Exemple #1
0
        /// <summary>
        /// Shuts down the TT API
        /// </summary>
        public void Dispose()
        {
            lock (m_lock)
            {
                if (!m_disposed)
                {
                    // Unattached callbacks and dispose of all subscriptions
                    if (plsList != null)
                    {
                        for (int i = 0; i < plsList.Count; i++)
                        {
                            plsList[i].Update -= pls_Update;
                            plsList[i].Dispose();
                            plsList[i] = null;
                        }
                    }
                    if (ics != null)
                    {
                        ics.InstrumentsUpdated -= ics_InstrumentsUpdated;
                        ics.Dispose();
                        ics = null;
                    }

                    // Begin shutdown the TT API
                    TTAPI.ShutdownCompleted += new EventHandler(TTAPI_ShutdownCompleted);
                    TTAPI.Shutdown();

                    m_disposed = true;
                }
            }
        }
Exemple #2
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        /// <summary>
        /// Subscribe to the instrument catalog for a given option.
        /// </summary>
        /// <param productName="product">Product to subscribe to.</param>
        private void SubscribeToInstrumentCatalog(Product product)
        {
            log.Info($"Suscribe to product: {product.Name}");
            InstrumentCatalogSubscription instrumentCatalogSubscription = new InstrumentCatalogSubscription(product, Dispatcher.Current);

            instrumentCatalogSubscription.InstrumentsUpdated += InstrumentsUpdated;
            instrumentCatalogSubscription.Start();
        }
Exemple #3
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        //TA.TickerheadConverters.ConvertFromDB2TT(TickerHead)

        void pls_Update(object sender, ProductLookupSubscriptionEventArgs e)
        {
            if (e.Error == null)
            {
                Console.WriteLine("Product Found: {0}", e.Product.Name);
                InstrumentCatalogSubscription ics = new InstrumentCatalogSubscription(e.Product, Dispatcher.Current);
                ics.InstrumentsUpdated += new EventHandler <InstrumentCatalogUpdatedEventArgs>(ics_InstrumentsUpdated);
                ics.Start();
            }
            else
            {
                Console.WriteLine(e.Error.Message);
            }
        }
        public void Subscribe2InstrumentCatalogs(object sender, ProductLookupSubscriptionEventArgs e)
        {
            if (e.Error == null)
            {
                Console.WriteLine("Product Found: {0}", e.Product.Name);
                InstrumentCatalogSubscription ICS = new InstrumentCatalogSubscription(e.Product, Dispatcher.Current);

                IcsDictionary.Add(e.Product.Key, ICS);
                ICS.InstrumentsUpdated += new EventHandler <InstrumentCatalogUpdatedEventArgs>(ICUEventHandler);
                ICS.Start();
            }
            else
            {
                Console.WriteLine(e.Error.Message);
            }
        }
Exemple #5
0
        /// <summary>
        /// InstrumentCatalogSubscription InstrumentsUpdated event.
        /// </summary>
        private void InstrumentsUpdated(object sender, InstrumentCatalogUpdatedEventArgs e)
        {
            InstrumentCatalogSubscription instrumentCatalogSubscription = sender as InstrumentCatalogSubscription;

            if (instrumentCatalogSubscription?.Instruments?.Values != null)
            {
                foreach (Instrument instru in instrumentCatalogSubscription.Instruments.Values)
                {
                    if (!_availableInstrumentDico.ContainsKey(instru.Key.SeriesKey))
                    {
                        _availableInstrumentDico.Add(instru.Key.SeriesKey, instru);
                        InstrumentDetails instruDetails = instru.InstrumentDetails;
                        DataUpdateEvent?.Invoke(this, instruDetails.Key.SeriesKey, instruDetails.ExpirationDate.ToDateTime(), instruDetails.StrikePrice, instruDetails.OptionType.ToString().ToUpper(), instruDetails.Name, instru.Product.Type.Name, instru.Product.Name);
                    }
                }
            }
        }
Exemple #6
0
        /// <summary>
        /// Subscribe to the instrument catalog for a given product.
        /// </summary>
        /// <param name="product">Product to subscribe to.</param>
        private void subscribeToInstrumentCatalog(Product product)
        {
            if (!m_instrumentCatalogSubscriptionList.ContainsKey(product))
            {
                // Create and start an instrument catalog subscription.
                InstrumentCatalogSubscription instrumentCatalogSubscription = new InstrumentCatalogSubscription(product, Dispatcher.Current);
                instrumentCatalogSubscription.InstrumentsUpdated += new EventHandler <InstrumentCatalogUpdatedEventArgs>(instrumentsUpdated);
                instrumentCatalogSubscription.Start();

