protected virtual void OnLevel1SummaryUpdateEvent(Level1SummaryUpdateEventArgs e)
{
if (Level1SummaryUpdateEvent != null)
{
Level1SummaryUpdateEvent(this, e);
}
}
/// <summary>
/// Handle a new price update packet:
/// </summary>
private void OnLevel1SummaryUpdateEvent(object sender, Level1SummaryUpdateEventArgs e)
{
// if ticker is not found, unsubscribe
if (e.NotFound)
{
Unsubscribe(e.Symbol);
}
// only update if we have a value
if (e.Last == 0)
{
return;
}
// only accept trade updates
if (e.TypeOfUpdate != Level1SummaryUpdateEventArgs.UpdateType.ExtendedTrade &&
e.TypeOfUpdate != Level1SummaryUpdateEventArgs.UpdateType.Trade)
{
return;
}
count++;
var time = FeedTime;
var symbol = Symbol.Create(e.Symbol, SecurityType.Equity, Market.USA);
var last = (decimal)(e.TypeOfUpdate == Level1SummaryUpdateEventArgs.UpdateType.ExtendedTrade ? e.ExtendedTradingLast : e.Last);
if (e.Symbol.Contains(".FXCM"))
{
// the feed time is in NYC/EDT, convert it into EST
time = FeedTime.ConvertTo(TimeZones.NewYork, TimeZones.EasternStandard);
symbol = Symbol.Create(e.Symbol.Replace(".FXCM", string.Empty), SecurityType.Forex, Market.FXCM);
}
var tick = new Tick(time, symbol, last, (decimal)e.Bid, (decimal)e.Ask)
{
AskSize = e.AskSize,
BidSize = e.BidSize,
TickType = TickType.Trade,
Quantity = e.IncrementalVolume
};
_dataQueue.Add(tick);
_prices[e.Symbol] = e.Last;
}
/// <summary>
/// Handle a new price update packet:
/// </summary>
private void OnLevel1SummaryUpdateEvent(object sender, Level1SummaryUpdateEventArgs e)
{
// if ticker is not found, unsubscribe
if (e.NotFound)
{
Unsubscribe(e.Symbol);
}
// only update if we have a value
if (e.Last == 0)
{
return;
}
// only accept trade and B/A updates
if (e.TypeOfUpdate != Level1SummaryUpdateEventArgs.UpdateType.ExtendedTrade &&
e.TypeOfUpdate != Level1SummaryUpdateEventArgs.UpdateType.Trade &&
e.TypeOfUpdate != Level1SummaryUpdateEventArgs.UpdateType.Bid &&
e.TypeOfUpdate != Level1SummaryUpdateEventArgs.UpdateType.Ask)
{
return;
}
count++;
var time = FeedTime;
var last = (decimal)(e.TypeOfUpdate == Level1SummaryUpdateEventArgs.UpdateType.ExtendedTrade ? e.ExtendedTradingLast : e.Last);
var symbol = GetLeanSymbol(e.Symbol);
TickType tradeType;
switch (symbol.ID.SecurityType)
{
// the feed time is in NYC/EDT, convert it into EST
case SecurityType.Forex:
time = FeedTime.ConvertTo(TimeZones.NewYork, TimeZones.EasternStandard);
// TypeOfUpdate always equal to UpdateType.Trade for FXCM, but the message contains B/A and last data
tradeType = TickType.Quote;
break;
// for all other asset classes we leave it as is (NYC/EDT)
default:
time = FeedTime;
tradeType = e.TypeOfUpdate == Level1SummaryUpdateEventArgs.UpdateType.Bid ||
e.TypeOfUpdate == Level1SummaryUpdateEventArgs.UpdateType.Ask ?
TickType.Quote :
TickType.Trade;
break;
}
var tick = new Tick(time, symbol, last, (decimal)e.Bid, (decimal)e.Ask)
{
AskSize = e.AskSize,
BidSize = e.BidSize,
Quantity = e.IncrementalVolume,
TickType = tradeType,
DataType = MarketDataType.Tick
};
Emit(tick);
_prices[e.Symbol] = e.Last;
if (symbol.ID.SecurityType == SecurityType.Option || symbol.ID.SecurityType == SecurityType.Future)
{
if (!_openInterests.ContainsKey(e.Symbol) || _openInterests[e.Symbol] != e.OpenInterest)
{
var oi = new OpenInterest(time, symbol, e.OpenInterest);
Emit(oi);
_openInterests[e.Symbol] = e.OpenInterest;
}
}
}
/// <summary>
/// Handle a new price update packet:
/// </summary>
private void OnLevel1SummaryUpdateEvent(object sender, Level1SummaryUpdateEventArgs e)
{
// if ticker is not found, unsubscribe
if (e.NotFound) Unsubscribe(e.Symbol);
// only update if we have a value
if (e.Last == 0) return;
// only accept trade updates
if (e.TypeOfUpdate != Level1SummaryUpdateEventArgs.UpdateType.ExtendedTrade
&& e.TypeOfUpdate != Level1SummaryUpdateEventArgs.UpdateType.Trade) return;
count++;
var time = FeedTime;
var symbol = Symbol.Create(e.Symbol, SecurityType.Equity, Market.USA);
var last = (decimal)(e.TypeOfUpdate == Level1SummaryUpdateEventArgs.UpdateType.ExtendedTrade ? e.ExtendedTradingLast : e.Last);
if (e.Symbol.Contains(".FXCM"))
{
// the feed time is in NYC/EDT, convert it into EST
time = FeedTime.ConvertTo(TimeZones.NewYork, TimeZones.EasternStandard);
symbol = Symbol.Create(e.Symbol.Replace(".FXCM", string.Empty), SecurityType.Forex, Market.FXCM);
}
var tick = new Tick(time, symbol, last, (decimal)e.Bid, (decimal)e.Ask)
{
AskSize = e.AskSize,
BidSize = e.BidSize,
TickType = TickType.Trade,
Quantity = e.IncrementalVolume
};
_dataQueue.Add(tick);
_prices[e.Symbol] = e.Last;
}
protected virtual void OnLevel1SummaryUpdateEvent(Level1SummaryUpdateEventArgs e)
{
if (Level1SummaryUpdateEvent != null) Level1SummaryUpdateEvent(this, e);
}
