private static MktSummaryEvent PrepareMktSummaryEvent(DataFactory factory, MktSummaryEvent mktSummary, TickData tick)
{
switch (tick.Type)
{
case DataWrangler.Structures.Type.Ask:
mktSummary.Ask = tick;
mktSummary = CheckForSyntheticTradeCondition(factory, mktSummary);
break;
case DataWrangler.Structures.Type.Bid:
mktSummary.Bid = tick;
mktSummary = CheckForSyntheticTradeCondition(factory, mktSummary);
break;
case DataWrangler.Structures.Type.Trade:
mktSummary.Trade = tick;
break;
}
if (tick.TimeStamp > mktSummary.EventTime)
{
mktSummary.EventTime = tick.TimeStamp;
}
if ((mktSummary.Ask != null) && (mktSummary.Bid != null) && mktSummary.Trade != null)
{
mktSummary.Complete = true;
Console.WriteLine("Mkt summary {0} {1} ask {2} bid {3} trade {4}", tick.Security,
mktSummary.EventTime.ToLongTimeString(),
mktSummary.Ask.Price, mktSummary.Bid.Price, mktSummary.Trade.Price);
}
return(mktSummary);
}
private void ParseDataTable(DataFactory factory, DataTable dt)
{
Console.WriteLine("Parsing {0} DataTable({1} rows)", factory.SecurityName, dt.Rows.Count.ToString());
if (!_mktSummaryEvents.ContainsKey(factory))
{
_mktSummaryEvents.Add(factory, new MktSummaryEvent {
Complete = false
});
}
MktSummaryEvent mktSummary = _mktSummaryEvents[factory];
foreach (DataRow row in dt.Rows)
{
TickData tick = DataRowToTickData(factory, row);
if (tick != null)
{
if (!mktSummary.Complete)
{
mktSummary = PrepareMktSummaryEvent(factory, mktSummary, tick);
_mktSummaryEvents[factory] = mktSummary;
}
else
{
AddHistDataToCache(factory, tick);
}
}
}
}
public void PlayBackData()
{
foreach (var secondsBin in CachedTickData)
{
foreach (var security in secondsBin.Value)
{
DataFactory factory = security.Key;
if (_mktSummaryEvents.ContainsKey(factory))
{
MktSummaryEvent mktSummaryEvent = _mktSummaryEvents[factory];
if (mktSummaryEvent.EventTime <= secondsBin.Key)
{
factory.FirstTick(mktSummaryEvent.Bid, mktSummaryEvent.Ask, mktSummaryEvent.Trade);
_mktSummaryEvents.Remove(factory);
}
}
// begin play back only after we have a summary event for each security
if (_mktSummaryEvents.Count < 1)
{
foreach (TickData tickData in security.Value)
{
factory.NewTick(tickData);
}
}
}
}
}
public void ParseTickDataList(object dataObject, List <TickData> dt)
{
if (dataObject is DataFactory)
{
var factory = (DataFactory)dataObject;
Console.WriteLine("Parsing {0} DataTable({1} rows)", factory.SecurityName, dt.Count.ToString());
if (!_mktSummaryEvents.ContainsKey(factory))
{
_mktSummaryEvents.Add(factory, new MktSummaryEvent {
Complete = false
});
}
MktSummaryEvent mktSummary = _mktSummaryEvents[factory];
if (!_hasChachedData.ContainsKey(factory))
{
_hasChachedData.Add(factory, false);
}
if (dt.Count > 0)
{
_hasChachedData[factory] = true;
}
foreach (var tick in dt)
{
if (tick != null)
{
if (!mktSummary.Complete)
{
mktSummary = PrepareMktSummaryEvent(factory, mktSummary, tick);
_mktSummaryEvents[factory] = mktSummary;
}
else
{
AddHistDataToCache(factory, tick);
}
}
}
}
}
private static MktSummaryEvent CheckForSyntheticTradeCondition(DataFactory factory, MktSummaryEvent mktSummary)
{
if ((mktSummary.Ask != null) && (mktSummary.Bid != null))
{
mktSummary.Trade = new TickData
{
Type = DataWrangler.Structures.Type.Trade,
TimeStamp = mktSummary.EventTime,
Price = (mktSummary.Bid.Price + mktSummary.Ask.Price) / 2,
Size = 0,
Codes = null,
Security = factory.SecurityObj.Name,
SecurityObj = factory.SecurityObj,
SecurityID = factory.SecurityObj.Id
};
}
return(mktSummary);
}
private static MktSummaryEvent PrepareMktSummaryEvent(DataFactory factory, MktSummaryEvent mktSummary, TickData tick)
{
switch (tick.Type)
{
case Type.Ask:
if (mktSummary.Ask == null)
{
mktSummary.Ask = tick;
if (tick.TimeStamp > mktSummary.EventTime) mktSummary.EventTime = tick.TimeStamp;
mktSummary = CheckForSyntheticTradeCondition(factory, mktSummary);
}
break;
case Type.Bid:
if (mktSummary.Bid == null)
{
mktSummary.Bid = tick;
if (tick.TimeStamp > mktSummary.EventTime) mktSummary.EventTime = tick.TimeStamp;
mktSummary = CheckForSyntheticTradeCondition(factory, mktSummary);
}
break;
case Type.Trade:
if (mktSummary.Trade == null)
{
mktSummary.Trade = tick;
if (tick.TimeStamp > mktSummary.EventTime) mktSummary.EventTime = tick.TimeStamp;
mktSummary = CheckForSyntheticTradeCondition(factory, mktSummary);
}
break;
}
if ((mktSummary.Ask != null) && (mktSummary.Bid != null) && mktSummary.Trade != null)
{
mktSummary.Complete = true;
Console.WriteLine("Mkt summary {0} {1} ask {2} bid {3} trade {4}", tick.Security,
mktSummary.EventTime.ToLongTimeString(),
mktSummary.Ask.Price, mktSummary.Bid.Price, mktSummary.Trade.Price);
}
return mktSummary;
}
private static MktSummaryEvent CheckForSyntheticTradeCondition(DataFactory factory, MktSummaryEvent mktSummary)
{
if ((mktSummary.Ask != null) && (mktSummary.Bid != null))
{
mktSummary.Trade = new TickData
{
Type = Type.Trade,
TimeStamp = mktSummary.EventTime,
Price = (mktSummary.Bid.Price + mktSummary.Ask.Price) / 2,
Size = 0,
Codes = null,
Security = factory.SecurityObj.Name,
SecurityObj = factory.SecurityObj,
SecurityID = factory.SecurityObj.Id
};
}
return mktSummary;
}
