////////////////////////////////////////////////////////////////////////////////////////////////////
/// <summary> Event notification for Time & Sales update. </summary>
/// <param name="sender"> Source of the event. </param>
/// <param name="e"> Time & Sales event information. </param>
////////////////////////////////////////////////////////////////////////////////////////////////////
void m_tsSubscription_Update(object sender, TimeAndSalesEventArgs e)
{
Console.WriteLine("\n================= {0}", m_ps_counter++);
if (e.Error == null)
{
// More than one LTP/LTQ may be received in a single event
foreach (TimeAndSalesData ts in e.Data)
{
Price ltp = ts.TradePrice;
Quantity ltq = ts.TradeQuantity;
Console.WriteLine("\n[{0}] {1} isOTC={2} isImplied={3} isLegTrade={4} {5} {6} @ {7}", ts.TimeStamp, ts.Instrument.Name, ts.IsOverTheCounter, ts.IsImplied, ts.IsLegTrade, ts.Direction, ts.TradePrice, ts.TradeQuantity);
}
}
else
{
if (e.Error != null)
{
Console.WriteLine("Unrecoverable Time and Sales subscription error: {0}", e.Error.Message);
tt_net_sdk.TimeAndSalesSubscription ts = (tt_net_sdk.TimeAndSalesSubscription)sender;
Console.WriteLine("Unrecoverable price subscription error: {0}", e.Error.Message);
ts.Dispose();
}
}
}
private void tsSub_Update(object sender, TimeAndSalesEventArgs e)
{
foreach (TimeAndSalesData tsData in e.Data)
{
Price ltp = tsData.TradePrice;
Quantity ltq = tsData.TradeQuantity;
if (CSOpen == 0)
{
CSOpen = ltp.ToTicks();
}
if (ltp.ToTicks() > CSHigh)
{
CSHigh = ltp.ToTicks();
}
else if (ltp.ToTicks() < CSLow || CSLow == 0)
{
CSLow = ltp.ToTicks();
}
CSClose = ltp.ToTicks();
}
//MainForm.CSInterumData();
}
/// <summary>
/// Event notification for Time & Sales update
/// </summary>
void m_ts_Update(object sender, TimeAndSalesEventArgs e)
{
if (e.Error == null)
{
// More than one LTP/LTQ may be received in a single event
foreach (TimeAndSalesData tsData in e.Data)
{
Price ltp = tsData.TradePrice;
Quantity ltq = tsData.TradeQuantity;
Console.WriteLine("LTP = {0} : LTQ = {1}", ltp.ToString(), ltq.ToInt());
}
}
}
/// <summary>
/// Event notification for trade updates
/// </summary>
public void tsSub_Update(object sender, TimeAndSalesEventArgs e)
{
// process the update
if (e.Error == null)
{
foreach (TimeAndSalesData tsData in e.Data)
{
Console.WriteLine("{0} : {1} --> LTP/LTQ : {2}/{3}",
Thread.CurrentThread.Name, e.Instrument.Name, tsData.TradePrice, tsData.TradeQuantity);
}
// Add strategy logic here
}
}
//
//
//******************************************************************
// **** TimeAndSalesSubscription_Updated() ****
//******************************************************************
//
/// <summary>
/// Time and Sales data is uncoalesced trade data. This allows us to a better job
/// of diffrentiating sides volume traded on while recording data for analysis.
/// This update Volume on all sides but last. The price subscription has a good last traded volume
/// field, this is used only for more in depth analysis when needed
/// </summary>
/// <param name="sender"></param>
/// <param name="eventArgs"></param>
private void TimeAndSalesSubscription_Updated(object sender, TimeAndSalesEventArgs eventArgs)
{
if (m_isDisposing)
{
return;
}
if (eventArgs.Error == null)
{
UVProd.InstrumentName instrumentName;
InstrumentKey key = eventArgs.Instrument.Key;
if (m_KeyToInstruments.TryGetValue(key, out instrumentName))
{
if (eventArgs.Data.Count != 0)
{ // is any data packed with this event
m_NewEvents.Clear();
MarketBase newEvent = m_Market.m_MarketBaseFactory.Get(); // Get an event arg.
newEvent.ClearVolume(); // make sure our event is clean.
