private IEnumerable <MarketDataUpdateDataBlock> GenerateFromAggregateBooks(Security sec, int depth, Side side,
AggregateBookLevel[] old,
AggregateBookLevel[] fresh)
{
// TODO: add support for Delete From/Delete Thru
for (int i = 0; i < depth; i++)
{
if (old[i] == null && fresh[i] == null)
{
continue;
}
if (old[i] != null && fresh[i] == null)
{
yield return(MarketDataUpdateDataBlock.RealBookDelete(sec, side, 0, old[i].Price,
old[i].Quantity, i, old[i].Count));
}
else if (old[i] == null && fresh[i] != null)
{
yield return(MarketDataUpdateDataBlock.RealBookNew(sec, side, 0, fresh[i].Price,
fresh[i].Quantity, i, fresh[i].Count));
}
else if (old[i].Price == fresh[i].Price &&
old[i].Quantity == fresh[i].Quantity &&
old[i].Count == fresh[i].Count)
{
continue;
}
else
{
yield return(MarketDataUpdateDataBlock.RealBookUpdate(sec, side, 0, fresh[i].Price,
fresh[i].Quantity, i, fresh[i].Count));
}
}
}
private void SendVolumeUpdate(TradedEventArgs e, OrderBook book)
{
var volumeUpdate = new IncrementalUpdate(MatchEventIndicator.LastVolume, e.Time);
volumeUpdate.MDEntries.Add(MarketDataUpdateDataBlock.VolumeNew(e.Security,
incrementalSeqNums[e.Security],
book.SessionVolume));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(volumeUpdate);
}
private void SendOpenInterestUpdate(TradedEventArgs e, OrderBook book)
{
var interestUpdate = new IncrementalUpdate(MatchEventIndicator.None, e.Time);
interestUpdate.MDEntries.Add(MarketDataUpdateDataBlock.OpenInterestNew(e.Security,
incrementalSeqNums[e.Security],
book.PreviousSessionOpenInterest,
book.PreviousSessionDate));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(interestUpdate);
}
private void SendOpenPriceUpdate(TradedEventArgs e, OrderBook book)
{
var tradeHighUpdate = new IncrementalUpdate(MatchEventIndicator.None, e.Time);
tradeHighUpdate.MDEntries.Add(MarketDataUpdateDataBlock.OpenPriceNew(e.Security,
incrementalSeqNums[e.Security],
book.SessionOpenPrice.Value,
false));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(tradeHighUpdate);
}
private void SendSettlementUpdate(TradedEventArgs e, OrderBook book)
{
var settlementUpdate = new IncrementalUpdate(MatchEventIndicator.None, e.Time);
settlementUpdate.MDEntries.Add(MarketDataUpdateDataBlock.SettlePriceNew(e.Security,
incrementalSeqNums[e.Security],
book.PreviousSessionSettlementPrice,
SettlementPriceType.Final,
book.PreviousSessionDate));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(settlementUpdate);
}
private void HandleSnapshotTimerInterval(object state)
{
return;
if (snapshotSecurityIterator == 0)
{
// take snapshot of all books
// i.e. generate all kinds of messages
// x Book Quotes – Bids and Offers
// x Implied Book Quotes – Bids and Offers
// Last Trade
// Opening Prices
// Session High and Low Trade Prices
// Session High Bid and Session Low Offer
// Fixing Price
// Settlement Price
// Cleared Trade Volume
// Open Interest
// Electronic Volume
// Threshold Limits
//SendRangeUpdate(e, book);
//SendOpenPriceUpdate(e, book);
//SendClearedVolumeUpdate(e, book);
//SendOpenInterestUpdate();
//SendSettlementUpdate(e, book);
snapshotTime = DateTime.UtcNow;
}
var sec = securities[snapshotSecurityIterator];
var update = new IncrementalUpdate(MatchEventIndicator.LastMessage, snapshotTime);
update.MDEntries.Add(MarketDataUpdateDataBlock.VolumeNew(sec, incrementalSeqNums[sec], 0));
incrementalSeqNums[sec]++;
snapshotServer.Send(update);
// move iterator on
snapshotSecurityIterator++;
if (snapshotSecurityIterator >= securities.Count)
{
snapshotSecurityIterator = 0;
}
}
private void SendTradeUpdate(Security security, DateTime time, List <Server.Fill> fills)
{
var tradeUpdate = new IncrementalUpdate(MatchEventIndicator.LastTradeSummary, time);
// aggregate by price
var xyz = fills.GroupBy(x => x.Price).Select(group => new { Price = group.Key, Orders = group.ToList() }).ToList();
var infoByPrice = fills.GroupBy(x => x.Price)
.Select(group => new
{
Price = group.Key,
Quantity = group.Sum(z => z.Quantity) / 2,
Count = group.Select(z => z.OrderId).Distinct().Count(),
AggressiveSide = group.First(x => x.Side == Side.Buy).IsAggressor ? Side.Buy : Side.Sell,
}).ToList();
foreach (var grpByPrice in infoByPrice)
{
tradeUpdate.MDEntries.Add(MarketDataUpdateDataBlock.TradeNew(security, incrementalSeqNums[security],
grpByPrice.Price, grpByPrice.Quantity,
grpByPrice.Quantity, grpByPrice.AggressiveSide));
incrementalSeqNums[security]++;
}
// aggregate by orderid
var qtyById = fills.GroupBy(x => new { Id = x.OrderId, Price = x.Price })
.Select(group => new
{
OrderId = group.Key.Id,
Quantity = group.Sum(z => z.Quantity),
}).ToList();
foreach (var orderFillQty in qtyById)
{
tradeUpdate.NoOrderIDEntries.Add(new IncrementalUpdateOrderEntry()
{
OrderId = orderFillQty.OrderId.ToString(), FillQuantity = orderFillQty.Quantity
});
}
incrementalServer.Send(tradeUpdate);
}
private void SendRangeUpdate(TradedEventArgs e, OrderBook book)
{
var tradeHighUpdate = new IncrementalUpdate(MatchEventIndicator.None, e.Time);
tradeHighUpdate.MDEntries.Add(MarketDataUpdateDataBlock.TradeHighLowNew(e.Security,
incrementalSeqNums[e.Security],
true,
book.SessionMaxTradePrice.Value));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(tradeHighUpdate);
var tradeLowUpdate = new IncrementalUpdate(MatchEventIndicator.None, e.Time);
tradeLowUpdate.MDEntries.Add(MarketDataUpdateDataBlock.TradeHighLowNew(e.Security,
incrementalSeqNums[e.Security],
true,
book.SessionMinTradePrice.Value));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(tradeLowUpdate);
var highBidUpdate = new IncrementalUpdate(MatchEventIndicator.None, e.Time);
highBidUpdate.MDEntries.Add(MarketDataUpdateDataBlock.TradeHighBidLowAskNew(e.Security,
incrementalSeqNums[e.Security],
Side.Buy,
book.SessionMaxBidPrice.Value));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(highBidUpdate);
var lowAskUpdate = new IncrementalUpdate(MatchEventIndicator.None, e.Time);
lowAskUpdate.MDEntries.Add(MarketDataUpdateDataBlock.TradeHighBidLowAskNew(e.Security,
incrementalSeqNums[e.Security],
Side.Sell,
book.SessionMinAskPrice.Value));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(lowAskUpdate);
}