public virtual void PushQuoteReceived(Quote quote)
{
if (quote.ServerTime == DateTime.MinValue)
{
quote.ServerTime = this.DataSource.MarketInfo.ConvertLocalTimeToServer(DateTime.Now);
}
MarketInfo marketInfo = this.DataSource.MarketInfo;
//if (marketInfo.IsMarketOpenNow == false) {
if (marketInfo.IsMarketOpenAtServerTime(quote.ServerTime) == false)
{
MarketClearingTimespan clearingTimespanOut;
DateTime dateTimeNextBarOpenConditional = marketInfo.GetNextMarketServerTimeStamp(
quote.ServerTime, this.DataSource.ScaleInterval, out clearingTimespanOut);
string reason = (clearingTimespanOut != null) ? "is CLEARING" : "CLOSED";
string msg = "[" + marketInfo.Name + "]Market " + reason + ", resumes["
+ dateTimeNextBarOpenConditional.ToString("HH:mm") + "]; ignoring quote[" + quote + "]";
this.UpdateConnectionStatus(503, msg);
return;
}
else
{
int a = 1;
}
Quote lastQuote = this.StreamingDataSnapshot.LastQuoteGetForSymbol(quote.Symbol);
if (lastQuote == null)
{
string msg = "RECEIVED_FIRST_QUOTE_EVER_FOR symbol[" + quote.Symbol + "]";
//Assembler.PopupException(msg);
//throw new Exception(msg);
}
else
{
//LESS PRECISE, HAS NO MILLISECONDS FROM QUIK if (quote.ServerTime > lastQuote.ServerTime) {
if (quote.ServerTime.Ticks > lastQuote.ServerTime.Ticks)
{
//if (quote.IntraBarSerno < Quote.IntraBarSernoShiftForGeneratedTowardsPendingFill) {
// quote.IntraBarSerno = lastQuote.IntraBarSerno + 1;
// if (quote.IntraBarSerno > Quote.IntraBarSernoShiftForGeneratedTowardsPendingFill) {
// string msg = "#3 bro, leave QUOTE unmodified!!!";
// Debugger.Break();
// }
//}
}
else
{
Assembler.PopupException("WEIRD: upcoming quote.LocalTimeCreatedMillis[" + quote.LocalTimeCreatedMillis.ToString("HH:mm:ss.fff")
+ "] <= lastQuoteReceived.Symbol." + quote.Symbol + "["
+ lastQuote.LocalTimeCreatedMillis.ToString("HH:mm:ss.fff") + "]: DDE lagged somewhere?...");
}
quote.Absno = lastQuote.Absno + 1;
}
this.EnrichQuoteWithStreamingDependantDataSnapshot(quote);
//BacktestStreamingProvider.EnrichGeneratedQuoteSaveSpreadInStreaming has updated lastQuote alredy...
this.StreamingDataSnapshot.UpdateLastBidAskSnapFromQuote(quote);
try {
this.DataDistributor.PushQuoteToChannel(quote);
} catch (Exception e) {
string msg = "StreamingProvider.PushReceivedQuote()";
Assembler.PopupException(msg, e);
//throw e;
}
}
