/// <summary>
/// occurs when data feed sends a quote
/// </summary>
///
void OnDdfClient_NewQuote(object sender, Client.NewQuoteEventArgs e)
{
try
{
string aSymbolName;
Instrument aType;
Session session = e.Quote.Sessions[Sessions.Combined];
if (!TryParse(e.Quote.Symbol, out aSymbolName, out aType))
{
return;
}
if (NewQuote != null && m_SubscribedSymbol.Contains(aSymbolName))
{
SymbolItem aSymbol = new SymbolItem()
{
DataFeed = Name, Exchange = MarketName, Symbol = aSymbolName, Type = aType
};
NewQuote(Name, this.TimeZoneInfo, new Tick
{
Symbol = aSymbol,
//Date = e.Quote.Timestamp.ToUniversalTime(),
Date = TimeZoneInfo.ConvertTimeToUtc(e.Quote.Timestamp, TimeZoneInfo),
Price = session == null ? (e.Quote.Ask + e.Quote.Bid) / 2 : session.Last,
Volume = session == null ? 0 : session.LastSize,
Bid = e.Quote.Bid,
BidSize = e.Quote.BidSize,
Ask = e.Quote.Ask,
AskSize = e.Quote.AskSize
});
}
if (NewLevel2 != null && m_Level2SubscribedSymbol.Contains(aSymbolName))
{
SymbolItem aSymbol = new SymbolItem()
{
DataFeed = Name, Exchange = MarketName, Symbol = aSymbolName, Type = aType
};
Level2Data level2 = new Level2Data();
level2.Symbol = aSymbol;
level2.Asks = new Level2Item[] { new Level2Item {
MarketMaker = Level1MarketMaker,
Price = e.Quote.Ask,
Quantity = (int)e.Quote.AskSize
} };
level2.Bids = new Level2Item[] { new Level2Item {
MarketMaker = Level1MarketMaker,
Price = e.Quote.Bid,
Quantity = (int)e.Quote.BidSize
} };
NewLevel2(Name, this.TimeZoneInfo, level2);
}
}
catch (Exception ex)
{
WriteToLog("---OnDdfClient_NewQuote Exception", ex);
}
}
private void ClientOnNewQuote(object sender, Client.NewQuoteEventArgs e)
{
SendOutMessage(new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = e.Quote.Symbol,
BoardCode = e.Quote.ExchangeCode
},
ServerTime = e.Quote.Timestamp.ApplyTimeZone(TimeHelper.Est)
}
.TryAdd(Level1Fields.BestBidPrice, e.Quote.Bid.ToDecimal())
.TryAdd(Level1Fields.BestBidVolume, (decimal)e.Quote.BidSize)
.TryAdd(Level1Fields.BestAskPrice, e.Quote.Ask.ToDecimal())
.TryAdd(Level1Fields.BestAskVolume, (decimal)e.Quote.AskSize));
}
private void _client_NewQuote(object sender, Client.NewQuoteEventArgs e)
{
NewQuote(e.Quote);
}
