internal void EmitMarketDepth(object o, LevelIIUpdateMessageEventArgs args)
{
if (null != NewMarketDepth)
{
/*
* Console.WriteLine("EmitMarketDepth {0} {1} {2} {3} {4} {5}",
* args.Message.Symbol, args.Message.MMID, args.Message.BidPrice, args.Message.BidSize,
* args.Message.AskPrice, args.Message.AskSize);
*/
MarketDepth md;
string Symbol = args.Message.Symbol;
IQFeedDataRequestRecord rr = htL2WatchedSymbols[Symbol] as IQFeedDataRequestRecord;
md = new MarketDepth(
rr.GetUniqueTimeStamp(),
args.Message.MMID, 0, MDOperation.Undefined, MDSide.Bid, args.Message.BidPrice, args.Message.BidSize);
NewMarketDepth(this, new MarketDepthEventArgs(md, rr.instrument, this));
md = new MarketDepth(
rr.GetUniqueTimeStamp(),
args.Message.MMID, 0, MDOperation.Undefined, MDSide.Ask, args.Message.AskPrice, args.Message.AskSize);
NewMarketDepth(this, new MarketDepthEventArgs(md, rr.instrument, this));
}
}
internal void EmitQuoteTrade(object sender, UpdateMessageEventArgs args)
{
IQFeedDataRequestRecord rr = htL1WatchedSymbols[args.Message.Symbol] as IQFeedDataRequestRecord;
/*
* if (SmartQuant.TraceLevel.Verbose == trace) {
* string s;
* s = string.Format(" sym='{0}',lst='{1}',vol='{2}',bid='{3}',ask='{4}',bsz='{5}',asz='{6}',typ='{7}'",
* args.Message.Symbol, args.Message.Last, args.Message.LastSize,
* args.Message.Bid, args.Message.Ask, args.Message.BidSize, args.Message.Type );
* Console.WriteLine(s);
* }
*/
switch (args.Message.Type)
{
case "a":
case "b":
if (null != NewQuote)
{
QuoteEventArgs q = new QuoteEventArgs(
new Quote(
rr.GetUniqueTimeStamp(),
args.Message.Bid,
args.Message.BidSize,
args.Message.Ask,
args.Message.AskSize),
rr.instrument, this);
NewQuote(this, q);
}
break;
case "t":
case "T":
Trade trade = new Trade(
rr.GetUniqueTimeStamp(),
args.Message.Last,
args.Message.LastSize);
if (null != NewTrade)
{
TradeEventArgs t = new TradeEventArgs(trade, rr.instrument, this);
NewTrade(this, t);
}
if (null != factory)
{
factory.OnNewTrade(rr.instrument, trade);
}
break;
case "o":
break;
default:
break;
}
}
internal void EmitTradeSummary(object sender, SummaryMessageEventArgs args)
{
IQFeedDataRequestRecord rr = htL1WatchedSymbols[args.Message.Symbol] as IQFeedDataRequestRecord;
if (null != TradeSummary)
{
//if (0 < args.Message.Last) {
TradeEventArgs t = new TradeEventArgs(new Trade(
rr.GetUniqueTimeStamp(),
args.Message.Last,
args.Message.LastSize
),
rr.instrument, this);
TradeSummary(this, t);
//}
//else {
// Console.WriteLine("*** IQFeedProvider tradesummary dLast is {0} ***", args.Message.Last);
//}
}
}