byte[] ISnapshotSerializer <SecurityId, Level1ChangeMessage> .Serialize(Version version, Level1ChangeMessage message)
{
if (version == null)
{
throw new ArgumentNullException(nameof(version));
}
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
var snapshot = new Level1Snapshot
{
SecurityId = message.SecurityId.ToStringId().VerifySize(Sizes.S100),
LastChangeServerTime = message.ServerTime.To <long>(),
LastChangeLocalTime = message.LocalTime.To <long>(),
};
foreach (var change in message.Changes)
{
switch (change.Key)
{
case Level1Fields.OpenPrice:
snapshot.OpenPrice = (decimal)change.Value;
break;
case Level1Fields.HighPrice:
snapshot.HighPrice = (decimal)change.Value;
break;
case Level1Fields.LowPrice:
snapshot.LowPrice = (decimal)change.Value;
break;
case Level1Fields.ClosePrice:
snapshot.ClosePrice = (decimal)change.Value;
break;
case Level1Fields.StepPrice:
snapshot.StepPrice = (decimal)change.Value;
break;
case Level1Fields.ImpliedVolatility:
snapshot.IV = (decimal)change.Value;
break;
case Level1Fields.TheorPrice:
snapshot.TheorPrice = (decimal)change.Value;
break;
case Level1Fields.OpenInterest:
snapshot.OI = (decimal)change.Value;
break;
case Level1Fields.MinPrice:
snapshot.MinPrice = (decimal)change.Value;
break;
case Level1Fields.MaxPrice:
snapshot.MaxPrice = (decimal)change.Value;
break;
case Level1Fields.BidsVolume:
snapshot.BidsVolume = (decimal)change.Value;
break;
case Level1Fields.BidsCount:
snapshot.BidsCount = (int)change.Value;
break;
case Level1Fields.AsksVolume:
snapshot.AsksVolume = (decimal)change.Value;
break;
case Level1Fields.AsksCount:
snapshot.AsksCount = (int)change.Value;
break;
case Level1Fields.HistoricalVolatility:
snapshot.HV = (decimal)change.Value;
break;
case Level1Fields.Delta:
snapshot.Delta = (decimal)change.Value;
break;
case Level1Fields.Gamma:
snapshot.Gamma = (decimal)change.Value;
break;
case Level1Fields.Vega:
snapshot.Vega = (decimal)change.Value;
break;
case Level1Fields.Theta:
snapshot.Theta = (decimal)change.Value;
break;
case Level1Fields.MarginBuy:
snapshot.MarginBuy = (decimal)change.Value;
break;
case Level1Fields.MarginSell:
snapshot.MarginSell = (decimal)change.Value;
break;
case Level1Fields.State:
snapshot.State = (byte)(SecurityStates)change.Value;
break;
case Level1Fields.LastTradePrice:
snapshot.LastTradePrice = (decimal)change.Value;
break;
case Level1Fields.LastTradeVolume:
snapshot.LastTradeVolume = (decimal)change.Value;
break;
case Level1Fields.Volume:
snapshot.Volume = (decimal)change.Value;
break;
case Level1Fields.AveragePrice:
snapshot.AveragePrice = (decimal)change.Value;
break;
case Level1Fields.SettlementPrice:
snapshot.SettlementPrice = (decimal)change.Value;
break;
case Level1Fields.Change:
snapshot.Change = (decimal)change.Value;
break;
case Level1Fields.BestBidPrice:
snapshot.BestBidPrice = (decimal)change.Value;
break;
case Level1Fields.BestBidVolume:
snapshot.BestBidVolume = (decimal)change.Value;
break;
case Level1Fields.BestAskPrice:
snapshot.BestAskPrice = (decimal)change.Value;
break;
case Level1Fields.BestAskVolume:
snapshot.BestAskVolume = (decimal)change.Value;
break;
case Level1Fields.Rho:
snapshot.Rho = (decimal)change.Value;
break;
case Level1Fields.AccruedCouponIncome:
snapshot.AccruedCouponIncome = (decimal)change.Value;
break;
case Level1Fields.HighBidPrice:
snapshot.HighBidPrice = (decimal)change.Value;
break;
case Level1Fields.LowAskPrice:
snapshot.LowAskPrice = (decimal)change.Value;
break;
case Level1Fields.Yield:
snapshot.Yield = (decimal)change.Value;
break;
case Level1Fields.LastTradeTime:
snapshot.LastTradeTime = change.Value.To <long>();
break;
case Level1Fields.TradesCount:
snapshot.TradesCount = (int)change.Value;
break;
case Level1Fields.VWAP:
snapshot.VWAP = (decimal)change.Value;
break;
case Level1Fields.LastTradeId:
snapshot.LastTradeId = (long)change.Value;
break;
case Level1Fields.LastTradeUpDown:
snapshot.LastTradeUpDown = (bool)change.Value ? (byte?)1 : 0;
break;
case Level1Fields.LastTradeOrigin:
snapshot.LastTradeOrigin = (byte)(Sides)change.Value;
break;
case Level1Fields.Beta:
snapshot.Beta = (decimal)change.Value;
break;
case Level1Fields.AverageTrueRange:
snapshot.AverageTrueRange = (decimal)change.Value;
break;
case Level1Fields.Duration:
snapshot.Duration = (decimal)change.Value;
break;
case Level1Fields.Turnover:
snapshot.Turnover = (decimal)change.Value;
break;
case Level1Fields.SpreadMiddle:
snapshot.SpreadMiddle = (decimal)change.Value;
break;
case Level1Fields.PriceEarnings:
snapshot.PriceEarnings = (decimal)change.Value;
