public Level2(Quote quote, SymbolInfo info)
{
this.CreatingTime = quote.CreatingTime;
this.Symbol = quote.Symbol;
this.Bids = Level2EntriesFromQuoteEntries(quote.Bids, info.RoundLot);
this.Asks = Level2EntriesFromQuoteEntries(quote.Asks, info.RoundLot);
}
static QuoteLevel2Data[] BuildQuoteMultiLevelData(Quote[] quotesData, int depth)
{
var itemsToAdd = new List<QuoteLevel2Data>(capacity: quotesData.Length*depth);
var prevTime = new DateTime(1970, 1, 1);
var indexOrder = 0;
foreach (var quote in quotesData)
{
if (prevTime == quote.CreatingTime)
{
indexOrder++;
} else
{
indexOrder = 0;
}
var timeSpan = quote.CreatingTime.Subtract(prevTime).TotalMilliseconds;
var maxLength = Math.Max(quote.Asks.Length, quote.Bids.Length);
for (var index = 0; index < depth; index++) {
var quoteEntryAsk = index < maxLength && index<quote.Asks.Length ? quote.Asks[index] : NullQuote;
var quoteEntryBid = index < maxLength && index < quote.Bids.Length ? quote.Bids[index] : NullQuote;
if (quoteEntryAsk.Price.Equals(NullQuote.Price) && quoteEntryBid.Price.Equals(NullQuote.Price))
continue;
var newQuoteL2Data = new QuoteLevel2Data() {
AskVolume = quoteEntryAsk.Volume,
AsksPrice = quoteEntryAsk.Price,
BidVolume = quoteEntryBid.Volume,
BidPrice = quoteEntryBid.Price,
CreateTime = quote.CreatingTime,
IndexOrder = timeSpan + indexOrder / 100.0,
Level = index+1
};
itemsToAdd.Add(newQuoteL2Data);
}
}
QuoteLevel2Data[] quoteLevel2Data = itemsToAdd.ToArray();
return quoteLevel2Data;
}
public void EncodeFast(int precision, double volumeStep, Quote[] quotes)
{
this.proxy.EncodeFast((uint)precision, volumeStep, quotes);
}
public void EncodeFast(Quote[] quotes)
{
this.proxy.EncodeFast(quotes);
}
public void EncodeSlow(Quote[] quotes)
{
this.proxy.EncodeSlow(quotes);
}
internal static double[] QuoteArraySpread(Quote[] quotes)
{
return quotes.SelectToArray(b => b.Spread);
}
internal static DateTime[] QuoteArrayCreateTime(Quote[] quotes)
{
var timesAsEpoch = quotes.SelectToArray(b => b.CreatingTime);
return timesAsEpoch;
}
internal static double[] QuoteArrayAsk(Quote[] quotes)
{
return quotes.SelectToArray(b => b.HasAsk ? b.Ask : -1);
}
static Quote Parse(string text)
{
var stream = new TextStream();
stream.Initialize(text);
var lrpQuote = stream.ReadQuote("quote");
var bids = new QuoteEntry[lrpQuote.Bids.Length];
var asks = new QuoteEntry[lrpQuote.Asks.Length];
for (int index = 0; index < lrpQuote.Bids.Length; ++index)
{
bids[index] = new QuoteEntry(lrpQuote.Bids[index].Price, lrpQuote.Bids[index].Volume);
}
for (int index = 0; index < lrpQuote.Asks.Length; ++index)
{
asks[index] = new QuoteEntry(lrpQuote.Asks[index].Price, lrpQuote.Asks[index].Volume);
}
var result = new Quote(lrpQuote.Symbol, lrpQuote.CreatingTime, bids, asks);
return result;
}
/// <summary>
/// Compares to quotes for equality.
/// </summary>
/// <param name="first">the first quote to compare.</param>
/// <param name="second">the second quote to compare.</param>
/// <returns>true, if two quotes are the same or null, else false</returns>
public static bool Equals(Quote first, Quote second)
{
if (object.ReferenceEquals(first, second))
return true;
if (object.ReferenceEquals(first, null))
return false;
if (object.ReferenceEquals(null, second))
return false;
if (first.Symbol != second.Symbol)
return false;
if (first.CreatingTime != second.CreatingTime)
return false;
if (!Equals(first.Bids, second.Bids))
return false;
if (!Equals(first.Asks, second.Asks))
return false;
return true;
}
public void EncodeFast(Quote[] quotes)
{
throw new NotSupportedException();
}
public void EncodeFast(uint precision, double volumeStep, Quote[] quotes)
{
throw new NotSupportedException();
}
void DoRefreshBids(Quote quote, SymbolInfo info)
{
var count = quote.Bids.Length;
for (var index = 0; index < count; ++index)
{
var entry = quote.Bids[index];
var price = entry.Price;
var volume = (entry.Volume / info.RoundLot);
this.m_grid.Rows.Add(volume.ToString(), price.ToString(), string.Empty);
}
}
void DoRefreshAsks(Quote quote, SymbolInfo info)
{
var count = quote.Asks.Length;
for (var index = count - 1; index > -1; -- index)
{
var entry = quote.Asks[index];
var price = entry.Price;
var volume = (entry.Volume / info.RoundLot);
this.m_grid.Rows.Add(string.Empty, price.ToString(), volume.ToString());
}
}
void DoRefresh(Quote quote, SymbolInfo info)
{
this.m_grid.Rows.Clear();
this.DoRefreshAsks(quote, info);
this.DoRefreshBids(quote, info);
}
internal static double[] QuoteArrayBid(Quote[] quotes)
{
return quotes.SelectToArray(b => b.HasBid ? b.Bid : -1);
}
public bool TryGetQuote(string symbol, FixSessionId sessionId, out Quote quote)
{
return this.parser.TryGetQuote(this.handle, symbol, sessionId, out quote);
}
public static void Main(string[] args)
{
string line = null;
using (var stream = new StreamReader(@"E:\Output\codec0.txt"))
{
line = stream.ReadLine();
}
var quote = Parse(line);
using (var codec = new LrpCodec())
{
var quotes = new Quote[] { quote };
codec.EncodeSlow(quotes);
}
}
