static readonly string BATS = "BATS"; // Citirus Demo server
private unsafe void RequestStartSymbol(SymbolInfo symbol, Agent symbolAgent)
{
StartSymbolHandler(symbol, symbolAgent);
if (symbol.OptionChain != OptionChain.None)
{
//TODO: Implement options
throw new NotSupportedException();
//StartSymbolOptionHandler(symbol, symbolAgent);
}
LimeQuoteMessage message = (LimeQuoteMessage)Socket.MessageFactory.Create();
LimeQuotesInterop.subscription_request_msg *subRequest = (LimeQuotesInterop.subscription_request_msg *)message.Ptr;
subRequest->msg_type = LimeQuotesInterop.limeq_message_type.SUBSCRIPTION_REQUEST;
ushort msgLength = (ushort)(sizeof(LimeQuotesInterop.subscription_request_msg) - 64 + symbol.Symbol.Length + 1);
subRequest->msg_len = Reverse(msgLength);
message.Length = msgLength;
//TODO: Fix to use user selected qsid
for (int i = 0; i < 4; i++)
{
subRequest->qsid[i] = (byte)BATS[i];
}
subRequest->flags = LimeQuotesInterop.subscription_flags.SUBSCRIPTION_FLAG_MARKET_DATA;
subRequest->num_symbols = 1;
for (int i = 0; i < symbol.Symbol.Length; i++)
{
subRequest->syb_symbols[i] = (byte)symbol.Symbol[i];
}
subRequest->syb_symbols[symbol.Symbol.Length] = 0;
log.InfoFormat("Sending subscrption request for {0}", symbol.Symbol);
while (!Socket.TrySendMessage(message))
{
if (IsInterrupted)
{
return;
}
Factory.Parallel.Yield();
}
//TODO: Options not yet implemented
EventItem item;
if (symbol.DisableRealtimeSimulation)
{
item = new EventItem(symbol, EventType.StartBroker);
symbolAgent.SendEvent(item);
}
item = new EventItem(symbol, EventType.StartRealTime);
symbolAgent.SendEvent(item);
}
private unsafe void SymbolRequest(LimeQuoteMessage message)
{
LimeQuotesInterop.subscription_request_msg *subRequest = (LimeQuotesInterop.subscription_request_msg *)message.Ptr;
String symbol = "";
for (int i = 0; subRequest->syb_symbols[i] != 0; i++)
{
symbol += (char)subRequest->syb_symbols[i];
}
var symbolInfo = Factory.Symbol.LookupSymbol(symbol);
log.Info("Lime: Received symbol request for " + symbolInfo);
ProviderSimulator.AddSymbol(symbolInfo.Symbol);
var writePacket = (LimeQuoteMessage)QuoteSocket.MessageFactory.Create();
LimeQuotesInterop.subscription_reply_msg *reply = (LimeQuotesInterop.subscription_reply_msg *)writePacket.Ptr;
reply->msg_type = LimeQuotesInterop.limeq_message_type.SUBSCRIPTION_REPLY;
var msg_len = (ushort)sizeof(LimeQuotesInterop.subscription_reply_msg);
reply->msg_len = Reverse(msg_len);
writePacket.Length = msg_len;
reply->outcome = LimeQuotesInterop.subscription_outcome.SUBSCRIPTION_SUCCESSFUL;
for (int i = 0; i < 4; i++)
{
reply->qsid[i] = subRequest->qsid[i];
}
QuotePacketQueue.Enqueue(writePacket, message.SendUtcTime);
var bookRebuildMessage = (LimeQuoteMessage)QuoteSocket.MessageFactory.Create();
LimeQuotesInterop.book_rebuild_msg *book = (LimeQuotesInterop.book_rebuild_msg *)bookRebuildMessage.Ptr;
book->msg_type = LimeQuotesInterop.limeq_message_type.BOOK_REBUILD;
msg_len = (ushort)sizeof(LimeQuotesInterop.book_rebuild_msg);
book->msg_len = Reverse(msg_len);
bookRebuildMessage.Length = msg_len;
book->symbol_index = (uint)symbolInfo.BinaryIdentifier;
for (int i = 0; i < symbol.Length; i++)
{
book->symbol[i] = (byte)symbol[i];
}
QuotePacketQueue.Enqueue(bookRebuildMessage, message.SendUtcTime);
}
