//
// *****************************************************************
// **** Update Market Topics() ****
// *****************************************************************
/// <summary>
/// In order to throttle market updates, this method is called periodically.
/// It updates subscriptions for the market hub directly, and also searches
/// thru each FillHub topics that are market dependent and updates the topics.
/// </summary>
private void UpdateMarketTopics()
{
// Update all markets
Book mktBook = null;
if (!m_MarketHub.TryEnterReadBook(out mktBook))
{
return;
}
// Update MarketHub topics
// TODO: Introduce a Subscription type for market requests, bid/ask etc.
//
// Get all market dependent Fill topics.
//
Dictionary <InstrumentName, Dictionary <SubscriptionType, List <Topic> > > subscriptions;
foreach (string hubName in m_FillHubs.Keys)
{
if (m_SubscriptionsByHubName.TryGetValue(hubName, out subscriptions)) // handle any direct market requests.
{
foreach (InstrumentName instrumentName in subscriptions.Keys)
{
// Get last price for this instrument.
Dictionary <SubscriptionType, List <Topic> > subscriptionList;
List <Topic> topicList;
FillBookLifo fillBook;
int instrumentID;
if (subscriptions.TryGetValue(instrumentName, out subscriptionList) &&
subscriptionList.TryGetValue(SubscriptionType.UnRealPnL, out topicList) &&
m_FillHubs[hubName].TryEnterReadBook(instrumentName, out fillBook))
{
if (m_MarketHub.TryLookupInstrumentID(instrumentName, out instrumentID))
{ // We have found topics for UnRealPnL.
double lastPrice = mktBook.Instruments[instrumentID].LastPrice;
string newValue = fillBook.UnrealizedDollarGains(lastPrice).ToString();
foreach (Topic topic in topicList)
{
if (!topic.PeekAtValue().Equals(newValue))
{
topic.SetValue(newValue);
}
}
}
m_FillHubs[hubName].ExitReadBook(instrumentName);
}
} //next instrumentName
}
} // next fillhub hubName
// Exit
m_MarketHub.ExitReadBook(mktBook);
}//UpdateMarketTopics.
}//listBoxInstruments_SelectedIndexChanged()
/// <summary>
/// The market reading timer ticks and read the market books to get prices.
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void MarketReadingTimer_Elapsed(object sender, System.Timers.ElapsedEventArgs e)
{
if (this.InvokeRequired)
{
System.Timers.ElapsedEventHandler marketReadingDelegate = new System.Timers.ElapsedEventHandler(MarketReadingTimer_Elapsed);
this.Invoke(marketReadingDelegate, new object[] { sender, e });
}
else
{
string instrName;
string bidPrice;
string bidQty;
string askPrice;
string askQty;
// Find the price for the future instrument that is in the long term.
Book aBook;
string selectedInstrument = listBoxInstruments.SelectedItem.ToString();
InstrumentName selectedInstrumentName;
if (!m_FutureInstruments.TryGetValue(selectedInstrument, out selectedInstrumentName))
{
Log.NewEntry(LogLevel.Warning, "Can not find selected instrument.");
return;
}
instrName = selectedInstrumentName.FullName;
if (m_MarketTTAPI.TryEnterReadBook(out aBook))
{
int instrID = -1;
foreach (Misty.Lib.BookHubs.Market mkt in aBook.Instruments.Values)
{
if (instrName.Equals(mkt.Name.FullName))
{
instrID = mkt.ID;
break;
}
}
if (instrID >= 0)
{
instrName = aBook.Instruments[instrID].Name.FullName;
bidPrice = aBook.Instruments[instrID].Price[0][0].ToString();
bidQty = aBook.Instruments[instrID].Qty[0][0].ToString();
askPrice = aBook.Instruments[instrID].Price[1][0].ToString();
askQty = aBook.Instruments[instrID].Qty[1][0].ToString();
// Publish the prices to the GUI.
textBoxBidPrice.Text = bidPrice;
textBoxBidQty.Text = bidQty;
textBoxAskPrice.Text = askPrice;
textBoxAskQty.Text = askQty;
textBoxExpirySeries.Text = selectedInstrumentName.SeriesName;
}
m_MarketTTAPI.ExitReadBook(aBook);
}
// Get the market prices for the spread instrument components.
// Record the prices into logs and console.
StringBuilder stringBuilder = new StringBuilder();
stringBuilder.Clear();
Log.BeginEntry(LogLevel.Minor);
foreach (InstrumentName instrumentName in m_InstrumentSubscriptions)
{
instrName = instrumentName.FullName;
if (m_MarketTTAPI.TryEnterReadBook(out aBook))
{
int instrID = -1;
foreach (Misty.Lib.BookHubs.Market mkt in aBook.Instruments.Values)
{
if (instrName.Equals(mkt.Name.FullName))
{
instrID = mkt.ID;
break;
}
}
if (instrID >= 0)
{
instrName = aBook.Instruments[instrID].Name.FullName;
bidPrice = aBook.Instruments[instrID].Price[0][0].ToString();
bidQty = aBook.Instruments[instrID].Qty[0][0].ToString();
askPrice = aBook.Instruments[instrID].Price[1][0].ToString();
askQty = aBook.Instruments[instrID].Qty[1][0].ToString();
// Write the prices to logs and console.
stringBuilder.AppendFormat("{5}_{0}:bid->{1}@{2},ask->{3}@{4}\n", instrName, bidPrice, bidQty, askPrice, askQty, DateTime.Now);
Log.AppendEntry("{5}_{0}:bid->{1}@{2},ask->{3}@{4}\n", instrName, bidPrice, bidQty, askPrice, askQty, DateTime.Now);
}
m_MarketTTAPI.ExitReadBook(aBook);
}
}
Console.Write(stringBuilder.ToString());
Log.EndEntry();
}
}