private unsafe void TimeAndSalesUpdate(PacketMBTQuotes packet)
{
SymbolHandler handler = null;
MemoryStream data = packet.Data;
data.Position += 2;
string time = null;
string date = null;
SymbolInfo symbolInfo = null;
fixed(byte *bptr = data.GetBuffer())
{
byte *ptr = bptr + data.Position;
while (ptr - bptr < data.Length)
{
int key = packet.GetKey(ref ptr);
switch (key)
{
case 1003: // Symbol
string symbol = packet.GetString(ref ptr);
symbolInfo = Factory.Symbol.LookupSymbol(symbol);
handler = symbolHandlers[symbolInfo.BinaryIdentifier];
break;
case 2014: // Time
time = packet.GetString(ref ptr);
break;
case 2015: // Date
date = packet.GetString(ref ptr);
break;
case 2002: // Last Trade Price
handler.Last = packet.GetDouble(ref ptr);
if (trace)
{
log.Trace("Got last trade price: " + handler.Last); // + "\n" + packet);
}
break;
case 2007: // Last Trade Size
handler.LastSize = packet.GetInt(ref ptr);
break;
case 2082: // Condition
int condition = packet.GetInt(ref ptr);
if (condition != 0 &&
condition != 53 &&
condition != 45)
{
log.Info("Trade quote received with non-zero condition: " + condition);
}
break;
case 2083: // Status
int status = packet.GetInt(ref ptr);
if (status != 0)
{
log.Info("Trade quote received with non-zero status: " + status);
}
break;
case 2084: // Type
int type = packet.GetInt(ref ptr);
if (type != 0)
{
log.Info("Trade quote received with non-zero type: " + type);
}
break;
default:
packet.SkipValue(ref ptr);
break;
}
if (*(ptr - 1) == 10)
{
if (UseLocalTickTime)
{
var currentTime = TimeStamp.UtcNow;
if (currentTime <= prevTime)
{
currentTime.Internal = prevTime.Internal + 1;
}
prevTime = currentTime;
handler.Time = currentTime;
}
else
{
var strings = date.Split(new char[] { '/' });
date = strings[2] + "/" + strings[0] + "/" + strings[1];
handler.Time = new TimeStamp(date + " " + time);
}
if (handler.Last == 0D)
{
log.Warn("About to call SendTimeAndSales with Last price = zero.");
}
handler.SendTimeAndSales();
data.Position++;
return;
}
}
}
throw new ApplicationException("Expected Trade Quote to end with new line character.");
}
private unsafe void Level1Update(PacketMBTQuotes packet)
{
SymbolHandler handler = null;
MemoryStream data = packet.Data;
data.Position += 2;
string time = null;
string date = null;
fixed(byte *bptr = data.GetBuffer())
{
byte *ptr = bptr + data.Position;
while (ptr - bptr < data.Length)
{
int key = packet.GetKey(ref ptr);
switch (key)
{
case 1003: // Symbol
string symbol = packet.GetString(ref ptr);
SymbolInfo symbolInfo = Factory.Symbol.LookupSymbol(symbol);
handler = symbolHandlers[symbolInfo.BinaryIdentifier];
break;
case 2014: // Time
time = packet.GetString(ref ptr);
break;
case 2015: // Date
date = packet.GetString(ref ptr);
break;
case 2003: // Bid
handler.Bid = packet.GetDouble(ref ptr);
break;
case 2004: // Ask
handler.Ask = packet.GetDouble(ref ptr);
break;
case 2005: // Bid Size
handler.AskSize = packet.GetInt(ref ptr);
break;
case 2006: // Ask Size
handler.BidSize = packet.GetInt(ref ptr);
break;
default:
packet.SkipValue(ref ptr);
break;
}
if (*(ptr - 1) == 10)
{
if (UseLocalTickTime)
{
var currentTime = TimeStamp.UtcNow;
if (currentTime == prevTime)
{
currentTime.Internal = prevTime.Internal + 1;
}
prevTime = currentTime;
handler.Time = currentTime;
}
else
{
var strings = date.Split(new char[] { '/' });
date = strings[2] + "/" + strings[0] + "/" + strings[1];
handler.Time = new TimeStamp(date + " " + time);
}
handler.SendQuote();
data.Position++;
return;
}
}
}
throw new ApplicationException("Expected Level 1 Quote to end with new line character. Packet:\n" + packet);
}
