public InstrumentVector(InstrumentVector other) : this(NQuantLibcPINVOKE.new_InstrumentVector__SWIG_1(InstrumentVector.getCPtr(other)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public InstrumentVectorEnumerator(InstrumentVector collection)
{
collectionRef = collection;
currentIndex = -1;
currentObject = null;
currentSize = collectionRef.Count;
}
public void precalculate(InstrumentVector optionList)
{
NQuantLibcPINVOKE.FFTVarianceGammaEngine_precalculate(swigCPtr, InstrumentVector.getCPtr(optionList));
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public void SetRange(int index, InstrumentVector values)
{
NQuantLibcPINVOKE.InstrumentVector_SetRange(swigCPtr, index, InstrumentVector.getCPtr(values));
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public static InstrumentVector Repeat(Instrument value, int count)
{
global::System.IntPtr cPtr = NQuantLibcPINVOKE.InstrumentVector_Repeat(Instrument.getCPtr(value), count);
InstrumentVector ret = (cPtr == global::System.IntPtr.Zero) ? null : new InstrumentVector(cPtr, true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public InstrumentVector GetRange(int index, int count)
{
global::System.IntPtr cPtr = NQuantLibcPINVOKE.InstrumentVector_GetRange(swigCPtr, index, count);
InstrumentVector ret = (cPtr == global::System.IntPtr.Zero) ? null : new InstrumentVector(cPtr, true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public bool addCommand(String strCommand)
{
bool bSuccess = true;
String[] strTmp = strCommand.Split(new char[] { ':' });
int lLength = strTmp.Length;
if (strTmp[0].Equals("PAGE"))
{
if (lLength < 2)
return false;
int pageNo = 0;
try
{
pageNo = int.Parse(strTmp[1]);
}
catch (Exception ex)
{
System.Console.WriteLine(ex.Source);
return false;
}
/*******************************************************************
*
* To download and subscribe for all available instruments for markets
* where Pages are supported, sends a page request to get a page
* update to list all instruments on the page.
* When an Issue Update is recieved for each unique instrument for
* the page, the download is complete.
* Note: Comments (dividers or other info) displayed on a page are
* also present in the Page Update as an instrument. These 'comment'
* issues can be filtered out when the Issue Update is received as
* they all have Market Type = eComment (0). Once a Page Request is
* sent you will continuously receive issue updates (market prices)
* for all instruments on the page.
*
******************************************************************/
iCMsg msg = new iCMsgPageRequest(ushort.Parse(pageNo.ToString()));
m_vecMsg.Add(msg);
}
else if(strTmp[0].Equals("MARKET"))
{
if(lLength < 2)
return false;
int marketId = 0;
eICMarketId mktId;
try
{
marketId = int.Parse(strTmp[1]);
mktId = (eICMarketId)marketId;
//mktId = eICMarketId.swigToEnum(marketId);
}
catch (Exception ie)
{
System.Console.WriteLine("Invalid market id : " + strTmp[1] + ie.Source);
return false;
}
/*******************************************************************
*
* To download and subscribe for all available instruments for a given
* market where the Issue List request is supported, a two step process
* is recommended. First send an initial Issue List request for the
* market is sent without any subscription to Issue Updates or Issue
* Book updates. This to receive all available divisions within
* requested market in the response, as all available instruments are
* grouped in divisions within the market. When the Positive Issue
* List response is recieved, iterate through all the available divisions
* and send another Issue List Request for each divison where you now
* subscribe for all Issue Updates. When an Issue Update is recieved
* for each unique instrument per market, the download is complete.
* Send an initial issue list response to recieve all available
* divisions (groups) within the market.
*
******************************************************************/
IssueRequestTypeVector issueTypes = new IssueRequestTypeVector();
issueTypes.Add(eICIssueRequestType.eIssueRequestNoData); // No Issue Updates
iCMsg msg = new iCMsgIssueListRequest(mktId, issueTypes);
// iCMsg msg = new iCMsgIssueListRequest(eICMarketId.eUST, issueTypes);
m_vecMsg.Add(msg);
}
else if(strTmp[0].Equals("ISSUE"))
{
if(lLength < 3)
return false;
int icInstrument = 0;
try
{
/***************************************************************
*
* To download and subscribe for a single instrument, an Issue
* Request is sent. All issues are uniquely indentified by its
* instrument id. The instrument id is an integer (4 bytes),
* which is a combination of an instrument type and instrument
* number, as the instrument type shifted 16 bits plus the
* instrument number.
*
**************************************************************/
short instrtype = short.Parse(strTmp[1]);
short instrnumb = short.Parse(strTmp[2]);
icInstrument = (instrtype << 16) + instrnumb;
}
catch(Exception ex)
{
System.Console.WriteLine(ex.Message);
return false;
}
/*******************************************************************
*
* Sends an issue request to continuously receive issue updates
* (market prices) for a single instrument
*
******************************************************************/
IssueRequestTypeVector issueTypes = new IssueRequestTypeVector();
InstrumentVector iv = new InstrumentVector();
iv.Add((uint)icInstrument);
issueTypes.Add(eICIssueRequestType.eIssueRequestAllData); //Requesting all
iCMsg msg = new iCMsgIssueRequest(iv, issueTypes);
m_vecMsg.Add(msg);
}
else if(strTmp[0].Equals("BOOK"))
{
if(lLength < 3)
return false;
int icInstrument = 0;
try
{
/***************************************************************
*
* To subscribe for the below-the-market market data for a single
* instrument, an Issue Book Request is sent. All issues are
* uniquely indentified by its instrument id. The instrument id
* is an integer (4 bytes), which is a combination of an instrument
* type and instrument number, as the instrument type shifted
* 16 bits plus the instrument number.
