protected override List <int> ProcessBookEventsForABook(int bookID, List <EventArgs> eArgList)
{
List <int> updatedInstrList = new List <int>();
foreach (EventArgs eArg in eArgList)
{
Type eArgType = eArg.GetType();
/*
* if (eArgType == typeof(PriceListener.PriceUpdateEventArgs))
* {
* PriceListener.PriceUpdateEventArgs e = (PriceListener.PriceUpdateEventArgs)eArg;
* int Id;
* if (m_InstrumentMarkets.TryGetValue(e.Instrument, out Id))
* {
* m_Book[bookID].Instruments[Id].SetMarket(0, 0, ((Price)e.BidPrice).ToDouble(), ((Quantity)e.BidQty).ToInt(), 0);
* m_Book[bookID].Instruments[Id].SetMarket(1, 0, ((Price)e.AskPrice).ToDouble(), ((Quantity)e.AskQty).ToInt(), 0);
* //m_Book[bookID].Instruments[Id].LastPrice = (e
* }
* }
*/
if (eArgType == typeof(Misty.Lib.BookHubs.MarketUpdateEventArgs))
{
Misty.Lib.BookHubs.MarketUpdateEventArgs e = (Misty.Lib.BookHubs.MarketUpdateEventArgs)eArg;
int Id;
Misty.Lib.BookHubs.Market mktInstrument;
// TODO: Figure out how we can get here, with ID=0 and no Instrument yet in dictionary with that Id.
if (m_InstrumentMarkets.TryGetValue(e.Name, out Id) && m_Book[bookID].Instruments.TryGetValue(Id, out mktInstrument))
{
mktInstrument.SetMarket(e.Side, 0, e.Price, e.Qty, 0);
}
}
else if (eArgType == typeof(Misty.Lib.BookHubs.MarketStatusEventArgs))
{
Misty.Lib.BookHubs.MarketStatusEventArgs e = (Misty.Lib.BookHubs.MarketStatusEventArgs)eArg;
int Id;
Misty.Lib.BookHubs.Market mktInstrument;
if (m_InstrumentMarkets.TryGetValue(e.InstrumentName, out Id) && m_Book[bookID].Instruments.TryGetValue(Id, out mktInstrument))
{
if (e.Status == Misty.Lib.BookHubs.MarketStatus.Trading)
{
m_Book[bookID].Instruments[Id].IsMarketGood = true;
}
else
{
m_Book[bookID].Instruments[Id].IsMarketGood = false;
}
}
}
else
{
Log.NewEntry(LogLevel.Warning, string.Format("Error unexpected event of type {0} : {1}", eArgType.Name, eArg.ToString()));
}
}
return(new List <int>());
}
private void PriceListener_ProcessMarketEvents(ref List <EventArgs> eventArgs)
{
DateTime now = Log.GetTime();
foreach (EventArgs eventArg in eventArgs)
{
if (eventArg is Misty.Lib.BookHubs.MarketUpdateEventArgs)
{
Misty.Lib.BookHubs.MarketUpdateEventArgs e = (Misty.Lib.BookHubs.MarketUpdateEventArgs)eventArg;
Market mkt;
if (m_Markets.TryGetValue(e.Name, out mkt))
{
mkt.PQ[e.Side].Price = e.Price;
mkt.PQ[e.Side].Qty = e.Qty;
mkt.IsChanged = true;
}
}
else if (eventArg is Misty.Lib.BookHubs.MarketStatusEventArgs)
{
Misty.Lib.BookHubs.MarketStatusEventArgs e = (Misty.Lib.BookHubs.MarketStatusEventArgs)eventArg;
string s = string.Format("{0},{1},Status,{2}", now.ToString(Strings.FormatDateTimeZone), e.InstrumentName, e.Status);
Console.WriteLine(s);
m_Writer.RequestEnqueue(s);
}
}
//
foreach (Market mkt in m_Markets.Values)
{
if (mkt.IsChanged)
{
Console.WriteLine(mkt.ToString(now));
m_Writer.RequestEnqueue(mkt.ToString(now));
