public void HandleNewUnderlyierEvent(NewUnderlyierEventPayload eventPayLoad)
{
if (log.IsDebugEnabled)
{
log.Debug("Received new underlyier event from UnderlyingManager: " + eventPayLoad);
}
Underlyings.Add(eventPayLoad.NewUnderlying);
}
public SecurityDefinition(Security security) : base(MessageType.SecurityDefinition)
{
MatchEventIndicator = MatchEventIndicator.LastMessage;
TotNumReports = 1;
SecurityUpdateAction = SecurityUpdateAction.Add;
LastUpdateTime = DateTime.UtcNow;
//ChannelId = security.ChannelId;
MarketSegmentId = security.MarketSegmentId;
Contract = security.Contract;
Id = security.Id;
IdSource = security.IdSource;
MaturityMonth = security.MaturityMonth;
Product = security.Product;
Group = security.Group;
//SecurityType = security.Type;
//SecuritySubType = security.StrategyType;
CfiCode = security.CfiCode;
PutOrCall = security.PutOrCall;
UnderlyingAssetClass = security.AssetClass;
Exchange = security.Exchange;
MDSecurityTradingStatus = security.TradingStatus;
StrikePrice = security.StrikePrice;
//StrikeCurrency = security.StrikeCurrency;
//Currency = security.Currency;
//SettlementCurrency = security.SettlementCurrency;
MinCabPrice = security.MinCabPrice;
UserDefinedInstrument = security.UserDefinedInstrument;
foreach (var u in security.Underlyings)
{
Underlyings.Add(new SecurityDefinitionUnderlying()
{
Symbol = u.Symbol,
SecurityId = u.Id,
SecurityIdSource = u.IdSource,
});
}
foreach (var l in security.Legs)
{
Legs.Add(new SecurityDefinitionLeg()
{
LegSecurityID = l.Security.Id,
LegSide = l.Side,
LegRatioQty = l.Quantity,
LegPrice = l.Price,
//LegOptionDelta = l.OptionDelta,
});
}
foreach (var f in security.FeedTypes)
{
MdFeedTypes.Add(new SecurityDefinitionFeedTypes()
{
MDFeedType = f.IncludesImplieds ? "GBX" : "GBI",
MarketDepth = f.Depth,
});
}
if (security.ActivationTime.HasValue)
{
Events.Add(new SecurityDefinitionEvent()
{
EventType = EventType.Activation,
EventTime = security.ActivationTime.Value,
});
}
if (security.ExpiryTime.HasValue)
{
Events.Add(new SecurityDefinitionEvent()
{
EventType = EventType.LastEligibleTradeDate,
EventTime = security.ExpiryTime.Value,
});
}
MatchAlgorithm = security.MatchAlgorithm;
foreach (var ltr in security.LotTypeRules)
{
LotTypeRules.Add(new SecurityDefinitionLotTypeRule()
{
LotType = ltr.LotType,
MinLotSize = ltr.MinLotSize,
});
}
MinTradeVol = security.MinOrderQuantity;
MaxTradeVol = security.MaxOrderQuantity;
MinPriceIncrement = security.TickSize;
MinPriceIncrementAmount = security.TickValue;
DisplayFactor = security.DisplayFactor;
PriceRatio = security.PriceRatio;
TickRule = security.TickRule;
MainFraction = security.MainFraction;
SubFraction = security.SubFraction;
PriceDisplayFormat = security.PriceDisplayFormat;
foreach (var ia in security.InstrumentAttributes)
{
InstAttribs.Add(new SecurityDefinitionInstrumentAttribute()
{
InstAttribType = ia.Type,
InstAttribValue = ia.Value,
});
}
ContractMultiplierUnit = security.ContractMultiplierUnit;
FlowScheduleType = security.FlowScheduleType;
//ContractMultiplier = security.ContractMultiplier;
//UnitOfMeasure = security.UnitOfMeasure;
UnitOfMeasureQty = security.UnitOfMeasureQuantity;
DecayQty = security.DecayQty;
DecayStartDate = security.DecayStartDate;
OriginalContractSize = security.OriginalContractSize;
TradingReferencePrice = security.TradingReferencePrice;
SettlementPriceType = security.SettlementPriceType;
TradingReferenceDate = security.TradingReferenceDate;
OpenInterest = security.OpenInterest;
ClearedVolume = security.ClearedVolume;
HighLimitPrice = security.HighLimitPrice;
LowLimitPrice = security.LowLimitPrice;
MaxPriceVariation = security.MaxPriceVariation;
}