// OnNxCoreTrade: Function to handle NxCore Trade messages.
//--------------------------------------------------------------
static unsafe void OnNxCoreTrade(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
// Get the symbol for category message
String Symbol = new String(&pNxCoreMsg->coreHeader.pnxStringSymbol->String);
if (pNxCoreMsg->coreHeader.pnxStringSymbol->UserData1 == 1)
{
//if (Symbol.ToString() == "eCSIQ") {
// Assign a pointer to the Trade data
NxCoreTrade *Trade = &pNxCoreMsg->coreData.Trade;
// Get the price and net change
double Price = NxCore.PriceToDouble(Trade->Price, Trade->PriceType);
double NetChange = NxCore.PriceToDouble(Trade->NetChange, Trade->PriceType);
int Hour = pNxCoreMsg->coreHeader.nxExgTimestamp.Hour;
int Minute = pNxCoreMsg->coreHeader.nxExgTimestamp.Minute;
int Second = pNxCoreMsg->coreHeader.nxExgTimestamp.Second;
int Millisecond = pNxCoreMsg->coreHeader.nxExgTimestamp.Millisecond;
int MsOfDay = Convert.ToInt32(pNxCoreMsg->coreHeader.nxExgTimestamp.MsOfDay);
string TimeOfTrade = Hour.ToString() + ":" + Minute.ToString() + ":" + Second.ToString() + ":" + Millisecond.ToString();
string Volume = pNxCoreMsg->coreData.Trade.Size.ToString();
//Check that price is within BBO or not tradethruexempt
int tradeCondition = pNxCoreMsg->coreData.Trade.TradeCondition;
//
//var extendedTradeCondition = pNxCoreMsg->coreData.Trade.ExtTradeConditions;
if (tradeCondition == 108) //TradeThruExempt
{
//Get BBO
double bestBidPrice = pNxCoreMsg->coreData.ExgQuote.BestBidPrice;
double bestAskPrice = pNxCoreMsg->coreData.ExgQuote.BestAskPrice;
Console.WriteLine("Trade for Symbol: {0:S}, Time: {1:d}:{2:d}:{3:d} Price: {4:f} BBO: {5} {6} TradeCondition: {7}", Symbol,
pNxCoreMsg->coreHeader.nxExgTimestamp.Hour, pNxCoreMsg->coreHeader.nxExgTimestamp.Minute, pNxCoreMsg->coreHeader.nxExgTimestamp.Second,
Price, bestBidPrice, bestAskPrice, tradeCondition);
}
var newLine = string.Format("{0},{1},{2},{3}", MsOfDay, TimeOfTrade, Price, Volume);
csvs[Symbol.Remove(0, 1)] += newLine + "\n";
// Write out Symbol, Time, Price, NetChg, Size, Reporting Exg
/*Console.WriteLine("Trade for Symbol: {0:S}, Time: {1:d}:{2:d}:{3:d} Price: {4:f} NetChg: {5:f} Size: {6:d} Exchg: {7:d} ",
* Symbol,
* pNxCoreMsg->coreHeader.nxExgTimestamp.Hour, pNxCoreMsg->coreHeader.nxExgTimestamp.Minute, pNxCoreMsg->coreHeader.nxExgTimestamp.Second,
* Price, NetChange, Trade->Size,
* pNxCoreMsg->coreHeader.ReportingExg);*/
}
}
// OnNxCoreTrade: Function to handle NxCore Trade messages.
