void TWSUtilities_OnTick(object sender, TWSTickEventArgs e)
{
if (m_quoteEventHandler != null)
{
QuoteMessage quote = BuildQuoteMessage(e);
if (quote != null)
{
m_quoteEventHandler(null, new QuoteEventArgs(quote, e.ClientObject));
}
}
}
QuoteMessage BuildQuoteMessage(TWSTickEventArgs e)
{
QuoteMessage quote = new QuoteMessage()
{
Ticker = e.Ticker, SubscriptionStatus = e.SubscriptionStatus
};
try
{
if (e.Open.HasValue)
{
quote.Open = e.Open.Value;
}
if (e.PrevClose.HasValue)
{
quote.PrevClose = e.PrevClose.Value;
}
if (e.Last.HasValue)
{
quote.Last = e.Last.Value;
}
if (e.Bid.HasValue)
{
quote.Bid = e.Bid.Value;
}
if (e.Ask.HasValue)
{
quote.Ask = e.Ask.Value;
}
if (e.HasGreeks)
{
if (e.Delta.HasValue)
{
quote.Delta = e.Delta.Value;
}
if (e.Gamma.HasValue)
{
quote.Gamma = e.Gamma.Value;
}
if (e.Theta.HasValue)
{
quote.Theta = e.Theta.Value;
}
if (e.Vega.HasValue)
{
quote.Vega = e.Vega.Value;
}
if (e.ImpliedVol.HasValue)
{
quote.ImpliedVol = e.ImpliedVol.Value;
}
}
}
catch (Exception ex)
{
Error("ERROR in Message handler: ", ex);
return(null);
}
return(quote);
}