                // Track this subscription for cleanup.
                m_instrumentCatalogSubscriptionList.Add(product, instrumentCatalogSubscription);
            }
            else
            {
                // The instrument subscription was already made. Update the view.
                updateInstrumentTreeViewNodes(m_instrumentCatalogSubscriptionList[product]);
            }
        }
Exemple #7
0
        /// <summary>
        /// Update the instrument tree view nodes for a given product.
        /// </summary>
        /// <param name="instrumentCatalogSubscription">InstrumentCatalogSubscription</param>
        private void updateInstrumentTreeViewNodes(InstrumentCatalogSubscription instrumentCatalogSubscription)
        {
            treeViewProductList.BeginUpdate();

            TreeNode updatedNode = null;

            // Find the product in the tree view for the selected product tree view node.
            foreach (TreeNode node in treeViewProductList.Nodes)
            {
                if (String.Equals((node.Tag as Product).Name, instrumentCatalogSubscription.Product.Name))
                {
                    updatedNode = node;
                    break;
                }
            }

            // updatedNode should never be null.
            if (updatedNode == null)
            {
                return;
            }

            // Clear out any items currently in the node. ("Loading ...")
            updatedNode.Nodes.Clear();

            // Insert the instruments as child nodes within the product tree view node.
            foreach (Instrument instr in instrumentCatalogSubscription.Instruments.Values)
            {
                TreeNode node = updatedNode.Nodes.Add(instr.GetFormattedName(InstrumentNameFormat.Normal));
                node.ImageIndex = node.SelectedImageIndex = GetImageCode(instr.Product.Type);

                // Add tooltip text from the Definition
                node.ToolTipText = instr.GetFormattedName(InstrumentNameFormat.Short) + "\r\n"
                                   + instr.InstrumentDetails.Currency + "\r\n" + instr.InstrumentDetails.TickSize.Numerator.ToString()
                                   + " / " + instr.InstrumentDetails.TickSize.Numerator.ToString();

                node.Tag = instr;
            }

            Cursor = Cursors.Default;
            treeViewProductList.EndUpdate();
        }
Exemple #8
0
        ////////////////////////////////////////////////////////////////////////////////////////////////////
        /// <summary>   Event notification for status of authentication. </summary>
        ////////////////////////////////////////////////////////////////////////////////////////////////////
        public void m_api_TTAPIStatusUpdate(object sender, TTAPIStatusUpdateEventArgs e)
        {
            Console.WriteLine("TTAPIStatusUpdate: {0}", e);
            if (e.IsReady == false)
            {
                // TODO: Do any connection lost processing here
                return;
            }
            // TODO: Do any connection up processing here
            //       note: can happen multiple times with your application life cycle

            WorkerDispatcher dispatcher = new WorkerDispatcher("InstCat");

            dispatcher.Run();

            InstrumentCatalogSubscription asSpreads = new InstrumentCatalogSubscription(Product.Autospreader, dispatcher);

            asSpreads.OnData += OnSpreadDefinitionNotification;
            asSpreads.Start();
        }
Exemple #9
0
        public void Dispose()
        {
            lock (m_Lock)
            {
                if (!m_isDisposed)
                {
                    if (m_instCatSubscription != null)
                    {
                        m_instCatSubscription.OnData -= OnSpreadDefinitionNotification;
                        m_instCatSubscription.Dispose();
                        m_instCatSubscription = null;
                    }

                    m_isDisposed = true;
                }


                TTAPI.Shutdown();
            }
        }
        /// <summary>
        /// Update the instrument tree view nodes for a given product.
        /// </summary>
        /// <param name="instrumentCatalogSubscription">InstrumentCatalogSubscription</param>
        private void updateInstrumentTreeViewNodes(InstrumentCatalogSubscription instrumentCatalogSubscription)
        {
            treeViewProductList.BeginUpdate();
         
            TreeNode updatedNode = null;