break;
case Level1Fields.ForwardPriceEarnings:
snapshot.ForwardPriceEarnings = (decimal)change.Value;
break;
case Level1Fields.PriceEarningsGrowth:
snapshot.PriceEarningsGrowth = (decimal)change.Value;
break;
case Level1Fields.PriceSales:
snapshot.PriceSales = (decimal)change.Value;
break;
case Level1Fields.PriceBook:
snapshot.PriceBook = (decimal)change.Value;
break;
case Level1Fields.PriceCash:
snapshot.PriceCash = (decimal)change.Value;
break;
case Level1Fields.PriceFreeCash:
snapshot.PriceFreeCash = (decimal)change.Value;
break;
case Level1Fields.Payout:
snapshot.Payout = (decimal)change.Value;
break;
case Level1Fields.SharesOutstanding:
snapshot.SharesOutstanding = (decimal)change.Value;
break;
case Level1Fields.SharesFloat:
snapshot.SharesFloat = (decimal)change.Value;
break;
case Level1Fields.FloatShort:
snapshot.FloatShort = (decimal)change.Value;
break;
case Level1Fields.ShortRatio:
snapshot.ShortRatio = (decimal)change.Value;
break;
case Level1Fields.ReturnOnAssets:
snapshot.ReturnOnAssets = (decimal)change.Value;
break;
case Level1Fields.ReturnOnEquity:
snapshot.ReturnOnEquity = (decimal)change.Value;
break;
case Level1Fields.ReturnOnInvestment:
snapshot.ReturnOnInvestment = (decimal)change.Value;
break;
case Level1Fields.CurrentRatio:
snapshot.CurrentRatio = (decimal)change.Value;
break;
case Level1Fields.QuickRatio:
snapshot.QuickRatio = (decimal)change.Value;
break;
case Level1Fields.HistoricalVolatilityWeek:
snapshot.HistoricalVolatilityWeek = (decimal)change.Value;
break;
case Level1Fields.HistoricalVolatilityMonth:
snapshot.HistoricalVolatilityMonth = (decimal)change.Value;
break;
case Level1Fields.IssueSize:
snapshot.IssueSize = (decimal)change.Value;
break;
case Level1Fields.BuyBackPrice:
snapshot.BuyBackPrice = (decimal)change.Value;
break;
case Level1Fields.BuyBackDate:
snapshot.BuyBackDate = change.Value.To <long>();
break;
case Level1Fields.Dividend:
snapshot.Dividend = (decimal)change.Value;
break;
case Level1Fields.AfterSplit:
snapshot.AfterSplit = (decimal)change.Value;
break;
case Level1Fields.BeforeSplit:
snapshot.BeforeSplit = (decimal)change.Value;
break;
}
}
var buffer = new byte[typeof(Level1Snapshot).SizeOf()];
var ptr = snapshot.StructToPtr();
Marshal.Copy(ptr, buffer, 0, buffer.Length);
Marshal.FreeHGlobal(ptr);
return(buffer);
}
byte[] ISnapshotSerializer <SecurityId, Level1ChangeMessage> .Serialize(Version version, Level1ChangeMessage message)
{
if (version == null)
{
throw new ArgumentNullException(nameof(version));
}
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
var snapshot = new Level1Snapshot
{
SecurityId = message.SecurityId.ToStringId().VerifySize(Sizes.S100),
LastChangeServerTime = message.ServerTime.To <long>(),
LastChangeLocalTime = message.LocalTime.To <long>(),
BuildFrom = message.BuildFrom == null ? default(SnapshotDataType?) : (SnapshotDataType)message.BuildFrom,
SeqNum = message.SeqNum,
};
foreach (var change in message.Changes)
{
switch (change.Key)
{
case Level1Fields.OpenPrice:
snapshot.OpenPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.HighPrice:
snapshot.HighPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.LowPrice:
snapshot.LowPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.ClosePrice:
snapshot.ClosePrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.StepPrice:
snapshot.StepPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.ImpliedVolatility:
snapshot.IV = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.TheorPrice:
snapshot.TheorPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.OpenInterest:
snapshot.OI = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.MinPrice:
snapshot.MinPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.MaxPrice:
snapshot.MaxPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.BidsVolume:
snapshot.BidsVolume = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.BidsCount:
snapshot.BidsCount = (int)change.Value;
break;
case Level1Fields.AsksVolume:
snapshot.AsksVolume = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.AsksCount:
snapshot.AsksCount = (int)change.Value;
break;
case Level1Fields.HistoricalVolatility:
snapshot.HV = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.Delta:
snapshot.Delta = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.Gamma:
snapshot.Gamma = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.Vega:
snapshot.Vega = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.Theta:
snapshot.Theta = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.MarginBuy:
snapshot.MarginBuy = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.MarginSell:
snapshot.MarginSell = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.State:
snapshot.State = (byte)(SecurityStates)change.Value;
break;
case Level1Fields.LastTradePrice:
snapshot.LastTradePrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.LastTradeVolume:
snapshot.LastTradeVolume = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.Volume:
snapshot.Volume = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.AveragePrice:
snapshot.AveragePrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.SettlementPrice:
snapshot.SettlementPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.Change:
snapshot.Change = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.BestBidPrice:
snapshot.BestBidPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.BestBidVolume:
snapshot.BestBidVolume = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.BestAskPrice:
snapshot.BestAskPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.BestAskVolume:
snapshot.BestAskVolume = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.Rho:
snapshot.Rho = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.AccruedCouponIncome:
snapshot.AccruedCouponIncome = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.HighBidPrice:
snapshot.HighBidPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.LowAskPrice:
snapshot.LowAskPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.Yield:
snapshot.Yield = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.LastTradeTime:
snapshot.LastTradeTime = change.Value.To <long>();
break;
case Level1Fields.TradesCount:
snapshot.TradesCount = (int)change.Value;
break;
case Level1Fields.VWAP:
snapshot.VWAP = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.LastTradeId:
snapshot.LastTradeId = (long)change.Value;
break;
case Level1Fields.LastTradeUpDown:
snapshot.LastTradeUpDown = (bool)change.Value ? (byte?)1 : 0;
break;
case Level1Fields.LastTradeOrigin:
snapshot.LastTradeOrigin = (byte)(Sides)change.Value;
break;
case Level1Fields.Beta:
snapshot.Beta = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.AverageTrueRange:
snapshot.AverageTrueRange = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.Duration:
snapshot.Duration = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.Turnover:
snapshot.Turnover = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.SpreadMiddle:
snapshot.SpreadMiddle = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.PriceEarnings:
snapshot.PriceEarnings = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.ForwardPriceEarnings:
snapshot.ForwardPriceEarnings = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.PriceEarningsGrowth:
snapshot.PriceEarningsGrowth = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.PriceSales:
snapshot.PriceSales = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.PriceBook:
snapshot.PriceBook = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.PriceCash:
snapshot.PriceCash = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.PriceFreeCash:
snapshot.PriceFreeCash = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.Payout:
snapshot.Payout = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.SharesOutstanding:
snapshot.SharesOutstanding = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.SharesFloat:
snapshot.SharesFloat = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.FloatShort:
snapshot.FloatShort = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.ShortRatio:
snapshot.ShortRatio = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.ReturnOnAssets:
snapshot.ReturnOnAssets = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.ReturnOnEquity:
snapshot.ReturnOnEquity = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.ReturnOnInvestment:
snapshot.ReturnOnInvestment = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.CurrentRatio:
snapshot.CurrentRatio = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.QuickRatio:
snapshot.QuickRatio = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.HistoricalVolatilityWeek:
snapshot.HistoricalVolatilityWeek = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.HistoricalVolatilityMonth:
snapshot.HistoricalVolatilityMonth = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.IssueSize:
snapshot.IssueSize = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.BuyBackPrice:
snapshot.BuyBackPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.BuyBackDate:
snapshot.BuyBackDate = change.Value.To <long>();
