void rs_LevelOneStreaming_TickWithArgs(DateTime time, AmeritradeBrokerAPI.ATradeArgument args)
{
if (args.FunctionType != AmeritradeBrokerAPI.RequestState.AsyncType.LevelOneStreaming)
{
return;
}
Tick t = new TickImpl();
/* don't understand the time format provided here
* int date = 0;
* int ttime = 0;
* if (int.TryParse(args.oLevelOneData[0].quotedate, out date))
* t.date = date;
* if (int.TryParse(args.oLevelOneData[0].quotetime, out ttime))
* t.time = ttime;
*/
t.date = Util.ToTLDate(DateTime.Now);
t.time = Util.DT2FT(DateTime.Now);
t.symbol = args.oLevelOneData[0].stock;
t.bid = Convert.ToDecimal(args.oLevelOneData[0].bid);
t.ask = Convert.ToDecimal(args.oLevelOneData[0].ask);
t.ex = args.oLevelOneData[0].exchange;
t.trade = Convert.ToDecimal(args.oLevelOneData[0].last);
t.size = Convert.ToInt32(args.oLevelOneData[0].lastsize) * 100;
t.bs = Convert.ToInt32(args.oLevelOneData[0].bid_size);
t.os = Convert.ToInt32(args.oLevelOneData[0].ask_size);
tl.newTick(t);
}
void esig_OnQuoteChanged(string sSymbol)
{
try
{
// get tick info
BasicQuote q = esig.get_GetBasicQuote(sSymbol);
// get our struct
Tick k = new TickImpl(sSymbol);
// convert it
k.ask = (decimal)q.dAsk;
k.bid = (decimal)q.dBid;
k.trade = (decimal)q.dLast;
k.bs = q.lBidSize;
k.os = q.lAskSize;
k.size = q.lLastSize;
DateTime now = esig.GetAppTime;
k.time = Util.ToTLTime(now);
k.date = Util.ToTLDate(now);
if (isPaperTradeEnabled)
{
ptt.newTick(k);
}
// send it
tl.newTick(k);
}
catch (Exception ex)
{
if (GotDebug != null)
{
GotDebug(DebugImpl.Create(ex.Message + ex.StackTrace, DebugLevel.Debug));
}
}
}
private void api_LevelOneStreaming(object sender, Axtdaactx.ITDAAPICommEvents_OnL1QuoteEvent e)
{
DateTime DT = new DateTime(1970, 1, 1);
//Axtdaactx.AxTDAL1Quote quote = (Axtdaactx.AxTDAL1Quote)e.quote;
Tick t = new TickImpl();
t.date = Util.ToTLDate(DateTime.Now);
t.time = Util.DT2FT(DateTime.Now);
t.symbol = e.quote.Symbol;
t.bid = Convert.ToDecimal(e.quote.Bid);
t.ask = Convert.ToDecimal(e.quote.Ask);
t.ex = e.quote.Exchange.ToString();
t.trade = Convert.ToDecimal(e.quote.Last);
t.size = !isidx(e.quote.Symbol) ? Convert.ToInt32(e.quote.LastSize) * 100 : -1;
t.bs = Convert.ToInt32(e.quote.BidSize);
t.os = Convert.ToInt32(e.quote.AskSize);
tl.newTick(t);
}
void SimBroker_GotOrderCancel(string sym, bool side, long id)
{
// if we get an order cancel notify from the broker, pass along to our clients
tl.newCancel(id);
// send the updated book to our clients for same side as order
Tick book = OrderToTick(SimBroker.BestBidOrOffer(sym, side));
tl.newTick(book);
}
void InsideMktEvent_GBEvent(object pISrc, string bstrSymbol, string bstrHint, object pIEventData)
{
GBInsideMkt insideMkt = new GBInsideMktClass();
insideMkt = (GBInsideMkt)pIEventData;
Tick k = new TickImpl(bstrSymbol);
k.bid = (decimal)insideMkt.BidPrice;
k.ask = (decimal)insideMkt.AskPrice;
k.bs = insideMkt.BidVolume / 100;
k.os = insideMkt.AskVolume / 100;
k.date = Util.ToTLDate(DateTime.Now);
k.time = Util.ToTLTime(DateTime.Now);
tl.newTick(k);
}
/*
* private void ExecuteNotifyHandler(object sender, OrderArgs e)
* {
*
*
* itemOrder iorder = e.ItemOrder;
*
*
*
*
* Order o = new OrderImpl(iorder.msecsym, iorder.IsBuyOrder(), iorder.mqty, Convert.ToDecimal(iorder.mprice), Convert.ToDecimal(iorder.mstopprice), "", iorder.mc_date, iorder.mc_date, iorder.morderid);
* Trade trade = new TradeImpl();
