, 0, 0, 0);
tl.newImbalance(imb);
}
}
else if (q.nMdxMsgType == 2)
{
if (VerboseDebugging)
debug(q.bstrUpdateTime
+ " Received Informational Imbalance for: " + q.bstrSymbol
+ " ValidIntradayMarketImb: " + q.bValidIntradayMktImb
+ " ValidMktImb: " + q.bValidMktImb
+ " Imbalance: " + q.nImbalance
+ " iMktImbalance: " + q.nIntradayMktImbalance
+ " MktImbalance: " + q.nMktImbalance);
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Imbalance imb = new ImbalanceImpl(q.bstrSymbol, GetExPretty(q.bstrExch), 0, time, 0, 0, q.nIntradayMktImbalance);
tl.newImbalance(imb);
}
}
else if (q.nMdxMsgType == 3)
{
if (VerboseDebugging)
debug(q.bstrUpdateTime
+ " Received Halt/Delay for: " + q.bstrSymbol
+ " Status: " + q.bstrHaltResumeStatus
+ " Reason: " + q.bstrHaltResumeReason);
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
HaltResume h = new HaltResumeImpl(q.bstrSymbol, GetExPretty(q.bstrExch), time, q.bstrHaltResumeStatus, q.bstrHaltResumeReason);
for (int clientNumber = 0; clientNumber < tl.NumClients; clientNumber++)
tl.TLSend(HaltResumeImpl.Serialize(h), MessageTypes.HALTRESUME, clientNumber);
}
}
else if (q.nMdxMsgType == 4)
{
if (VerboseDebugging)
debug(q.bstrUpdateTime
+ " Received Indication for: " + q.bstrSymbol
+ " ValidIndicators: " + q.bValidIndicators
+ " IndicatorHigh: " + q.fIndicatorHigh
+ " IndicatorLow: " + q.fIndicatorLow);
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Indication ind = new IndicationImpl(q.bstrSymbol, GetExPretty(q.bstrExch), time, q.bValidIndicators, (decimal)q.fIndicatorHigh, (decimal)q.fIndicatorLow);
for (int clientNumber = 0; clientNumber < tl.NumClients; clientNumber++)
tl.TLSend(IndicationImpl.Serialize(ind), MessageTypes.INDICATION, clientNumber);
}
}
}
void stiQuote_OnSTIQuoteUpdate(ref structSTIQuoteUpdate q)
{
if (UseXmlMode) return;
doquote(ref q);
}
void doquote(ref structSTIQuoteUpdate q)
{
Tick k = new TickImpl(q.bstrSymbol);
k.bid = (decimal)q.fBidPrice;
k.ask = (decimal)q.fAskPrice;
k.bs = q.nBidSize / 100;
k.os = q.nAskSize / 100;
k.ex = GetExPretty(q.bstrExch);
k.be = GetExPretty(q.bstrBidExch);
k.oe = GetExPretty(q.bstrAskExch);
int now = Convert.ToInt32(q.bstrUpdateTime);
k.date = Util.ToTLDate(DateTime.Now);
//int sec = now % 100;
k.time = now;
// we don't want to simply return on out-of-order ticks because it'll prevent processing
// of the mdx messages further in this function.
if (!IgnoreOutOfOrderTicks || (k.time > _lasttime))
{
_lasttime = k.time;
k.trade = (decimal)q.fLastPrice;
k.size = q.nLastSize;
// execute orders if papertrade is enabled
if (isPaperTradeEnabled)
{
ptt.newTick(k);
}
// notify clients of tick
if (!_imbalance || (_imbalance && k.isValid))
{
tl.newTick(k);
}
}
/////////////////////////
// MDX Processing
/////////////////////////
if (q.nMdxMsgType == 1)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Regulatory Imbalance for: " + q.bstrSymbol
+ " ValidIntradayMarketImb: " + q.bValidIntradayMktImb
+ " ValidMktImb: " + q.bValidMktImb
+ " Imbalance: " + q.nImbalance
+ " iMktImbalance: " + q.nIntradayMktImbalance
+ " MktImbalance: " + q.nMktImbalance);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Imbalance imb = new ImbalanceImpl(q.bstrSymbol, GetExPretty(q.bstrExch), q.nIntradayMktImbalance, time, 0, 0, 0);
tl.newImbalance(imb);
}
}
else if (q.nMdxMsgType == 2)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Informational Imbalance for: " + q.bstrSymbol
+ " ValidIntradayMarketImb: " + q.bValidIntradayMktImb
+ " ValidMktImb: " + q.bValidMktImb
+ " Imbalance: " + q.nImbalance
+ " iMktImbalance: " + q.nIntradayMktImbalance
+ " MktImbalance: " + q.nMktImbalance);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Imbalance imb = new ImbalanceImpl(q.bstrSymbol, GetExPretty(q.bstrExch), 0, time, 0, 0, q.nIntradayMktImbalance);
tl.newImbalance(imb);
}
}
else if (q.nMdxMsgType == 3)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Halt/Delay for: " + q.bstrSymbol
+ " Status: " + q.bstrHaltResumeStatus
+ " Reason: " + q.bstrHaltResumeReason);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
HaltResume h = new HaltResumeImpl(q.bstrSymbol, GetExPretty(q.bstrExch), time, q.bstrHaltResumeStatus, q.bstrHaltResumeReason);
for (int clientNumber = 0; clientNumber < tl.NumClients; clientNumber++)
{
tl.TLSend(HaltResumeImpl.Serialize(h), MessageTypes.HALTRESUME, clientNumber);
}
}
}
else if (q.nMdxMsgType == 4)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Indication for: " + q.bstrSymbol
+ " ValidIndicators: " + q.bValidIndicators
+ " IndicatorHigh: " + q.fIndicatorHigh
+ " IndicatorLow: " + q.fIndicatorLow);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Indication ind = new IndicationImpl(q.bstrSymbol, GetExPretty(q.bstrExch), time, q.bValidIndicators, (decimal)q.fIndicatorHigh, (decimal)q.fIndicatorLow);
for (int clientNumber = 0; clientNumber < tl.NumClients; clientNumber++)
{
tl.TLSend(IndicationImpl.Serialize(ind), MessageTypes.INDICATION, clientNumber);
}
}
}
}
void stiQuote_OnSTIQuoteUpdate(ref structSTIQuoteUpdate q)
{
Tick k = new TickImpl(q.bstrSymbol);
k.bid = (decimal)q.fBidPrice;
k.ask = (decimal)q.fAskPrice;
k.bs = q.nBidSize / 100;
k.os = q.nAskSize / 100;
if (q.bstrExch!="*")
k.ex = q.bstrExch;
if (q.bstrBidExch != "*")
k.be = q.bstrBidExch;
if (q.bstrAskExch != "*")
k.oe = q.bstrAskExch;
int now = Convert.ToInt32(q.bstrUpdateTime);
k.date = Util.ToTLDate(DateTime.Now);
int sec = now % 100;
k.time = now;
k.trade = (decimal)q.fLastPrice;
k.size = q.nLastSize;
tl.newTick(k);
if ((q.bValidMktImb==0)||!imbalance) return;
tl.newImbalance(new ImbalanceImpl(k.symbol, k.ex, q.nMktImbalance, k.time, 0, 0,0));
}