// REset trades to zero
mkt.PQ[2].Qty = 0;
mkt.IsChanged = false;
}
}
}// PriceListener_ProcessMarketEvents
//
//
//
// **** PriceSubscription_Updated() ****
//
private void PriceSubscription_Updated(object sender, FieldsUpdatedEventArgs eventArgs)
{
if (m_isDisposing)
{
return;
}
bool isSnapShot = (eventArgs.UpdateType == UpdateType.Snapshot);
if (eventArgs.Error == null)
{
// Analyze
FieldId[] changedFieldIds = eventArgs.Fields.GetChangedFieldIds();
if (changedFieldIds.Length > 0)
{
InstrumentKey key = eventArgs.Fields.Instrument.Key;
MistyProd.InstrumentName instrKey;
if (m_KeyToInstruments.TryGetValue(key, out instrKey))
{
m_NewEvents.Clear();
// Bid side
if (isSnapShot || changedFieldIds.Contains <FieldId>(FieldId.BestBidPrice) || changedFieldIds.Contains <FieldId>(FieldId.BestBidQuantity))
{
Price p = (Price)eventArgs.Fields.GetField(FieldId.BestBidPrice).Value;
Quantity q = (Quantity)eventArgs.Fields.GetField(FieldId.BestBidQuantity).Value;
if (p.IsValid && q.IsValid)
{
int qty = q.ToInt();
if (qty > 0)
{
Misty.Lib.BookHubs.MarketUpdateEventArgs e = new Misty.Lib.BookHubs.MarketUpdateEventArgs();
//e.Instrument = instrument;
e.Name = instrKey;
e.Price = p.ToDouble();
e.Qty = q.ToInt();
e.Side = QTMath.BidSide;
m_NewEvents.Add(e);
}
}
}
// Ask side
if (isSnapShot || changedFieldIds.Contains <FieldId>(FieldId.BestAskPrice) || changedFieldIds.Contains <FieldId>(FieldId.BestAskQuantity))
{
Price p = (Price)eventArgs.Fields.GetField(FieldId.BestAskPrice).Value;
Quantity q = (Quantity)eventArgs.Fields.GetField(FieldId.BestAskQuantity).Value;
if (p.IsValid && q.IsValid)
{
int qty = q.ToInt();
if (qty > 0)
{
Misty.Lib.BookHubs.MarketUpdateEventArgs e = new Misty.Lib.BookHubs.MarketUpdateEventArgs();
//e.Instrument = instrument;
e.Name = instrKey;
e.Price = p.ToDouble();
e.Qty = q.ToInt();
e.Side = QTMath.AskSide;
m_NewEvents.Add(e);
}
}
}
// Last
if (isSnapShot || changedFieldIds.Contains <FieldId>(FieldId.LastTradedPrice) || changedFieldIds.Contains <FieldId>(FieldId.LastTradedQuantity))
{
Price p = (Price)eventArgs.Fields.GetField(FieldId.LastTradedPrice).Value;
Quantity q = (Quantity)eventArgs.Fields.GetField(FieldId.LastTradedQuantity).Value;
if (p == 0)
{
//int nn = 0;
}
if (p.IsValid && q.IsValid)
{
int qty = q.ToInt();
if (qty > 0)
{
Misty.Lib.BookHubs.MarketUpdateEventArgs e = new Misty.Lib.BookHubs.MarketUpdateEventArgs();
//e.Instrument = instrument;
e.Name = instrKey;
e.Price = p.ToDouble();
e.Qty = q.ToInt();
e.Side = QTMath.LastSide;
m_NewEvents.Add(e);
}
}
}
// Total Volume
/*
* if (isSnapShot || changedFieldIds.Contains<FieldId>(FieldId.TotalTradedQuantity))
* {
* object f = eventArgs.Fields.GetField(FieldId.TotalTradedQuantity).Value;
* Quantity q = (Quantity)eventArgs.Fields.GetField(FieldId.LastTradedQuantity).Value;
* if (q.IsValid)
* {