* trade.symbol = iorder.msecsym;
* trade.side = iorder.IsBuyOrder();
* trade.xprice = Convert.ToDecimal(iorder.mprice);
* trade.xsize = iorder.mqty;
* DateTime mdate = ComFucs.GetDate(iorder.mm_date);
*
* trade.xdate = mdate.Day+ mdate.Month*100+mdate.Year*10000;
* trade.xtime = mdate.Second + mdate.Minute*100+ mdate.Hour*10000 ;
* tl.newFill(trade);
* }
*
*
*
* private void OrderHandler(object sender, OrderArgs e)
* {
*
*
* itemOrder iorder = e.ItemOrder;
* // if (!ls.Contains(iorder.morigtkn)) return;
* DateTime mdate = ComFucs.GetDate(iorder.mm_date);
* Order o = new OrderImpl(iorder.msecsym, iorder.IsBuyOrder(), iorder.mqty, Convert.ToDecimal(iorder.mprice), Convert.ToDecimal(iorder.mstopprice), "",
* mdate.Second + mdate.Minute * 100 + mdate.Hour * 10000, mdate.Second + mdate.Minute * 100 + mdate.Hour * 10000, iorder.morderid);
*
* tl.newOrder(o);
*
*
*
* }
*
*
* private void OrderModifyHandler(object sender, OrderArgs e)
* {
*
* if ((e.ItemOrder.mstatus | 0x0004) != 0)
* {
* // tl.newCancel(e.ItemOrder.morderid);
* }
* if ((e.ItemOrder.mstatus | 0x0002) != 0)
* {
* itemOrder iorder = e.ItemOrder;
* Order o = new OrderImpl(iorder.msecsym, iorder.IsBuyOrder(), iorder.mqty, Convert.ToDecimal(iorder.mprice), Convert.ToDecimal(iorder.mstopprice), "", iorder.mc_date, iorder.mc_date, iorder.morderid);
* Trade trade = new TradeImpl();
* trade.symbol = iorder.msecsym;
* trade.side = iorder.IsBuyOrder();
* trade.xprice = Convert.ToDecimal(iorder.mprice);
* trade.xsize = iorder.mqty;
* DateTime mdate = ComFucs.GetDate(iorder.mm_date);
* trade.xdate = mdate.Day + mdate.Month * 100 + mdate.Year * 10000;
* trade.xtime = mdate.Second + mdate.Minute * 100 + mdate.Hour * 10000;
* tl.newFill(trade);
* }
*
*
*
* }
* */
private void Lv1Handler(object sender, Lv1Args e)
{
DateTime DT = new DateTime(1970, 1, 1);
Tick t = new TickImpl();
t.date = Util.ToTLDate(DateTime.Now);
t.time = Util.DT2FT(DateTime.Now);
t.symbol = e.TheIssuIfo.secsym;
t.bid = Convert.ToDecimal(e.TheIssuIfo.l1_BidPrice);
t.ask = Convert.ToDecimal(e.TheIssuIfo.l1_AskPrice);
t.ex = e.TheIssuIfo.PrimExch.ToString();
t.trade = Convert.ToDecimal(e.TheIssuIfo.l1_lastPrice);
t.size = e.TheIssuIfo.l1_volume;
t.bs = e.TheIssuIfo.l1_BidSize;
t.os = e.TheIssuIfo.l1_AskSize;
t.ex = e.TheIssuIfo.PrimExch.ToString();
tl.newTick(t);
}
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);
}
}
private void FireTick(string[] actualData)
{
if (actualData.Length < 66)
{
return;
}
try
{
if (actualData[0] == "F")
{
return;
}
Tick tick = new TickImpl();
tick.date = Util.ToTLDate();
DateTime now;
if (DateTime.TryParse(actualData[65], out now))
{
tick.time = Util.DT2FT(now);
}
else
{
tick.time = Util.ToTLTime();
}
int v = 0;
if (int.TryParse(actualData[64], out v))
{
tick.oe = getmarket(v);
}
if (int.TryParse(actualData[63], out v))
{
tick.be = getmarket(v);
}
if (int.TryParse(actualData[62], out v))
{
tick.ex = getmarket(v);
}
tick.symbol = actualData[1];
tick.bid = Convert.ToDecimal(actualData[10]);
tick.ask = Convert.ToDecimal(actualData[11]);
tick.trade = Convert.ToDecimal(actualData[3]);
tick.size = Convert.ToInt32(actualData[7]);
tick.BidSize = Convert.ToInt32(actualData[12]);
tick.AskSize = Convert.ToInt32(actualData[13]);
// get symbol index for custom data requests
int idx = _highs.getindex(tick.symbol);
// update custom data (tryparse is faster than convert)
decimal d = 0;
