static void CQG_var_InstrumentChanged(CQGInstrument cqgInstrument, CQGQuotes cqgQuotes,
CQGInstrumentProperties cqgInstrumentProperties)
{
double qtIndicativeOpen = -1;
double qtSettlement = -1;
double qtMarker = -1;
double qtTodayMarker = -1;
//var dailyValueModel=new DailyValueModel();
// var prop=cqgInstrument.Properties[ep]
var quote = cqgInstrument.Quotes[eQuoteType.qtIndicativeOpen];
if (quote != null && quote.IsValid)
qtIndicativeOpen = quote.Price;
quote = cqgInstrument.Quotes[eQuoteType.qtSettlement];
if (quote != null && quote.IsValid)
qtSettlement = quote.Price;
quote = cqgInstrument.Quotes[eQuoteType.qtMarker];
if (quote != null && quote.IsValid)
qtMarker = quote.Price;
quote = cqgInstrument.Quotes[eQuoteType.qtTodayMarker];
if (quote != null && quote.IsValid)
qtTodayMarker = quote.Price;
ClientDatabaseManager.AddDailyValue(qtIndicativeOpen, qtMarker, qtSettlement, qtTodayMarker, cqgInstrument.FullName, DateTime.Today,cqgInstrument.ExpirationDate);
_cqgVar.RemoveInstrument(cqgInstrument);
SubscribedSymbol.Remove(cqgInstrument.FullName);
//To DB
}
static void CQG_var_InstrumentChanged(CQGInstrument cqgInstrument, CQGQuotes cqgQuotes, CQGInstrumentProperties cqgInstrumentProperties)
{
double qtIndicativeOpen = -1;
double qtSettlement = -1;
double qtMarker = -1;
double qtTodayMarker = -1;
//var dailyValueModel=new DailyValueModel();
var quote = cqgInstrument.Quotes[eQuoteType.qtIndicativeOpen];
if (quote != null && quote.IsValid) qtIndicativeOpen = quote.Price;
quote = cqgInstrument.Quotes[eQuoteType.qtSettlement];
if (quote != null && quote.IsValid) qtSettlement = quote.Price;
quote = cqgInstrument.Quotes[eQuoteType.qtMarker];
if (quote != null && quote.IsValid) qtMarker = quote.Price;
quote = cqgInstrument.Quotes[eQuoteType.qtTodayMarker];
if (quote != null && quote.IsValid) qtTodayMarker = quote.Price;
DatabaseManager.AddDailyValue(qtIndicativeOpen, qtMarker, qtSettlement, qtTodayMarker, _SymbolNow, DateTime.Today);
//To DB
}
static void CQG_var_InstrumentChanged(CQGInstrument cqgInstrument, CQGQuotes cqgQuotes,
CQGInstrumentProperties cqgInstrumentProperties)
{
double qtIndicativeOpen = -1;
double qtSettlement = -1;
double qtMarker = -1;
double qtTodayMarker = -1;
//var dailyValueModel=new DailyValueModel();
// var prop=cqgInstrument.Properties[ep]
var quote = cqgInstrument.Quotes[eQuoteType.qtIndicativeOpen];
if (quote != null && quote.IsValid)
{
qtIndicativeOpen = quote.Price;
}
quote = cqgInstrument.Quotes[eQuoteType.qtSettlement];
if (quote != null && quote.IsValid)
{
qtSettlement = quote.Price;
}
quote = cqgInstrument.Quotes[eQuoteType.qtMarker];
if (quote != null && quote.IsValid)
{
qtMarker = quote.Price;
}
quote = cqgInstrument.Quotes[eQuoteType.qtTodayMarker];
if (quote != null && quote.IsValid)
{
qtTodayMarker = quote.Price;
}
ClientDatabaseManager.AddDailyValue(qtIndicativeOpen, qtMarker, qtSettlement, qtTodayMarker, cqgInstrument.FullName, DateTime.Today, cqgInstrument.ExpirationDate);
_cqgVar.RemoveInstrument(cqgInstrument);
SubscribedSymbol.Remove(cqgInstrument.FullName);
//To DB
}
static void CQG_var_InstrumentChanged(CQGInstrument cqgInstrument, CQGQuotes cqgQuotes, CQGInstrumentProperties cqgInstrumentProperties)
{
double qtIndicativeOpen = -1;
double qtSettlement = -1;
double qtMarker = -1;
double qtTodayMarker = -1;
