private unsafe void OnMarketSnapshotHandler(MarketDepthSocket socket, ref MarketSnapshotLevel3 marketSnapshot)
{
_marketSnapshotBuilder.ReBuild(ref marketSnapshot);
if (AddMessageToFileLog != null)
{
StringBuilder log = new StringBuilder($"----- IN MS - {DateTime.Now.ToString("hh:mm:ss.fff")}{Environment.NewLine}");
for (int i = 0; i < MarketSnapshotLevel3.MaxDepth; i++)
{
log.AppendLine($" BP={marketSnapshot.BidPrices[i].ToString("F11")} BV={marketSnapshot.BidVolumes[i].ToString("F11")}");
log.AppendLine($" SP={marketSnapshot.AskPrices[i].ToString("F11")} SV={marketSnapshot.AskVolumes[i].ToString("F11")}{Environment.NewLine}");
}
log.AppendLine($"----- OUT MS");
AddMessageToFileLog?.Invoke(log.ToString());
}
}
public void Run(IPAddress serverAddress, int serverPort,
ref CancellationTokenSource cancellationTokenSource,
ref ManualResetEventSlim enviromentExitWait)
{
_enviromentExitWait = enviromentExitWait;
_cancellationTokenSource = cancellationTokenSource;
_marketSnapshotBuilder = new MarketSnapshotBuilder();
var socket = new MarketDepthSocket();
_marketDepthSocket = socket;
socket.OnError += OnErrorHandler;
socket.OnDisconnected += OnDisconnectedHandler;
socket.OnConnected += OnConnectedHandler;
socket.OnException += OnExceptionHandler;
socket.OnMarketChange += OnMarketChangeHandler;
socket.OnMarketSnapshotLevel3 += OnMarketSnapshotHandler;
void RunSocket()
{
try
{
socket.Connect(new IPEndPoint(serverAddress.MapToIPv4(), serverPort));
socket.WaitResponses(_cancellationTokenSource.Token);
}
catch
{
try
{
socket.Dispose();
}
catch { }
}
finally
{
Dispose();
}
}
Task.Factory.StartNew(
() => RunSocket(),
TaskCreationOptions.LongRunning);
}
private void OnMarketChangeHandler(MarketDepthSocket marketDepthSocket, MarketChange marketChange)
{
_marketSnapshotBuilder.Build(ref marketChange);
Interlocked.Increment(ref _countOfDimensions);
if (AddMessageToFileLog != null)
{
string marketChangeType = "??";
switch (marketChange.MarketChangeType)
{
case MarketChangeTypeCode.AskPriceByAddedOrder:
marketChangeType = "AA";
break;
case MarketChangeTypeCode.AskPriceByCanceledOrder:
marketChangeType = "AC";
break;
case MarketChangeTypeCode.AskPriceByExecutedOrder:
marketChangeType = "AE";
break;
case MarketChangeTypeCode.BidPriceByAddedOrder:
marketChangeType = "BA";
break;
case MarketChangeTypeCode.BidPriceByCanceledOrder:
marketChangeType = "BC";
break;
case MarketChangeTypeCode.BidPriceByExecutedOrder:
marketChangeType = "BE";
break;
case MarketChangeTypeCode.BidVolumeByAddedOrder:
case MarketChangeTypeCode.BuyingVolumeByAddedOrder:
marketChangeType = "VABuy";
break;
case MarketChangeTypeCode.BidVolumeByCanceledOrder:
case MarketChangeTypeCode.BuyingVolumeByCanceledOrder:
marketChangeType = "VCB";
break;
case MarketChangeTypeCode.BidVolumeByExecutedOrder:
marketChangeType = "VEB";
break;
case MarketChangeTypeCode.BuyingVolumeInfoAdded:
marketChangeType = "IVB";
break;
case MarketChangeTypeCode.AskVolumeByAddedOrder:
case MarketChangeTypeCode.SellingVolumeByAddedOrder:
marketChangeType = "VAS";
break;
case MarketChangeTypeCode.AskVolumeByCanceledOrder:
case MarketChangeTypeCode.SellingVolumeByCanceledOrder:
marketChangeType = "VCS";
break;
case MarketChangeTypeCode.AskVolumeByExecutedOrder:
marketChangeType = "VEA";
break;
case MarketChangeTypeCode.SellingVolumeInfoAdded:
marketChangeType = "IVS";
break;
}
AddMessageToFileLog?.Invoke($"{DateTime.Now.ToString("mm:ss.fff")} P={marketChange.Price.ToString("F11")} V={marketChange.Volume.ToString("F11")} {marketChangeType}{Environment.NewLine}");
}
}
