private void ProcessMarketDataFullRefresh(Message msg)
{
Debug.Assert(MsgType.Market_Data_Snapshot_Full_Refresh == msg.Type);
MarketDataUpdate update = new MarketDataUpdate();
string symbol = msg.Get(Tags.Symbol);
bool isPriceChanged = false;
Group mdDEntries = msg.GetGroup(Tags.NoMDEntries);
for (int i = 0; i < mdDEntries.NumberOfInstances; ++i)
{
string priceValue = mdDEntries.Get(Tags.MDEntryPx, i);
if (null != priceValue)
{
double price;
if (double.TryParse(priceValue, NumberStyles.Number, CultureInfo.InvariantCulture, out price))
{
double size = 0;
string sizeValue = mdDEntries.Get(Tags.MDEntrySize, i);
if (!string.IsNullOrEmpty(sizeValue))
{
double.TryParse(sizeValue, NumberStyles.Number, CultureInfo.InvariantCulture, out size);
}
string entryType = mdDEntries.Get(Tags.MDEntryType, i);
if (MDEntryType.Bid == entryType)
{
if (update.Bid != price || update.BidSize != size)
{
update.Bid = price;
update.BidSize = size;
isPriceChanged = true;
}
}
else if (MDEntryType.Offer == entryType)
{
if (update.Ask != price || update.AskSize != size)
{
update.Ask = price;
update.AskSize = size;
isPriceChanged = true;
}
}
else if (MDEntryType.Trade == entryType)
{
TradeArgs rv = new TradeArgs(symbol, price, size);
if (TradeReceived != null)
{
TradeReceived(this, rv);
}
}
}
}
}
if (isPriceChanged)
{
PriceChangeArgs rv = new PriceChangeArgs(symbol, update.Bid, update.BidSize, update.Ask, update.AskSize);
if (PriceChange != null)
{
PriceChange(this, rv);
}
}
}
private void ProcessMarketDataIncrementalRefresh(Message msg)
{
Debug.Assert(MsgType.Market_Data_Incremental_Refresh == msg.Type);
string mdReqID = msg.Get(Tags.MDReqID);
MarketDataUpdate update;
lock (lastMD)
{
if (!lastMD.TryGetValue(mdReqID, out update))
{
update = new MarketDataUpdate();
lastMD.Add(mdReqID, update);
}
}
string symbol = null;
bool isPriceChanged = false;
Group mdDEntries = msg.GetGroup(Tags.NoMDEntries);
for (int i = 0; i < mdDEntries.NumberOfInstances; ++i)
{
if (null == symbol)
{
symbol = mdDEntries.Get(Tags.Symbol, i);
}
else
{
Debug.Assert(mdDEntries.Get(Tags.Symbol, i) == symbol);
}
string priceValue = mdDEntries.Get(Tags.MDEntryPx, i);
if (null != priceValue)
{
double price;
if (double.TryParse(priceValue, NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out price))
{
double size = 0;
string sizeValue = mdDEntries.Get(Tags.MDEntrySize, i);
if (!string.IsNullOrEmpty(sizeValue))
{
double.TryParse(sizeValue, NumberStyles.Number, CultureInfo.InvariantCulture, out size);
}
string entryType = mdDEntries.Get(Tags.MDEntryType, i);
if (MDEntryType.Bid == entryType)
{
if (update.Bid != price)
{
update.Bid = price;
update.BidSize = size;
isPriceChanged = true;
}
}
else if (MDEntryType.Offer == entryType)
{
if (update.Ask != price)
{
update.Ask = price;
update.AskSize = size;
isPriceChanged = true;
}
}
else if (MDEntryType.Trade == entryType)
{
TradeArgs rv = new TradeArgs(symbol, price, size);
if (TradeReceived != null)
{
TradeReceived(this, rv);
}
}
}
}
}
if (isPriceChanged)
{
PriceChangeArgs rv = new PriceChangeArgs(symbol, update.Bid, update.BidSize, update.Ask, update.AskSize);
if (PriceChange != null)
{
PriceChange(this, rv);
}
}
}