//var dailyValueModel=new DailyValueModel();
var quote = cqgInstrument.Quotes[eQuoteType.qtIndicativeOpen];
if (quote != null && quote.IsValid)
{
qtIndicativeOpen = quote.Price;
}
quote = cqgInstrument.Quotes[eQuoteType.qtSettlement];
if (quote != null && quote.IsValid)
{
qtSettlement = quote.Price;
}
quote = cqgInstrument.Quotes[eQuoteType.qtMarker];
if (quote != null && quote.IsValid)
{
qtMarker = quote.Price;
}
quote = cqgInstrument.Quotes[eQuoteType.qtTodayMarker];
if (quote != null && quote.IsValid)
{
qtTodayMarker = quote.Price;
}
DatabaseManager.AddDailyValue(qtIndicativeOpen, qtMarker, qtSettlement, qtTodayMarker, _SymbolNow, DateTime.Today);
//To DB
}
private void SessionOnInstrumentChanged(CQGInstrument cqgInstrument, CQGQuotes cqgQuotes, CQGInstrumentProperties cqgInstrumentProperties)
{
SendLevel1Message(cqgInstrument);
}
private void SessionOnInstrumentChanged(CQGInstrument cqgInstrument, CQGQuotes cqgQuotes, CQGInstrumentProperties cqgInstrumentProperties)
{
SendLevel1Message(cqgInstrument);
}
private void CQG_InstrumentChanged(CQGInstrument instrument, CQGQuotes quotes,
CQGInstrumentProperties instrumentProperties)
{
if (!_tickTable.ContainsKey(instrument.FullName)) return;
lock (_waitingLocker)
{
if (_subscribedSymbols.Exists(oo => oo == instrument.FullName))
{
_subscribedSymbols.Remove(instrument.FullName);
if (SymbolSubscribed != null)
SymbolSubscribed(new List<string> { instrument.FullName }, GetDepthForSymbol(instrument.FullName));
}
var tickData = _tickTable[instrument.FullName];
if (!tickData.IsCanceled)
{
tickData.TickCount = 0;
foreach (CQGQuote item in quotes)
{
CQGQuote tick = item;
tickData.IsNewTrade = tick.Name == "Trade";
switch (tick.Name)
{
case "Ask":
{
tickData.AskPrice = tick.Price;
tickData.AskVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Bid":
{
tickData.BidPrice = tick.Price;
tickData.BidVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Trade":
{
tickData.TradePrice = tick.Price;
tickData.TradeVolume = tick.Volume;
break;
}
}
tickData.TickCount++;
}
if (tickData.TickCount > 0)
{
var quoteList = (from CQGQuote item in quotes
where item.Name == "Ask" ||
item.Name == "Bid" ||
item.Name == "Trade"
select item).ToList();
quoteList.OrderBy(quote => quote.ServerTimestamp);
if (quoteList.Any())
{
tickData.Timestamp = quoteList.Last().ServerTimestamp;
tickData.TickType = quoteList.Last().Name;
}
else
tickData.Timestamp = instrument.ServerTimestamp;
if (tickData.Timestamp < DateTime.Now.AddDays(-1))
return;
if (_onSymbolsList.Contains(instrument.FullName))
{
//DatabaseManager.AddToBuffer(query, false, tickData);
if (_allowedSymbols.ContainsKey(tickData.SymbolName) ||
!DatabaseManager.CurrentDbIsShared)
{
if (DatabaseManager.CurrentDbIsShared && tickData.Timestamp < _allowedSymbols[tickData.SymbolName])
return;
DatabaseManager.InsertTickts(tickData.TableName, tickData.SymbolName,
tickData.BidPrice,
tickData.BidVolume,
tickData.AskPrice, tickData.AskVolume,
tickData.TradePrice,
tickData.TradeVolume,
tickData.IsNewTrade, tickData.Timestamp,
++tickData.GroupID,
_userName, tickData.TickType);
}
}
}
}
else
{
RemoveSymbol(instrument.FullName);
return;
}
_tickTable[instrument.FullName] = tickData;
}
}
static void Cel_InstrumentChanged(CQGInstrument instrument, CQGQuotes quotes, CQGInstrumentProperties cqg_instrument_properties)
