static void client_TickPrice(object sender, TickPriceEventArgs e)
{
Console.WriteLine("Price: " + e.Price + " Tick Type: " + EnumDescConverter.GetEnumDescription(e.TickType));
}
void client_TickPrice(object sender, TickPriceEventArgs e)
{
Symbol symbol = null;
TickData data;
GotTickData listener = null;
lock (_lockObject)
{
symbol = idToSymbol(e.TickerId);
if (symbol == null)
{
// Not a watched symbol
return;
}
data = new TickData();
data.time = GetAccountTime("price tick");
data.price = (double)e.Price;
if (data.price <= 0 &&
symbol.AssetClass != AssetClass.Future &&
symbol.AssetClass != AssetClass.Option &&
symbol.AssetClass != AssetClass.FuturesOption)
{
// GBP/USD was getting bid and ask ticks with a price of zero, so ignore these.
// 4/20/2010 - A user reported various forex symbols were getting negative prices, so these will also be ignored
return;
}
if (e.TickType == KRSTickType.BidPrice)
{
// Bid price
data.tickType = TickType.Bid;
lastBidSizes.TryGetValue(symbol, out data.size);
lastBidPrices[symbol] = (double)e.Price;
}
else if (e.TickType == KRSTickType.AskPrice)
{
// Ask price
data.tickType = TickType.Ask;
lastAskSizes.TryGetValue(symbol, out data.size);
lastAskPrices[symbol] = (double)e.Price;
}
else if (e.TickType == KRSTickType.LastPrice)
{
// Last price;
lastPrices[symbol] = (double)e.Price;
if (symbol.AssetClass == AssetClass.Index)
{
// Indexes don't come with volume ticks, so we can
// force this tick through instead of trying to match
// it up with a volume tick.
data.tickType = TickType.Trade;
}
else
{
return;
}
}
else if (e.TickType == KRSTickType.HighPrice)
{
// High price
data.tickType = TickType.HighPrice;
}
else if (e.TickType == KRSTickType.LowPrice)
{
// Low price
data.tickType = TickType.LowPrice;
}
else if (e.TickType == KRSTickType.ClosePrice)
{
// Close price
data.tickType = TickType.PreviousClose;
}
else if (e.TickType == Krs.Ats.IBNet.TickType.OpenPrice)
{
data.tickType = TickType.OpenPrice;
}
else
{
// Unknown tick type
return;
}
listener = tickListener;
}
if (data.tickType != TickType.NotSet && listener != null)
{
listener(symbol, data);
}
}
public void priceChangeTick(Object sender, TickPriceEventArgs e)
{
Product p = tickerIdsToProduct[e.TickerId];
p.asOf = DateTime.UtcNow;
log.Debug("Price change for " + p.symbol + " on " + e.TickType.ToString() + " New price = " + Convert.ToString(e.Price));
switch (e.TickType)
{
case Krs.Ats.IBNet.TickType.BidPrice:
p.bid = Convert.ToDouble(e.Price);
if (BidUpdate != null)
BidUpdate(p);
break;
case Krs.Ats.IBNet.TickType.AskPrice:
p.ask = Convert.ToDouble(e.Price);
if (AskUpdate != null)
AskUpdate(p);
break;
case Krs.Ats.IBNet.TickType.LastPrice:
p.last = Convert.ToDouble(e.Price);
if (LastUpdate != null)
LastUpdate(p);
break;
default:
break;
}
}
//////////////////////////////////////////////////////////////////////
//////////////////// TWS message event handlers /////////////////////
//////////////////////////////////////////////////////////////////////
void client_TickPrice(object sender, TickPriceEventArgs e)
{
//Console.WriteLine("Price: " + e.Price + " Tick Type: " + EnumDescConverter.GetEnumDescription(e.TickType));
DateTime now = DateTime.Now;
int secondFraction = (int)(now.Ticks % TimeSpan.TicksPerSecond / (TimeSpan.TicksPerSecond / 256));
lock (capturingWriterLock)
{
capturingWriter.Write((byte)secondFraction); // record sub-second time (1/256th resolution)
capturingWriter.Write((byte)e.TickType); // kind of data (like bid, ask, last...)
capturingWriter.Write((byte)e.TickerId); // The Symbol ID (like AMD, INTC, INDU..)
capturingWriter.Write((float)e.Price); // The data - in this case price.
}
logger.Trace("{0} : {1} : {2} : {3}", e.TickType, symbols[e.TickerId].Symbol, e.TickerId, e.Price);
totalCaptureEventsForDisplay++;
lastRecievedUpdate = now;
}
