// constructor used on very first event to initialize market state (market summary event)
public MarketState(Security security, TickData bid, TickData ask, TickData trade)
{
if (security == null)
throw new ArgumentException("security object must not be null", "security");
if (bid == null)
throw new ArgumentException("TickData object for bid object must not be null", "bid");
if (ask == null)
throw new ArgumentException("TickData object for ask object must not be null", "ask");
if (trade == null)
throw new ArgumentException("TickData object for trade object must not be null", "bid");
VolumeTdy = 0;
OrderFlowTdy = 0;
VolAtBidTdy = 0;
VolAtAskTdy = 0;
_securityObj = security;
StateType = MktStateType.Summary;
TimeStamp = bid.TimeStamp;
FirstOfInterval = true;
OnBidQuote(bid);
SetBidOpen(bid);
OnAskQuote(ask);
SetAskOpen(ask);
OnTrade(trade);
SetTradeOpn(trade);
SetMid();
SetMidOpen();
}
private bool DuplicateOfPrevDataPoint(TickData newData, MarketState current)
{
double currPrice = 0;
bool hasSizeData = false;
switch (newData.Type)
{
case Type.Ask:
currPrice = current.Ask;
hasSizeData = ((_securityObj.HasQuoteSize) && (newData.Size != current.AskVol));
break;
case Type.Bid:
currPrice = current.Bid;
hasSizeData = ((_securityObj.HasQuoteSize) && (newData.Size != current.BidVol));
break;
case Type.Trade:
currPrice = current.LastTrdPrice;
hasSizeData = (_securityObj.HasTradeSize);
break;
}
// if it doesn't have size data and the price hasn't changed flag it as as duplicate
return((!hasSizeData) && (Math.Abs(newData.Price - currPrice) < Double.Epsilon));
}
private void ParseDataTable(DataFactory factory, DataTable dt)
{
Console.WriteLine("Parsing {0} DataTable({1} rows)", factory.SecurityName, dt.Rows.Count.ToString());
if (!_mktSummaryEvents.ContainsKey(factory))
{
_mktSummaryEvents.Add(factory, new MktSummaryEvent {
Complete = false
});
}
MktSummaryEvent mktSummary = _mktSummaryEvents[factory];
foreach (DataRow row in dt.Rows)
{
TickData tick = DataRowToTickData(factory, row);
if (tick != null)
{
if (!mktSummary.Complete)
{
mktSummary = PrepareMktSummaryEvent(factory, mktSummary, tick);
_mktSummaryEvents[factory] = mktSummary;
}
else
{
AddHistDataToCache(factory, tick);
}
}
}
}
private void OnBidQuote(TickData bidEvent)
{
PrevBid = Bid;
Bid = bidEvent.Price;
PrevBidVol = BidVol;
BidVol = _securityObj.HasQuoteSize ? bidEvent.Size : 0;
}
private void OnAskQuote(TickData askEvent)
{
PrevAsk = Ask;
Ask = askEvent.Price;
PrevAskVol = AskVol;
AskVol = _securityObj.HasQuoteSize? askEvent.Size : 0;
}
public void NewTick(TickData newData)
{
DateTime currTimeBinTimeStamp = getCurrentInterval(newData.TimeStamp);
if (currTimeBinTimeStamp > DateTime.MinValue) // check to make sure the initialzation has happend
{
// get the current market state
SortedDictionary <uint, MarketState> currTimeBin = _marketData[currTimeBinTimeStamp];
MarketState currentState = currTimeBin.ElementAt(currTimeBin.Count - 1).Value; // last data point in time bin
// disregard duplicates
if (!DuplicateOfPrevDataPoint(newData, currentState))
{
bool addedNewTimeStamp = false;
if (!_marketData.ContainsKey(newData.TimeStamp))
{