            // Find the product in the tree view for the selected product tree view node.
            foreach (TreeNode node in treeViewProductList.Nodes)
            {
                if (String.Equals((node.Tag as Product).Name, instrumentCatalogSubscription.Product.Name))
                {
                    updatedNode = node;
                    break;
                }
            }

            // updatedNode should never be null.
            if (updatedNode == null)
            {
                return;
            }

            // Clear out any items currently in the node. ("Loading ...")
            updatedNode.Nodes.Clear();

            // Insert the instruments as child nodes within the product tree view node.
            foreach (Instrument instr in instrumentCatalogSubscription.Instruments.Values)
            {
                TreeNode node = updatedNode.Nodes.Add(instr.GetFormattedName(InstrumentNameFormat.Normal));
                node.ImageIndex = node.SelectedImageIndex = GetImageCode(instr.Product.Type);

                // Add tooltip text from the Definition
                node.ToolTipText = instr.GetFormattedName(InstrumentNameFormat.Short) + "\r\n"
                    + instr.InstrumentDetails.Currency + "\r\n" + instr.InstrumentDetails.TickSize.Numerator.ToString()
                    + " / " + instr.InstrumentDetails.TickSize.Numerator.ToString();

                node.Tag = instr;
            }

            Cursor = Cursors.Default;
            treeViewProductList.EndUpdate();
        }
        /// <summary>
        /// Subscribe to the instrument catalog for a given product.
        /// </summary>
        /// <param name="product">Product to subscribe to.</param>
        private void subscribeToInstrumentCatalog(Product product)
        {
            if (!m_instrumentCatalogSubscriptionList.ContainsKey(product))
            {
                // Create and start an instrument catalog subscription.
                InstrumentCatalogSubscription instrumentCatalogSubscription = new InstrumentCatalogSubscription(product, Dispatcher.Current);
                instrumentCatalogSubscription.InstrumentsUpdated += new EventHandler<InstrumentCatalogUpdatedEventArgs>(instrumentsUpdated);
                instrumentCatalogSubscription.Start();

                // Track this subscription for cleanup.
                m_instrumentCatalogSubscriptionList.Add(product, instrumentCatalogSubscription);
            }
            else
            {
                // The instrument subscription was already made. Update the view.
                updateInstrumentTreeViewNodes(m_instrumentCatalogSubscriptionList[product]);
            }
        }
        /// <summary>
        /// Shuts down the TT API
        /// </summary>
        public void Dispose()
        {
            lock (m_lock)
            {
                if (!m_disposed)
                {
                    // Unattached callbacks and dispose of all subscriptions
                    if (pls != null)
                    {
                        pls.Update -= pls_Update;
                        pls.Dispose();
                        pls = null;
                    }
                    if (ics != null)
                    {
                        ics.InstrumentsUpdated -= ics_InstrumentsUpdated;
                        ics.Dispose();
                        ics = null;
                    }

                    // Begin shutdown the TT API
                    TTAPI.ShutdownCompleted += new EventHandler(TTAPI_ShutdownCompleted);
                    TTAPI.Shutdown();

                    m_disposed = true;
                }
            }
        }
        }//Job
        // *****************************************************************
        // ****             Job Processing Methods                      ****
        // *****************************************************************
        /// <summary>
        /// Called by the thread's dispatcher after an outside thread has pushed a new Job.
        /// </summary>
        private void ProcessAJob()
        {
            if (m_isDisposing)
            {
                return;
            }
            Job aJob;

