private unsafe void SymbolRequest(LimeQuoteMessage message)
{
LimeQuotesInterop.subscription_request_msg *subRequest = (LimeQuotesInterop.subscription_request_msg *)message.Ptr;
String symbol = "";
for (int i = 0; subRequest->syb_symbols[i] != 0; i++)
{
symbol += (char)subRequest->syb_symbols[i];
}
var symbolInfo = Factory.Symbol.LookupSymbol(symbol);
log.Info("Lime: Received symbol request for " + symbolInfo);
ProviderSimulator.AddSymbol(symbolInfo.Symbol);
var writePacket = (LimeQuoteMessage)QuoteSocket.MessageFactory.Create();
LimeQuotesInterop.subscription_reply_msg *reply = (LimeQuotesInterop.subscription_reply_msg *)writePacket.Ptr;
reply->msg_type = LimeQuotesInterop.limeq_message_type.SUBSCRIPTION_REPLY;
var msg_len = (ushort)sizeof(LimeQuotesInterop.subscription_reply_msg);
reply->msg_len = Reverse(msg_len);
writePacket.Length = msg_len;
reply->outcome = LimeQuotesInterop.subscription_outcome.SUBSCRIPTION_SUCCESSFUL;
for (int i = 0; i < 4; i++)
{
reply->qsid[i] = subRequest->qsid[i];
}
QuotePacketQueue.Enqueue(writePacket, message.SendUtcTime);
var bookRebuildMessage = (LimeQuoteMessage)QuoteSocket.MessageFactory.Create();
LimeQuotesInterop.book_rebuild_msg *book = (LimeQuotesInterop.book_rebuild_msg *)bookRebuildMessage.Ptr;
book->msg_type = LimeQuotesInterop.limeq_message_type.BOOK_REBUILD;
msg_len = (ushort)sizeof(LimeQuotesInterop.book_rebuild_msg);
book->msg_len = Reverse(msg_len);
bookRebuildMessage.Length = msg_len;
book->symbol_index = (uint)symbolInfo.BinaryIdentifier;
for (int i = 0; i < symbol.Length; i++)
{
book->symbol[i] = (byte)symbol[i];
}
QuotePacketQueue.Enqueue(bookRebuildMessage, message.SendUtcTime);
}
private void SymbolRequest(MessageMbtQuotes message)
{
var symbolInfo = Factory.Symbol.LookupSymbol(message.Symbol);
log.Info("Received symbol request for " + symbolInfo);
ProviderSimulator.AddSymbol(symbolInfo.Symbol);
switch (message.FeedType)
{
case "20000": // Level 1
if (symbolInfo.QuoteType != QuoteType.Level1)
{
throw new ApplicationException("Requested data feed of Level1 but Symbol.QuoteType is " + symbolInfo.QuoteType);
}
break;
case "20001": // Level 2
if (symbolInfo.QuoteType != QuoteType.Level2)
{
throw new ApplicationException("Requested data feed of Level2 but Symbol.QuoteType is " + symbolInfo.QuoteType);
}
break;
case "20002": // Level 1 & Level 2
if (symbolInfo.QuoteType != QuoteType.Level2)
{
throw new ApplicationException("Requested data feed of Level1 and Level2 but Symbol.QuoteType is " + symbolInfo.QuoteType);
}
break;
case "20003": // Trades
if (symbolInfo.TimeAndSales != TimeAndSales.ActualTrades)
{
throw new ApplicationException("Requested data feed of Trades but Symbol.TimeAndSale is " + symbolInfo.TimeAndSales);
}
break;
case "20004": // Option Chains
break;
default:
throw new ApplicationException("Sorry, unknown data type: " + message.FeedType);
}
}