break;
case Level1Fields.Dividend:
snapshot.Dividend = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.AfterSplit:
snapshot.AfterSplit = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.BeforeSplit:
snapshot.BeforeSplit = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.CommissionTaker:
snapshot.CommissionTaker = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.CommissionMaker:
snapshot.CommissionMaker = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.MinVolume:
snapshot.MinVolume = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.UnderlyingMinVolume:
snapshot.UnderlyingMinVolume = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.CouponValue:
snapshot.CouponValue = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.CouponDate:
snapshot.CouponDate = ((DateTimeOffset)change.Value).To <long>();
break;
case Level1Fields.CouponPeriod:
snapshot.CouponPeriod = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.MarketPriceYesterday:
snapshot.MarketPriceYesterday = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.MarketPriceToday:
snapshot.MarketPriceToday = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.VWAPPrev:
snapshot.VWAPPrev = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.YieldVWAP:
snapshot.YieldVWAP = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.YieldVWAPPrev:
snapshot.YieldVWAPPrev = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.Index:
snapshot.Index = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.Imbalance:
snapshot.Imbalance = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.UnderlyingPrice:
snapshot.UnderlyingPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.MaxVolume:
snapshot.MaxVolume = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.LowBidPrice:
snapshot.LowBidPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.HighAskPrice:
snapshot.HighAskPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.LastTradeVolumeLow:
snapshot.LastTradeVolumeLow = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.LastTradeVolumeHigh:
snapshot.LastTradeVolumeHigh = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.OptionMargin:
snapshot.OptionMargin = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.OptionSyntheticMargin:
snapshot.OptionSyntheticMargin = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.PriceStep:
snapshot.PriceStep = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.VolumeStep:
snapshot.VolumeStep = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.BestBidTime:
snapshot.BestBidTime = ((DateTimeOffset)change.Value).To <long>();
break;
case Level1Fields.BestAskTime:
snapshot.BestAskTime = ((DateTimeOffset)change.Value).To <long>();
break;
case Level1Fields.Multiplier:
snapshot.Multiplier = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.LongTermDebtEquity:
snapshot.LongTermDebtEquity = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.TotalDebtEquity:
snapshot.TotalDebtEquity = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.GrossMargin:
snapshot.GrossMargin = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.OperatingMargin:
snapshot.OperatingMargin = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.ProfitMargin:
snapshot.ProfitMargin = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.IsSystem:
snapshot.IsSystem = ((bool)change.Value).ToByte();
break;
case Level1Fields.Decimals:
snapshot.Decimals = (int)change.Value;
break;
case Level1Fields.LowBidVolume:
snapshot.LowBidVolume = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.HighAskVolume:
snapshot.HighAskVolume = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.UnderlyingBestBidPrice:
snapshot.UnderlyingBestBidPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.UnderlyingBestAskPrice:
snapshot.UnderlyingBestAskPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.MedianPrice:
snapshot.MedianPrice = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.HighPrice52Week:
snapshot.HighPrice52Week = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.LowPrice52Week:
snapshot.LowPrice52Week = (BlittableDecimal)(decimal)change.Value;
break;
case Level1Fields.LastTradeStringId:
snapshot.LastTradeStringId = (string)change.Value;
break;
}
}
var buffer = new byte[typeof(Level1Snapshot).SizeOf()];
var ptr = snapshot.StructToPtr();
ptr.CopyTo(buffer);
ptr.FreeHGlobal();
return(buffer);
}
void ISnapshotSerializer <Level1ChangeMessage> .Serialize(Version version, Level1ChangeMessage message, byte[] buffer)
{
if (version == null)
{
throw new ArgumentNullException(nameof(version));