_marketData.Add(newData.TimeStamp, new SortedDictionary <uint, MarketState>());
_latestTimeBin = newData.TimeStamp > _latestTimeBin ? newData.TimeStamp : _latestTimeBin;
addedNewTimeStamp = true;
}
var marketDataForTimeStamp = _marketData[newData.TimeStamp];
lock (marketDataForTimeStamp)
{
// create a new updated market state
var newState = new MarketState(_securityObj, currentState, newData);
newState.BinCnt = (uint)marketDataForTimeStamp.Count;
marketDataForTimeStamp.Add(newState.BinCnt, newState);
if (LogEachTick)
{
string output = newState.ToStringAllData();
if (newState.StateType == MktStateType.Trade)
{
output += " " + newState.ToStringAllTradesNoIndentity();
}
Console.WriteLine(output);
}
}
// let the market aggregator know there is a new timestamp to aggregate
if (addedNewTimeStamp)
{
_markets.AddTickData(this, _marketData[newData.TimeStamp], newData.TimeStamp);
}
}
}
}
private static TickData DataRowToTickData(DataFactory factory, DataRow row)
{
Type type;
DateTime timeStamp;
Double price;
uint size;
Dictionary <string, string> codes = null;
TickData tick = null;
// try parse dataRow for tick data values
if (Enum.TryParse(row[0].ToString(), out type))
{
if (DateTime.TryParse(row[1].ToString(), out timeStamp))
{
if (Double.TryParse(row[2].ToString(), out price))
{
if (uint.TryParse(row[3].ToString(), out size))
{
if ((price > 0) || (price < 0))
{
// if there are any codes, add to the tickData event
if ((row[4].ToString() != String.Empty) || (row[5].ToString() != String.Empty))
{
codes = GetCodes(row[4].ToString(), row[5].ToString(), type);
}
// create a new tick data event
tick = new TickData
{
Type = type,
TimeStamp = timeStamp,
Price = price,
Size = size,
Codes = codes,
Security = factory.SecurityObj.Name,
SecurityObj = factory.SecurityObj,
SecurityID = factory.SecurityObj.Id
};
//Console.WriteLine(tick.ToString());
}
}
}
}
}
return(tick);
}
private void OnTrade(TickData trade)
{
LastTrdPrice = trade.Price;
if (LastTrdPrice == Bid)
{
TrdCntBid++;
}
if (LastTrdPrice == Ask)
{
TrdCntAsk++;
}
if ((_securityObj.HasTradeSize) && (trade.Size > 0))
{
LastTrdSize = trade.Size;
if (LastTrdPrice == Bid)
{
VolAtBid += LastTrdSize;
}
if (LastTrdPrice == Ask)
{
VolAtAsk += LastTrdSize;
}
}
else
{
LastTrdSize = 0;
VolAtBid = 0;
VolAtAsk = 0;
}
if (TrdsAtPrice.ContainsKey(trade.Price))
{
TrdsAtPrice[trade.Price].NewTradeAtPrice(LastTrdSize, this);
}
else
{
if ((_securityObj.HasTradeSize) && (trade.Size > 0))
{
TrdsAtPrice.Add(LastTrdPrice, new TradesAtPrice(LastTrdPrice, LastTrdSize, this));
}
else
{
TrdsAtPrice.Add(LastTrdPrice, new TradesAtPrice(LastTrdPrice, this));
}
}
}
private void AddHistDataToCache(DataFactory factory, TickData tick)
{
if (!CachedTickData.ContainsKey(tick.TimeStamp))
{
CachedTickData.Add(tick.TimeStamp, new Dictionary <DataFactory, List <TickData> >());
}
Dictionary <DataFactory, List <TickData> > timeInterval = CachedTickData[tick.TimeStamp];
if (!timeInterval.ContainsKey(factory))
{
timeInterval.Add(factory, new List <TickData>());
}
List <TickData> tickData = timeInterval[factory];
tickData.Add(tick);
}
// constructor used on very first event to initialize market state (market summary event)
