private string GetFormattedPrice(TickPriceMessage message)
{
string price;
switch (message.Field)
{
case TickType.BID:
case TickType.DELAYED_BID:
case TickType.ASK:
case TickType.DELAYED_ASK:
if (message.Price < 1.0)
{
price = string.Format("{0:F3}", message.Price);
}
else
{
price = string.Format("{0:F2}", message.Price);
}
break;
case TickType.LAST:
case TickType.DELAYED_LAST:
default:
price = string.Format("{0:F3}", message.Price);
break;
}
return(price);
}
private void ibClient_Tick(TickPriceMessage msg)
{
if (isDebug)
{
Console.WriteLine("Tick Price. Ticker Id:" + msg.RequestId + ", Symbol: " + dicAssets[msg.RequestId].Con.Symbol + ", Type: " + TickType.getField(msg.Field) + ", Price: " + msg.Price + ", Pre-Open: " + msg.Attribs.PreOpen);
}
switch (msg.Field)
{
case TickType.ASK:
case TickType.DELAYED_ASK:
dicAssets[msg.RequestId].Ask = msg.Price;
break;
case TickType.BID:
case TickType.DELAYED_BID:
dicAssets[msg.RequestId].Bid = msg.Price;
break;
case TickType.LAST:
case TickType.DELAYED_LAST:
dicAssets[msg.RequestId].Last = msg.Price;
break;
}
}
private void UpdateOptionGridPrice(DataGridView grid, int row, TickPriceMessage message)
{
switch (message.Field)
{
case TickType.ASK:
grid[ASK_INDEX, row].Value = message.Price;
break;
case TickType.BID:
grid[BID_INDEX, row].Value = message.Price;
break;
}
}
public void putTickPriceEvents(TickPriceMessage priceMessage, MarketDataMessage dataMessage)
{
ConcurrentDictionary <String, String> stgNamesMap = stgManager.getActiveStgNamesMap();
AppTickPriceEvent tickPriceEvent = new AppTickPriceEvent();
tickPriceEvent.time = stgManager.getProxyNowTime();
tickPriceEvent.value = priceMessage.Price;
tickPriceEvent.field = dataMessage.Field;
tickPriceEvent.tickerId = priceMessage.RequestId;
stgNamesMap.Keys.ToArray();
foreach (String name in stgNamesMap.Keys)
{
storeEventQueue[name].Add(tickPriceEvent);
}
}
void TickPriceHandler(TickPriceMessage message)
{
int contractId = message.RequestId;
IBTickType type = (IBTickType)message.Field;
dynamic price = message.Price;
//Debug.WriteLine("ZEUS - TickPriceHandler: " + contractId + ", " + type + ", " + price);
Market currentMarket = Contracts[contractId].Item2;
currentMarket.Timestamp = Now;
bool send = false;
if (type == IBTickType.BidPrice && price > 0)
{ // TODO(live-5) - true for EFPs?
currentMarket.Bid = price;
if (Math.Abs(price / currentMarket.Bid - 1) < 0.15M)
{
send = true;
}
}
else if (type == IBTickType.AskPrice && price > 0)
{
currentMarket.Ask = price;
if (Math.Abs(price / currentMarket.Ask - 1) < 0.15M)
{
send = true;
}
}
else if (currentMarket.Mid.Equals(decimal.MinValue) && (type == IBTickType.ClosePrice || type == IBTickType.LastPrice))
{
currentMarket.Ask = currentMarket.Bid = (decimal)price;
send = true;
}
else if (type == IBTickType.ClosePrice)
{
currentMarket.PreviousClose = (decimal)price;
send = true;
}
if (send)
{
Ether.Send(currentMarket);
}
}
public void test_putTickPriceEvents()
{
IAppStrategyManager stgManager = getAppStrategyManager_for_putEvents();
AppEventManager eventManager = new AppEventManager(stgManager);
TickPriceMessage tickMessage1 = new TickPriceMessage(200001, 4, 22000, 0);
TickPriceMessage tickMessage2 = new TickPriceMessage(200002, 1, 22100, 0);
MarketDataMessage dataMessage = (MarketDataMessage)tickMessage1;
eventManager.putTickPriceEvents(tickMessage1, dataMessage);
dataMessage = (MarketDataMessage)tickMessage2;
eventManager.putTickPriceEvents(tickMessage2, dataMessage);
Assert.AreEqual(2, eventManager.storeEventQueue["S1_RND1"].Count);
Assert.AreEqual(0, eventManager.storeEventQueue["S2_RBREAK_REVERSE1"].Count);