            while (m_InQueue.TryDequeue(out aJob))              // NET 4.5 concurrent queue. No locking needed.
            {
                m_WorkQueue.Enqueue(aJob);                      // push onto my private queue.
            }
            //
            // Process the jobs now.
            //
            while (m_WorkQueue.Count > 0)
            {
                Job job = m_WorkQueue.Dequeue();
                if (job.Product != null)
                {     //
                    if (string.IsNullOrEmpty(job.SeriesName))
                    { // User wants all instruments assoc with this product.
                        //
                        // Process Instrument Catalog requests
                        //
                        InstrumentCatalogSubscription instrumentSub = null;
                        if (!m_InstrumentCatalogs.TryGetValue(job.Product.Key, out instrumentSub))
                        {   // Failed to find a subscription.  Create a new one!
                            instrumentSub = new InstrumentCatalogSubscription(job.Product, m_Dispatcher);
                            instrumentSub.InstrumentsUpdated += InstrumentCatalog_InstrumentsUpdated;
                            instrumentSub.Start();                                                  // submit the request.
                            m_InstrumentCatalogs.Add(job.Product.Key, instrumentSub);               // store the catalog object
                            Log.NewEntry(LogLevel.Minor, "{0}: Subscribing to instr catalog for {1}.", this.Name, job.Product.Name);
                        }
                    }
                    else
                    {   // User requested Instrument info using the ProductKey and a series Name only. (Not instr Key).
                        //InstrumentLookupSubscription lookup = null;
                        Log.NewEntry(LogLevel.Major, "{0}: InstrumentLookup {1} {2}.", this.Name, job.Product, job.SeriesName);
                        InstrumentLookupSubscription subscriber = new InstrumentLookupSubscription(m_TTServices.session, m_Dispatcher, job.Product.Key, job.SeriesName);
                        subscriber.Update += new EventHandler <InstrumentLookupSubscriptionEventArgs>(InstrumentLookup_InstrumentUpdated);
                        //m_InstrumentLookupsUnknown.Add(job.InstrumentKey, subscriber);
                        subscriber.Start();
                    }
                }
                else if (job.InstrumentKey != null && job.Settings == null && !job.IsTimeAndSales)
                {   //
                    // Process an Instrument information request
                    //
                    InstrumentLookupSubscription lookup = null;
                    if (!m_InstrumentLookups.TryGetValue(job.InstrumentKey, out lookup))
                    {
                        Log.NewEntry(LogLevel.Major, "{0}: InstrumentLookup {1}.", this.Name, job.InstrumentKey);
                        InstrumentLookupSubscription subscriber = new InstrumentLookupSubscription(m_TTServices.session, m_Dispatcher, job.InstrumentKey);
                        subscriber.Update += new EventHandler <InstrumentLookupSubscriptionEventArgs>(InstrumentLookup_InstrumentUpdated);
                        m_InstrumentLookups.Add(job.InstrumentKey, subscriber);
                        subscriber.Start();
                    }
                    else
                    {
                        Log.NewEntry(LogLevel.Major, "{0}: InstrumentLookup {1} already submitted.", this.Name, job.InstrumentKey);
                    }
                }
                else if (job.InstrumentKey != null)
                {   //
                    // Subscribe to an instrument price
                    //
                    Instrument instrument = null;
                    InstrumentCatalogSubscription catalog       = null;                         // First, find instrument catalog for this instr.
                    InstrumentLookupSubscription  instrumentSub = null;                         // or find a specific instrument subscription.
                    //InstrumentDetails instrumentDetails = null;
                    //UVProd.InstrumentName instrumentName ;
                    if (m_InstrumentLookups.TryGetValue(job.InstrumentKey, out instrumentSub))
                    {
                        instrument = instrumentSub.Instrument;
                    }
                    else if (m_InstrumentCatalogs.TryGetValue(job.InstrumentKey.ProductKey, out catalog))
                    {
                        catalog.Instruments.TryGetValue(job.InstrumentKey, out instrument);