public MarketState(Security security, TickData bid, TickData ask, TickData trade)
{
if (security == null)
{
throw new ArgumentException("security object must not be null", "security");
}
if (bid == null)
{
throw new ArgumentException("TickData object for bid object must not be null", "bid");
}
if (ask == null)
{
throw new ArgumentException("TickData object for ask object must not be null", "ask");
}
if (trade == null)
{
throw new ArgumentException("TickData object for trade object must not be null", "bid");
}
VolumeTdy = 0;
OrderFlowTdy = 0;
VolAtBidTdy = 0;
VolAtAskTdy = 0;
_securityObj = security;
StateType = MktStateType.Summary;
TimeStamp = bid.TimeStamp;
FirstOfInterval = true;
OnBidQuote(bid);
SetBidOpen(bid);
OnAskQuote(ask);
SetAskOpen(ask);
OnTrade(trade);
SetTradeOpn(trade);
SetMid();
SetMidOpen();
}
public void FirstTick(TickData bid, TickData ask, TickData trade)
{
Console.WriteLine("Summary for " + _securityObj.Name);
DateTime timeBin = bid.TimeStamp; // no timestamp
if (!_mktInitialized)
{
_mktInitialized = true;
_marketData.Add(timeBin, new SortedDictionary <uint, MarketState>());
lock (_marketData[timeBin])
{
// initialize the market
var newState = new MarketState(_securityObj, bid, ask, trade);
// Add the new state to its time bin
_marketData[newState.TimeStamp].Add(newState.BinCnt, newState);
_markets.AddTickData(this, _marketData[newState.TimeStamp], newState.TimeStamp);
}
}
}
private void AddHistDataToCache(DataFactory factory, TickData tick)
{
if (!CachedTickData.ContainsKey(tick.TimeStamp))
CachedTickData.Add(tick.TimeStamp, new Dictionary<DataFactory, List<TickData>>());
Dictionary<DataFactory, List<TickData>> timeInterval = CachedTickData[tick.TimeStamp];
if (!timeInterval.ContainsKey(factory))
timeInterval.Add(factory, new List<TickData>());
List<TickData> tickData = timeInterval[factory];
tickData.Add(tick);
}
private void SetBidOpen(TickData bidEvent)
{
BidOpen = bidEvent.Price;
BidVolOpen = _securityObj.HasQuoteSize ? bidEvent.Size : 0;
}
private void SetTradeOpn(TickData trade)
{
LastPriceOpn = trade.Price;
}
private void SetAskOpen(TickData askEvent)
{
AskOpen = askEvent.Price;
AskVolOpen = _securityObj.HasQuoteSize ? askEvent.Size : 0;
}
// constructor used for each successive data event after the initial market summary event
public MarketState(Security security, MarketState previousMktState, TickData tickData)
{
VolumeTdy = 0;
OrderFlowTdy = 0;
VolAtBidTdy = 0;
VolAtAskTdy = 0;
_securityObj = security;
if (previousMktState == null)
throw new ArgumentException("Previous MarketState object must not be null", "previousMktState");
if (tickData.TimeStamp == null)
throw new ArgumentException("tickData.TimeStamp must not be null", "tickData.TimeStamp");
TimeStamp = tickData.TimeStamp;
FirstOfInterval = (tickData.TimeStamp.Subtract(previousMktState.TimeStamp).TotalSeconds > 0);
CopyPrevState(previousMktState, FirstOfInterval);
switch (tickData.Type)
{
case Type.Ask:
StateType = MktStateType.Ask;
OnAskQuote(tickData);
SetAskVolChg(previousMktState);
SetMid();
if (FirstOfInterval)
{
SetAskOpen(tickData);
SetMidOpen();
}
break;
case Type.Bid:
StateType = MktStateType.Bid;
OnBidQuote(tickData);
SetBidVolChg(previousMktState);