newEvent.Name = instrumentName;
int[] instrumentVolumeArray = m_InstrKeyToVolume[key];
foreach (TimeAndSalesData timeAndSalesData in eventArgs.Data)
{ // for each trade
if (!timeAndSalesData.IsOverTheCounter)
{ // this trade was not OTC
int tradeSide = TTConvertNew.ToUVMarketSide(timeAndSalesData.Direction); //long, short or unknown
if (timeAndSalesData.TradeQuantity.IsValid)
{ // qty is valid so aggregate all qty's by the direction of the trade
instrumentVolumeArray[tradeSide] += timeAndSalesData.TradeQuantity.ToInt();
}
}
}
for (int side = 0; side < newEvent.Volume.Length; side++)
{ // update all sides
newEvent.Volume[side] = instrumentVolumeArray[side];
}
newEvent.IsIncludesTimeAndSales = true;
m_NewEvents.Add(newEvent);
ProcessPriceChangeEvents(ref m_NewEvents);
}
}
}
}
/// <summary>
/// Event to notify the application there has been a change in the time and sales feed
/// Here we pull the values and publish them to the GUI
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
void timeAndSalesSubscription_Update(object sender, TimeAndSalesEventArgs e)
{
if (e.Error != null)
{
Console.WriteLine(String.Format("TT API TimeAndSalesSubscription Error: {0}", e.Error.ToString()));
return;
}
this.dgTimeAndSales.SuspendLayout();
// TAS data is delivered as a list. Iterate through and publish to the DataGrid
// The zero in the first parameter signifies we're inserting at the beginning of the list (new data always on top)
foreach (TimeAndSalesData tsData in e.Data)
{
m_TimeAndSalesList.Insert(0, tsData);
}
this.dgTimeAndSales.ResumeLayout();
}
void tsSub_Update(object sender, TimeAndSalesEventArgs e)
{
if (e.Error == null)
{
TTInstrument tti = _ttInstruments[e.Instrument.Key];
Price ltp;
Quantity ltq;
DateTime timestamp;
TradeDirection direction;
bool isOTC;
foreach (TimeAndSalesData tsData in e.Data)
{
timestamp = tsData.TimeStamp;
ltp = tsData.TradePrice;
ltq = tsData.TradeQuantity;
direction = tsData.Direction;
isOTC = tsData.IsOverTheCounter;
if (OnTimeAndSales != null)
{
OnTimeAndSales(tti, timestamp, ltp, ltq, direction, isOTC);
}
}
}
}
/// <summary>
/// Event notification for trade updates
/// </summary>
public void tsSub_Update(object sender, TimeAndSalesEventArgs e)
{
// process the update
if (e.Error == null)
{
foreach (TimeAndSalesData tsData in e.Data)
{
Console.WriteLine("{0} : {1} --> LTP/LTQ : {2}/{3}",
Thread.CurrentThread.Name, e.Instrument.Name, tsData.TradePrice, tsData.TradeQuantity);
}
// Add strategy logic here
}
}
/// <summary>
/// Event notification for Time & Sales update
/// </summary>
void m_ts_Update(object sender, TimeAndSalesEventArgs e)
{
if (e.Error == null)
{
// More than one LTP/LTQ may be received in a single event
foreach (TimeAndSalesData tsData in e.Data)
{
Price ltp = tsData.TradePrice;
Quantity ltq = tsData.TradeQuantity;
Console.WriteLine("LTP = {0} : LTQ = {1}", ltp.ToString(), ltq.ToInt());
}
}
}
/// <summary>
/// Event to notify the application there has been a change in the time and sales feed
/// Here we pull the values and publish them to the GUI
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
void timeAndSalesSubscription_Update(object sender, TimeAndSalesEventArgs e)
{
if (e.Error != null)
{
Console.WriteLine(String.Format("TT API TimeAndSalesSubscription Error: {0}", e.Error.ToString()));
return;
}
this.dgTimeAndSales.SuspendLayout();
// TAS data is delivered as a list. Iterate through and publish to the DataGrid
// The zero in the first parameter signifies we're inserting at the beginning of the list (new data always on top)
foreach (TimeAndSalesData tsData in e.Data)
m_TimeAndSalesList.Insert(0, tsData);
this.dgTimeAndSales.ResumeLayout();
}
