private void SessionOnInstrumentDomChanged(CQGInstrument cqgInstrument, CQGDOMQuotes prevAsks, CQGDOMQuotes prevBids)
{
SendOutMessage(new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = cqgInstrument.Commodity,
BoardCode = cqgInstrument.ExchangeAbbreviation,
},
ServerTime = cqgInstrument.ServerTimestamp.ApplyTimeZone(TimeHelper.Est),
Bids = cqgInstrument.DOMBids
.Cast <CQGQuote>()
.Where(q => q.IsValid)
.Select(q => new QuoteChange(Sides.Buy, (decimal)q.Price, q.HasVolume ? q.Volume : 0)),
Asks = cqgInstrument.DOMAsks
.Cast <CQGQuote>()
.Where(q => q.IsValid)
.Select(q => new QuoteChange(Sides.Sell, (decimal)q.Price, q.HasVolume ? q.Volume : 0)),
});
}
private void SessionOnInstrumentDomChanged(CQGInstrument cqgInstrument, CQGDOMQuotes prevAsks, CQGDOMQuotes prevBids)
{
SendOutMessage(new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = cqgInstrument.Commodity,
BoardCode = cqgInstrument.ExchangeAbbreviation,
},
ServerTime = cqgInstrument.ServerTimestamp.ApplyTimeZone(TimeHelper.Est),
Bids = cqgInstrument.DOMBids
.Cast<CQGQuote>()
.Where(q => q.IsValid)
.Select(q => new QuoteChange(Sides.Buy, (decimal)q.Price, q.HasVolume ? q.Volume : 0)),
Asks = cqgInstrument.DOMAsks
.Cast<CQGQuote>()
.Where(q => q.IsValid)
.Select(q => new QuoteChange(Sides.Sell, (decimal)q.Price, q.HasVolume ? q.Volume : 0)),
});
}
static void Cel_InstrumentDOMChanged(CQGInstrument instrument, CQGDOMQuotes prev_asks, CQGDOMQuotes prev_bids)
{
var symbolData = _symbolsInProgress.Find(oo => oo.Name == instrument.FullName);
if (symbolData == null) return;
lock (_waitingLocker)
{
var domData = symbolData.DomData;
if (!(Cel.IsValid(instrument.DOMBids) && Cel.IsValid(instrument.DOMAsks))) return;
if (!domData.FirstTride)
{
const double epsilon = 0.0000001;
if ((Math.Abs(instrument.Trade.Price - domData.PrevTradePrice) > epsilon) ||
(Math.Abs(instrument.Trade.Volume - domData.PrevTradeVol) > epsilon))
{
domData.IsNewTrade = true;
//if (_isMoreInfo)
//{
// if (symbolData.MsgObject.Parent.Parent != null)
// symbolData.MsgObject.Parent.Parent.BeginInvoke(
// new Action(
// () =>
// symbolData.MsgObject.Text =
// @"DOMBids depth: " + instrument.DOMBids.Count + @" DOMAsks depth: " +
// instrument.DOMAsks.Count));
//}
}
else
{
domData.IsNewTrade = false;
}
domData.PrevTradePrice = instrument.Trade.Price;
domData.PrevTradeVol = instrument.Trade.Volume;
domData.PrevTradeTime = instrument.Timestamp;
}
else
{
domData.PrevTradePrice = instrument.Trade.Price;
domData.PrevTradeVol = instrument.Trade.Volume;
domData.PrevTradeTime = instrument.Timestamp;
}
domData.FirstTride = false;
double askPrice;
double bidPrice;
int askVol;
int bidVol;
var serverTimestamp = new DateTime(instrument.ServerTimestamp.Year,
instrument.ServerTimestamp.Month,
instrument.ServerTimestamp.Day,
instrument.ServerTimestamp.Hour,
instrument.ServerTimestamp.Minute,
instrument.ServerTimestamp.Second,
instrument.ServerTimestamp.Millisecond);
var query = QueryBuilder.InsertData_dom(domData.TableName, instrument,
Convert.ToInt32(symbolData.Depth), ++domData.GroupId,
domData.IsNewTrade, _userName, out askPrice, out askVol, out bidPrice, out bidVol, serverTimestamp);
if (instrument.ServerTimestamp < DateTime.Now.AddDays(-1))
return;
var tickDomData = new TickData
{
AskPrice = askPrice,
AskVolume = askVol,
BidPrice = bidPrice,
BidVolume = bidVol,
SymbolName = domData.SymbolName,