}
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
var snapshot = new Level1Snapshot
{
SecurityId = message.SecurityId.ToStringId(),
LastChangeServerTime = message.ServerTime.To <long>(),
LastChangeLocalTime = message.LocalTime.To <long>(),
LastTradeUpDown = -1,
LastTradeOrigin = -1,
State = -1,
};
foreach (var change in message.Changes)
{
switch (change.Key)
{
case Level1Fields.OpenPrice:
snapshot.OpenPrice = (decimal)change.Value;
break;
case Level1Fields.HighPrice:
snapshot.HighPrice = (decimal)change.Value;
break;
case Level1Fields.LowPrice:
snapshot.LowPrice = (decimal)change.Value;
break;
case Level1Fields.ClosePrice:
snapshot.ClosePrice = (decimal)change.Value;
break;
case Level1Fields.StepPrice:
snapshot.StepPrice = (decimal)change.Value;
break;
case Level1Fields.ImpliedVolatility:
snapshot.IV = (decimal)change.Value;
break;
case Level1Fields.TheorPrice:
snapshot.TheorPrice = (decimal)change.Value;
break;
case Level1Fields.OpenInterest:
snapshot.OI = (decimal)change.Value;
break;
case Level1Fields.MinPrice:
snapshot.MinPrice = (decimal)change.Value;
break;
case Level1Fields.MaxPrice:
snapshot.MaxPrice = (decimal)change.Value;
break;
case Level1Fields.BidsVolume:
snapshot.BidsVolume = (decimal)change.Value;
break;
case Level1Fields.BidsCount:
snapshot.BidsCount = (int)change.Value;
break;
case Level1Fields.AsksVolume:
snapshot.AsksVolume = (decimal)change.Value;
break;
case Level1Fields.AsksCount:
snapshot.AsksCount = (int)change.Value;
break;
case Level1Fields.HistoricalVolatility:
snapshot.HV = (decimal)change.Value;
break;
case Level1Fields.Delta:
snapshot.Delta = (decimal)change.Value;
break;
case Level1Fields.Gamma:
snapshot.Gamma = (decimal)change.Value;
break;
case Level1Fields.Vega:
snapshot.Vega = (decimal)change.Value;
break;
case Level1Fields.Theta:
snapshot.Theta = (decimal)change.Value;
break;
case Level1Fields.MarginBuy:
snapshot.MarginBuy = (decimal)change.Value;
break;
case Level1Fields.MarginSell:
snapshot.MarginSell = (decimal)change.Value;
break;
case Level1Fields.State:
snapshot.State = (sbyte)(SecurityStates)change.Value;
break;
case Level1Fields.LastTradePrice:
snapshot.LastTradePrice = (decimal)change.Value;
break;
case Level1Fields.LastTradeVolume:
snapshot.LastTradeVolume = (decimal)change.Value;
break;
case Level1Fields.Volume:
snapshot.Volume = (decimal)change.Value;
break;
case Level1Fields.AveragePrice:
snapshot.AveragePrice = (decimal)change.Value;
break;
case Level1Fields.SettlementPrice:
snapshot.SettlementPrice = (decimal)change.Value;
break;
case Level1Fields.Change:
snapshot.Change = (decimal)change.Value;
break;
case Level1Fields.BestBidPrice:
snapshot.BestBidPrice = (decimal)change.Value;
break;
case Level1Fields.BestBidVolume:
snapshot.BestBidVolume = (decimal)change.Value;
break;
case Level1Fields.BestAskPrice:
snapshot.BestAskPrice = (decimal)change.Value;
break;
case Level1Fields.BestAskVolume:
snapshot.BestAskVolume = (decimal)change.Value;
break;
case Level1Fields.Rho:
snapshot.Rho = (decimal)change.Value;
break;
case Level1Fields.AccruedCouponIncome:
snapshot.AccruedCouponIncome = (decimal)change.Value;
break;
case Level1Fields.HighBidPrice:
snapshot.HighBidPrice = (decimal)change.Value;
break;
case Level1Fields.LowAskPrice:
snapshot.LowAskPrice = (decimal)change.Value;
break;
case Level1Fields.Yield:
snapshot.Yield = (decimal)change.Value;
break;
case Level1Fields.LastTradeTime:
snapshot.LastTradeTime = change.Value.To <long>();
break;
case Level1Fields.TradesCount:
snapshot.TradesCount = (int)change.Value;
break;
case Level1Fields.VWAP:
snapshot.VWAP = (decimal)change.Value;
break;
case Level1Fields.LastTradeId:
snapshot.LastTradeId = (long)change.Value;
break;
case Level1Fields.LastTradeUpDown:
snapshot.LastTradeUpDown = (sbyte)((bool)change.Value == false ? 0 : 1);
break;
case Level1Fields.LastTradeOrigin:
snapshot.LastTradeOrigin = (sbyte)(Sides)change.Value;
break;
case Level1Fields.Beta:
snapshot.Beta = (decimal)change.Value;
break;
case Level1Fields.AverageTrueRange:
snapshot.AverageTrueRange = (decimal)change.Value;
break;
case Level1Fields.HistoricalVolatilityMonth:
snapshot.Beta = (decimal)change.Value;
break;
case Level1Fields.Duration:
snapshot.Duration = (decimal)change.Value;
break;
case Level1Fields.Turnover:
snapshot.Turnover = (decimal)change.Value;
break;
case Level1Fields.SpreadMiddle:
snapshot.SpreadMiddle = (decimal)change.Value;
break;
}
}
var ptr = snapshot.StructToPtr();
Marshal.Copy(ptr, buffer, 0, _snapshotSize);
Marshal.FreeHGlobal(ptr);
}
