private void Level1Update(MessageMbtQuotes message)
{
SymbolHandler handler;
try
{
SymbolInfo symbolInfo = Factory.Symbol.LookupSymbol(message.Symbol);
handler = symbolHandlers[symbolInfo.BinaryIdentifier];
}
catch (ApplicationException)
{
log.Info("Received tick: " + new string(message.DataIn.ReadChars(message.Remaining)));
throw;
}
if (message.Bid != 0)
{
handler.Bid = message.Bid;
}
if (message.Ask != 0)
{
handler.Ask = message.Ask;
}
if (message.AskSize != 0)
{
handler.AskSize = message.AskSize;
}
if (message.BidSize != 0)
{
handler.BidSize = message.BidSize;
}
UpdateTime(handler, message);
handler.SendQuote();
return;
}
private void UpdateTime(SymbolHandler handler, MessageMbtQuotes message)
{
TimeStamp currentTime;
if (UseLocalTickTime)
{
currentTime = TimeStamp.UtcNow;
}
else
{
currentTime = new TimeStamp(message.GetTickUtcTime());
}
if (currentTime <= handler.Time)
{
currentTime.Internal = handler.Time.Internal + 1;
}
handler.Time = currentTime;
}
private void OptionChainUpdate(MessageMbtQuotes message)
{
var symbol = message.Symbol;
var symbolInfo = Factory.Symbol.LookupSymbol(symbol);
var handler = symbolOptionHandlers[symbolInfo.BinaryIdentifier];
if (message.Bid != 0)
{
handler.Bid = message.Bid;
}
if (message.Ask != 0)
{
handler.Ask = message.Ask;
}
if (message.AskSize != 0)
{
handler.AskSize = message.AskSize;
}
if (message.BidSize != 0)
{
handler.BidSize = message.BidSize;
}
if (message.Last != 0)
{
handler.Last = message.Last;
}
if (message.LastSize != 0)
{
handler.LastSize = message.LastSize;
}
if (message.Strike != 0)
{
handler.StrikePrice = message.Strike;
}
handler.OptionType = message.OptionType;
handler.UtcOptionExpiration = new TimeStamp(message.UtcOptionExpiration);
UpdateTime(handler, message);
handler.SendOptionPrice();
handler.Clear();
return;
}
protected void ReceiveMessage(MessageMbtQuotes message)
{
switch (message.MessageType)
{
case '1':
Level1Update(message);
break;
case '2':
log.Error("Message type '2' unknown Message is: " + message);
log.Info("Received tick: " + new string(message.DataIn.ReadChars(message.Remaining)));
break;
case '3':
if (trace)
{
message.Data.Position = 0;
var messageText = new string(message.DataIn.ReadChars(message.Remaining));
log.Trace("Received tick: " + messageText);
}
// Filter Form T trades which are belatedly entered at the last close price
// later on the next day with sales type 30031 or condition 29.
// Also eliminate condition 53 which is an average trade price for the day.
if (message.SalesType != 30031 && message.Condition != 29 && message.Condition != 53)
{
TimeAndSalesUpdate(message);
}
break;
case '4':
OptionChainUpdate(message);
break;
default:
var messageInError = new string(message.DataIn.ReadChars(message.Remaining));
log.Info("Received tick: " + messageInError);
throw new ApplicationException("MBTQuotes message type '" + message.MessageType + "' was unknown: \n" + messageInError);
}
}
private void TimeAndSalesUpdate(MessageMbtQuotes message)
{
var symbol = message.Symbol;
var symbolInfo = Factory.Symbol.LookupSymbol(symbol);
var handler = symbolHandlers[symbolInfo.BinaryIdentifier];
handler.Last = message.Last;
if (trace)
{
log.Trace("Got last trade price: " + handler.Last); // + "\n" + Message);
}
handler.LastSize = message.LastSize;
int condition = message.Condition;
if (condition != 0 &&
condition != 53 &&
condition != 45)
{
log.Info("Trade quote received with non-zero condition: " + condition);
}
int status = message.Status;
if (status != 0)
{
log.Info("Trade quote received with non-zero status: " + status);
}
int type = message.Type;
if (type != 0)
{
log.Info("Trade quote received with non-zero type: " + type);
}
UpdateTime(handler, message);
handler.SendTimeAndSales();
return;
}