public static void SetTickPriceValue(this Level1MarketData level1MarketData, int field, double price)
{
switch (field)
{
case TickType.BID:
level1MarketData.Bid = price;
break;
case TickType.ASK:
level1MarketData.Ask = price;
break;
case TickType.LAST:
level1MarketData.Last = price;
break;
case TickType.OPEN:
level1MarketData.Open = price;
break;
case TickType.HIGH:
level1MarketData.High = price;
break;
case TickType.LOW:
level1MarketData.Low = price;
break;
case TickType.CLOSE:
level1MarketData.Close = price;
break;
}
}
public static void SetTickSizeValue(this Level1MarketData level1MarketData, int field, int size)
{
switch (field)
{
case TickType.BID_SIZE:
level1MarketData.BidSize = size;
break;
case TickType.ASK_SIZE:
level1MarketData.AskSize = size;
break;
case TickType.LAST_SIZE:
level1MarketData.LastSize = size;
break;
case TickType.VOLUME:
level1MarketData.Volume = size;
break;
case TickType.OPTION_CALL_VOLUME:
level1MarketData.CallVolume = size;
break;
case TickType.OPTION_PUT_VOLUME:
level1MarketData.PutVolume = size;
break;
}
}
public static bool Completed(this Level1MarketData data)
{
return(data.BidSize.HasValue &&
data.Bid.HasValue &&
data.AskSize.HasValue &&
data.Ask.HasValue &&
data.LastSize.HasValue &&
data.Last.HasValue &&
data.Open.HasValue &&
data.High.HasValue &&
data.Low.HasValue &&
data.Close.HasValue &&
data.Volume.HasValue &&
data.PutVolume.HasValue &&
data.CallVolume.HasValue);
}
public void PersistLevel1MarketData(Level1MarketData level1MarketData)
{
using (var unitOfWork = _unitOfWorkFactory.Create())
{
try
{
var level1MarketDataRepository = unitOfWork.GetRepository <IRepository <Level1MarketData> >();
level1MarketDataRepository.Add(level1MarketData);
unitOfWork.Complete();
}
catch (Exception e)
{
Logger.Error(e);
}
}
}
public Task <Level1MarketData> GetLevel1MarketDataAsync(string symbol)
{
var reqId = new Random(DateTime.Now.Millisecond).Next();
var level1MarketData = new Level1MarketData()
{
Symbol = symbol.ToUpper(),
Timestamp = DateTime.Now
};
var ct = new CancellationTokenSource(15 * 1000);
var res = new TaskCompletionSource <Level1MarketData>();
ct.Token.Register(() => res.TrySetResult(level1MarketData), false);
EventHandler <TickSizeEventArgs> tickSize = (sender, args) =>
{
if (args.RequestId != reqId)
{
return;
}
level1MarketData.SetTickSizeValue(args.Field, args.Size);
if (level1MarketData.Completed())
{
res.TrySetResult(level1MarketData);
}
};
EventHandler <TickPriceEventArgs> tickPrice = (sender, args) =>
{
if (args.RequestId != reqId)
{
return;
}
level1MarketData.SetTickPriceValue(args.Field, args.Price);
if (level1MarketData.Completed())
{
res.TrySetResult(level1MarketData);
}
};
EventDispatcher.TickSize += tickSize;
EventDispatcher.TickPrice += tickPrice;
var contract = new Contract
{
Symbol = symbol.ToUpper(),
SecType = "STK",
Currency = "USD",
Exchange = "SMART"
};
ClientSocket.reqMktData(reqId, contract, GenericTick.OPTION_VOLUME.ToString(), false, false, new List <TagValue>());
res.Task.ContinueWith(x =>
{
ClientSocket.cancelMktData(reqId);
EventDispatcher.TickSize -= tickSize;
EventDispatcher.TickPrice -= tickPrice;
}, TaskContinuationOptions.None);
return(res.Task);
}