                    }
                    //else if (m_KeyToInstruments.TryGetValue(job.InstrumentKey, out instrumentName) && m_InstrumentDetails.TryGetValue(instrumentName, out instrumentDetails))
                    //{
                    //    m_InstrumentLookups.TryGetValue(job.InstrumentKey, out instrumentSub)
                    //}
                    else
                    {
                        Log.NewEntry(LogLevel.Minor, "{0}: I failed to find instrument key {1}.", this.Name, job.InstrumentKey.ToString());
                        return;
                    }
                    if (instrument != null)
                    {
                        if (!job.IsTimeAndSales)
                        { // this is a market data subscription request  - Subscribe or update pre-existing subscription.
                            PriceSubscription priceSub = null;
                            if (!m_PriceSubscriptions.TryGetValue(instrument.Key, out priceSub))
                            {   // Can't find a subscription, so create one.
                                Log.NewEntry(LogLevel.Major, "{0}: Creating new subscription for {1} with settings {2}.", this.Name, instrument.Name, job.Settings.PriceData);
                                priceSub = new PriceSubscription(instrument, Dispatcher.Current);
                                m_PriceSubscriptions.Add(instrument.Key, priceSub);                                      // add to our list of subscription objects.
                                if (!m_InstrKeyToVolume.ContainsKey(instrument.Key))
                                {
                                    m_InstrKeyToVolume.Add(instrument.Key, new int[4]);                                 // create a new array for volume aggregations
                                }
                                priceSub.FieldsUpdated += new FieldsUpdatedEventHandler(PriceSubscription_Updated);     // attach my handler to it.
                                priceSub.Settings       = job.Settings;
                                priceSub.Start();
                            }
                            else
                            {
                                Log.NewEntry(LogLevel.Major, "{0}: Found old subscription for {1}.  Overwriting settings {2}.", this.Name, instrument.Name, job.Settings.ToString());
                                priceSub.Settings = job.Settings;
                                priceSub.Start();
                            }
                        }
                        else
                        { // this is a time and sales data request
                            TimeAndSalesSubscription timeAndSalesSub = null;
                            if (!m_TimeAndSalesSubscriptions.TryGetValue(instrument.Key, out timeAndSalesSub))
                            {   // Can't find a subscription, so create one.
                                Log.NewEntry(LogLevel.Major, "{0}: Creating new time and sales subscription for {1}", this.Name, instrument.Name);
                                timeAndSalesSub = new TimeAndSalesSubscription(instrument, Dispatcher.Current);
                                m_TimeAndSalesSubscriptions.Add(instrument.Key, timeAndSalesSub);                       // add to our list of subscription objects.
                                if (!m_InstrKeyToVolume.ContainsKey(instrument.Key))
                                {
                                    m_InstrKeyToVolume.Add(instrument.Key, new int[4]);                                               // create a new array for volume aggregations
                                }
                                timeAndSalesSub.Update += new EventHandler <TimeAndSalesEventArgs>(TimeAndSalesSubscription_Updated); // attach my handler to it.
                                timeAndSalesSub.Start();
                            }
                            else
                            {
                                Log.NewEntry(LogLevel.Major, "{0}: Found existing time and sales subscription for {1}.", this.Name, instrument.Name, job.Settings.ToString());
                            }
                        }
                    }
                }
            } //wend Job in WorkQueue.
        }     //ProcessAJob()
Exemple #14
0
        /// <summary>
        /// InstrumentCatalogSubscription InstrumentsUpdated event.
        /// </summary>
        private void instrumentsUpdated(object sender, InstrumentCatalogUpdatedEventArgs e)
        {
            InstrumentCatalogSubscription instrumentCatalogSubscription = sender as InstrumentCatalogSubscription;