Assert.AreEqual(2, eventManager.storeEventQueue["S3_RBREAK_TREND1"].Count);
Assert.AreEqual(0, stgManager.getAppMainteanceManager().storeEventQueue.Count);
}
private void ibClient_Tick(TickPriceMessage msg)
{
if (isDebug)
{
Console.WriteLine("Tick Price. Ticker Id:{1}, Symbol: {2}, Type: {3}, Price: {4}, Pre-Open: {4}",
msg.RequestId, dicAssets[msg.RequestId].Con.Symbol, TickType.getField(msg.Field), msg.Price, msg.Attribs.PreOpen);
}
switch (msg.Field)
{
case TickType.ASK:
case TickType.DELAYED_ASK:
dicAssets[msg.RequestId].Ask = msg.Price;
break;
case TickType.BID:
case TickType.DELAYED_BID:
dicAssets[msg.RequestId].Bid = msg.Price;
break;
case TickType.LAST:
case TickType.DELAYED_LAST:
dicAssets[msg.RequestId].Last = msg.Price;
break;
}
if (OnPriceEvent != null)
{
OnPriceMessage e = new OnPriceMessage();
e.RequestId = msg.RequestId;
e.Symbol = dicAssets[msg.RequestId].Con.Symbol;
e.AssetID = dicAssets[msg.RequestId].ID;
e.Type = TickType.getField(msg.Field);
e.Price = msg.Price;
e.PreOpen = msg.Attribs.PreOpen;
OnPriceEvent(e);
}
}
public void RaiseTickPriceMessage(TickPriceMessage message)
{
OnTickPrice(message);
}
public void UpdateUI(TickPriceMessage dataMessage)
{
DataGridView grid = (DataGridView)uiControl;
if ((grid[MARKET_DATA_TYPE_INDEX, GetIndex(dataMessage.RequestId)].Value.Equals(MarketDataType.Real_Time.Name)) &&
(dataMessage.Field == 66 ||
dataMessage.Field == 67 ||
dataMessage.Field == 75 ||
dataMessage.Field == 76 ||
dataMessage.Field == 68 ||
dataMessage.Field == 72 ||
dataMessage.Field == 73))
{
grid[MARKET_DATA_TYPE_INDEX, GetIndex(dataMessage.RequestId)].Value = MarketDataType.Delayed.Name;
}
switch (dataMessage.Field)
{
case 1:
case 66:
{
//BID, DELAYED_BID
grid[BID_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = dataMessage.Price;
grid[PRE_OPEN_BID, GetIndex(dataMessage.RequestId)].Value = dataMessage.Attribs.PreOpen;
break;
}
case 2:
case 67:
{
//ASK, DELAYED_ASK
grid[ASK_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = dataMessage.Price;
grid[PRE_OPEN_ASK, GetIndex(dataMessage.RequestId)].Value = dataMessage.Attribs.PreOpen;
break;
}
case 9:
case 75:
{
//CLOSE, DELAYED_CLOSE
grid[CLOSE_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = dataMessage.Price;
break;
}
case 14:
case 76:
{
//OPEN, DELAYED_OPEN
grid[OPEN_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = dataMessage.Price;
break;
}
case 4:
case 68:
{
//LAST, DELAYED_LAST
grid[LAST_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = dataMessage.Price;
break;
}
case 6:
case 72:
{
//HIGH, DELAYED_HIGH
grid[HIGH_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = dataMessage.Price;
break;
}
case 7:
case 73:
{
//LOW, DELAYED_LOW
grid[LOW_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = dataMessage.Price;
break;
}
}
}
public void UpdateUI(TickPriceMessage dataMessage)
{
DataGridView grid = (DataGridView)uiControl;
if ((grid[MARKET_DATA_TYPE_INDEX, GetIndex(dataMessage.RequestId)].Value.Equals(MarketDataType.Real_Time.Name)) &&
(dataMessage.Field == TickType.DELAYED_BID ||
dataMessage.Field == TickType.DELAYED_ASK ||
dataMessage.Field == TickType.DELAYED_CLOSE ||
dataMessage.Field == TickType.DELAYED_OPEN ||
dataMessage.Field == TickType.DELAYED_LAST ||
dataMessage.Field == TickType.DELAYED_HIGH ||
dataMessage.Field == TickType.DELAYED_LOW))
{
grid[MARKET_DATA_TYPE_INDEX, GetIndex(dataMessage.RequestId)].Value = MarketDataType.Delayed.Name;
}
switch (dataMessage.Field)
{
case TickType.BID:
case TickType.DELAYED_BID:
{
//BID, DELAYED_BID
grid[BID_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = dataMessage.Price;