Timestamp = serverTimestamp,
GroupID = domData.GroupId
};
ClientDatabaseManager.AddToBuffer(query, true, tickDomData);
if (!ClientDatabaseManager.CurrentDbIsShared || symbolData.CanInsert)
{
//if (DatabaseManager.CurrentDbIsShared && serverTimestamp < _allowedSymbols[instrument.FullName])return;
ClientDatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
symbolData.DomData = domData;
}
}
private void CEL_InstrumentDOMChanged(CQGInstrument instrument, CQGDOMQuotes prevAsks, CQGDOMQuotes prevBids)
{
if (!_symbolsTable.Keys.Contains(instrument.FullName)) return;
lock (_waitingLocker)
{
SymbolData symbolData = _symbolsTable[instrument.FullName];
if (symbolData.IsCanceled)
{
RemoveSymbol(instrument.FullName);
return;
}
if (!(_cel.IsValid(instrument.DOMBids) && _cel.IsValid(instrument.DOMAsks))) return;
if (!symbolData.FirstTride)
{
const double epsilon = 0.0000001;
if ((Math.Abs(instrument.Trade.Price - symbolData.PrevTradePrice) > epsilon) ||
(Math.Abs(instrument.Trade.Volume - symbolData.PrevTradeVol) > epsilon))
{
symbolData.IsNewTrade = true;
if (_isMoreInfo)
{
if (symbolData.MsgObject.Parent.Parent != null)
symbolData.MsgObject.Parent.Parent.BeginInvoke(
new Action(
() =>
symbolData.MsgObject.Text =
@"DOMBids depth: " + instrument.DOMBids.Count + @" DOMAsks depth: " +
instrument.DOMAsks.Count));
}
}
else
{
symbolData.IsNewTrade = false;
}
symbolData.PrevTradePrice = instrument.Trade.Price;
symbolData.PrevTradeVol = instrument.Trade.Volume;
symbolData.PrevTradeTime = instrument.Timestamp;
}
else
{
symbolData.PrevTradePrice = instrument.Trade.Price;
symbolData.PrevTradeVol = instrument.Trade.Volume;
symbolData.PrevTradeTime = instrument.Timestamp;
}
symbolData.FirstTride = false;
double askPrice;
double bidPrice;
int askVol;
int bidVol;
var serverTimestamp = new DateTime(instrument.ServerTimestamp.Year,
instrument.ServerTimestamp.Month,
instrument.ServerTimestamp.Day,
instrument.ServerTimestamp.Hour,
instrument.ServerTimestamp.Minute,
instrument.ServerTimestamp.Second,
instrument.ServerTimestamp.Millisecond);
var query = QueryBuilder.InsertData_dom(symbolData.TableName, instrument,
Convert.ToInt32(symbolData.Depth), ++symbolData.GroupId,
symbolData.IsNewTrade, _userName, out askPrice, out askVol, out bidPrice, out bidVol, serverTimestamp);
if (instrument.ServerTimestamp < DateTime.Now.AddDays(-1))
return;
var tickDomData = new TickData
{
AskPrice = askPrice,
AskVolume = askVol,
BidPrice = bidPrice,
BidVolume = bidVol,
SymbolName = symbolData.SymbolName,
Timestamp = serverTimestamp,
GroupID = symbolData.GroupId
};
if (_onSymbolsList.Contains(instrument.FullName))
{
DatabaseManager.AddToBuffer(query, true, tickDomData);
if (_allowedSymbols.ContainsKey(_symbolsTable[instrument.FullName].SymbolName) ||
!DatabaseManager.CurrentDbIsShared)
{
if (DatabaseManager.CurrentDbIsShared && serverTimestamp < _allowedSymbols[instrument.FullName])
return;
DatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
}
_symbolsTable[instrument.FullName] = symbolData;
}
}
private List<KaiTrade.Interfaces.IDOMSlot> ProcessDOM(CQGInstrument instrument, CQGDOMQuotes prev_asks, CQGDOMQuotes prev_bids)
{
List<KaiTrade.Interfaces.IDOMSlot> domSlots = new List<KaiTrade.Interfaces.IDOMSlot>();
try
{
decimal? price;
decimal? vol;
CQGQuote bidQt;
CQGQuote askQt;
CQGQuote prevBidQt;
CQGQuote prevAskQt;
int prevBidQtIndex = 0;
int prevAskQtIndex = 0;