{
var symbolData = _symbolsInProgress.Find(oo => oo.Name == instrument.FullName);
if (symbolData == null) return;
lock (_waitingLocker)
{
var tickData = symbolData.TickData;
tickData.TickCount = 0;
foreach (CQGQuote item in quotes)
{
CQGQuote tick = item;
tickData.IsNewTrade = tick.Name == "Trade";
switch (tick.Name)
{
case "Ask":
{
tickData.AskPrice = tick.Price;
tickData.AskVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Bid":
{
tickData.BidPrice = tick.Price;
tickData.BidVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Trade":
{
tickData.TradePrice = tick.Price;
tickData.TradeVolume = tick.Volume;
break;
}
}
tickData.TickCount++;
}
if (tickData.TickCount > 0)
{
var quoteList = (from CQGQuote item in quotes
where item.Name == "Ask" ||
item.Name == "Bid" ||
item.Name == "Trade"
select item).ToList();
quoteList.OrderBy(quote => quote.ServerTimestamp);
if (quoteList.Any())
{
tickData.Timestamp = quoteList.Last().ServerTimestamp;
tickData.TickType = quoteList.Last().Name;
}
else
tickData.Timestamp = instrument.ServerTimestamp;
var query = QueryBuilder.InsertData(tickData.TableName, tickData.SymbolName,
tickData.BidPrice,
tickData.BidVolume,
tickData.AskPrice, tickData.AskVolume,
tickData.TradePrice,
tickData.TradeVolume,
tickData.IsNewTrade, tickData.Timestamp,
++tickData.GroupID,
_userName, tickData.TickType);
if (tickData.Timestamp < DateTime.Now.AddDays(-1))
return;
ClientDatabaseManager.AddToBuffer(query, false, tickData);
if (!ClientDatabaseManager.CurrentDbIsShared || symbolData.CanInsert)
{
//todo if (DatabaseManager.CurrentDbIsShared && tickData.Timestamp < _allowedSymbols[tickData.SymbolName])return;
ClientDatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
}
symbolData.TickData = tickData;
}
}
/// <summary>
/// This event is fired when any of the instrument quotes or dynamic instrument properties are changed.
/// </summary>
/// <param name="instrument">Changed instrument.</param>
/// <param name="quotes">Collection of changed quotes.</param>
/// <param name="props">Collection of changed dynamic properties. </param>
private void cel_InstrumentChanged(CQGInstrument instrument, CQGQuotes quotes, CQGInstrumentProperties props)
{
try
{
lock (m_InstrToken1)
{
try
{
if (!_publisherRegister.ContainsKey(instrument.FullName))
{
return;
}
if (!_pXContexts.ContainsKey(instrument.FullName))
{
_pXContexts.Add(instrument.FullName, new DriverBase.PXUpdateContext(instrument.FullName));
}
L1PriceSupport.PXUpdateBase pxupdate = null;
if (quotes.Count > 0)
{
foreach (CQGQuote quote in quotes)
{
switch (quote.Type)
{
case eQuoteType.qtTrade:
pxupdate = new L1PriceSupport.PXUpdateBase(m_ID);
pxupdate.Mnemonic = instrument.FullName;
pxupdate.UpdateType = KaiTrade.Interfaces.PXUpdateType.trade;
pxupdate.DriverTag = "Q";
if (quote.HasVolume)
{
pxupdate.TradeVolume = quote.Volume;
}
else
{
pxupdate.TradeVolume = 0;
}
pxupdate.TradePrice = (decimal)quote.Price;
pxupdate.ServerTicks = quote.ServerTimestamp.Ticks;
if (_pXContexts[instrument.FullName].IsUpdatedTrade(pxupdate))
{
ApplyPriceUpdate(pxupdate);
}
break;
case eQuoteType.qtAsk:
pxupdate = new L1PriceSupport.PXUpdateBase(m_ID);
pxupdate.Mnemonic = instrument.FullName;
pxupdate.UpdateType = KaiTrade.Interfaces.PXUpdateType.ask;
pxupdate.DriverTag = "Q";
if (quote.HasVolume)