SetMid();
if (FirstOfInterval)
{
SetBidOpen(tickData);
SetMidOpen();
}
break;
case Type.Trade:
StateType = MktStateType.Trade;
OnTrade(tickData);
if (FirstOfInterval)
{
SetTradeOpn(tickData);
}
break;
default:
throw new ArgumentException("TickData's 'Type' parameter must be of enum of type TickData.Type", "tickData");
}
if ((FirstOfInterval) || (Codes == null))
{
Codes = tickData.Codes;
}
else
{
if (tickData.Codes != null)
{
if (tickData.Codes.Count > 0)
{
foreach (var code in tickData.Codes)
{
if (!Codes.ContainsKey(code.Key))
Codes.Add(code.Key, code.Value);
}
}
}
}
}
// constructor used for each successive data event after the initial market summary event
public MarketState(Security security, MarketState previousMktState, TickData tickData)
{
VolumeTdy = 0;
OrderFlowTdy = 0;
VolAtBidTdy = 0;
VolAtAskTdy = 0;
_securityObj = security;
if (previousMktState == null)
{
throw new ArgumentException("Previous MarketState object must not be null", "previousMktState");
}
if (tickData.TimeStamp == null)
{
throw new ArgumentException("tickData.TimeStamp must not be null", "tickData.TimeStamp");
}
TimeStamp = tickData.TimeStamp;
FirstOfInterval = (tickData.TimeStamp.Subtract(previousMktState.TimeStamp).TotalSeconds > 0);
CopyPrevState(previousMktState, FirstOfInterval);
switch (tickData.Type)
{
case Type.Ask:
StateType = MktStateType.Ask;
OnAskQuote(tickData);
SetAskVolChg(previousMktState);
SetMid();
if (FirstOfInterval)
{
SetAskOpen(tickData);
SetMidOpen();
}
break;
case Type.Bid:
StateType = MktStateType.Bid;
OnBidQuote(tickData);
SetBidVolChg(previousMktState);
SetMid();
if (FirstOfInterval)
{
SetBidOpen(tickData);
SetMidOpen();
}
break;
case Type.Trade:
StateType = MktStateType.Trade;
OnTrade(tickData);
if (FirstOfInterval)
{
SetTradeOpn(tickData);
}
break;
default:
throw new ArgumentException("TickData's 'Type' parameter must be of enum of type TickData.Type", "tickData");
}
if ((FirstOfInterval) || (Codes == null))
{
Codes = tickData.Codes;
}
else
{
if (tickData.Codes != null)
{
if (tickData.Codes.Count > 0)
{
foreach (var code in tickData.Codes)
{
if (!Codes.ContainsKey(code.Key))
{
Codes.Add(code.Key, code.Value);
}
}
}
}
}
}
private void OnTrade(TickData trade)
{
LastTrdPrice = trade.Price;
if (LastTrdPrice == Bid) TrdCntBid++;
if (LastTrdPrice == Ask) TrdCntAsk++;
if ((_securityObj.HasTradeSize) && (trade.Size > 0))
{
LastTrdSize = trade.Size;
if (LastTrdPrice == Bid) VolAtBid += LastTrdSize;
if (LastTrdPrice == Ask) VolAtAsk += LastTrdSize;
}
else
{
LastTrdSize = 0;
VolAtBid = 0;
VolAtAsk = 0;
}
if (TrdsAtPrice.ContainsKey(trade.Price))
{
TrdsAtPrice[trade.Price].NewTradeAtPrice(LastTrdSize, this);
}
else
{
if ((_securityObj.HasTradeSize) && (trade.Size > 0))
TrdsAtPrice.Add(LastTrdPrice, new TradesAtPrice(LastTrdPrice, LastTrdSize, this));
else
TrdsAtPrice.Add(LastTrdPrice, new TradesAtPrice(LastTrdPrice, this));
}
}
private static MktSummaryEvent PrepareMktSummaryEvent(DataFactory factory, MktSummaryEvent mktSummary, TickData tick)
{
switch (tick.Type)
{
case Type.Ask:
if (mktSummary.Ask == null)
{
mktSummary.Ask = tick;
if (tick.TimeStamp > mktSummary.EventTime) mktSummary.EventTime = tick.TimeStamp;