int qtBidIndex = 0;
int qtAskIndex = 0;
//dumpDOMUpdate(instrument, prev_asks, prev_bids);
while ((qtBidIndex < instrument.DOMBids.Count) || (qtAskIndex < instrument.DOMAsks.Count))
{
bidQt = instrument.DOMBids[9 - qtBidIndex];
askQt = instrument.DOMAsks[qtAskIndex];
prevBidQt = prev_bids[9 - prevBidQtIndex];
prevAskQt = prev_asks[prevBidQtIndex];
if (qtBidIndex < instrument.DOMAsks.Count)
{
// start at bottom of current bids
if (bidQt.Price < prevBidQt.Price)
{
// prices have dropped
// ADD SLOT with BidZ = sz AskSz =null
domSlots.Add(new K2DataObjects.DOMSlot((decimal)bidQt.Price, (decimal)bidQt.Volume, null));
qtBidIndex++;
}
if (bidQt.Price == prevBidQt.Price)
{
// same price so just replace
if (bidQt.Volume != prevBidQt.Volume)
{
domSlots.Add(new K2DataObjects.DOMSlot((decimal)bidQt.Price, (decimal)bidQt.Volume, null));
}
prevBidQtIndex++;
qtBidIndex++;
}
if (bidQt.Price > prevBidQt.Price)
{
// prices moved up
if (prevBidQtIndex < prev_bids.Count)
{
domSlots.Add(new K2DataObjects.DOMSlot((decimal)prevBidQt.Price, null, null));
prevBidQtIndex++;
}
else
{
domSlots.Add(new K2DataObjects.DOMSlot((decimal)bidQt.Price, (decimal)bidQt.Volume, null));
qtBidIndex++;
}
}
}
else
{
// do the asks
if (askQt.Price < prevAskQt.Price)
{
// prices have dropped
domSlots.Add(new K2DataObjects.DOMSlot((decimal)askQt.Price, null, (decimal)askQt.Volume));
qtAskIndex++;
}
if (askQt.Price == prevAskQt.Price)
{
// same price so just replace
if (askQt.Volume != prevAskQt.Volume)
{
domSlots.Add(new K2DataObjects.DOMSlot((decimal)askQt.Price, null, (decimal)askQt.Volume));
}
prevAskQtIndex++;
qtAskIndex++;
}
if (askQt.Price > prevAskQt.Price)
{
// prices moved up
if (prevAskQtIndex < prev_asks.Count)
{
// this slot would have been done in the bid processing
//domSlots[slotIndex++] = new K2DataObjects.DOMSlot((decimal)prevAskQt.Price, null, null);
prevAskQtIndex++;
}
else
{
domSlots.Add(new K2DataObjects.DOMSlot((decimal)askQt.Price, null, (decimal)askQt.Volume));
qtAskIndex++;
}
}
}
}
}
catch
{
}
return domSlots;
}
private List<KaiTrade.Interfaces.IDOMSlot> ProcessDOMasImage(CQGInstrument instrument, CQGDOMQuotes prev_asks, CQGDOMQuotes prev_bids)
{
List<KaiTrade.Interfaces.IDOMSlot> domSlots = new List<KaiTrade.Interfaces.IDOMSlot>();
try
{
CQGQuote bidQt;
CQGQuote askQt;
int qtBidIndex = instrument.DOMBids.Count - 1;
int qtAskIndex = 0;
while (qtBidIndex >= 0)
{
bidQt = instrument.DOMBids[qtBidIndex--];
domSlots.Add(new K2DataObjects.DOMSlot((decimal)bidQt.Price, (decimal)bidQt.Volume, null));
}
while (qtAskIndex < instrument.DOMAsks.Count)
{
askQt = instrument.DOMAsks[qtAskIndex++];
domSlots.Add(new K2DataObjects.DOMSlot((decimal)askQt.Price, null, (decimal)askQt.Volume));
}
}
catch
{
}
return domSlots;
}
private void dumpDOMUpdate(CQGInstrument instrument, CQGDOMQuotes prev_asks, CQGDOMQuotes prev_bids)
{
try
{
for (int i = 0; i < prev_bids.Count; i++)
{
string temp = string.Format("BID px {0} sz {1} prev: px {2} sz {3}", instrument.DOMBids[i].Price, instrument.DOMBids[i].Volume, prev_bids[i].Price, prev_bids[i].Volume);
log.Error(temp);
}
for (int i = 0; i < prev_asks.Count; i++)
{
string temp = string.Format("ASK px {0} sz {1} prev: px {2} sz {3}", instrument.DOMAsks[i].Price, instrument.DOMAsks[i].Volume, prev_asks[i].Price, prev_asks[i].Volume);
log.Error(temp);
}
}
catch (Exception myE)
{
}
}