{
pxupdate.OfferSize = quote.Volume;
}
else
{
pxupdate.OfferSize = 0;
}
pxupdate.OfferPrice = (decimal)quote.Price;
pxupdate.ServerTicks = quote.ServerTimestamp.Ticks;
if (_pXContexts[instrument.FullName].IsUpdatedOffer(pxupdate))
{
ApplyPriceUpdate(pxupdate);
}
break;
case eQuoteType.qtBid:
pxupdate = new L1PriceSupport.PXUpdateBase(m_ID);
pxupdate.Mnemonic = instrument.FullName;
pxupdate.UpdateType = KaiTrade.Interfaces.PXUpdateType.bid;
pxupdate.DriverTag = "Q";
if (quote.HasVolume)
{
pxupdate.BidSize = quote.Volume;
}
else
{
pxupdate.BidSize = 0;
}
pxupdate.BidPrice = (decimal)quote.Price;
pxupdate.ServerTicks = quote.ServerTimestamp.Ticks;
if (_pXContexts[instrument.FullName].IsUpdatedBid(pxupdate))
{
ApplyPriceUpdate(pxupdate);
}
break;
default:
pxupdate = new L1PriceSupport.PXUpdateBase(m_ID);
pxupdate.Mnemonic = instrument.FullName;
pxupdate.UpdateType = KaiTrade.Interfaces.PXUpdateType.none;
pxupdate.DriverTag = "Q";
if (instrument.Bid.IsValid)
{
pxupdate.BidSize = instrument.Bid.Volume;
pxupdate.BidPrice = (decimal)instrument.Bid.Price;
pxupdate.Ticks = instrument.Bid.ServerTimestamp.Ticks;
}
if (instrument.Ask.IsValid)
{
pxupdate.OfferSize = instrument.Ask.Volume;
pxupdate.OfferPrice = (decimal)instrument.Ask.Price;
pxupdate.Ticks = instrument.Ask.ServerTimestamp.Ticks;
}
pxupdate.TradePrice = (decimal)instrument.Trade.Price;
pxupdate.ServerTicks = instrument.ServerTimestamp.Ticks;
if (instrument.Trade.HasVolume)
{
pxupdate.TradeVolume = instrument.Trade.Volume;
}
ApplyPriceUpdate(pxupdate);
//publishQuote(instrument);
break;
}
}
}
else
{
}
// there were no quotes
pxupdate = new L1PriceSupport.PXUpdateBase(m_ID);
pxupdate.Mnemonic = instrument.FullName;
pxupdate.UpdateType = KaiTrade.Interfaces.PXUpdateType.none;
pxupdate.DriverTag = "I";
if (instrument.Bid.IsValid)
{
pxupdate.BidSize = instrument.Bid.Volume;
pxupdate.BidPrice = (decimal)instrument.Bid.Price;
pxupdate.Ticks = instrument.Bid.ServerTimestamp.Ticks;
}
if (instrument.Ask.IsValid)
{
pxupdate.OfferSize = instrument.Ask.Volume;
pxupdate.OfferPrice = (decimal)instrument.Ask.Price;
pxupdate.Ticks = instrument.Ask.ServerTimestamp.Ticks;
}
if (instrument.Trade.IsValid)
{
pxupdate.TradePrice = (decimal)instrument.Trade.Price;
pxupdate.ServerTicks = instrument.Ask.ServerTimestamp.Ticks;
if (instrument.Trade.HasVolume)
{
pxupdate.TradeVolume = instrument.Trade.Volume;
}
}
ApplyPriceUpdate(pxupdate);
//publishQuote(instrument);
}
catch (Exception ex)
{
log.Error("cel_InstrumentChanged", ex);
}
}
}
catch
{
}
}
private void CQG_InstrumentChanged(CQGInstrument instrument, CQGQuotes quotes,
CQGInstrumentProperties instrumentProperties)
{
if (!_tickTable.ContainsKey(instrument.FullName))
{
return;
}
lock (_waitingLocker)
{
if (_subscribedSymbols.Exists(oo => oo == instrument.FullName))
{
_subscribedSymbols.Remove(instrument.FullName);
if (SymbolSubscribed != null)
{
SymbolSubscribed(new List <string> {
instrument.FullName
}, GetDepthForSymbol(instrument.FullName));
}
}
var tickData = _tickTable[instrument.FullName];
if (!tickData.IsCanceled)
{
tickData.TickCount = 0;
foreach (CQGQuote item in quotes)
{
CQGQuote tick = item;
tickData.IsNewTrade = tick.Name == "Trade";
switch (tick.Name)
{
case "Ask":
{
tickData.AskPrice = tick.Price;
tickData.AskVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Bid":
