void iqFeed_IQUpdateMessage(object sender, IQSummaryEventArgs e)
{
if (!connected)
{
return;
}
TickData tick = new TickData();
List<TickData> ticks = new List<TickData>();
if (e.SummaryMessage.Level1.LastTradeTime == DateTime.MinValue)
{
Console.WriteLine("UpdateMessage DateTime.MinValue encountered for tickType " + e.SummaryMessage.Level1.UpdateType.ToString());
}
switch (e.SummaryMessage.Level1.UpdateType)
{
case UpdateType.AskUpdate:
tick.tickType = TickType.Ask;
tick.size = (ulong)e.SummaryMessage.Level1.AskSize;
tick.price = e.SummaryMessage.Level1.Ask;
tick.time = e.SummaryMessage.Level1.LastTradeTime;
ticks.Add(tick);
break;
case UpdateType.BidUpdate:
tick.tickType = TickType.Bid;
tick.size = (ulong)e.SummaryMessage.Level1.BidSize;
tick.price = e.SummaryMessage.Level1.Bid;
tick.time = e.SummaryMessage.Level1.LastTradeTime;
ticks.Add(tick);
// I never get an "AskUpdate" it appears, so I'm going to update
// the bid and ask here
TickData askTick = new TickData();
askTick.tickType = TickType.Ask;
askTick.size = (ulong)e.SummaryMessage.Level1.AskSize;
askTick.price = e.SummaryMessage.Level1.Ask;
askTick.time = e.SummaryMessage.Level1.LastTradeTime;
ticks.Add(askTick);
break;
case UpdateType.TradeUpdate:
tick.tickType = TickType.Trade;
tick.size = e.SummaryMessage.Level1.LastSize;
tick.price = e.SummaryMessage.Level1.LastPrice;
tick.time = e.SummaryMessage.Level1.LastTradeTime;
ticks.Add(tick);
break;
default:
break;
}
if (ticks.Count > 0)
{
Symbol symbol = symbolMapping[e.SummaryMessage.Level1.SymbolString];
ProcessTicks(symbol, ticks);
}
}
void iqFeed_IQSummaryMessage(object sender, IQSummaryEventArgs e)
{
if (!connected)
{
return;
}
TickData bid = new TickData();
TickData ask = new TickData();
List<TickData> ticks = new List<TickData>();
bid.tickType = TickType.Bid;
ask.tickType = TickType.Ask;
bid.price = e.SummaryMessage.Level1.Bid;
ask.price = e.SummaryMessage.Level1.Ask;
bid.size = (ulong)e.SummaryMessage.Level1.BidSize;
ask.size = (ulong)e.SummaryMessage.Level1.AskSize;
if (e.SummaryMessage.Level1.LastTradeTime == DateTime.MinValue)
{
Console.WriteLine("Summary Message DateTime.MinValue encountered for tickType " + e.SummaryMessage.Level1.UpdateType.ToString());
}
if (e.SummaryMessage.Level1.LastTradeTime != DateTime.MinValue)
{
bid.time = ask.time = e.SummaryMessage.Level1.LastTradeTime;
lastGoodTickTime = e.SummaryMessage.Level1.LastTradeTime;
}
else
{
bid.time = ask.time = lastGoodTickTime;
}
TickData totalVolume = new TickData();
totalVolume.size = e.SummaryMessage.Level1.TotalVolume;
totalVolume.time = lastGoodTickTime;
totalVolume.tickType = TickType.DailyVolume;
TickData lastPrice = new TickData();
lastPrice.tickType = TickType.Trade;
lastPrice.time = lastGoodTickTime;
lastPrice.price = e.SummaryMessage.Level1.LastPrice;
TickData prevClose = new TickData();
prevClose.tickType = TickType.PreviousClose;
prevClose.time = lastGoodTickTime;
prevClose.price = e.SummaryMessage.Level1.LastPrice - e.SummaryMessage.Level1.TodaysChange;
TickData open = new TickData();
open.tickType = TickType.OpenPrice;
open.time = lastGoodTickTime;
open.price = e.SummaryMessage.Level1.Open;
TickData high = new TickData();
high.tickType = TickType.HighPrice;
high.time = lastGoodTickTime;
high.price = e.SummaryMessage.Level1.High;
TickData low = new TickData();
low.tickType = TickType.LowPrice;
low.price = e.SummaryMessage.Level1.Low;
low.time = lastGoodTickTime;
ticks.Add(bid);
ticks.Add(ask);
ticks.Add(totalVolume);
ticks.Add(lastPrice);
ticks.Add(prevClose);
ticks.Add(open);
ticks.Add(high);
ticks.Add(low);
Symbol symbol = symbolMapping[e.SummaryMessage.Level1.SymbolString];
ProcessTicks(symbol, ticks);
}