grid[PRE_OPEN_BID, GetIndex(dataMessage.RequestId)].Value = dataMessage.Attribs.PreOpen;
break;
}
case TickType.ASK:
case TickType.DELAYED_ASK:
{
//ASK, DELAYED_ASK
grid[ASK_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = dataMessage.Price;
grid[PRE_OPEN_ASK, GetIndex(dataMessage.RequestId)].Value = dataMessage.Attribs.PreOpen;
break;
}
case TickType.CLOSE:
case TickType.DELAYED_CLOSE:
{
//CLOSE, DELAYED_CLOSE
grid[CLOSE_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = dataMessage.Price;
break;
}
case TickType.OPEN:
case TickType.DELAYED_OPEN:
{
//OPEN, DELAYED_OPEN
grid[OPEN_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = dataMessage.Price;
break;
}
case TickType.LAST:
case TickType.DELAYED_LAST:
{
//LAST, DELAYED_LAST
grid[LAST_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = dataMessage.Price;
break;
}
case TickType.HIGH:
case TickType.DELAYED_HIGH:
{
//HIGH, DELAYED_HIGH
grid[HIGH_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = dataMessage.Price;
break;
}
case TickType.LOW:
case TickType.DELAYED_LOW:
{
//LOW, DELAYED_LOW
grid[LOW_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = dataMessage.Price;
break;
}
}
}
public override void UpdateUI(IBMessage message)
{
MarketDataMessage dataMessage = (MarketDataMessage)message;
checkToAddRow(dataMessage.RequestId);
DataGridView grid = (DataGridView)uiControl;
if (grid.Rows.Count >= dataMessage.RequestId - TICK_ID_BASE)
{
if (message is TickPriceMessage)
{
TickPriceMessage priceMessage = (TickPriceMessage)message;
switch (dataMessage.Field)
{
case 1:
{
//BID
grid[BID_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = priceMessage.Price;
break;
}
case 2:
{
//ASK
grid[ASK_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = priceMessage.Price;
break;
}
case 9:
{
//CLOSE
grid[CLOSE_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = priceMessage.Price;
break;
}
}
}
else if (dataMessage is TickSizeMessage)
{
TickSizeMessage sizeMessage = (TickSizeMessage)message;
switch (dataMessage.Field)
{
case 0:
{
//BID SIZE
grid[BID_SIZE_INDEX, GetIndex(dataMessage.RequestId)].Value = sizeMessage.Size;
break;
}
case 3:
{
//ASK SIZE
grid[ASK_SIZE_INDEX, GetIndex(dataMessage.RequestId)].Value = sizeMessage.Size;
break;
}
case 5:
{
//LAST SIZE
grid[LAST_SIZE_INDEX, GetIndex(dataMessage.RequestId)].Value = sizeMessage.Size;
break;
}
case 8:
{
//VOLUME
grid[VOLUME_SIZE_INDEX, GetIndex(dataMessage.RequestId)].Value = sizeMessage.Size;
break;
}
}
}
}
}
public override void UpdateUI(IBMessage message)
{
IAppMDManager appMDMManager = appStrategyManager.getAppMDManager();
IAppEventManager appEventManager = appStrategyManager.getAppEventManager();
MarketDataMessage dataMessage = (MarketDataMessage)message;
checkToAddRow(dataMessage.RequestId);
DataGridView grid = (DataGridView)uiControl;
if (grid.Rows.Count >= dataMessage.RequestId - TICK_ID_BASE)
{
if (message is TickPriceMessage)
{
TickPriceMessage priceMessage = (TickPriceMessage)message;
switch (dataMessage.Field)
{
case 1:
{
//BID
appEventManager.putTickPriceEvents(priceMessage, dataMessage);
//stgManager.handleTickMessage(message);
grid[BID_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = priceMessage.Price;
break;
}
case 2:
{
//ASK
appEventManager.putTickPriceEvents(priceMessage, dataMessage);
//stgManager.handleTickMessage(message);
grid[ASK_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = priceMessage.Price;
break;
}
case 4:
{
//LAST
appEventManager.putTickPriceEvents(priceMessage, dataMessage);
//stgManager.handleTickMessage(message);
