internal void applyUpdateAndRaiseEvent(SimpleMDQuoteUpdate update)
{
switch (update.Type)
{
case UpdateType.QuoteBidQty:
BidQty = update.BidQty;
break;
case UpdateType.QuoteBidQtyAndPrice:
BidQty = update.BidQty;
BidPrice = update.BidPrice;
break;
case UpdateType.QuoteAskQty:
AskQty = update.AskQty;
break;
case UpdateType.QuoteAskQtyAndPrice:
AskQty = update.AskQty;
AskPrice = update.AskPrice;
break;
case UpdateType.QuoteAll:
BidQty = update.BidQty;
BidPrice = update.BidPrice;
AskQty = update.AskQty;
AskPrice = update.AskPrice;
break;
default:
throw new FormatException("Unexpected UpdateType in SimpleQuoteModel");
}
// todo Updated(update.Timestamp);
}
// todo virer le timestamp du call du scheduler, et le laisser dans les updates, car c'est le timstamp auquel on a recu l'update
// we could do delta coding using the zigzag encoding
private SimpleMDQuoteUpdate Run(ulong nothing)
{
try
{
SimpleMDQuoteUpdate update = new SimpleMDQuoteUpdate();
UpdateType updateType = (UpdateType)theFile.ReadByte();
ulong timestamp = theFile.ReadUInt64();
switch (updateType)
{
case UpdateType.QuoteBidQty:
{
uint qty = theFile.ReadUInt32();
update.Model = Model;
update.Timestamp = timestamp;
update.Type = updateType;
update.BidQty = qty;
update.Model = Model;
}
break;
case UpdateType.QuoteBidQtyAndPrice:
{
uint qty = theFile.ReadUInt32();
FixedPointDecimal price = theFile.ReadFixedPointDecimal();
update.Model = Model;
update.Timestamp = timestamp;
update.Type = updateType;
update.BidQty = qty;
update.BidPrice = price;
update.Model = Model;
}
break;
case UpdateType.QuoteAskQty:
{
uint qty = theFile.ReadUInt32();
update.Model = Model;
update.Timestamp = timestamp;
update.AskQty = qty;
update.Model = Model;
}
break;
case UpdateType.QuoteAskQtyAndPrice:
{
uint qty = theFile.ReadUInt32();
FixedPointDecimal price = theFile.ReadFixedPointDecimal();
update.Model = Model;
update.Timestamp = timestamp;
update.AskQty = qty;
update.AskPrice = price;
update.Model = Model;
}
break;
case UpdateType.QuoteAll:
{
uint bqty = theFile.ReadUInt32();
FixedPointDecimal bprice = theFile.ReadFixedPointDecimal();
uint aqty = theFile.ReadUInt32();
FixedPointDecimal aprice = theFile.ReadFixedPointDecimal();
update.Model = Model;
update.Timestamp = timestamp;
update.Type = updateType;
update.BidQty = bqty;
update.BidPrice = bprice;
update.AskQty = aqty;
update.AskPrice = aprice;
update.Model = Model;
}
break;
default:
throw new FormatException("Unexpected token in the feed");
}
return update;
}
catch (EndOfStreamException)
{
// done, nothing to do anymore
theFile.Close();
return null;
}
}