private void OnNewMarketDepth(object sender, MarketDepthEventArgs args)
{
if (this.HandleMarketData(args.Provider, args.Instrument))
{
this.metaStrategyBase.SetNewMarketDepth(args);
}
}
protected override void OnMarketDepth(MarketDepthEventArgs e)
{
if (ShowLevelII)
{
List <LadderRow> rows = null;
// Checks to see if the Market Data is of the Ask type
if (e.MarketDataType == MarketDataType.Ask)
{
rows = askRows;
}
// Checks to see if the Market Data is of the Bid type
else if (e.MarketDataType == MarketDataType.Bid)
{
rows = bidRows;
}
if (rows == null)
{
return;
}
// Checks to see if the action taken by the Ask data was an insertion into the ladder
if (e.Operation == Operation.Insert)
{
rows.Insert(e.Position, new LadderRow(e.Price, e.Volume, e.MarketMaker));
}
/* Checks to see if the action taken by the Ask data was a removal of itself from the ladder
* Note: Due to the multi threaded architecture of the NT core, race conditions could occur
* -> check if e.Position is within valid range */
else if (e.Operation == Operation.Remove && e.Position < rows.Count)
{
rows.RemoveAt(e.Position);
}
/* Checks to see if the action taken by the Ask data was to update a data already on the ladder
* Note: Due to the multi threaded architecture of the NT core, race conditions could occur
* -> check if e.Position is within valid range */
else if (e.Operation == Operation.Update && e.Position < rows.Count)
{
rows[e.Position].MarketMaker = e.MarketMaker;
rows[e.Position].Price = e.Price;
rows[e.Position].Volume = e.Volume;
}
// Calling ChartControl.Refresh() will cause the Level II data to update real-time. Adding
// this delay routine will prevent CPU utilization from going through the roof. Setting a
// really high value will effectly delay the update until the next tick arrives which could
// be a really long time is the market is really slow. This may or may not matter to some.
try {
if (lastRefresh.AddMilliseconds(LevelIIRefreshDelay) < DateTime.Now)
{
ChartControl.Refresh();
lastRefresh = DateTime.Now;
}
} catch {}
}
}
public void Update(MarketDepthEventArgs args)
{
RowData val;
if (args.Operation == Operation.Update || args.Operation == Operation.Add)
{
if (Data.TryGetValue(args.Price, out val))
{
val.Price = args.Price;
val.Liquidity = args.Volume;
val.DataType = args.MarketDataType;
val.Active = true;
}
else
{
Data.Add(args.Price, new RowData(args.Price, args.Volume, args.MarketDataType, true));
}
}
else if (args.Operation == Operation.Remove)
{
if (Data.TryGetValue(args.Price, out val))
{
val.Active = false;
}
}
FindHighestLiqudity();
}
protected override void OnMarketDepth(MarketDepthEventArgs e)
{
// Print some data to the Output window
if (e.MarketDataType == MarketDataType.Ask && e.Operation == Operation.Update){
quote_count = quote_count +1;
}
//Print("The most recent ask change is " + e.Price + " " + e.Volume);
}
private void ProviderManager_NewMarketDepth(object sender, MarketDepthEventArgs args)
{
lock (this)
{
++this.countMarketDepth;
++this.countMarketDataTotal;
}
}
private static void OnNewMarketDepth(object sender, MarketDepthEventArgs e)
{
Instrument instrument = e.Instrument as Instrument ?? InstrumentManager.Instruments[e.Instrument.Symbol, e.Provider.Name];
if (instrument != null)
{
instrument.EmitNewMarketDepth(e);
}
}
protected override void OnMarketDepth(MarketDepthEventArgs e)
{
// Print some data to the Output window
if (e.MarketDataType == MarketDataType.Ask && e.Operation == Operation.Update)
{
quote_count = quote_count + 1;
}
//Print("The most recent ask change is " + e.Price + " " + e.Volume);
}
internal void EmitNewMarketDepth(MarketDepthEventArgs e)
{
this.MarketDepth = e.MarketDepth;
if (this.NewMarketDepth != null)
{
this.NewMarketDepth(this, e);
}
this.OrderBook.Add(e.MarketDepth);
}
protected override void OnMarketDepth(MarketDepthEventArgs marketDepthUpdate)
{
base.OnMarketDepth(marketDepthUpdate);
GetPrediction(marketDepthUpdate.Price);
if (requests % 50 == 0)
{
Print(string.Format("{0} requests per second", requests / sw.Elapsed.TotalSeconds));
}
}
private void marketDataProvider_NewMarketDepth(object sender, MarketDepthEventArgs args)
{
FreeQuant.Instruments.Instrument instrument = args.Instrument as FreeQuant.Instruments.Instrument;
List <StrategyRunner> list = (List <StrategyRunner>)null;
if (!this.instrumentTable.TryGetValue(instrument, out list))
{
return;
}
foreach (StrategyRunner strategyRunner in list)
{
strategyRunner.SetNewMarketDepth(instrument, args.MarketDepth);
}
}
protected override void OnMarketDepth(MarketDepthEventArgs e)
{/*
// Print some data to the Output window
if (e.MarketDataType == MarketDataType.Bid && e.Operation == Operation.Update)
{
Print("The most recent bid change is " + e.Price + " " + e.Volume);
//Values[0].Set(0);
}
if (e.MarketDataType == MarketDataType.Bid && e.Operation == Operation.Insert)
{
Print("The most recent bid insert is " + e.Price + " " + e.Volume);
//Values[0].Set(0);
}*/
}
protected override void OnMarketDepth(MarketDepthEventArgs e)
{
// Print some data to the Output window
if (e.MarketDataType == MarketDataType.Bid && e.Operation == Operation.Update)
