public void SymbolUpdate(PriceRow row)
{
string legFormula = m_legs[row.Symbol];
// TODO: SUPER inefficient to loop through all spreads here!
/*foreach (var leg in m_legs.Values)
* {
* string expressionToEvaluate = ReplaceSymbolWithValue(legFormula, row.Symbol, row.LastTradePrice);
* }
* m_legValues[row.Symbol] = Eval(expressionToEvaluate);*/
string expressionToEvaluate = ReplaceSymbolWithValue(legFormula, row.Symbol, row.LastTradePrice);
m_legValues[row.Symbol] = Eval(expressionToEvaluate);
// TODO: if all leg values are valid, assign values to each of the member values
if (!m_legValues.Values.Contains(double.NaN))
{
m_lastTradePrice = 0.0;
foreach (var value in m_legValues.Values)
{
m_lastTradePrice += value;
}
m_bid = 0.0;
m_ask = 0.0;
m_lastTradeSize = 0;
m_bidSize = 0;
m_askSize = 0;
}
//cout("SymbolUpdate: {0} {1} {2}", row.Symbol, m_legs[row.Symbol], row.LastTradePrice);
}
private void UpdateSpreads(PriceRow row)
{
//cout("UPDATE SPREADS: {0}", row.Symbol);
if (m_updateSpreadRows.ContainsKey(row.Symbol))
{
var li = m_updateSpreadRows[row.Symbol];
foreach (var spreadRow in li)
{
spreadRow.SymbolUpdate(row);
m_spreadGrid.UpdateRow(spreadRow);
}
}
}
public void SymbolUpdate(PriceRow row)
{
// Update the latest price for this row's symbol
m_latestPrices[row.Symbol] = row;
// Ensure that we have price values for ALL symbols used in this spread formula
if (m_formulaSymbols.Distinct().Count() != m_latestPrices.Keys.Count())
{
return;
}
string legFormula = m_legs[row.Symbol];
// TODO: SUPER inefficient to loop through all spreads here!
/*foreach (var leg in m_legs.Values)
* {
* string expressionToEvaluate = ReplaceSymbolWithValue(legFormula, row.Symbol, row.LastTradePrice);
* }
* m_legValues[row.Symbol] = Eval(expressionToEvaluate);*/
string formula = Formula;
foreach (string symbol in m_latestPrices.Keys)
{
formula = ReplaceSymbolWithValue(formula, symbol, m_latestPrices[symbol].LastTradePrice);
}
//string expressionToEvaluate = ReplaceSymbolWithValue(legFormula, row.Symbol, row.LastTradePrice);
//m_legValues[row.Symbol] = Eval(expressionToEvaluate);
m_lastTradePrice = Eval(formula);
return;
// TODO: if all leg values are valid, assign values to each of the member values
if (!m_legValues.Values.Contains(double.NaN))
{
m_lastTradePrice = 0.0;
foreach (var value in m_legValues.Values)
{
m_lastTradePrice += value;
}
m_bid = 0.0;
m_ask = 0.0;
m_lastTradeSize = 0;
m_bidSize = 0;
m_askSize = 0;
}
//cout("SymbolUpdate: {0} {1} {2}", row.Symbol, m_legs[row.Symbol], row.LastTradePrice);
}
// TODO: WHAT IF WE SUBSCRIBE TO A PRICE FIRST IN THE SPREAD GRID? WE NEED TO CHECK FOR EXISTING m_updatePriceRows ENTRY AND USE IF EXISTS
private void AddPriceRow(string symbol)
{
if (m_updatePriceRows.ContainsKey(symbol)) // if the symbol is already "subscribed"...
{
var row = m_updatePriceRows[symbol]; // use the existing PriceRow
//row.AddNotifyGrid(m_level1Grid); // add m_level1Grid to the grids that should be notified of updates
m_level1Grid.AddRow(row); // display the row in the "Price" grid
}
else
{
var row = new PriceRow(symbol); // create a new PriceRow for this symbol
//row.AddNotifyGrid(m_level1Grid);
m_updatePriceRows[symbol] = row;
m_level1Grid.AddRow(row);
m_prices.SubscribePrices(symbol);
}
}
// Reload the SPREADS file into the "Spreads" grid
private void ReloadSpreads()
{
m_spreadGrid.ClearRows();
// If our symbols text file exists, then read it and request price updates on the symbols in the file
var df = dfReadSpreads();
foreach (var row in df.Rows)
{
//string group = row[0];
string symbol = row[1];
string formula = row[8];
var spreadRow = new SpreadRow(symbol, formula);
m_spreadGrid.AddRow(spreadRow);
foreach (var sym in spreadRow.FormulaSymbols)
{
cout("Formula Symbol: {0}", sym);
if (m_updatePriceRows.ContainsKey(sym))
{
var priceRow = m_updatePriceRows[sym];
//priceRow.AddNotifyGrid(m_spreadGrid);
AddSpreadRow(sym, spreadRow);
}
else
{
var priceRow = new PriceRow(sym);
//priceRow.AddNotifyGrid(m_spreadGrid);
m_updatePriceRows[sym] = priceRow;
AddSpreadRow(sym, spreadRow);
//m_level1Grid.AddRow(row);
m_prices.SubscribePrices(sym);
}
}
//SubscribePrices(symbol1);
//SubscribePrices(symbol2);
}
}
public void SymbolUpdate(PriceRow row)
{
m_spreadFormula.SymbolUpdate(row);
}
