void HandleTickSize(object sender, IB.TickSizeEventArgs e)
{
var symbol = default(Symbol);
if (!_subscribedTickets.TryGetValue(e.TickerId, out symbol)) return;
var tick = new Tick();
// in the event of a symbol change this will break since we'll be assigning the
// new symbol to the permtick which won't be known by the algorithm
tick.Symbol = symbol;
var securityType = symbol.ID.SecurityType;
tick.Quantity = AdjustQuantity(securityType, e.Size);
tick.Time = GetBrokerTime();
if (securityType == SecurityType.Forex)
{
// forex exchange hours are specified in UTC-05
tick.Time = tick.Time.ConvertTo(TimeZones.NewYork, TimeZones.EasternStandard);
}
if (tick.Quantity == 0) return;
switch (e.TickType)
{
case IB.TickType.BidSize:
tick.TickType = TickType.Quote;
_lastBidPrices.TryGetValue(symbol, out tick.BidPrice);
_lastBidSizes[symbol] = tick.Quantity;
tick.Value = tick.BidPrice;
tick.BidSize = tick.Quantity;
break;
case IB.TickType.AskSize:
tick.TickType = TickType.Quote;
_lastAskPrices.TryGetValue(symbol, out tick.AskPrice);
_lastAskSizes[symbol] = tick.Quantity;
tick.Value = tick.AskPrice;
tick.AskSize = tick.Quantity;
break;
case IB.TickType.LastSize:
tick.TickType = TickType.Trade;
decimal lastPrice;
_lastPrices.TryGetValue(symbol, out lastPrice);
_lastVolumes[symbol] = tick.Quantity;
tick.Value = lastPrice;
break;
default:
return;
}
lock (_ticks)
if (tick.IsValid()) _ticks.Add(tick);
}
void HandleTickSize(object sender, IB.TickSizeEventArgs e)
{
var symbol = default(SymbolCacheKey);
if (!_subscribedTickets.TryGetValue(e.TickerId, out symbol)) return;
var tick = new Tick();
tick.Symbol = symbol.Item2;
tick.Quantity = AdjustQuantity(symbol.Item1, e.Size);
tick.Time = GetBrokerTime();
if (tick.Quantity == 0) return;
switch (e.TickType)
{
case IB.TickType.BidSize:
tick.TickType = TickType.Quote;
_lastBidPrices.TryGetValue(symbol, out tick.BidPrice);
_lastBidSizes[symbol] = tick.Quantity;
tick.Value = tick.BidPrice;
break;
case IB.TickType.AskSize:
tick.TickType = TickType.Quote;
_lastAskPrices.TryGetValue(symbol, out tick.AskPrice);
_lastAskSizes[symbol] = tick.Quantity;
tick.Value = tick.AskPrice;
break;
case IB.TickType.LastSize:
tick.TickType = TickType.Trade;
decimal lastPrice;
_lastPrices.TryGetValue(symbol, out lastPrice);
_lastVolumes[symbol] = tick.Quantity;
tick.Value = lastPrice;
break;
default:
return;
}
lock (_ticks)
if (tick.IsValid()) _ticks.Add(tick);
}
void HandleTickPrice(object sender, IB.TickPriceEventArgs e)
{
var symbol = default(SymbolCacheKey);
if (!_subscribedTickets.TryGetValue(e.TickerId, out symbol)) return;
var tick = new Tick();
tick.Symbol = symbol.Item2;
tick.Time = GetBrokerTime();
tick.Value = e.Price;
if (e.Price <= 0 &&
symbol.Item1 != SecurityType.Future &&
symbol.Item1 != SecurityType.Option)
return;
switch (e.TickType)
{
case IB.TickType.BidPrice:
tick.TickType = TickType.Quote;
tick.BidPrice = e.Price;
_lastBidSizes.TryGetValue(symbol, out tick.Quantity);
_lastBidPrices[symbol] = e.Price;
break;
case IB.TickType.AskPrice:
tick.TickType = TickType.Quote;
tick.AskPrice = e.Price;
_lastAskSizes.TryGetValue(symbol, out tick.Quantity);
_lastAskPrices[symbol] = e.Price;
break;
case IB.TickType.LastPrice:
tick.TickType = TickType.Trade;
tick.Value = e.Price;
_lastPrices[symbol] = e.Price;
break;
case IB.TickType.HighPrice:
case IB.TickType.LowPrice:
case IB.TickType.ClosePrice:
case IB.TickType.OpenPrice:
default:
return;
}
lock (_ticks)
if (tick.IsValid()) _ticks.Add(tick);
}
void HandleTickPrice(object sender, IB.TickPriceEventArgs e)
{
var symbol = default(SymbolCacheKey);
if (!_subscribedTickets.TryGetValue(e.TickerId, out symbol)) return;
var tick = new Tick();