{
Print("The most recent bid change is " + e.Price + " " + e.Volume);
//Values[0].Set(0);
}
if (e.MarketDataType == MarketDataType.Bid && e.Operation == Operation.Insert)
{
Print("The most recent bid insert is " + e.Price + " " + e.Volume);
//Values[0].Set(0);
}
}
protected override void OnMarketDepth(MarketDepthEventArgs e)
{
// Checks to see if the Market Data is of the Ask type
if (e.MarketDataType == MarketDataType.Ask)
{
oneDOMRow = askRows;
}
// Checks to see if the Market Data is of the Bid type
else if (e.MarketDataType == MarketDataType.Bid)
{
oneDOMRow = bidRows;
}
if (oneDOMRow == null)
{
return;
}
// Checks to see if the action taken by the Ask data was an insertion into the ladder
if (e.Operation == Operation.Add)
{
oneDOMRow.Insert(e.Position, new DOMRow(e.Price, (int)e.Volume));
}
/* Checks to see if the action taken by the Ask data was a removal of itself from the ladder
* Note: Due to the multi threaded architecture of the NT core, race conditions could occur
* -> check if e.Position is within valid range */
else if (e.Operation == Operation.Remove && e.Position < oneDOMRow.Count)
{
oneDOMRow.RemoveAt(e.Position);
}
/* Checks to see if the action taken by the Ask data was to update a data already on the ladder
* Note: Due to the multi threaded architecture of the NT core, race conditions could occur
* -> check if e.Position is within valid range */
else if (e.Operation == Operation.Update && e.Position < oneDOMRow.Count)
{
oneDOMRow[e.Position].Price = e.Price;
oneDOMRow[e.Position].Volume = (int)e.Volume;
}
try {
if (DateTime.Now > lastRefresh.AddMilliseconds(refreshDelay))
{
ForceRefresh();
lastRefresh = DateTime.Now;
}
} catch {}
}
private void OnNewMarketDepth(object sender, MarketDepthEventArgs args)
{
if (!this.isRunning || !this.cbxMarketDepth.Checked)
{
return;
}
this.queue.Enqueue((Action)(() =>
{
Instrument local_0 = ((IntradayEventArgs)args).Instrument as Instrument;
InstrumentRow local_1 = this.instruments[local_0] as InstrumentRow;
if (local_1 == null)
{
return;
}
local_0.Add(args.MarketDepth);
++local_1.MarketDepths;
}));
}
protected override void OnMarketDepth(MarketDepthEventArgs marketDepthUpdate)
{
}
private void MyOnMarketDepth(object sender, MarketDepthEventArgs e)
{
Print(e.ToString());
}
/// <summary>
/// Called on each incoming real time market depth event
/// </summary>
protected override void OnMarketDepth(MarketDepthEventArgs e)
{
List <LadderRow> rows = null;
// Checks to see if the Market Data is of the Ask type
if (e.MarketDataType == MarketDataType.Ask)
{
rows = askRows;
// Due to race conditions, it is possible the first event is an Update operation instead of an Insert. When this happens, populate your Lists via e.MarketDepth first.
if (firstAskEvent)
{
if (e.Operation == Operation.Update)
{
// Lock the MarketDepth collection to prevent modification to the collection while we are still processing it
lock (e.MarketDepth.Ask)
{
for (int idx = 0; idx < e.MarketDepth.Ask.Count; idx++)
{
rows.Add(new LadderRow(e.MarketDepth.Ask[idx].Price, e.MarketDepth.Ask[idx].Volume, e.MarketDepth.Ask[idx].MarketMaker));
}
}
}
firstAskEvent = false;
}
}
// Checks to see if the Market Data is of the Bid type
else if (e.MarketDataType == MarketDataType.Bid)
{
rows = bidRows;
// Due to race conditions, it is possible the first event is an Update operation instead of an Insert. When this happens, populate your Lists via e.MarketDepth first.
if (firstBidEvent)
{
if (e.Operation == Operation.Update)
{
// Lock the MarketDepth collection to prevent modification to the collection while we are still processing it
lock (e.MarketDepth.Bid)
{
for (int idx = 0; idx < e.MarketDepth.Bid.Count; idx++)
{
rows.Add(new LadderRow(e.MarketDepth.Bid[idx].Price, e.MarketDepth.Bid[idx].Volume, e.MarketDepth.Bid[idx].MarketMaker));
}
}
}
firstBidEvent = false;
}
}
if (rows == null)
{
return;
}
// Checks to see if the action taken was an insertion into the ladder
if (e.Operation == Operation.Insert)
{
// Add a new row at the end if the designated position is greater than our current ladder size
if (e.Position >= rows.Count)
{
rows.Add(new LadderRow(e.Price, e.Volume, e.MarketMaker));
}
// Insert a new row into our ladder at the designated position
else
{
rows.Insert(e.Position, new LadderRow(e.Price, e.Volume, e.MarketMaker));
}
}
/* Checks to see if the action taken was a removal of itself from the ladder
* Note: Due to the multi threaded architecture of the NT core, race conditions could occur
* -> check if e.Position is within valid range */
else if (e.Operation == Operation.Remove && e.Position < rows.Count)
{
rows.RemoveAt(e.Position);
}
/* Checks to see if the action taken was to update a data already on the ladder
* Note: Due to the multi threaded architecture of the NT core, race conditions could occur
* -> check if e.Position is within valid range */
else if (e.Operation == Operation.Update)
{
rows[e.Position].MarketMaker = e.MarketMaker;
rows[e.Position].Price = e.Price;
rows[e.Position].Volume = e.Volume;
}
}
protected override void OnMarketDepth(MarketDepthEventArgs e)
{
MyOrderBook.Update(e);
ForceRefresh();
}