*
**************************************************************/
short instrtype = short.Parse(strTmp[1]);
short instrnumb = short.Parse(strTmp[2]);
icInstrument = (instrtype << 16) + instrnumb;
}
catch(Exception ex)
{
System.Console.WriteLine(ex.Message);
return false;
}
/*******************************************************************
*
* Sends an Issue Book request to continuously receive
* Issue Book Updates (market depth) for a single instrument.
*
******************************************************************/
IssueRequestTypeVector issueTypes = new IssueRequestTypeVector();
issueTypes.Add(eICIssueRequestType.eIssueRequestBidDepth);
issueTypes.Add(eICIssueRequestType.eIssueRequestOfferDepth);
InstrumentVector iv = new InstrumentVector();
iv.Add((uint)icInstrument);
iCMsg msg = new iCMsgIssueRequest(iv, issueTypes);
m_vecMsg.Add(msg);
}
else if(strTmp[0].Equals("DETAILS"))
{
if(lLength < 3)
return false;
int icInstrument = 0;
try
{
/***************************************************************
*
* To download details for a single instrument, an Issue Detail
* Request is sent. All issues are uniquely indentified by its
* instrument id. The instrument id is an integer (4 bytes),
* which is a combination of an instrument type and instrument
* number, as the instrument type shifted 16 bits plus the
* instrument number.
*
**************************************************************/
short instrtype = short.Parse(strTmp[1]);
short instrnumb = short.Parse(strTmp[2]);
icInstrument = (instrtype << 16) + instrnumb;
}
catch(Exception ex)
{
System.Console.WriteLine(ex.Message);
return false;
}
/*******************************************************************
*
* Sends a issue detail request to get a positive issue detail reponse
* (instrument description and info) for a single instrument.
*
******************************************************************/
IssueRequestTypeVector issueTypes = new IssueRequestTypeVector();
issueTypes.Add(eICIssueRequestType.eIssueRequestStaticData);
InstrumentVector iv = new InstrumentVector();
iv.Add((uint)icInstrument);
iCMsg msg = new iCMsgIssueRequest(iv, issueTypes);
m_vecMsg.Add(msg);
}
else if(strTmp[0].Equals("LOOKUP"))
{
if(lLength < 4)
return false;
int marketId = 0;
eICMarketId mktId;
short marketType = 0;
//eICMarketType mktType;
/*******************************************************************
*
* To download details for a single instrument
* (e.g. to get the instrument id) when the IssueID
* (CUSIP, ISIN or other standard market issue identifier) is known,
* an Issue Detail Request is sent. An issue can be identified by
* its standard market issue identifier + market id + market type.
* For Repos the start and end date must also be known
* (not yet supported by this request).
*
******************************************************************/
try
{
marketId = int.Parse(strTmp[1]);
// mktId = eICMarketId.swigToEnum(marketId);
mktId = (eICMarketId)marketId;
}
catch (Exception ie)
{
System.Console.WriteLine("Invalid market id : " + strTmp[1] + ie.Source);
return false;
}
try
{
marketType = short.Parse(strTmp[2]);
}
catch (Exception ie)
{
System.Console.WriteLine("Invalid market Type : " + strTmp[2] + ie.Source);
return false;
}
// CUSIP, ISIN or other standard market issue identifier (IssueId)
iCIssueId issueId = new iCIssueId(strTmp[3]);
/*******************************************************************
*
* Sends an Issue Lookup request to receive issue information for
* a single instrument based on MarketId, MarketType and IssueId.
*
******************************************************************/
// $$ S.T. 9-1-2015 $$
//iCMsg msg = new iCMsgIssueLookupRequest(mktId, (byte)marketType, issueId);
//m_vecMsg.Add(msg);
}
else if(strTmp[0].Equals("TICKER"))
{
// Sends an Ticker request to receive ticker information.
iCMsg msg = new iCMsgTickerRequest();
m_vecMsg.Add(msg);
}
// STP LOGIN
else if(strTmp[0].Equals("REQUEST"))
{
if (strTmp[1].Equals("ALL,0"))
{
// Send the Trade Request ALL message
iCMsg msg = new iCMsgTradeRequest(eICTradeRequest.eTradeRequestAll, "00000000000000000000");
m_iAckFlag = 0;
m_vecMsg.Add(msg);
}
else if (strTmp[1].Equals("ALL,1"))
{
// Send the Trade Request ALL message
iCMsg msg = new iCMsgTradeRequest(eICTradeRequest.eTradeRequestAll, "00000000000000000000");
m_iAckFlag = 1;
m_vecMsg.Add(msg);
}
else if (strTmp[1].Equals("UNMATCHED,0"))
{
// Send the Trade Request ALL message
iCMsg msg = new iCMsgTradeRequest(eICTradeRequest.eTradeRequestUnmatched, "00000000000000000000");
m_iAckFlag = 0;
m_vecMsg.Add(msg);
}
else if (strTmp[1].Equals("UNMATCHED,1"))
{
// Send the Trade Request ALL message
iCMsg msg = new iCMsgTradeRequest(eICTradeRequest.eTradeRequestUnmatched, "00000000000000000000");
m_iAckFlag = 1;
m_vecMsg.Add(msg);
}
}
return bSuccess;
}
public void precalculate(InstrumentVector optionList) {
NQuantLibcPINVOKE.FFTVarianceGammaEngine_precalculate(swigCPtr, InstrumentVector.getCPtr(optionList));
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(InstrumentVector obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
