static void client_TickSize(object sender, TickSizeEventArgs e)
{
Console.WriteLine("Tick Size: " + e.Size + " Tick Type: " + EnumDescConverter.GetEnumDescription(e.TickType));
}
void client_TickSize(object sender, TickSizeEventArgs 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("size tick");
data.size = AdjustVolume(symbol, (UInt64)e.Size);
if (e.TickType == KRSTickType.BidSize)
{
// Bid size
data.tickType = TickType.Bid;
lastBidPrices.TryGetValue(symbol, out data.price);
lastBidSizes[symbol] = data.size;
}
else if (e.TickType == KRSTickType.AskSize)
{
// Ask size
data.tickType = TickType.Ask;
lastAskPrices.TryGetValue(symbol, out data.price);
lastAskSizes[symbol] = data.size;
}
else if (e.TickType == KRSTickType.LastSize)
{
// Last Size
return;
//data.tickType = TickType.LastSize;
}
else if (e.TickType == KRSTickType.Volume)
{
// Volume
bool bSend = true;
UInt64 lastVolume;
TickData tradeTick = new TickData();
if (!lastVolumes.TryGetValue(symbol, out lastVolume))
{
bSend = false;
}
else if ((UInt64)e.Size <= lastVolume)
{
bSend = false;
}
else if (!lastPrices.TryGetValue(symbol, out tradeTick.price))
{
bSend = false;
}
//if (lastVolume == -1 || data.value <= lastVolume)
//{
// bSend = false;
//}
if (bSend)
{
tradeTick.time = data.time;
tradeTick.tickType = TickType.Trade;
tradeTick.size = AdjustVolume(symbol, (UInt64)e.Size - lastVolume);
//lastVolume = e.size * 100;
if (tickListener != null)
{
tickListener(symbol, tradeTick);
}
}
if (e.Size > 0)
{
lastVolumes[symbol] = (UInt64)e.Size;
}
data.tickType = TickType.DailyVolume;
}
else
{
// Unknown tick type
return;
}
listener = tickListener;
}
if (listener != null)
{
listener(symbol, data);
}
}
public void sizeChangeTick(Object sender, TickSizeEventArgs e)
{
Product p = tickerIdsToProduct[e.TickerId];
p.asOf = DateTime.UtcNow;
log.Debug("Size change for " + p.symbol + " on " + e.TickType.ToString() + " New size = " + Convert.ToString(e.Size));
switch (e.TickType)
{
case Krs.Ats.IBNet.TickType.BidSize:
p.bidQty = e.Size;
if (BidQtyUpdate != null)
BidQtyUpdate(p);
break;
case Krs.Ats.IBNet.TickType.AskSize:
p.askQty = e.Size;
if (AskQtyUpdate != null)
AskQtyUpdate(p);
break;
case Krs.Ats.IBNet.TickType.LastSize:
p.lastQty = e.Size;
if (LastQtyUpdate != null)
LastQtyUpdate(p);
break;
default:
break;
}
}
void client_TickSize(object sender, TickSizeEventArgs e)
{
//Console.WriteLine("Tick Size: " + e.Size + " Tick Type: " + EnumDescConverter.GetEnumDescription(e.TickType));
int secondFraction = (int)(DateTime.Now.Ticks % TimeSpan.TicksPerSecond / (TimeSpan.TicksPerSecond / 256));
lock (capturingWriterLock)
{
capturingWriter.Write((byte)secondFraction);
capturingWriter.Write((byte)e.TickType);
capturingWriter.Write((byte)e.TickerId);
capturingWriter.Write((float)e.Size);
}
if ((totalCaptureEventsForDisplay & 0x3C) == 0) //only shows the first 4 for every 64
logger.Trace("{0} : {1} : {2} : {3}", e.TickType, symbols[e.TickerId].Symbol, e.TickerId, e.Size);
totalCaptureEventsForDisplay++;
}