private void DataComing(object sender, System.Collections.Specialized.NotifyCollectionChangedEventArgs e)
{
if (e.Action == System.Collections.Specialized.NotifyCollectionChangedAction.Add)
{
var DataComing = (IPair)e.NewItems[0];
var IsFinal = DataComing.Properties.Select(y => y.Key == "Final").First();
switch (this.Mode)
{
case CandleCollectionMode.Consolidated:
if (DataComing.Last)
{
this.Open.Add(DataComing.Candle.Open.ChangeType <double>());
this.High.Add(DataComing.Candle.High.ChangeType <double>());
this.Low.Add(DataComing.Candle.Low.ChangeType <double>());
this.Close.Add(DataComing.Candle.Close.ChangeType <double>());
this.Volume.Add(DataComing.Candle.Volume.ChangeType <double>());
this.Pivot.Add(DataComing.Candle.Dpivot().ChangeType <double>());
this.Index = this.Open.Count();
this.Candles.Add(DataComing);
CandleUpdate?.Invoke(this, new CandleEventArg(CandleEventType.NewCandle, DataComing, this));
this.IndexedCandle = new IndexedCandle(this.Candles.Select(y => y.Candle), this.Index - 1);
GenerateLow();
GenerateHigh();
GeneratePattern();
}
//if final candle
break;
case CandleCollectionMode.AllTicks:
this.Open.Add(DataComing.Candle.Open.ChangeType <double>());
this.High.Add(DataComing.Candle.High.ChangeType <double>());
this.Low.Add(DataComing.Candle.Low.ChangeType <double>());
this.Close.Add(DataComing.Candle.Close.ChangeType <double>());
this.Volume.Add(DataComing.Candle.Volume.ChangeType <double>());
this.Pivot.Add(DataComing.Candle.Dpivot().ChangeType <double>());
this.Index = this.Open.Count();
this.Candles.Add(DataComing);
CandleUpdate?.Invoke(this, new CandleEventArg(CandleEventType.NewCandle, DataComing, this));
break;
}
}
}
private void ProcessCandleAsync(CandleUpdate candle, MarketType market)
{
var topic = $"candle.{market.ToString().ToLower()}.{candle.AssetPairId.ToLower()}.{candle.PriceType.ToString().ToLower()}.{candle.TimeInterval.ToString().ToLower()}";
var subject = _realm.Services.GetSubject <CandleClientMessage>(topic);
subject.OnNext(new CandleClientMessage
{
AssetPairId = candle.AssetPairId,
MarketType = market,
PriceType = candle.PriceType,
TimeInterval = candle.TimeInterval,
Timestamp = candle.CandleTimestamp,
Open = candle.Open,
Close = candle.Close,
High = candle.High,
Low = candle.Low,
TradingVolume = candle.TradingVolume,
OppositeTradingVolume = candle.TradingOppositeVolume
});
}
/// <summary>Parse a market data update message</summary>
private void ApplyUpdate(CandleUpdate update) // Worker thread context
{
lock (CandleData)
{
// Push the update to the buffer
m_pending.Add(update);
// If the data hasn't had the initial snapshot applied yet, we're done
if (CandleData.Count == 0)
{
return;
}
// Apply updates
foreach (var upd in m_pending)
{
var idx = CandleData.BinarySearch(x => x.Time.CompareTo(upd.Kline.StartTime));
if (idx >= 0)
{
CandleData[idx] = upd.Kline;
}
else
{
CandleData.Insert(~idx, upd.Kline);
}
}
// Cap the length of the candle data
if (CandleData.Count > 1500)
{
CandleData.RemoveRange(0, 500);
}
// All pending updates have been applied
m_pending.Clear();
}
}
private string GetKey(CandleUpdate candle)
{
return($"{candle.AssetPairId}_{candle.PriceType}");
}
/// <summary>
/// Process the incoming messages
/// </summary>
/// <param name="message">Incoming message</param>
private void processMessage(string message)
{
// Deserialize the incoming command to check wich message has just arrived
// The action property brings the command name
switch (Command.Deserialize(message).action)
{
case KeepAlive.CLASSNAME:
{ // If it is a KeepAlive message, just answer Quantsis Conneciton Box another KeepAlive message
//CheckAsyncTaskInProgress
this.send(new KeepAlive().Serialize());
break;
}
case NewOrderResponse.CLASSNAME:
{ // If it is an NewOrderResponse message and it contains error, show the error message
var cmd = NewOrderResponse.Deserialize(message);
if (!cmd.success)
{
NotifyOMS(cmd.ToString());
}
break;
}
case NewStopOrderResponse.CLASSNAME:
{ // If it is an NewStopOrderResponse message and it contains error, show the error message
var cmd = NewStopOrderResponse.Deserialize(message);
if (!cmd.success)
{
NotifyOMS(cmd.ToString());
}
break;
}
case NewStopGainLossOrderResponse.CLASSNAME:
{ // If it is an NewStopGainLossOrderResponse message and it contains error, show the error message
var cmd = NewStopGainLossOrderResponse.Deserialize(message);
if (!cmd.success)
{
NotifyOMS(cmd.ToString());
}
break;
}
case CancelOrderResponse.CLASSNAME:
{ // If it is an CancelOrderResponse message and it contains error, show the error message
var cmd = CancelOrderResponse.Deserialize(message);
if (!cmd.success)
{
NotifyOMS(cmd.ToString());
}
break;
}
case ExecutionReport.CLASSNAME:
{ // If it is an ExecutionReport message, check if it was successful and updates the order list or show error message
var cmd = ExecutionReport.Deserialize(message);
if (cmd.success)
{
NotifyOMS(cmd.ToString());
}
else
{
NotifyOMS(cmd.ToString());
}
break;
}
case OrderListResponse.CLASSNAME:
{ // If it is an OrderListResponse, check if it was successful. In negative case show error message.
