internal void OnMarketChange(MarketChange marketChange)
{
//initial image means we need to wipe our data
bool isImage = marketChange.Img == true;
if (marketChange.MarketDefinition != null)
{
//market definition changed
OnMarketDefinitionChange(marketChange.MarketDefinition);
}
if (marketChange.Rc != null)
{
//runners changed
foreach (RunnerChange runnerChange in marketChange.Rc)
{
OnPriceChange(isImage, runnerChange);
}
}
MarketSnap newSnap = new MarketSnap();
newSnap.MarketId = MarketId;
newSnap.MarketDefinition = _marketDefinition;
newSnap.MarketRunners = _marketRunners.Values.Select(runner => runner.Snap).ToList();
newSnap.TradedVolume = Utils.SelectPrice(isImage, ref _tv, marketChange.Tv);
Snap = newSnap;
}
public override List <LimitOrder> GetOrders(
MarketChange marketChange, double stake)
{
MarketUpdateCount += 1;
LastMarketChange = marketChange;
Stake = stake;
return(_orders);
}
public ChangeMessageStub WithMarketChange(MarketChange mc)
{
_change.MarketChanges ??= new List <MarketChange>();
_change.OrderChanges = null;
_change.Operation = "mcm";
_change.MarketChanges.Add(mc);
return(this);
}
private void OnMarketChange(MarketChange marketChange, long?publishTime)
{
if (marketChange?.MarketId != MarketId)
{
return;
}
LastPublishedTime = publishTime;
ProcessMarketChange(marketChange);
}
private Market OnMarketChange(MarketChange marketChange)
{
if (marketChange.Con == true)
{
ConflatedCount++;
}
Market market = _markets.GetOrAdd(marketChange.Id, id => new Market(this, id));
market.OnMarketChange(marketChange);
return(market);
}
public SubscriptionSpy WithMarketChange(MarketChange marketChange)
{
var change = new ChangeMessage
{
Operation = "mcm",
ChangeType = "mc",
MarketChanges = new List <MarketChange> {
marketChange
},
PublishTime = PublishTime,
};
Messages.Add(change);
return(this);
}
public void IfChangeDoesNotContainMarketDefinitionAnyPreviousMarketDefinitionShouldNotBeCleared()
{
var mc1 = new MarketChangeStub().WithMarketDefinition(new MarketDefinition {
Venue = "Test Venue"
});
var c1 = new ChangeMessageStub().WithMarketChange(mc1).Build();
_market.OnChange(c1);
var mc = new MarketChange {
MarketId = "1.2345"
};
var c2 = _change.WithMarketChange(mc).Build();
_market.OnChange(c2);
Assert.Equal("Test Venue", _market.MarketDefinition.Venue);
}
private void ProcessMarketChange(MarketChange marketChange)
{
if (ClearCache(marketChange))
{
NewCache();
}
if (marketChange.MarketDefinition != null)
{
MarketDefinition = marketChange.MarketDefinition;
}
if (marketChange.TotalAmountMatched > 0)
{
TotalAmountMatched = marketChange.TotalAmountMatched;
}
ProcessRunnerChanges(marketChange.RunnerChanges);
ProcessRunnerDefinitions(marketChange.MarketDefinition?.Runners);
}
private void OnMarketChangeHandler(MarketDepthSocket marketDepthSocket, MarketChange marketChange)
{
_marketSnapshotBuilder.Build(ref marketChange);
Interlocked.Increment(ref _countOfDimensions);
if (AddMessageToFileLog != null)
{
string marketChangeType = "??";
switch (marketChange.MarketChangeType)
{
case MarketChangeTypeCode.AskPriceByAddedOrder:
marketChangeType = "AA";
break;
case MarketChangeTypeCode.AskPriceByCanceledOrder:
marketChangeType = "AC";
break;
case MarketChangeTypeCode.AskPriceByExecutedOrder:
marketChangeType = "AE";
break;
case MarketChangeTypeCode.BidPriceByAddedOrder:
marketChangeType = "BA";
break;
case MarketChangeTypeCode.BidPriceByCanceledOrder:
marketChangeType = "BC";
break;
case MarketChangeTypeCode.BidPriceByExecutedOrder:
marketChangeType = "BE";
break;
case MarketChangeTypeCode.BidVolumeByAddedOrder:
case MarketChangeTypeCode.BuyingVolumeByAddedOrder:
marketChangeType = "VABuy";
break;
case MarketChangeTypeCode.BidVolumeByCanceledOrder:
case MarketChangeTypeCode.BuyingVolumeByCanceledOrder:
marketChangeType = "VCB";
break;
case MarketChangeTypeCode.BidVolumeByExecutedOrder:
marketChangeType = "VEB";
break;
case MarketChangeTypeCode.BuyingVolumeInfoAdded:
marketChangeType = "IVB";
break;
case MarketChangeTypeCode.AskVolumeByAddedOrder:
case MarketChangeTypeCode.SellingVolumeByAddedOrder:
marketChangeType = "VAS";
break;
case MarketChangeTypeCode.AskVolumeByCanceledOrder:
case MarketChangeTypeCode.SellingVolumeByCanceledOrder:
marketChangeType = "VCS";
break;
case MarketChangeTypeCode.AskVolumeByExecutedOrder:
marketChangeType = "VEA";
break;
case MarketChangeTypeCode.SellingVolumeInfoAdded:
marketChangeType = "IVS";
break;
}
AddMessageToFileLog?.Invoke($"{DateTime.Now.ToString("mm:ss.fff")} P={marketChange.Price.ToString("F11")} V={marketChange.Volume.ToString("F11")} {marketChangeType}{Environment.NewLine}");
}
}
public abstract List <LimitOrder> GetOrders(MarketChange marketChange, double stake);
private static bool ClearCache(MarketChange marketChange)
{
return(marketChange.ReplaceCache != null && (bool)marketChange.ReplaceCache);
}
public void Build(ref MarketChange change)
{
Debug.Assert(change.Price != 0, $"Price={change.Price} Volume={change.Volume} Type={change.MarketChangeType.ToString()}");
var volume = new PriceVolumePair(change.Price, change.Volume);
lock (_syncRoot)
{
switch (change.MarketChangeType)
{
case MarketChangeTypeCode.BidPriceByAddedOrder:
case MarketChangeTypeCode.BidPriceByExecutedOrder:
case MarketChangeTypeCode.BidPriceByCanceledOrder:
Debug.Assert(change.Volume != 0, $"Price={change.Price} Volume={change.Volume} Type={change.MarketChangeType.ToString()}");
if (!_bids.Add(volume))
{
_bids.Remove(volume);
_bids.Add(volume);
}
break;
case MarketChangeTypeCode.AskPriceByAddedOrder:
case MarketChangeTypeCode.AskPriceByExecutedOrder:
case MarketChangeTypeCode.AskPriceByCanceledOrder:
Debug.Assert(change.Volume != 0, $"Price={change.Price} Volume={change.Volume} Type={change.MarketChangeType.ToString()}");
if (!_asks.Add(volume))
{
_asks.Remove(volume);
_asks.Add(volume);
}
break;
case MarketChangeTypeCode.BuyingVolumeByAddedOrder:
case MarketChangeTypeCode.BidVolumeByExecutedOrder:
case MarketChangeTypeCode.BidVolumeByAddedOrder:
case MarketChangeTypeCode.BidVolumeByCanceledOrder:
case MarketChangeTypeCode.BuyingVolumeByCanceledOrder:
if (change.Volume == 0)
{
_bids.Remove(volume);
}
else
{
if (!_bids.Add(volume))
{
_bids.Remove(volume);
_bids.Add(volume);
}
}
break;
case MarketChangeTypeCode.SellingVolumeByAddedOrder:
case MarketChangeTypeCode.AskVolumeByExecutedOrder:
case MarketChangeTypeCode.AskVolumeByAddedOrder:
case MarketChangeTypeCode.AskVolumeByCanceledOrder:
case MarketChangeTypeCode.SellingVolumeByCanceledOrder:
if (change.Volume == 0)
{
_asks.Remove(volume);
}
else
{
if (!_asks.Add(volume))
{
_asks.Remove(volume);
_asks.Add(volume);
}
}
break;
case MarketChangeTypeCode.BuyingVolumeInfoAdded:
if (!_bids.Add(volume))
{
_bids.Remove(volume);
_bids.Add(volume);
}
break;
case MarketChangeTypeCode.SellingVolumeInfoAdded:
if (!_asks.Add(volume))
{
_asks.Remove(volume);
_asks.Add(volume);
}
break;
default:
throw new NotSupportedException($"Not supported type: '{change.MarketChangeType}'.");
}
}
}
public override List <LimitOrder> GetOrders(MarketChange marketChange, double stake)
{
_mChange = marketChange;
return(new List <LimitOrder>());
}