{
tickData.BidPrice = tick.Price;
tickData.BidVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Trade":
{
tickData.TradePrice = tick.Price;
tickData.TradeVolume = tick.Volume;
break;
}
}
tickData.TickCount++;
}
if (tickData.TickCount > 0)
{
var quoteList = (from CQGQuote item in quotes
where item.Name == "Ask" ||
item.Name == "Bid" ||
item.Name == "Trade"
select item).ToList();
quoteList.OrderBy(quote => quote.ServerTimestamp);
if (quoteList.Any())
{
tickData.Timestamp = quoteList.Last().ServerTimestamp;
tickData.TickType = quoteList.Last().Name;
}
else
{
tickData.Timestamp = instrument.ServerTimestamp;
}
if (tickData.Timestamp < DateTime.Now.AddDays(-1))
{
return;
}
if (_onSymbolsList.Contains(instrument.FullName))
{
//DatabaseManager.AddToBuffer(query, false, tickData);
if (_allowedSymbols.ContainsKey(tickData.SymbolName) ||
!DatabaseManager.CurrentDbIsShared)
{
if (DatabaseManager.CurrentDbIsShared && tickData.Timestamp < _allowedSymbols[tickData.SymbolName])
{
return;
}
DatabaseManager.InsertTickts(tickData.TableName, tickData.SymbolName,
tickData.BidPrice,
tickData.BidVolume,
tickData.AskPrice, tickData.AskVolume,
tickData.TradePrice,
tickData.TradeVolume,
tickData.IsNewTrade, tickData.Timestamp,
++tickData.GroupID,
_userName, tickData.TickType);
}
}
}
}
else
{
RemoveSymbol(instrument.FullName);
return;
}
_tickTable[instrument.FullName] = tickData;
}
}
static void Cel_InstrumentChanged(CQGInstrument instrument, CQGQuotes quotes, CQGInstrumentProperties cqg_instrument_properties)
{
var symbolData = _symbolsInProgress.Find(oo => oo.Name == instrument.FullName);
if (symbolData == null)
{
return;
}
lock (_waitingLocker)
{
var tickData = symbolData.TickData;
tickData.TickCount = 0;
foreach (CQGQuote item in quotes)
{
CQGQuote tick = item;
tickData.IsNewTrade = tick.Name == "Trade";
switch (tick.Name)
{
case "Ask":
{
tickData.AskPrice = tick.Price;
tickData.AskVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Bid":
{
tickData.BidPrice = tick.Price;
tickData.BidVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Trade":
{
tickData.TradePrice = tick.Price;
tickData.TradeVolume = tick.Volume;
break;
}
}
tickData.TickCount++;
}
if (tickData.TickCount > 0)
{
var quoteList = (from CQGQuote item in quotes
where item.Name == "Ask" ||
item.Name == "Bid" ||
item.Name == "Trade"
select item).ToList();
quoteList.OrderBy(quote => quote.ServerTimestamp);
if (quoteList.Any())
{
tickData.Timestamp = quoteList.Last().ServerTimestamp;
tickData.TickType = quoteList.Last().Name;
}
else
{
tickData.Timestamp = instrument.ServerTimestamp;
}
var query = QueryBuilder.InsertData(tickData.TableName, tickData.SymbolName,
tickData.BidPrice,
tickData.BidVolume,
tickData.AskPrice, tickData.AskVolume,
tickData.TradePrice,
tickData.TradeVolume,
tickData.IsNewTrade, tickData.Timestamp,
++tickData.GroupID,
_userName, tickData.TickType);
if (tickData.Timestamp < DateTime.Now.AddDays(-1))
{
return;
}
ClientDatabaseManager.AddToBuffer(query, false, tickData);
if (!ClientDatabaseManager.CurrentDbIsShared || symbolData.CanInsert)
{
//todo if (DatabaseManager.CurrentDbIsShared && tickData.Timestamp < _allowedSymbols[tickData.SymbolName])return;
ClientDatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
}
symbolData.TickData = tickData;
}
}