            updateInstrumentTreeViewNodes(instrumentCatalogSubscription);
        }
Exemple #15
0
        }//Job
        // *****************************************************************
        // ****             Job Processing Methods                      ****
        // *****************************************************************
        /// <summary>
        /// Called by the thread's dispatcher after an outside thread has pushed a new Job.
        /// </summary>
        private void ProcessAJob()
        {
            if (m_isDisposing)
            {
                return;
            }
            Job aJob;

            while (m_InQueue.TryDequeue(out aJob))              // NET 4.5 concurrent queue. No locking needed.
            {
                m_WorkQueue.Enqueue(aJob);                      // push onto my private queue.
            }
            //
            // Process the jobs now.
            //
            while (m_WorkQueue.Count > 0)
            {
                Job job = m_WorkQueue.Dequeue();
                if (job.Product != null)
                {   //
                    // Process Instrument Catalog requests
                    //
                    InstrumentCatalogSubscription instrumentSub = null;
                    if (!m_InstrumentCatalogs.TryGetValue(job.Product.Key, out instrumentSub))
                    {   // Failed to find a subscription.  Create a new one!
                        instrumentSub = new InstrumentCatalogSubscription(job.Product, m_Dispatcher);
                        instrumentSub.InstrumentsUpdated += InstrumentCatalog_InstrumentsUpdated;
                        instrumentSub.Start();                                                  // submit the request.
                        m_InstrumentCatalogs.Add(job.Product.Key, instrumentSub);               // store the catalog object
                        Log.NewEntry(LogLevel.Minor, "{0}: Subscribing to instr catalog for {1}.", this.Name, job.Product.Name);
                    }
                }
                else if (job.InstrumentKey != null && job.Settings == null)
                {   //
                    // Process an Instrument information request
                    //
                    InstrumentLookupSubscription lookup = null;
                    if (!m_InstrumentLookups.TryGetValue(job.InstrumentKey, out lookup))
                    {
                        Log.NewEntry(LogLevel.Major, "{0}: InstrumentLookup {1}.", this.Name, job.InstrumentKey);
                        InstrumentLookupSubscription subscriber = new InstrumentLookupSubscription(m_TTServices.session, m_Dispatcher, job.InstrumentKey);
                        subscriber.Update += new EventHandler <InstrumentLookupSubscriptionEventArgs>(InstrumentLookup_InstrumentUpdated);
                        m_InstrumentLookups.Add(job.InstrumentKey, subscriber);
                        subscriber.Start();
                    }
                    else
                    {
                        Log.NewEntry(LogLevel.Major, "{0}: InstrumentLookup {1} already submitted.", this.Name, job.InstrumentKey);
                    }
                }
                else if (job.InstrumentKey != null)
                {   //
                    // Subscribe to an instrument
                    //
                    Instrument instrument = null;
                    InstrumentCatalogSubscription catalog       = null;                         // First, find instrument catalog for this instr.
                    InstrumentLookupSubscription  instrumentSub = null;                         // or find a specific instrument subscription.
                    if (m_InstrumentLookups.TryGetValue(job.InstrumentKey, out instrumentSub))
                    {
                        instrument = instrumentSub.Instrument;
                    }
                    else if (m_InstrumentCatalogs.TryGetValue(job.InstrumentKey.ProductKey, out catalog))
                    {
                        catalog.Instruments.TryGetValue(job.InstrumentKey, out instrument);
                    }
                    else
                    {
                        Log.NewEntry(LogLevel.Minor, "{0}: I failed to find instrument key {1}.", this.Name, job.InstrumentKey.ToString());
                        return;
                    }
                    if (instrument != null)
                    {
                        // Subscribe or update pre-existing subscription.
                        PriceSubscription priceSub = null;
                        if (!m_PriceSubscriptions.TryGetValue(instrument.Key, out priceSub))
                        {   // Can't find a subscription, so create one.
                            Log.NewEntry(LogLevel.Major, "{0}: Creating new subscription for {1} with settings {2}.", this.Name, instrument.Name, job.Settings.PriceData);
                            priceSub = new PriceSubscription(instrument, Dispatcher.Current);
                            m_PriceSubscriptions.Add(instrument.Key, priceSub);                                     // add to our list of subscription objects.
                            priceSub.FieldsUpdated += new FieldsUpdatedEventHandler(PriceSubscription_Updated);     // attach my handler to it.
                            priceSub.Settings       = job.Settings;
                            priceSub.Start();
                        }
                        else
                        {
                            Log.NewEntry(LogLevel.Major, "{0}: Found old subscription for {1}.  Overwriting settings {2}.", this.Name, instrument.Name, job.Settings.ToString());
                            priceSub.Settings = job.Settings;
                            priceSub.Start();
                        }
                    }
                }
            } //wend Job in WorkQueue.
        }     //ProcessAJob()
 void pls_Update(object sender, ProductLookupSubscriptionEventArgs e)
 {
     if (e.Error == null)
     {
         Console.WriteLine("Product Found: {0}", e.Product.Name);
         InstrumentCatalogSubscription ics = new InstrumentCatalogSubscription(e.Product, Dispatcher.Current);
         ics.InstrumentsUpdated += new EventHandler<InstrumentCatalogUpdatedEventArgs>(ics_InstrumentsUpdated);
         ics.Start();
     }
     else
     {
         Console.WriteLine(e.Error.Message);
     }
 }
        public void Subscribe2InstrumentCatalogs(object sender, ProductLookupSubscriptionEventArgs e)
        {
            if (e.Error == null)
            {
                Console.WriteLine("Product Found: {0}", e.Product.Name);
                InstrumentCatalogSubscription ICS = new InstrumentCatalogSubscription(e.Product, Dispatcher.Current);

                IcsDictionary.Add(e.Product.Key, ICS);
                ICS.InstrumentsUpdated += new EventHandler<InstrumentCatalogUpdatedEventArgs>(ICUEventHandler);
                ICS.Start();
            }
            else
            {
                Console.WriteLine(e.Error.Message);
            }
        }