// in the event of a symbol change this will break since we'll be assigning the
// new symbol to the permtick which won't be known by the algorithm
tick.Symbol = new Symbol(symbol.Item2);
tick.Time = GetBrokerTime();
if (symbol.Item1 == SecurityType.Forex)
{
// forex exchange hours are specified in UTC-05
tick.Time = tick.Time.ConvertTo(TimeZones.NewYork, TimeZones.EasternStandard);
}
tick.Value = e.Price;
if (e.Price <= 0 &&
symbol.Item1 != SecurityType.Future &&
symbol.Item1 != SecurityType.Option)
return;
switch (e.TickType)
{
case IB.TickType.BidPrice:
tick.TickType = TickType.Quote;
tick.BidPrice = e.Price;
_lastBidSizes.TryGetValue(symbol, out tick.Quantity);
_lastBidPrices[symbol] = e.Price;
break;
case IB.TickType.AskPrice:
tick.TickType = TickType.Quote;
tick.AskPrice = e.Price;
_lastAskSizes.TryGetValue(symbol, out tick.Quantity);
_lastAskPrices[symbol] = e.Price;
break;
case IB.TickType.LastPrice:
tick.TickType = TickType.Trade;
tick.Value = e.Price;
_lastPrices[symbol] = e.Price;
break;
case IB.TickType.HighPrice:
case IB.TickType.LowPrice:
case IB.TickType.ClosePrice:
case IB.TickType.OpenPrice:
default:
return;
}
lock (_ticks)
if (tick.IsValid()) _ticks.Add(tick);
}
void HandleTickSize(object sender, IB.TickSizeEventArgs e)
{
var symbol = default(SymbolCacheKey);
if (!_subscribedTickets.TryGetValue(e.TickerId, out symbol)) return;
var tick = new Tick();
// in the event of a symbol change this will break since we'll be assigning the
// new symbol to the permtick which won't be known by the algorithm
tick.Symbol = new Symbol(symbol.Item2);
tick.Quantity = AdjustQuantity(symbol.Item1, e.Size);
tick.Time = GetBrokerTime();
if (tick.Quantity == 0) return;
switch (e.TickType)
{
case IB.TickType.BidSize:
tick.TickType = TickType.Quote;
_lastBidPrices.TryGetValue(symbol, out tick.BidPrice);
_lastBidSizes[symbol] = tick.Quantity;
tick.Value = tick.BidPrice;
break;
case IB.TickType.AskSize:
tick.TickType = TickType.Quote;
_lastAskPrices.TryGetValue(symbol, out tick.AskPrice);
_lastAskSizes[symbol] = tick.Quantity;
tick.Value = tick.AskPrice;
break;
case IB.TickType.LastSize:
tick.TickType = TickType.Trade;
decimal lastPrice;
_lastPrices.TryGetValue(symbol, out lastPrice);
_lastVolumes[symbol] = tick.Quantity;
tick.Value = lastPrice;
break;
default:
return;
}
lock (_ticks)
if (tick.IsValid()) _ticks.Add(tick);
}
private void HandleTickPrice(object sender, IB.TickPriceEventArgs e)
{
Symbol symbol;
if (!_subscribedTickets.TryGetValue(e.TickerId, out symbol)) return;
var price = Convert.ToDecimal(e.Price);
var tick = new Tick();
// in the event of a symbol change this will break since we'll be assigning the
// new symbol to the permtick which won't be known by the algorithm
tick.Symbol = symbol;
tick.Time = GetBrokerTime();
var securityType = symbol.ID.SecurityType;
if (securityType == SecurityType.Forex)
{
// forex exchange hours are specified in UTC-05
tick.Time = tick.Time.ConvertTo(TimeZones.NewYork, TimeZones.EasternStandard);
}
tick.Value = price;
if (e.Price <= 0 &&
securityType != SecurityType.Future &&
securityType != SecurityType.Option)
return;
switch (e.Field)
{
case IBApi.TickType.BID:
tick.TickType = TickType.Quote;
tick.BidPrice = price;
_lastBidSizes.TryGetValue(symbol, out tick.Quantity);
_lastBidPrices[symbol] = price;
break;
case IBApi.TickType.ASK:
tick.TickType = TickType.Quote;
tick.AskPrice = price;
_lastAskSizes.TryGetValue(symbol, out tick.Quantity);
_lastAskPrices[symbol] = price;
break;
case IBApi.TickType.LAST:
tick.TickType = TickType.Trade;
tick.Value = price;
_lastPrices[symbol] = price;
break;
default:
return;
}
lock (_ticks)
if (tick.IsValid()) _ticks.Add(tick);
}