var cmd = OrderListResponse.Deserialize(message);
if (!cmd.success)
{
NotifyOMS(cmd.ToString());
}
break;
}
case PositionResponse.CLASSNAME:
{ // If it is a Position Response, check if it was successful and updates the position list. In case of failure, show error messasge
var cmd = PositionResponse.Deserialize(message);
if (cmd.success)
{
NotifyOMS(cmd.ToString());
}
else
{
NotifyOMS(cmd.ToString());
}
break;
}
case QuoteResponse.CLASSNAME:
{ // If it is a Quote Response, check if it was successful and logs the message
var cmd = QuoteResponse.Deserialize(message);
if (cmd.success)
{
OnQuoteResponse(cmd);
}
else
{
NotifyQCB(cmd.ToString());
}
break;
}
case QuoteUpdate.CLASSNAME:
{ // If it is a Quote Update, check if it was successful and logs the message
var cmd = QuoteUpdate.Deserialize(message);
if (cmd.success)
{
OnQuoteUpdate(cmd);
}
else
{
NotifyQCB(cmd.ToString());
}
break;
}
case QuoteUnsubscribeResponse.CLASSNAME:
{ // If it is a Quote Unsubscribe Response, check if it was successful
var cmd = QuoteUnsubscribeResponse.Deserialize(message);
if (cmd.success)
{
NotifyOMS(cmd.ToString());
}
else
{
NotifyOMS(cmd.ToString());
}
break;
}
case CandleResponse.CLASSNAME:
{ // If it is a Quote Update, check if it was successful and logs the message
var cmd = CandleResponse.Deserialize(message);
if (cmd.success)
{
if (cmd.candles != null)
{
if (cmd.candles.Count <= 0)
{
NotifyOMS("Nenhum foi possivel retornar nenhum candle para " + cmd.security + " - Timeframe: " + cmd.timeframe);
}
else
{
NotifyOMS("Dados Historicos Intraday para: " + cmd.security + " - Qtd de Candles: " + cmd.candles.Count + " - Timeframe: " + cmd.timeframe);
//foreach (Candle candle in cmd.candles)
// this.mainForm.log(candle.ToString());
}
}
}
else
{
NotifyOMS(cmd.ToString());
}
break;
}
// Candle Update
case CandleUpdate.CLASSNAME:
{ // If it is a Candle Update, check if it was successful and logs the message
var cmd = CandleUpdate.Deserialize(message);
if (cmd.success)
{
if (cmd.candle != null)
{
switch (cmd.timeframe)
{
case CandleUpdate.TIMEFRAME_INTRADAY_1_MIN:
NotifyOMS("Candle Intraday Update: " + cmd.security + " - Last: " + cmd.candle.close + " - Time: " + cmd.candle.date);
break;
case CandleUpdate.TIMEFRAME_DAILY:
NotifyOMS("Candle Daily Update: " + cmd.security + " - Last: " + cmd.candle.close + " - Time: " + cmd.candle.date);
break;
}
}
}
//this.mainForm.updatePositions(cmd);
else
{
NotifyOMS(cmd.ToString());
}
break;
}
// QCB has disconnected (shut down)
case Disconnect.CLASSNAME:
this.disconnect();
break;
}
}
