protected virtual void OnLevel1SummaryUpdateEvent(Level1SummaryUpdateEventArgs e)
{
if (Level1SummaryUpdateEvent != null)
{
Level1SummaryUpdateEvent(this, e);
}
}
/// <summary>
/// Handle a new price update packet:
/// </summary>
private void OnLevel1SummaryUpdateEvent(object sender, Level1SummaryUpdateEventArgs e)
{
// if ticker is not found, unsubscribe
if (e.NotFound)
{
Unsubscribe(e.Symbol);
}
// only update if we have a value
if (e.Last == 0)
{
return;
}
// only accept trade updates
if (e.TypeOfUpdate != Level1SummaryUpdateEventArgs.UpdateType.ExtendedTrade &&
e.TypeOfUpdate != Level1SummaryUpdateEventArgs.UpdateType.Trade)
{
return;
}
count++;
var time = FeedTime;
var symbol = Symbol.Create(e.Symbol, SecurityType.Equity, Market.USA);
var last = (decimal)(e.TypeOfUpdate == Level1SummaryUpdateEventArgs.UpdateType.ExtendedTrade ? e.ExtendedTradingLast : e.Last);
if (e.Symbol.Contains(".FXCM"))
{
// the feed time is in NYC/EDT, convert it into EST
time = FeedTime.ConvertTo(TimeZones.NewYork, TimeZones.EasternStandard);
symbol = Symbol.Create(e.Symbol.Replace(".FXCM", string.Empty), SecurityType.Forex, Market.FXCM);
}
var tick = new Tick(time, symbol, last, (decimal)e.Bid, (decimal)e.Ask)
{
AskSize = e.AskSize,
BidSize = e.BidSize,
TickType = TickType.Trade,
Quantity = e.IncrementalVolume
};
_dataQueue.Add(tick);
_prices[e.Symbol] = e.Last;
}