//--------------------------------------------------------------
static unsafe void OnNxCoreTrade(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
// Get the symbol for category message
String Symbol = new String(&pNxCoreMsg->coreHeader.pnxStringSymbol->String);
// Assign a pointer to the Trade data
NxCoreTrade *Trade = &pNxCoreMsg->coreData.Trade;
// Get the price and net change
double Price = NxCore.PriceToDouble(Trade->Price, Trade->PriceType);
double NetChange = NxCore.PriceToDouble(Trade->NetChange, Trade->PriceType);
// Write out Symbol, Time, Price, NetChg, Size, Reporting Exg
Console.WriteLine("Trade for Symbol: {0:S}, Time: {1:d}:{2:d}:{3:d} Price: {4:f} NetChg: {5:f} Size: {6:d} Exchg: {7:d} ",
Symbol,
pNxCoreMsg->coreHeader.nxExgTimestamp.Hour, pNxCoreMsg->coreHeader.nxExgTimestamp.Minute, pNxCoreMsg->coreHeader.nxExgTimestamp.Second,
Price, NetChange, Trade->Size,
pNxCoreMsg->coreHeader.ReportingExg);
}
static unsafe void OnNxCoreTrade(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
if (keepcurrent && (STATUS < 4))
{
return;
}
if (DOLIVESKIPTEST)
{
if (pNxCoreSys->nxTime.MsOfDay < (DateTime.UtcNow.TimeOfDay.TotalMilliseconds - (DateTime.Now.IsDaylightSavingTime() ? (1000 * 60 * 60 * 4) : (1000 * 60 * 60 * 5))))
{
return;
}
DOLIVESKIPTEST = false;
D("NxCore starting realtime data");
}
// Get the symbol for category message
int idx = _nxsyms.getindex(new string(&pNxCoreMsg->coreHeader.pnxStringSymbol->String));
if (idx < 0)
{
return;
}
if (!_nxsyms[idx])
{
return;
}
// Assign a pointer to the Trade data
NxCoreTrade *Trade = &pNxCoreMsg->coreData.Trade;
// Get the price and net change
double Price = NxCore.PriceToDouble(Trade->Price, Trade->PriceType);
//double NetChange = NxCore.PriceToDouble(Trade->NetChange, Trade->PriceType);
NxTime time = pNxCoreMsg->coreHeader.nxExgTimestamp;
int tltime = time.Hour * 10000 + time.Minute * 100 + time.Second;
NxDate date = pNxCoreMsg->coreHeader.nxSessionDate;
int tldate = (int)date.Year * 10000 + (int)date.Month * 100 + (int)date.Day;
string ex = excode2name(pNxCoreMsg->coreHeader.ReportingExg);
int size = (int)Trade->Size;
// check for index
if (size <= 0)
{
return;
}
Tick k = new TickImpl();
k.symbol = _realsym2nxidx.getlabel(idx);
k.date = tldate;
k.time = tltime;
k.trade = (decimal)Price;
k.ex = ex;
k.size = size;
try
{
tl.newTick(k);
}
catch (Exception e)
{
D("bad tick: " + k.symbol + " " + Price + " " + size + " " + ex + " " + e.Message + e.StackTrace);
}
}
// OnNxCoreTrade: Function to handle NxCore Trade messages.
//--------------------------------------------------------------
static unsafe void OnNxCoreTrade(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
// Get the symbol for category message
String Symbol = new String(&pNxCoreMsg->coreHeader.pnxStringSymbol->String);
if (pNxCoreMsg->coreHeader.pnxStringSymbol->UserData1 == 1)
{
//if (Symbol.ToString() == "eCSIQ") {
// Assign a pointer to the Trade data
NxCoreTrade *Trade = &pNxCoreMsg->coreData.Trade;
// Get the price and net change
double Price = NxCore.PriceToDouble(Trade->Price, Trade->PriceType);
double NetChange = NxCore.PriceToDouble(Trade->NetChange, Trade->PriceType);
int Hour = pNxCoreMsg->coreHeader.nxExgTimestamp.Hour;
int Minute = pNxCoreMsg->coreHeader.nxExgTimestamp.Minute;