grid[LAST_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = priceMessage.Price;
break;
}
case 6:
{
//HIGH
grid[HIGH_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = priceMessage.Price;
break;
}
case 7:
{
//LOW
grid[LOW_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = priceMessage.Price;
break;
}
case 9:
{
//CLOSE
grid[CLOSE_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = priceMessage.Price;
break;
}
}
}
else if (dataMessage is TickSizeMessage)
{
TickSizeMessage sizeMessage = (TickSizeMessage)message;
switch (dataMessage.Field)
{
case 0:
{
//BID SIZE
grid[BID_SIZE_INDEX, GetIndex(dataMessage.RequestId)].Value = sizeMessage.Size;
break;
}
case 3:
{
//ASK SIZE
grid[ASK_SIZE_INDEX, GetIndex(dataMessage.RequestId)].Value = sizeMessage.Size;
break;
}
case 5:
{
//LAST SIZE
grid[LAST_SIZE_INDEX, GetIndex(dataMessage.RequestId)].Value = sizeMessage.Size;
break;
}
case 8:
{
//VOLUME
//stgManager.handleTickMessage(message);
grid[VOLUME_SIZE_INDEX, GetIndex(dataMessage.RequestId)].Value = sizeMessage.Size;
break;
}
}
}
}
}
public override void UpdateUI(IBMessage message)
{
DataGridView grid = (DataGridView)DataGrid;
if (message is MarketDataMessage)
{
MarketDataMessage dataMessage = (MarketDataMessage)message;
int requestId = dataMessage.RequestId;
string contractDesc = ReqIdToContractDesc[requestId];
if (RequestIdToRow.ContainsKey(dataMessage.RequestId))
{
if (message is TickPriceMessage)
{
TickPriceMessage priceMessage = (TickPriceMessage)message;
int columnIndex = -1;
switch (dataMessage.Field) // TickType
{
case TickType.BID:
case TickType.DELAYED_BID:
columnIndex = BID_PRICE_INDEX;
break;
case TickType.ASK:
case TickType.DELAYED_ASK:
columnIndex = ASK_PRICE_INDEX;
break;
case TickType.LAST:
case TickType.DELAYED_LAST:
columnIndex = LAST_PRICE_INDEX;
break;
case TickType.LOW:
case TickType.DELAYED_LOW:
if (ContractDescToWPR.ContainsKey(contractDesc))
{
WPRCalculator calc = ContractDescToWPR[contractDesc];
calc.LatestLow = priceMessage.Price;
CalculateBothWPRs(contractDesc, calc, grid);
}
return;
case TickType.HIGH:
case TickType.DELAYED_HIGH:
if (ContractDescToWPR.ContainsKey(contractDesc))
{
WPRCalculator calc = ContractDescToWPR[contractDesc];
calc.LatestHigh = priceMessage.Price;
CalculateBothWPRs(contractDesc, calc, grid);
}
return;
case TickType.CLOSE:
case TickType.DELAYED_CLOSE:
if (ContractDescToWPR.ContainsKey(contractDesc))
{
WPRCalculator calc = ContractDescToWPR[contractDesc];
calc.Close = priceMessage.Price;
CalculateBothWPRs(contractDesc, calc, grid);
}
return;
default:
return;
}
int rowIndex = RequestIdToRow[dataMessage.RequestId];
grid[columnIndex, rowIndex].Value = GetFormattedPrice(priceMessage);
double previousPrice = Convert.ToDouble(grid[columnIndex, rowIndex].Value);
if (previousPrice > priceMessage.Price)
{
grid[columnIndex, rowIndex].Style.ForeColor = Color.Green;
}
else if (previousPrice < priceMessage.Price)
{
grid[columnIndex, rowIndex].Style.ForeColor = Color.Red;
}
else
{
grid[columnIndex, rowIndex].Style.ForeColor = Color.Black;
}
}
}
}
else if (message is CalculateWPRMessage)
{
CalculateWPRMessage calcMsg = (CalculateWPRMessage)message;
foreach (var item in ContractDescToWPR)
{
string contractDesc = item.Key;
WPRCalculator calc = item.Value;
if (calcMsg.WPRType == WPRType.Both)
{
CalculateBothWPRs(contractDesc, calc, grid);
}
else
{
CalculateSingleWPR(contractDesc, calc, calcMsg.WPRType, grid);
}
}
}
}
static void client_TickPrice(TickPriceMessage e)
{
//Console.WriteLine("Price: " + e.Price + " Tick Type: " + TickType. EnumDescConverter.ToIBTxt((TickType) e.Field));
}
