void esig_OnQuoteChanged(string sSymbol)
{
try
{
// get tick info
BasicQuote q = esig.get_GetBasicQuote(sSymbol);
// get our struct
Tick k = new TickImpl(sSymbol);
// convert it
k.ask = (decimal)q.dAsk;
k.bid = (decimal)q.dBid;
k.trade = (decimal)q.dLast;
k.bs = q.lBidSize;
k.os = q.lAskSize;
k.size = q.lLastSize;
DateTime now = esig.GetAppTime;
k.time = Util.ToTLTime(now);
k.date = Util.ToTLDate(now);
if (isPaperTradeEnabled)
{
ptt.newTick(k);
}
// send it
tl.newTick(k);
}
catch (Exception ex)
{
if (GotDebug != null)
{
GotDebug(DebugImpl.Create(ex.Message + ex.StackTrace, DebugLevel.Debug));
}
}
}
public void FillBidAskPartial()
{
PapertradeTracker ptt = new PapertradeTracker();
PositionTracker pt = new PositionTracker();
ptt.UseBidAskFills = true;
ptt.GotFillEvent += new FillDelegate(pt.GotFill);
foreach (bool side in new bool[] { true, false })
{
pt.Clear();
Order o = new MarketOrder("IBM", side, 1000);
int size = o.size;
o.id = 1;
ptt.sendorder(o);
Tick k = TickImpl.NewQuote("IBM", 100, 101, 400, 400, "", "");
ptt.newTick(k); // partial fill
ptt.newTick(k); // partial fill
ptt.newTick(k); // partial fill, completed
Expect(pt["IBM"].Size, Is.EqualTo(size));
}
}
public void TestTradeFill()
{
ptt = new PapertradeTracker();
ptt.SendDebugEvent += new DebugDelegate(debug);
ptt.UseBidAskFills = false;
fills = 0;
pt = new PositionTracker();
const string SYM = "TST";
ptt.GotFillEvent += new FillDelegate(ptt_GotFillEvent);
ptt.GotOrderEvent += new OrderDelegate(ptt_GotOrderEvent);
// send an order
ptt.sendorder(new BuyMarket(SYM, 1000));
// verify it did not fill
Assert.AreEqual(0, pt[SYM].Size);
// send a tick
ptt.newTick(TickImpl.NewTrade(SYM, 10, 100));
// verify it fills
Assert.AreEqual(100, pt[SYM].Size);
}
// respond to redi events
void VBRediCache_CacheEvent(int action, int row)
{
int err = 0;
object cv = new object();
decimal dv = 0;
int iv = 0;
switch (action)
{
case 1: //CN_SUBMIT
{
try
{
v("for submit row: " + row.ToString() + " action: " + action.ToString());
int i = row != 0 ? row - 1 : row;
Tick k = new TickImpl();
_cc.VBGetCell(i, "SYMBOL", ref cv, ref err);
v("getcellerr: " + err.ToString());
if (!(cv == null))
{
k.symbol = cv.ToString();
}
_cc.VBGetCell(i, "LastPrice", ref cv, ref err);
if (!(cv == null))
{
if (decimal.TryParse(cv.ToString(), out dv))
{
k.trade = dv;
}
}
_cc.VBGetCell(i, "BidPrice", ref cv, ref err);
if (!(cv == null))
{
if (decimal.TryParse(cv.ToString(), out dv))
{
k.bid = dv;
}
}
_cc.VBGetCell(i, "AskPrice", ref cv, ref err);
if (!(cv == null))
{
if (decimal.TryParse(cv.ToString(), out dv))
{
k.ask = dv;
}
}
_cc.VBGetCell(i, "LastSize", ref cv, ref err);
if (!(cv == null))
{
if (int.TryParse(cv.ToString(), out iv))
{
k.size = iv;
}
}
_cc.VBGetCell(i, "BidSize", ref cv, ref err);
if (!(cv == null))
{
if (int.TryParse(cv.ToString(), out iv))
{
k.bs = iv;
}
}
_cc.VBGetCell(i, "AskSize", ref cv, ref err);
if (!(cv == null))
{
if (int.TryParse(cv.ToString(), out iv))
{
k.os = iv;
}
}
k.date = Util.ToTLDate(DateTime.Now);
k.time = Util.DT2FT(DateTime.Now);
// fill papertrade orders first
if (isPaperTradeEnabled)
{
ptt.newTick(k);
}
tl.newTick(k);
}
catch (Exception exc)
{
debug(exc.Message);
}
}
break;
/*
* case 4 : //CN_INSERT
* break;
* */
case 5: // CN_UPDATE
{
try
{
if (TickDebugVerbose)
{
v("for update row: " + row.ToString() + " action: " + action.ToString());
}
int i = row;
Tick k = new TickImpl();
_cc.VBGetCell(i, "SYMBOL", ref cv, ref err);
if (TickDebugVerbose)
{
v("getcellerr: " + err.ToString());
}
if (!(cv == null))
{
k.symbol = cv.ToString();
}
_cc.VBGetCell(i, "LastPrice", ref cv, ref err);
if (!(cv == null))
{
if (decimal.TryParse(cv.ToString(), out dv))
{
k.trade = dv;
k.size = 1; // this code is just to make everything else working, i.e. Last, High and Low.
