public static void MergeData(this L1QuoteStreaming q1, L1QuoteStreaming q2)
{
if (q1.Symbol != q2.Symbol)
{
throw new InvalidCastException(string.Format("Can't merge data: {0} because of different symbols", q1.Symbol));
}
var properties = typeof(L1QuoteStreaming).GetProperties();
foreach (var pi in properties)
{
System.Type propertyType = pi.PropertyType;
System.TypeCode typeCode = Type.GetTypeCode(propertyType);
var type1 = q1.GetType();
var pi1 = type1.GetProperty(pi.Name);
var type2 = q2.GetType();
var pi2 = type2.GetProperty(pi.Name);
var v1 = pi2.GetValue(q2, null); // Get value of q2's property
if (typeCode == TypeCode.Int32 ||
typeCode == TypeCode.Int64 ||
typeCode == TypeCode.Single ||
typeCode == TypeCode.Double)
{
if (Convert.ToDouble(v1) != 0.0)
{
pi1.SetValue(pi1, Convert.ChangeType(v1, typeCode)); // Set the property value
}
}
else
{
pi1.SetValue(pi1, Convert.ChangeType(v1, typeCode)); // Set the property value
}
}
}
public static L1QuoteStreaming AddOrUpdate(byte[] b)
{
bool exist = false;
L1QuoteStreaming obj = null;
int byteLength = b.Length;
int tradeTime = 0;
int tradeDate = 0;
int quoteTime = 0;
int quoteDate = 0;
int i = 0;
string headerId = b.ConvertToByte(ref i);
int msgLength = b.ConvertToShort(ref i);
int sid = b.ConvertToShort(ref i);
int colNum = b.ConvertToColumnNumber(ref i);
int symbolLength = b.ConvertToShort(ref i);
string symbol = b.ConvertToString(ref i, symbolLength);
if (l1quotes.ContainsKey(symbol))
{
obj = l1quotes[symbol];
obj.OldHigh = obj.High;
obj.OldLow = obj.Low;
obj.IsDayHigh = false;
obj.IsDayLow = false;
obj.IsYearHigh = false;
obj.IsYearLow = false;
obj.IsTraded = false;
exist = true;
}
else
{
obj = new L1QuoteStreaming()
{
Symbol = symbol
};
}
int col = 0;
while (i < byteLength)
{
col = b.ConvertToColumnNumber(ref i);
switch (col)
{
case 1:
float newBid = b.ConvertToFloat(ref i);
obj.Bid = (newBid > 0) ? newBid : 0;
break;
case 2:
float newAsk = b.ConvertToFloat(ref i);
obj.Ask = (newAsk > 0) ? newAsk : 0;
break;
case 3:
float newLast = b.ConvertToFloat(ref i);
obj.Last = (newLast > 0) ? newLast : 0;
break;
case 4:
int newBidSize = b.ConvertToInt32(ref i);
obj.BidSize = (newBidSize > 0) ? newBidSize * 100 : 0;
break;
case 5:
int newAskSize = b.ConvertToInt32(ref i);
obj.AskSize = (newAskSize > 0) ? newAskSize * 100 : 0;
break;
case 6:
int newBidId = b.ConvertToShort(ref i);
obj.BIDID = (newBidId > 0) ? newBidId : 0;
break;
case 7:
int newAskId = b.ConvertToShort(ref i);
obj.ASKID = (newAskId > 0) ? newAskId : 0;
break;
case 8:
long newVolume = b.ConvertToLong(ref i);
long oldVolume = obj.Volume;
obj.LastTradeSize = (oldVolume > 0) ? Convert.ToInt32(newVolume - oldVolume) : 0;
obj.IsTraded = (oldVolume > 0 && obj.LastTradeSize > 0);
obj.Volume = (newVolume > 0) ? newVolume : 0;
// if there is no previous volume, assusme this is first quote.
