private unsafe void TradeUpdate(LimeQuoteMessage message)
{
var trade = (LimeQuotesInterop.trade_msg *)message.Ptr;
uint symbolIndex = Reverse(trade->common.symbol_index);
var symbol = FindSymbol(symbolIndex);
var symbolInfo = Factory.Symbol.LookupSymbol(symbol);
var handler = symbolHandlers[symbolInfo.BinaryIdentifier];
double price = LimeQuoteMessage.priceToDouble(trade->common.price_mantissa, trade->common.price_exponent);
uint totalVolume = Reverse(trade->total_volume);
handler.Last = price;
handler.LastSize = (int)totalVolume;
if (UseLocalTickTime)
{
SetLocalTickTIme(handler);
if (trace)
{
log.TraceFormat("Trade {0} at {1} ", symbol, price);
}
//handler.SendQuote();
}
else
{
// is simulator.
var ordertime = trade->common.timestamp | ((long)trade->common.order_id << 32);
SetSimulatorTime(handler, ordertime);
if (trace)
{
log.TraceFormat("Trade {0} at {1} time: {2}", symbol, price, new TimeStamp(ordertime));
}
//handler.SendQuote();
}
handler.SendTimeAndSales();
}
public unsafe static void LogMessage(byte *message, Log log)
{
ushort length = (ushort)((message[0] << 8) | message[1]);
if (length < 3)
{
return;
}
var messageType = (LimeQuotesInterop.limeq_message_type)message[2];
string logMessage = "";
string symbol = "";
switch (messageType)
{
case LimeQuotesInterop.limeq_message_type.LOGIN_RESPONSE:
var lrm = (LimeQuotesInterop.login_response_msg *)message;
logMessage = string.Format("Login Response ({1} bytes) Ver={5}.{6}, Resp={3}, heartbeat={2}, timeout={5}", messageType, length,
lrm->heartbeat_interval, lrm->response_code, lrm->timeout_interval,
lrm->ver_major, lrm->ver_minor);
break;
case LimeQuotesInterop.limeq_message_type.BOOK_REBUILD:
var br = (LimeQuotesInterop.book_rebuild_msg *)message;
int symLength = 0;
for (int i = 0; i < 21; i++)
{
if (br->symbol[i] == 0)
{
symLength = i;
break;
}
}
symbol = new string((sbyte *)br->symbol, 0, symLength);
logMessage = string.Format("Book rebuild symbol '{0}' flags: {1} index {2}",
symbol, br->symbol_flags, Reverse(br->symbol_index));
break;
case LimeQuotesInterop.limeq_message_type.ORDER:
var order = (LimeQuotesInterop.order_msg *)message;
logMessage = string.Format("Order id {0}: symbol '{1}' price {6} timestamp {2} side {3} shares {4} flags {5}",
order->common.order_id, GetSymbol(order->common.symbol_index), order->common.timestamp, order->common.side,
Reverse(order->common.shares), order->common.quote_flags,
LimeQuoteMessage.priceToDouble(order->common.price_mantissa, order->common.price_exponent));
break;
case LimeQuotesInterop.limeq_message_type.TRADE:
var trade = (LimeQuotesInterop.trade_msg *)message;
logMessage = string.Format("Trade id {0}: symbol '{1}' price {10} timestamp {2} size {3} shared {4} flags {5} fill {6} fill2 {7} flags {8} total vol {9}",
trade->common.order_id, GetSymbol(trade->common.symbol_index), trade->common.timestamp, trade->common.side,
Reverse(trade->common.shares), trade->common.quote_flags,
trade->fill1, Reverse(trade->fill2), trade->flags,
Reverse(trade->total_volume),
LimeQuoteMessage.priceToDouble(trade->common.price_mantissa, trade->common.price_exponent)
);
break;
default:
logMessage = string.Format("Message {0} ({1} bytes)", messageType, length);
break;
}
log.Trace(logMessage);
log.Trace("Message HexDump: " + Environment.NewLine + HexDump(message, length, 32));
}
private unsafe void OrderUpdate(LimeQuoteMessage message)
{
LimeQuotesInterop.order_msg *order = (LimeQuotesInterop.order_msg *)message.Ptr;
bool isTopOfBook = (order->common.quote_flags & 1) == 1;
uint symbolIndex = Reverse(order->common.symbol_index);
var symbol = FindSymbol(symbolIndex);
bool bookUpdate = true;
if (!_IDToBookRebuild.TryGetValue(symbolIndex, out bookUpdate))
{
bookUpdate = true;
}
if (isTopOfBook)
{
SymbolHandler handler;
try {
SymbolInfo symbolInfo = Factory.Symbol.LookupSymbol(symbol);
handler = symbolHandlers[symbolInfo.BinaryIdentifier];
} catch (ApplicationException) {
log.Info("Received tick: " + new string(message.DataIn.ReadChars(message.Remaining)));
throw;
}
// For the simulator, it should send the Ask first, then the bid. However, the test code expects
// both prices to appear in one quote. So we cache the ask, then send the quote on the bid.
bool sendQuote = false;
double price = LimeQuoteMessage.priceToDouble(order->common.price_mantissa, order->common.price_exponent);
long ordertime = order->common.timestamp | ((long)order->common.order_id << 32);
if (order->common.side == LimeQuotesInterop.quote_side.SELL)
{
handler.Ask = price;
handler.AskSize = (int)Reverse(order->common.shares);
if (trace)
{
log.TraceFormat("Ask {0} at {1} size {2} time: {3}", symbol, price, handler.AskSize,
new TimeStamp(ordertime));
}
}
else
{
handler.Bid = price;
handler.BidSize = (int)Reverse(order->common.shares);
if (trace)
{
log.TraceFormat("Bid {0} at {1} size {2} time: {3}", symbol, price, handler.BidSize,
new TimeStamp(ordertime));
}
sendQuote = true;
}
//TODO: Translate Cirtris timestamp to internal
if (UseLocalTickTime)
{
if (trace)
{
log.TraceFormat("{0}: Bid {1} Ask: {2} BidShares {3} AskShares: {4}", symbol,
handler.Bid, handler.Ask, handler.BidSize, handler.AskSize);
}
SetLocalTickTIme(handler);
handler.SendQuote();
}
else
{
// is simulator.
if (sendQuote)
{
SetSimulatorTime(handler, ordertime);
handler.SendQuote();
}
}
}
else
if (trace)
{
log.TraceFormat("Quote not top of book");
}
}