}
}
_cc.VBGetCell(i, "BidPrice", ref cv, ref err);
if (!(cv == null))
{
if (decimal.TryParse(cv.ToString(), out dv))
{
k.bid = dv;
}
}
_cc.VBGetCell(i, "AskPrice", ref cv, ref err);
if (!(cv == null))
{
if (decimal.TryParse(cv.ToString(), out dv))
{
k.ask = dv;
}
}
//_cc.VBGetCell(i, "LastSize", ref cv, ref err);
//if (!(cv == null))
//{
// if (int.TryParse(cv.ToString(), out iv))
// k.size = iv;
//}
_cc.VBGetCell(i, "BidSize", ref cv, ref err);
if (!(cv == null))
{
if (int.TryParse(cv.ToString(), out iv))
{
k.bs = iv;
}
}
_cc.VBGetCell(i, "AskSize", ref cv, ref err);
if (!(cv == null))
{
if (int.TryParse(cv.ToString(), out iv))
{
k.os = iv;
}
}
k.date = Util.ToTLDate(DateTime.Now);
k.time = Util.DT2FT(DateTime.Now);
tl.newTick(k);
}
catch (Exception exc)
{
debug(exc.Message);
}
}
break;
/*
* case 7: // CN_REMOVING
* break;
* case 8 : // CN_REMOVED
* break;
*/
}
}
public void FireTick(string[] actualData)
{
if (actualData.Length < 66)
{
return;
}
try
{
if (actualData[0] == "F")
{
return;
}
Tick tick = new TickImpl();
tick.date = Util.ToTLDate();
DateTime now;
int local = Util.ToTLTime();
if (DateTime.TryParse(actualData[65], out now))
{
tick.time = Util.DT2FT(now);
if (ReportLatency)
{
Int64 latency = 0;
if (lastticktime != 0)
{
latency = DateTime.Now.Ticks - lastticktime;
}
lastticktime = now.Ticks;
latencyavg = (latency + latencyavg) / 2;
tickssincelastlatencyreport++;
// test for peak
if (latency > peaklatency)
{
peaklatency = latency;
}
// test for report
if (tickssincelastlatencyreport > 500000)
{
// convert to ms
double latencyms = latencyavg / 10000;
double peakms = peaklatency / 10000;
debug(string.Format("latency (ms) avg {0:N1} peak: {0:N1}", latencyms, peaklatency));
tickssincelastlatencyreport = 0;
latencyavg = 0;
}
}
}
else
{
tick.time = local;
}
// see if user has tick ignoring enabled
//(this is because in early AM iqfeed will frequently send ticks with yesterday time stamps
if (usebeforeafterignoretime)
{
// ensure that ordering works across multiple days
if (lasttickdate != tick.date)
{
lasttickordertime = 0;
lasttickdate = tick.date;
}
// see if tick should be ignored
if ((local < IfBeforeTimeUseIgnoreAfter) &&
(tick.time > IgnoreAfterTimeWithBefore))
{
return;
}
// allow ignoring for ignoring other ticks that are out of order
else if (ignoreoutoforder && (tick.time < lasttickordertime))
{
return;
}
lasttickordertime = tick.time;
}
int v = 0;
if (int.TryParse(actualData[64], out v))
{
tick.oe = getmarket(v);
}
if (int.TryParse(actualData[63], out v))
{
tick.be = getmarket(v);
}
if (int.TryParse(actualData[62], out v))
{
tick.ex = getmarket(v);
}
tick.symbol = actualData[1];
tick.bid = Convert.ToDecimal(actualData[10]);
tick.ask = Convert.ToDecimal(actualData[11]);
tick.trade = Convert.ToDecimal(actualData[3]);
tick.size = Convert.ToInt32(actualData[7]);
tick.BidSize = Convert.ToInt32(actualData[12]);
tick.AskSize = Convert.ToInt32(actualData[13]);
// get symbol index for custom data requests
int idx = _highs.getindex(tick.symbol);
// update custom data (tryparse is faster than convert)
decimal d = 0;
if (decimal.TryParse(actualData[8], out d))
{
_highs[idx] = d;
}
if (decimal.TryParse(actualData[9], out d))
{
_lows[idx] = d;
}
if (isPaperTradeEnabled)
{
ptt.newTick(tick);
}
tl.newTick(tick);
}
catch (Exception ex)
{
debug("Tick error: " + string.Join(",", actualData));
debug(ex.Message + ex.StackTrace);
}
}
void doquote(ref structSTIQuoteUpdate q)
{
Tick k = new TickImpl(q.bstrSymbol);
k.bid = (decimal)q.fBidPrice;
k.ask = (decimal)q.fAskPrice;
k.bs = q.nBidSize / 100;
k.os = q.nAskSize / 100;
k.ex = GetExPretty(q.bstrExch);
k.be = GetExPretty(q.bstrBidExch);
k.oe = GetExPretty(q.bstrAskExch);
int now = Convert.ToInt32(q.bstrUpdateTime);
k.date = Util.ToTLDate(DateTime.Now);
//int sec = now % 100;
k.time = now;
// we don't want to simply return on out-of-order ticks because it'll prevent processing
// of the mdx messages further in this function.