mktSummary = CheckForSyntheticTradeCondition(factory, mktSummary);
}
break;
case Type.Bid:
if (mktSummary.Bid == null)
{
mktSummary.Bid = tick;
if (tick.TimeStamp > mktSummary.EventTime) mktSummary.EventTime = tick.TimeStamp;
mktSummary = CheckForSyntheticTradeCondition(factory, mktSummary);
}
break;
case Type.Trade:
if (mktSummary.Trade == null)
{
mktSummary.Trade = tick;
if (tick.TimeStamp > mktSummary.EventTime) mktSummary.EventTime = tick.TimeStamp;
mktSummary = CheckForSyntheticTradeCondition(factory, mktSummary);
}
break;
}
if ((mktSummary.Ask != null) && (mktSummary.Bid != null) && mktSummary.Trade != null)
{
mktSummary.Complete = true;
Console.WriteLine("Mkt summary {0} {1} ask {2} bid {3} trade {4}", tick.Security,
mktSummary.EventTime.ToLongTimeString(),
mktSummary.Ask.Price, mktSummary.Bid.Price, mktSummary.Trade.Price);
}
return mktSummary;
}
public void NewTick(TickData newData)
{
DateTime currTimeBinTimeStamp = getCurrentInterval(newData.TimeStamp);
if (currTimeBinTimeStamp > DateTime.MinValue) // check to make sure the initialzation has happend
{
// get the current market state
SortedDictionary<uint, MarketState> currTimeBin = _marketData[currTimeBinTimeStamp];
MarketState currentState = currTimeBin.ElementAt(currTimeBin.Count - 1).Value; // last data point in time bin
// disregard duplicates
if (!DuplicateOfPrevDataPoint(newData, currentState))
{
bool addedNewTimeStamp = false;
if (!_marketData.ContainsKey(newData.TimeStamp))
{
_marketData.Add(newData.TimeStamp, new SortedDictionary<uint, MarketState>());
addedNewTimeStamp = true;
}
var marketDataForTimeStamp = _marketData[newData.TimeStamp];
lock (marketDataForTimeStamp)
{
// create a new updated market state
var newState = new MarketState(_securityObj, currentState, newData);
newState.BinCnt = (uint) marketDataForTimeStamp.Count;
marketDataForTimeStamp.Add(newState.BinCnt, newState);
if (LogEachTick)
{
string output = newState.ToStringAllData();
if (newState.StateType == MktStateType.Trade) output += " " + newState.ToStringAllTradesNoIndentity();
Console.WriteLine(output);
}
}
// let the market aggregator know there is a new timestamp to aggregate
if (addedNewTimeStamp)
_markets.AddTickData(this, _marketData[newData.TimeStamp], newData.TimeStamp);
}
}
}
private void SetTradeOpn(TickData trade)
{
LastPriceOpn = trade.Price;
}
private static TickData DataRowToTickData(DataFactory factory, DataRow row)
{
Type type;
DateTime timeStamp;
Double price;
uint size;
Dictionary<string, string> codes = null;
TickData tick = null;
// try parse dataRow for tick data values
if (Enum.TryParse(row[0].ToString(), out type))
if (DateTime.TryParse(row[1].ToString(), out timeStamp))
if (Double.TryParse(row[2].ToString(), out price))
if (uint.TryParse(row[3].ToString(), out size))
{
if ((price > 0) || (price < 0))
{
// if there are any codes, add to the tickData event
if ((row[4].ToString() != String.Empty) || (row[5].ToString() != String.Empty))
{
codes = GetCodes(row[4].ToString(), row[5].ToString(), type);
}
// create a new tick data event
tick = new TickData
{
Type = type,
TimeStamp = timeStamp,
Price = price,
Size = size,
Codes = codes,
Security = factory.SecurityObj.Name,
