public SortedDictionary <uint, MarketState> DuplicateTick(SortedDictionary <uint, MarketState> mostRecentState, DateTime timestamp)
{
// create a new time stamp if it doesn't exist (Only exist if there is a race condition)
if (!_marketData.ContainsKey(timestamp))
{
_marketData.Add(timestamp, new SortedDictionary <uint, MarketState>());
}
var marketDataForTimeStamp = _marketData[timestamp];
lock (marketDataForTimeStamp)
{
DateTime newTimeStamp = DateTime.MinValue;
var prevState = mostRecentState[(uint)mostRecentState.Count - 1];
var newState = new MarketState(_securityObj, prevState, timestamp);
SortedDictionary <uint, MarketState> timeBin = _marketData[timestamp];
newState.BinCnt = (uint)marketDataForTimeStamp.Count;
marketDataForTimeStamp.Add(newState.BinCnt, newState);
if (LogEachTick)
{
string output = newState.ToStringAllData();
if (newState.StateType == MktStateType.Trade)
{
output += " " + newState.ToStringAllTradesNoIndentity();
}
Console.WriteLine(output);
}
}
return(_marketData[timestamp]);
}
public void NewTick(TickData newData)
{
DateTime currTimeBinTimeStamp = getCurrentInterval(newData.TimeStamp);
if (currTimeBinTimeStamp > DateTime.MinValue) // check to make sure the initialzation has happend
{
// get the current market state
SortedDictionary <uint, MarketState> currTimeBin = _marketData[currTimeBinTimeStamp];
MarketState currentState = currTimeBin.ElementAt(currTimeBin.Count - 1).Value; // last data point in time bin
// disregard duplicates
if (!DuplicateOfPrevDataPoint(newData, currentState))
{
bool addedNewTimeStamp = false;
if (!_marketData.ContainsKey(newData.TimeStamp))
{
_marketData.Add(newData.TimeStamp, new SortedDictionary <uint, MarketState>());
_latestTimeBin = newData.TimeStamp > _latestTimeBin ? newData.TimeStamp : _latestTimeBin;
addedNewTimeStamp = true;
}
var marketDataForTimeStamp = _marketData[newData.TimeStamp];
lock (marketDataForTimeStamp)
{
// create a new updated market state
var newState = new MarketState(_securityObj, currentState, newData);
newState.BinCnt = (uint)marketDataForTimeStamp.Count;
marketDataForTimeStamp.Add(newState.BinCnt, newState);
if (LogEachTick)
{
string output = newState.ToStringAllData();
if (newState.StateType == MktStateType.Trade)
{
output += " " + newState.ToStringAllTradesNoIndentity();
}
Console.WriteLine(output);
}
}
// let the market aggregator know there is a new timestamp to aggregate
if (addedNewTimeStamp)
{
_markets.AddTickData(this, _marketData[newData.TimeStamp], newData.TimeStamp);
}
}
}
}
public SortedDictionary<uint, MarketState> DuplicateTick(SortedDictionary<uint, MarketState> mostRecentState, DateTime timestamp)
{
// create a new time stamp if it doesn't exist (Only exist if there is a race condition)
if (!_marketData.ContainsKey(timestamp))
_marketData.Add(timestamp, new SortedDictionary<uint, MarketState>());
var marketDataForTimeStamp = _marketData[timestamp];
lock (marketDataForTimeStamp)
{
DateTime newTimeStamp = DateTime.MinValue;
var prevState = mostRecentState[(uint)mostRecentState.Count - 1];
var newState = new MarketState(_securityObj, prevState, timestamp);
SortedDictionary<uint, MarketState> timeBin = _marketData[timestamp];
newState.BinCnt = (uint)marketDataForTimeStamp.Count;
marketDataForTimeStamp.Add(newState.BinCnt, newState);
if (LogEachTick)
{
string output = newState.ToStringAllData();
if (newState.StateType == MktStateType.Trade) output += " " + newState.ToStringAllTradesNoIndentity();
Console.WriteLine(output);
}
}
return _marketData[timestamp];
}
public void NewTick(TickData newData)
{
DateTime currTimeBinTimeStamp = getCurrentInterval(newData.TimeStamp);
if (currTimeBinTimeStamp > DateTime.MinValue) // check to make sure the initialzation has happend
{
// get the current market state
SortedDictionary<uint, MarketState> currTimeBin = _marketData[currTimeBinTimeStamp];
MarketState currentState = currTimeBin.ElementAt(currTimeBin.Count - 1).Value; // last data point in time bin
// disregard duplicates
if (!DuplicateOfPrevDataPoint(newData, currentState))
{
bool addedNewTimeStamp = false;
if (!_marketData.ContainsKey(newData.TimeStamp))
{
_marketData.Add(newData.TimeStamp, new SortedDictionary<uint, MarketState>());
addedNewTimeStamp = true;
}
var marketDataForTimeStamp = _marketData[newData.TimeStamp];
lock (marketDataForTimeStamp)
{
// create a new updated market state
var newState = new MarketState(_securityObj, currentState, newData);
newState.BinCnt = (uint) marketDataForTimeStamp.Count;
marketDataForTimeStamp.Add(newState.BinCnt, newState);
if (LogEachTick)
{
string output = newState.ToStringAllData();
if (newState.StateType == MktStateType.Trade) output += " " + newState.ToStringAllTradesNoIndentity();
Console.WriteLine(output);
}
}
// let the market aggregator know there is a new timestamp to aggregate
if (addedNewTimeStamp)
_markets.AddTickData(this, _marketData[newData.TimeStamp], newData.TimeStamp);
}
}
}