if (!IgnoreOutOfOrderTicks || (k.time > _lasttime))
{
_lasttime = k.time;
k.trade = (decimal)q.fLastPrice;
k.size = q.nLastSize;
// execute orders if papertrade is enabled
if (isPaperTradeEnabled)
{
ptt.newTick(k);
}
// notify clients of tick
if (!_imbalance || (_imbalance && k.isValid))
{
tl.newTick(k);
}
}
/////////////////////////
// MDX Processing
/////////////////////////
if (q.nMdxMsgType == 1)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Regulatory Imbalance for: " + q.bstrSymbol
+ " ValidIntradayMarketImb: " + q.bValidIntradayMktImb
+ " ValidMktImb: " + q.bValidMktImb
+ " Imbalance: " + q.nImbalance
+ " iMktImbalance: " + q.nIntradayMktImbalance
+ " MktImbalance: " + q.nMktImbalance);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Imbalance imb = new ImbalanceImpl(q.bstrSymbol, GetExPretty(q.bstrExch), q.nIntradayMktImbalance, time, 0, 0, 0);
tl.newImbalance(imb);
}
}
else if (q.nMdxMsgType == 2)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Informational Imbalance for: " + q.bstrSymbol
+ " ValidIntradayMarketImb: " + q.bValidIntradayMktImb
+ " ValidMktImb: " + q.bValidMktImb
+ " Imbalance: " + q.nImbalance
+ " iMktImbalance: " + q.nIntradayMktImbalance
+ " MktImbalance: " + q.nMktImbalance);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Imbalance imb = new ImbalanceImpl(q.bstrSymbol, GetExPretty(q.bstrExch), 0, time, 0, 0, q.nIntradayMktImbalance);
tl.newImbalance(imb);
}
}
else if (q.nMdxMsgType == 3)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Halt/Delay for: " + q.bstrSymbol
+ " Status: " + q.bstrHaltResumeStatus
+ " Reason: " + q.bstrHaltResumeReason);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
HaltResume h = new HaltResumeImpl(q.bstrSymbol, GetExPretty(q.bstrExch), time, q.bstrHaltResumeStatus, q.bstrHaltResumeReason);
for (int clientNumber = 0; clientNumber < tl.NumClients; clientNumber++)
{
tl.TLSend(HaltResumeImpl.Serialize(h), MessageTypes.HALTRESUME, clientNumber);
}
}
}
else if (q.nMdxMsgType == 4)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Indication for: " + q.bstrSymbol
+ " ValidIndicators: " + q.bValidIndicators
+ " IndicatorHigh: " + q.fIndicatorHigh
+ " IndicatorLow: " + q.fIndicatorLow);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Indication ind = new IndicationImpl(q.bstrSymbol, GetExPretty(q.bstrExch), time, q.bValidIndicators, (decimal)q.fIndicatorHigh, (decimal)q.fIndicatorLow);
for (int clientNumber = 0; clientNumber < tl.NumClients; clientNumber++)
{
tl.TLSend(IndicationImpl.Serialize(ind), MessageTypes.INDICATION, clientNumber);
}
}
}
}
public void TestBidAsk()
{
ptt = new PapertradeTracker();
pt = new PositionTracker();
fills = 0;
const string SYM = "TST";
ptt.SendDebugEvent += new DebugDelegate(debug);
ptt.GotFillEvent += new FillDelegate(ptt_GotFillEvent);
ptt.GotOrderEvent += new OrderDelegate(ptt_GotOrderEvent);
// enable bid ask fills
ptt.UseBidAskFills = true;
// send an order
ptt.sendorder(new BuyMarket(SYM, 1000));
// verify it did not fill
Assert.AreEqual(0, pt[SYM].Size);
// send a tick
ptt.newTick(TickImpl.NewTrade(SYM, 10, 100));
// verify it did not fill
Assert.AreEqual(0, pt[SYM].Size);
// send bid
ptt.newTick(TickImpl.NewBid(SYM, 10, 100));
// verify it did not fill
Assert.AreEqual(0, pt[SYM].Size);
// send ask
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
// verify it fills
Assert.AreEqual(100, pt[SYM].Size);
Assert.AreEqual(1, fills);
// fill rest of the order
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
Assert.AreEqual(10, fills);
Assert.AreEqual(1000, pt[SYM].Size);
// send a bunch more ticks and ensure nothing else is filled
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
ptt.newTick(TickImpl.NewAsk(SYM, 12, 100));
Assert.AreEqual(0, ptt.QueuedOrders.Length);
Assert.AreEqual(10, fills);
Assert.AreEqual(1000, pt[SYM].Size);
}