int Second = pNxCoreMsg->coreHeader.nxExgTimestamp.Second;
int Millisecond = pNxCoreMsg->coreHeader.nxExgTimestamp.Millisecond;
int MsOfDay = Convert.ToInt32(pNxCoreMsg->coreHeader.nxExgTimestamp.MsOfDay);
string TimeOfTrade = Hour.ToString() + ":" + Minute.ToString() + ":" + Second.ToString() + ":" + Millisecond.ToString();
string Volume = pNxCoreMsg->coreData.Trade.Size.ToString();
//Check that price is not tradethruexempt in the extended trade conditions - for future imports
//int tradeCondition = pNxCoreMsg->coreData.Trade.ExtTradeConditions[]
var tradeCondition = pNxCoreMsg->coreData.Trade.TradeCondition;
byte *extendedTradeConditions = pNxCoreMsg->coreData.Trade.ExtTradeConditions;
int len = 0;
for (int i = 0; i < 10; i++)
{
try
{
string aaa = extendedTradeConditions[i].ToString();
if (aaa == "255")
{
break;
}
len++;
}
catch (Exception)
{
break;
}
}
byte[] _extendedTradeConditions = new byte[len];
Marshal.Copy((IntPtr)extendedTradeConditions, _extendedTradeConditions, 0, len);
Debug.WriteLine(tradeCondition);
foreach (int condition in _extendedTradeConditions)
{
Debug.WriteLine(condition);
}
Debug.WriteLine("");
Debug.WriteLine("------------------------");
Debug.WriteLine("");
//string extCondition = extendedTradeConditions[0].ToString();
//Debug.WriteLine(extCondition);
int a = 1;
/*if (tradeCondition == 108) //TradeThruExempt
* {
* //Get BBO
* double bestBidPrice = pNxCoreMsg->coreData.ExgQuote.BestBidPrice;
* double bestAskPrice = pNxCoreMsg->coreData.ExgQuote.BestAskPrice;
*
* Console.WriteLine("Trade for Symbol: {0:S}, Time: {1:d}:{2:d}:{3:d} Price: {4:f} BBO: {5} {6} TradeCondition: {7}", Symbol,
* pNxCoreMsg->coreHeader.nxExgTimestamp.Hour, pNxCoreMsg->coreHeader.nxExgTimestamp.Minute, pNxCoreMsg->coreHeader.nxExgTimestamp.Second,
* Price, bestBidPrice, bestAskPrice, tradeCondition);
* }*/
if (len == 0)
{
var newLine = string.Format("{0},{1},{2},{3},{4}", MsOfDay, TimeOfTrade, Price, Volume, tradeCondition.ToString());
csvs[Symbol.Remove(0, 1)] += newLine + "\n";
}
if (len == 1)
{
var newLine = string.Format("{0},{1},{2},{3},{4},{5}", MsOfDay, TimeOfTrade, Price, Volume, tradeCondition.ToString(), _extendedTradeConditions[0].ToString());
csvs[Symbol.Remove(0, 1)] += newLine + "\n";
}
if (len == 2)
{
var newLine = string.Format("{0},{1},{2},{3},{4},{5},{6}", MsOfDay, TimeOfTrade, Price, Volume, tradeCondition.ToString(), _extendedTradeConditions[0].ToString(),
_extendedTradeConditions[1].ToString());
csvs[Symbol.Remove(0, 1)] += newLine + "\n";
}
if (len == 3)
{
var newLine = string.Format("{0},{1},{2},{3},{4},{5},{6},{7}", MsOfDay, TimeOfTrade, Price, Volume, tradeCondition.ToString(), _extendedTradeConditions[0].ToString(),
_extendedTradeConditions[1].ToString(), _extendedTradeConditions[2].ToString());
csvs[Symbol.Remove(0, 1)] += newLine + "\n";
}
// Write out Symbol, Time, Price, NetChg, Size, Reporting Exg
/*Console.WriteLine("Trade for Symbol: {0:S}, Time: {1:d}:{2:d}:{3:d} Price: {4:f} NetChg: {5:f} Size: {6:d} Exchg: {7:d} ",
* Symbol,
* pNxCoreMsg->coreHeader.nxExgTimestamp.Hour, pNxCoreMsg->coreHeader.nxExgTimestamp.Minute, pNxCoreMsg->coreHeader.nxExgTimestamp.Second,
* Price, NetChange, Trade->Size,
* pNxCoreMsg->coreHeader.ReportingExg);*/
}
}