* Misty.Lib.BookHubs.MarketUpdateEventArgs e = new Misty.Lib.BookHubs.MarketUpdateEventArgs();
* e.Instrument = instrument;
* e.Qty = q.ToInt();
* //e.Side = QTMath.LastSide;
* //m_NewEvents.Add(e);
* }
* }
* if (isSnapShot || changedFieldIds.Contains<FieldId>(FieldId.HighPrice))
* {
* object f = eventArgs.Fields.GetField(FieldId.HighPrice).Value;
* }
* if (isSnapShot || changedFieldIds.Contains<FieldId>(FieldId.LowPrice))
* {
* object f = eventArgs.Fields.GetField(FieldId.LowPrice).Value;
* }
*/
/*
* if (changedFieldIds.Contains<FieldId>(FieldId.OpenPrice))
* {
* object f = eventArgs.Fields.GetField(FieldId.OpenPrice).Value;
* }
* if (isSnapShot || changedFieldIds.Contains<FieldId>(FieldId.SettlementPrice))
* {
* object f = eventArgs.Fields.GetField(FieldId.SettlementPrice).Value;
* }
*/
// Series Status
if (changedFieldIds.Contains <FieldId>(FieldId.SeriesStatus))
{
TradingStatus status = (TradingStatus)eventArgs.Fields.GetField(FieldId.SeriesStatus).Value;
Log.NewEntry(LogLevel.Minor, "PriceListener: SeriesStatus change {0} is {1}.", instrKey, status.ToString());
Misty.Lib.BookHubs.MarketStatusEventArgs e = new Misty.Lib.BookHubs.MarketStatusEventArgs();
//e.Instrument = instrument;
e.InstrumentName = instrKey;
if (status == TradingStatus.Trading)
{
e.Status = Misty.Lib.BookHubs.MarketStatus.Trading;
}
else if (status == TradingStatus.Closed || status == TradingStatus.ClosingAuction || status == TradingStatus.Expired ||
status == TradingStatus.NotTradable || status == TradingStatus.PostTrading)
{
e.Status = Misty.Lib.BookHubs.MarketStatus.NotTrading;
}
else
{
e.Status = Misty.Lib.BookHubs.MarketStatus.Special;
}
m_NewEvents.Add(e);
}
// Session rollover
if (changedFieldIds.Contains <FieldId>(FieldId.SessionRollover))
{
TradingStatus status = (TradingStatus)eventArgs.Fields.GetField(FieldId.SeriesStatus).Value;
Log.NewEntry(LogLevel.Minor, "PriceListener: SessionRollover change {0} is {1}.", instrKey, status.ToString());
Misty.Lib.BookHubs.MarketStatusEventArgs e = new Misty.Lib.BookHubs.MarketStatusEventArgs();
//e.Instrument = instrument;
e.InstrumentName = instrKey;
if (status == TradingStatus.Trading)
{
e.Status = Misty.Lib.BookHubs.MarketStatus.Trading;
}
else if (status == TradingStatus.Closed || status == TradingStatus.ClosingAuction || status == TradingStatus.Expired ||
status == TradingStatus.NotTradable || status == TradingStatus.PostTrading)
{
e.Status = Misty.Lib.BookHubs.MarketStatus.NotTrading;
}
else
{
e.Status = Misty.Lib.BookHubs.MarketStatus.Special;
}
m_NewEvents.Add(e);
}
//
// Fire events
//
ProcessPriceChangeEvents(ref m_NewEvents);
}// if instrument not found for ttKey.
else
{
Log.NewEntry(LogLevel.Warning, "{0}: Failed to find instrument for TTKey {1}.", this.Name, key);
}
}
}
else
{
Log.NewEntry(LogLevel.Warning, "{0}: Error in price subscription {1}.", this.Name, eventArgs.Error.Message);
}
}//PriceSubscription()