if (decimal.TryParse(actualData[8], out d))
{
_highs[idx] = d;
}
if (decimal.TryParse(actualData[9], out d))
{
_lows[idx] = d;
}
if (isPaperTradeEnabled)
{
tl.newTick(tick);
}
tl.newTick(tick);
}
catch (Exception ex)
{
debug("Tick error: " + string.Join(",", actualData));
debug(ex.Message + ex.StackTrace);
}
}
public void FireTick(string[] actualData)
{
if (actualData.Length < 66)
{
return;
}
try
{
if (actualData[0] == "F")
{
return;
}
Tick tick = new TickImpl();
tick.date = Util.ToTLDate();
DateTime now;
int local = Util.ToTLTime();
if (DateTime.TryParse(actualData[65], out now))
{
tick.time = Util.DT2FT(now);
if (ReportLatency)
{
Int64 latency = 0;
if (lastticktime != 0)
{
latency = DateTime.Now.Ticks - lastticktime;
}
lastticktime = now.Ticks;
latencyavg = (latency + latencyavg) / 2;
tickssincelastlatencyreport++;
// test for peak
if (latency > peaklatency)
{
peaklatency = latency;
}
// test for report
if (tickssincelastlatencyreport > 500000)
{
// convert to ms
double latencyms = latencyavg / 10000;
double peakms = peaklatency / 10000;
debug(string.Format("latency (ms) avg {0:N1} peak: {0:N1}", latencyms, peaklatency));
tickssincelastlatencyreport = 0;
latencyavg = 0;
}
}
}
else
{
tick.time = local;
}
// see if user has tick ignoring enabled
//(this is because in early AM iqfeed will frequently send ticks with yesterday time stamps
if (usebeforeafterignoretime)
{
// ensure that ordering works across multiple days
if (lasttickdate != tick.date)
{
lasttickordertime = 0;
lasttickdate = tick.date;
}
// see if tick should be ignored
if ((local < IfBeforeTimeUseIgnoreAfter) &&
(tick.time > IgnoreAfterTimeWithBefore))
{
return;
}
// allow ignoring for ignoring other ticks that are out of order
else if (ignoreoutoforder && (tick.time < lasttickordertime))
{
return;
}
lasttickordertime = tick.time;
}
int v = 0;
if (int.TryParse(actualData[64], out v))
{
tick.oe = getmarket(v);
}
if (int.TryParse(actualData[63], out v))
{
tick.be = getmarket(v);
}
if (int.TryParse(actualData[62], out v))
{
tick.ex = getmarket(v);
}
tick.symbol = actualData[1];
tick.bid = Convert.ToDecimal(actualData[10]);
tick.ask = Convert.ToDecimal(actualData[11]);
tick.trade = Convert.ToDecimal(actualData[3]);
tick.size = Convert.ToInt32(actualData[7]);
tick.BidSize = Convert.ToInt32(actualData[12]);
tick.AskSize = Convert.ToInt32(actualData[13]);
// get symbol index for custom data requests
int idx = _highs.getindex(tick.symbol);
// update custom data (tryparse is faster than convert)
decimal d = 0;
if (decimal.TryParse(actualData[8], out d))
{
_highs[idx] = d;
}
if (decimal.TryParse(actualData[9], out d))
{
_lows[idx] = d;
}
if (isPaperTradeEnabled)
{
ptt.newTick(tick);
}
tl.newTick(tick);
}
catch (Exception ex)
{
debug("Tick error: " + string.Join(",", actualData));
debug(ex.Message + ex.StackTrace);
}
}
void doquote(ref structSTIQuoteUpdate q)
{
Tick k = new TickImpl(q.bstrSymbol);
k.bid = (decimal)q.fBidPrice;
k.ask = (decimal)q.fAskPrice;
k.bs = q.nBidSize / 100;
k.os = q.nAskSize / 100;
k.ex = GetExPretty(q.bstrExch);
k.be = GetExPretty(q.bstrBidExch);
k.oe = GetExPretty(q.bstrAskExch);
int now = Convert.ToInt32(q.bstrUpdateTime);
k.date = Util.ToTLDate(DateTime.Now);
//int sec = now % 100;
k.time = now;
// we don't want to simply return on out-of-order ticks because it'll prevent processing
// of the mdx messages further in this function.
