public int ReqMktDataStream(Contract p_contract, bool p_snapshot = false, MktDataSubscription.MktDataArrivedFunc p_mktDataArrivedFunc = null)
{
switch (p_contract.Symbol)
{
case "VXX":
return 4001;
case "SVXY":
return 4002;
case "RUT":
return 4003;
case "UWM":
return 4004;
case "TWM":
return 4005;
default:
return 3999;
}
}
public virtual int ReqMktDataStream(Contract p_contract, bool p_snapshot = false, MktDataSubscription.MktDataArrivedFunc p_mktDataArrivedFunc = null)
{
int marketDataId = GetUniqueReqMktDataID;
Utils.Logger.Debug($"ReqMktDataStream() { marketDataId} START");
ClientSocket.reqMarketDataType(2); // 2: streaming data (for realtime), 1: frozen (for historical prices)
//mainClient.reqMktData(marketDataId, contractSPY, "221", false, null);
ClientSocket.reqMktData(marketDataId, p_contract, null, p_snapshot, null);
var mktDataSubscr = new MktDataSubscription()
{
Contract = p_contract,
MarketDataId = marketDataId,
MarketDataArrived = p_mktDataArrivedFunc
};
MktDataSubscriptions.TryAdd(marketDataId, mktDataSubscr);
// RUT index data comes once ever 5 seconds
if (!p_snapshot) // only if it is a continous streaming
mktDataSubscr.CheckDataIsAliveTimer = new System.Threading.Timer(new TimerCallback(MktDataIsAliveTimer_Elapsed), mktDataSubscr, TimeSpan.FromSeconds(15), TimeSpan.FromMilliseconds(-1.0));
return marketDataId;
}
public int ReqMktDataStream(Contract p_contract, bool p_snapshot = false, MktDataSubscription.MktDataArrivedFunc p_mktDataArrivedFunc = null)
{
switch (p_contract.Symbol)
{
case "VXX":
return 4001;
default:
return 4002;
}
}