obj.IsFirstQuote = (oldVolume == 0);
break;
case 9:
int newLastSize = b.ConvertToInt32(ref i);
obj.LastSize = (newLastSize > 0) ? newLastSize : 0;
break;
case 10:
tradeTime = b.ConvertToInt32(ref i); // Seconds from midnight
break;
case 11:
quoteTime = b.ConvertToInt32(ref i);
break;
case 12:
float high = b.ConvertToFloat(ref i);
if (obj.High == 0)
{
obj.High = high;
}
//else if (high > obj.High)
//{
// obj.High = high;
// if (high > obj.YearHigh)
// {
// obj.YearHigh = high;
// }
//}
break;
case 13:
float low = b.ConvertToFloat(ref i);
if (obj.Low == 0)
{
obj.Low = low;
}
//else if (low < obj.Low)
//{
// obj.Low = low;
// if (low < obj.YearLow)
// {
// obj.YearLow = low;
// }
//}
break;
case 14:
obj.Tick = b.ConvertToByte(ref i);
break;
case 15:
obj.Close = b.ConvertToFloat(ref i);
break;
case 16:
obj.Exchange = b.ConvertToChar(ref i);
break;
case 17:
obj.Marginable = b.ConvertToBoolean(ref i);
break;
case 18:
obj.Shortable = b.ConvertToBoolean(ref i);
break;
case 22:
quoteDate = b.ConvertToInt32(ref i); // Days from midnight 1970,1,1
break;
case 23:
tradeDate = b.ConvertToInt32(ref i); // Days from midnight 1970,1,1
break;
case 24:
obj.Volatility = b.ConvertToFloat(ref i);
break;
case 25:
int descLength = b.ConvertToShort(ref i);
obj.Description = b.ConvertToString(ref i, descLength).Trim();
break;
case 28:
obj.Open = b.ConvertToFloat(ref i);
break;
case 29:
obj.Change = b.ConvertToFloat(ref i);
break;
case 30:
obj.YearHigh = b.ConvertToFloat(ref i);
break;
case 31:
obj.YearLow = b.ConvertToFloat(ref i);
break;
case 32:
obj.PERatio = b.ConvertToFloat(ref i);
break;
case 33:
obj.DividendAmt = b.ConvertToFloat(ref i);
break;
case 34:
obj.DividentYield = b.ConvertToFloat(ref i);
break;
case 37:
obj.NAV = b.ConvertToFloat(ref i);
break;
case 38:
obj.Fund = b.ConvertToFloat(ref i);
break;
case 39:
int exchLength = b.ConvertToShort(ref i);
obj.ExchangeName = b.ConvertToString(ref i, exchLength).Trim();
break;
case 40:
int dividendDateLength = b.ConvertToShort(ref i);
obj.DividendDate = b.ConvertToString(ref i, dividendDateLength);
break;
default:
throw new FormatException(string.Format("{0} - L1QuoteStreaming streaming parsing failed. (content: {1})", obj.Symbol, BitConverter.ToString(b)));
break;
}
if (tradeTime > 0)
{
obj.TradeTime = (tradeDate > 0) ? fromDate.AddDays(tradeDate).AddSeconds(tradeTime) : obj.TradeTime.Date.AddSeconds(tradeTime);
}
if (quoteTime > 0)
{
obj.QuoteTime = (quoteDate > 0) ? fromDate.AddDays(quoteDate).AddSeconds(quoteTime) : obj.TradeTime.Date.AddSeconds(quoteTime);
}
}
if (obj.IsTraded)
{
obj.SetLastColorCode();
}
obj.IsHigherBid = obj.Bid > obj.Last;
obj.IsLowerAsk = obj.Ask < obj.Last;
/*
* Update Data
*/
obj.ChangePercent = (obj.Close > 0) ? (obj.Last - obj.Close) / obj.Close : 0;
#region Update the l1streaming object
//l1quotes.AddOrUpdate(obj.Symbol, obj, (k, v) => obj);
if (exist)
{
l1quotes[obj.Symbol] = obj;
}
else
{
l1quotes.Add(obj.Symbol, obj);
}
#endregion
return(obj);
}