void CQGApp_InstrumentDOMChanged(CQGInstrument cqg_instrument, CQGDOMQuotes prev_asks, CQGDOMQuotes prev_bids)
{
try
{
int prevAskCount = prev_asks.Count;
int prevBidCount = prev_bids.Count;
int x = cqg_instrument.DOMAsks.Count;
int y = cqg_instrument.DOMBids.Count;
if (_publisherRegister.ContainsKey(cqg_instrument.FullName))
{
//List<KaiTrade.Interfaces.IDOMSlot> slots = ProcessDOM(cqg_instrument,prev_asks, prev_bids);
List<KaiTrade.Interfaces.IDOMSlot> slots = ProcessDOMasImage(cqg_instrument, prev_asks, prev_bids);
base.ApplyDOMUpdate(cqg_instrument.FullName, slots.ToArray());
return;
}
}
catch (Exception myE)
{
log.Error("CQGApp_InstrumentDOMChanged", myE);
}
}
private void CEL_InstrumentDOMChanged(CQGInstrument instrument, CQGDOMQuotes prevAsks, CQGDOMQuotes prevBids)
{
ticks += 1;
if (!isCanceled)
{
tsAskDpth.Text = Convert.ToString(instrument.DOMAsks.Count);
tsBidDpth.Text = Convert.ToString(instrument.DOMBids.Count);
if (!firstTride)
{
if ((instrument.Trade.Price != PrevTradePrice) || (instrument.Trade.Volume != PrevTradeVol) || (instrument.Timestamp != PrevTradeTime))
{
isNewTrade = true;
}
else
{
isNewTrade = false;
}
PrevTradePrice = instrument.Trade.Price;
PrevTradeVol = instrument.Trade.Volume;
PrevTradeTime = instrument.Timestamp;
}
else
{
PrevTradePrice = instrument.Trade.Price;
PrevTradeVol = instrument.Trade.Volume;
PrevTradeTime = instrument.Timestamp;
}
firstTride = false;
String _query = QueryBuilder.InsertData(m_tableName, instrument, Convert.ToInt32(nudDOMDepth.Value), m_qroup_ID,isNewTrade);
RunSQL(_query, "InsertData");
m_qroup_ID +=1;
}
else
{
RunSQL("DROP TABLE IF EXISTS " + m_tableName, "flush");
//m_CEL.Shutdown();
connector.CQG_Stop();
//isCanceled = false;
}
}
private void CEL_InstrumentDOMChanged(CQGInstrument instrument, CQGDOMQuotes prevAsks, CQGDOMQuotes prevBids)
{
if (!_symbolsTable.Keys.Contains(instrument.FullName))
{
return;
}
lock (_waitingLocker)
{
SymbolData symbolData = _symbolsTable[instrument.FullName];
if (symbolData.IsCanceled)
{
RemoveSymbol(instrument.FullName);
return;
}
if (!(_cel.IsValid(instrument.DOMBids) && _cel.IsValid(instrument.DOMAsks)))
{
return;
}
if (!symbolData.FirstTride)
{
const double epsilon = 0.0000001;
if ((Math.Abs(instrument.Trade.Price - symbolData.PrevTradePrice) > epsilon) ||
(Math.Abs(instrument.Trade.Volume - symbolData.PrevTradeVol) > epsilon))
{
symbolData.IsNewTrade = true;
if (_isMoreInfo)
{
if (symbolData.MsgObject.Parent.Parent != null)
{
symbolData.MsgObject.Parent.Parent.BeginInvoke(
new Action(
() =>
symbolData.MsgObject.Text =
@"DOMBids depth: " + instrument.DOMBids.Count + @" DOMAsks depth: " +
instrument.DOMAsks.Count));
}
}
}
else
{
symbolData.IsNewTrade = false;
}
symbolData.PrevTradePrice = instrument.Trade.Price;
symbolData.PrevTradeVol = instrument.Trade.Volume;
symbolData.PrevTradeTime = instrument.Timestamp;
}
else
{
symbolData.PrevTradePrice = instrument.Trade.Price;
symbolData.PrevTradeVol = instrument.Trade.Volume;
symbolData.PrevTradeTime = instrument.Timestamp;
}
symbolData.FirstTride = false;
double askPrice;
double bidPrice;
int askVol;
int bidVol;
var serverTimestamp = new DateTime(instrument.ServerTimestamp.Year,
instrument.ServerTimestamp.Month,
instrument.ServerTimestamp.Day,
instrument.ServerTimestamp.Hour,
instrument.ServerTimestamp.Minute,
instrument.ServerTimestamp.Second,
instrument.ServerTimestamp.Millisecond);