if (!IgnoreOutOfOrderTicks || (k.time > _lasttime))
{
_lasttime = k.time;
k.trade = (decimal)q.fLastPrice;
k.size = q.nLastSize;
// execute orders if papertrade is enabled
if (isPaperTradeEnabled)
{
ptt.newTick(k);
}
// notify clients of tick
if (!_imbalance || (_imbalance && k.isValid))
{
tl.newTick(k);
}
}
/////////////////////////
// MDX Processing
/////////////////////////
if (q.nMdxMsgType == 1)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Regulatory Imbalance for: " + q.bstrSymbol
+ " ValidIntradayMarketImb: " + q.bValidIntradayMktImb
+ " ValidMktImb: " + q.bValidMktImb
+ " Imbalance: " + q.nImbalance
+ " iMktImbalance: " + q.nIntradayMktImbalance
+ " MktImbalance: " + q.nMktImbalance);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Imbalance imb = new ImbalanceImpl(q.bstrSymbol, GetExPretty(q.bstrExch), q.nIntradayMktImbalance, time, 0, 0, 0);
tl.newImbalance(imb);
}
}
else if (q.nMdxMsgType == 2)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Informational Imbalance for: " + q.bstrSymbol
+ " ValidIntradayMarketImb: " + q.bValidIntradayMktImb
+ " ValidMktImb: " + q.bValidMktImb
+ " Imbalance: " + q.nImbalance
+ " iMktImbalance: " + q.nIntradayMktImbalance
+ " MktImbalance: " + q.nMktImbalance);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Imbalance imb = new ImbalanceImpl(q.bstrSymbol, GetExPretty(q.bstrExch), 0, time, 0, 0, q.nIntradayMktImbalance);
tl.newImbalance(imb);
}
}
else if (q.nMdxMsgType == 3)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Halt/Delay for: " + q.bstrSymbol
+ " Status: " + q.bstrHaltResumeStatus
+ " Reason: " + q.bstrHaltResumeReason);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
HaltResume h = new HaltResumeImpl(q.bstrSymbol, GetExPretty(q.bstrExch), time, q.bstrHaltResumeStatus, q.bstrHaltResumeReason);
for (int clientNumber = 0; clientNumber < tl.NumClients; clientNumber++)
{
tl.TLSend(HaltResumeImpl.Serialize(h), MessageTypes.HALTRESUME, clientNumber);
}
}
}
else if (q.nMdxMsgType == 4)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Indication for: " + q.bstrSymbol
+ " ValidIndicators: " + q.bValidIndicators
+ " IndicatorHigh: " + q.fIndicatorHigh
+ " IndicatorLow: " + q.fIndicatorLow);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Indication ind = new IndicationImpl(q.bstrSymbol, GetExPretty(q.bstrExch), time, q.bValidIndicators, (decimal)q.fIndicatorHigh, (decimal)q.fIndicatorLow);
for (int clientNumber = 0; clientNumber < tl.NumClients; clientNumber++)
{
tl.TLSend(IndicationImpl.Serialize(ind), MessageTypes.INDICATION, clientNumber);
}
}
}
}