SecurityObj = factory.SecurityObj,
SecurityID = factory.SecurityObj.Id
};
//Console.WriteLine(tick.ToString());
}
}
return tick;
}
private void SetAskOpen(TickData askEvent)
{
AskOpen = askEvent.Price;
AskVolOpen = _securityObj.HasQuoteSize ? askEvent.Size : 0;
}
private static MktSummaryEvent PrepareMktSummaryEvent(DataFactory factory, MktSummaryEvent mktSummary, TickData tick)
{
switch (tick.Type)
{
case Type.Ask:
if (mktSummary.Ask == null)
{
mktSummary.Ask = tick;
if (tick.TimeStamp > mktSummary.EventTime)
{
mktSummary.EventTime = tick.TimeStamp;
}
mktSummary = CheckForSyntheticTradeCondition(factory, mktSummary);
}
break;
case Type.Bid:
if (mktSummary.Bid == null)
{
mktSummary.Bid = tick;
if (tick.TimeStamp > mktSummary.EventTime)
{
mktSummary.EventTime = tick.TimeStamp;
}
mktSummary = CheckForSyntheticTradeCondition(factory, mktSummary);
}
break;
case Type.Trade:
if (mktSummary.Trade == null)
{
mktSummary.Trade = tick;
if (tick.TimeStamp > mktSummary.EventTime)
{
mktSummary.EventTime = tick.TimeStamp;
}
mktSummary = CheckForSyntheticTradeCondition(factory, mktSummary);
}
break;
}
if ((mktSummary.Ask != null) && (mktSummary.Bid != null) && mktSummary.Trade != null)
{
mktSummary.Complete = true;
Console.WriteLine("Mkt summary {0} {1} ask {2} bid {3} trade {4}", tick.Security,
mktSummary.EventTime.ToLongTimeString(),
mktSummary.Ask.Price, mktSummary.Bid.Price, mktSummary.Trade.Price);
}
return(mktSummary);
}
private void SetBidOpen(TickData bidEvent)
{
BidOpen = bidEvent.Price;
BidVolOpen = _securityObj.HasQuoteSize ? bidEvent.Size : 0;
}
public void FirstTick(TickData bid, TickData ask, TickData trade)
{
Console.WriteLine("Summary for " + _securityObj.Name);
DateTime timeBin = bid.TimeStamp; // no timestamp
if (!_mktInitialized)
{
_mktInitialized = true;
_marketData.Add(timeBin, new SortedDictionary<uint, MarketState>());
lock (_marketData[timeBin])
{
// initialize the market
var newState = new MarketState(_securityObj, bid, ask, trade);
// Add the new state to its time bin
_marketData[newState.TimeStamp].Add(newState.BinCnt, newState);
_markets.AddTickData(this, _marketData[newState.TimeStamp], newState.TimeStamp);
}
}
}
private void OnAskQuote(TickData askEvent)
{
PrevAsk = Ask;
Ask = askEvent.Price;
PrevAskVol = AskVol;
AskVol = _securityObj.HasQuoteSize ? askEvent.Size : 0;
}
private bool DuplicateOfPrevDataPoint(TickData newData, MarketState current)
{
double currPrice = 0;
bool hasSizeData = false;
switch (newData.Type)
{
case Type.Ask:
currPrice = current.Ask;
hasSizeData = ((_securityObj.HasQuoteSize) && (newData.Size != current.AskVol));
break;
case Type.Bid:
currPrice = current.Bid;
hasSizeData = ((_securityObj.HasQuoteSize) && (newData.Size != current.BidVol));
break;
case Type.Trade:
currPrice = current.LastTrdPrice;
hasSizeData = (_securityObj.HasTradeSize);
break;
}
// if it doesn't have size data and the price hasn't changed flag it as as duplicate
return ((!hasSizeData) && (Math.Abs(newData.Price - currPrice) < Double.Epsilon));
}
private void OnBidQuote(TickData bidEvent)
{
PrevBid = Bid;
Bid = bidEvent.Price;
PrevBidVol = BidVol;
BidVol = _securityObj.HasQuoteSize ? bidEvent.Size : 0;
}