var query = QueryBuilder.InsertData_dom(symbolData.TableName, instrument,
Convert.ToInt32(symbolData.Depth), ++symbolData.GroupId,
symbolData.IsNewTrade, _userName, out askPrice, out askVol, out bidPrice, out bidVol, serverTimestamp);
if (instrument.ServerTimestamp < DateTime.Now.AddDays(-1))
{
return;
}
var tickDomData = new TickData
{
AskPrice = askPrice,
AskVolume = askVol,
BidPrice = bidPrice,
BidVolume = bidVol,
SymbolName = symbolData.SymbolName,
Timestamp = serverTimestamp,
GroupID = symbolData.GroupId
};
if (_onSymbolsList.Contains(instrument.FullName))
{
DatabaseManager.AddToBuffer(query, true, tickDomData);
if (_allowedSymbols.ContainsKey(_symbolsTable[instrument.FullName].SymbolName) ||
!DatabaseManager.CurrentDbIsShared)
{
if (DatabaseManager.CurrentDbIsShared && serverTimestamp < _allowedSymbols[instrument.FullName])
{
return;
}
DatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
}
_symbolsTable[instrument.FullName] = symbolData;
}
}
static void Cel_InstrumentDOMChanged(CQGInstrument instrument, CQGDOMQuotes prev_asks, CQGDOMQuotes prev_bids)
{
var symbolData = _symbolsInProgress.Find(oo => oo.Name == instrument.FullName);
if (symbolData == null)
{
return;
}
lock (_waitingLocker)
{
var domData = symbolData.DomData;
if (!(Cel.IsValid(instrument.DOMBids) && Cel.IsValid(instrument.DOMAsks)))
{
return;
}
if (!domData.FirstTride)
{
const double epsilon = 0.0000001;
if ((Math.Abs(instrument.Trade.Price - domData.PrevTradePrice) > epsilon) ||
(Math.Abs(instrument.Trade.Volume - domData.PrevTradeVol) > epsilon))
{
domData.IsNewTrade = true;
//if (_isMoreInfo)
//{
// if (symbolData.MsgObject.Parent.Parent != null)
// symbolData.MsgObject.Parent.Parent.BeginInvoke(
// new Action(
// () =>
// symbolData.MsgObject.Text =
// @"DOMBids depth: " + instrument.DOMBids.Count + @" DOMAsks depth: " +
// instrument.DOMAsks.Count));
//}
}
else
{
domData.IsNewTrade = false;
}
domData.PrevTradePrice = instrument.Trade.Price;
domData.PrevTradeVol = instrument.Trade.Volume;
domData.PrevTradeTime = instrument.Timestamp;
}
else
{
domData.PrevTradePrice = instrument.Trade.Price;
domData.PrevTradeVol = instrument.Trade.Volume;
domData.PrevTradeTime = instrument.Timestamp;
}
domData.FirstTride = false;
double askPrice;
double bidPrice;
int askVol;
int bidVol;
var serverTimestamp = new DateTime(instrument.ServerTimestamp.Year,
instrument.ServerTimestamp.Month,
instrument.ServerTimestamp.Day,
instrument.ServerTimestamp.Hour,
instrument.ServerTimestamp.Minute,
instrument.ServerTimestamp.Second,
instrument.ServerTimestamp.Millisecond);
var query = QueryBuilder.InsertData_dom(domData.TableName, instrument,
Convert.ToInt32(symbolData.Depth), ++domData.GroupId,
domData.IsNewTrade, _userName, out askPrice, out askVol, out bidPrice, out bidVol, serverTimestamp);
if (instrument.ServerTimestamp < DateTime.Now.AddDays(-1))
{
return;
}
var tickDomData = new TickData
{
AskPrice = askPrice,
AskVolume = askVol,
BidPrice = bidPrice,
BidVolume = bidVol,
SymbolName = domData.SymbolName,
Timestamp = serverTimestamp,
GroupID = domData.GroupId
};
ClientDatabaseManager.AddToBuffer(query, true, tickDomData);
if (!ClientDatabaseManager.CurrentDbIsShared || symbolData.CanInsert)
{
//if (DatabaseManager.CurrentDbIsShared && serverTimestamp < _allowedSymbols[instrument.FullName])return;
ClientDatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
symbolData.DomData = domData;
}
}
