public MarketSimulationRezef()
{
// Market depth (size of the order book) is 3 on TASE
// i am going to reuse this object
marketData = new MarketSimulation.MarketData(3);
securities = new System.Collections.Hashtable(100);
}
public MarketSimulationMaof()
{
// Market depth (size of the order book) is 3 on TASE
// i am going to reuse this object
marketData = new MarketSimulation.MarketData(3);
securities = new System.Collections.Hashtable(100);
regexOption = new System.Text.RegularExpressions.Regex(BNO_NAME_PATTERN_OPTION);
regexFuture = new System.Text.RegularExpressions.Regex(BNO_NAME_PATTERN_FUTURE);
}
/// <summary>
/// This method do two things
/// - get list of securities from the MarketSimulationMaof
/// For every security ask MarketSimulation.Core what the Core thinks about it.
/// </summary>
protected void debugMarketSimulationMaofSecsCore(IWrite iWrite, string cmdName, object[] cmdArguments)
{
int[] ids = marketSimulationMaof.GetSecurities(); //get the list of securities
System.Collections.ArrayList names = new System.Collections.ArrayList();
names.Add("Id");
names.Add("Name");
names.Add("CoreId");
names.Add("Bid:PriceVolume");
names.Add("Ask:PriceVolume");
names.Add("LastTrade");
names.Add("LastTradeSize");
names.Add("DayVolume");
int[] columns = JQuant.ArrayUtils.CreateInitializedArray(6, names.Count);
columns[0] = 9;
columns[1] = 12;
columns[2] = 9;
columns[3] = 30;
columns[4] = 30;
CommandLineInterface.printTableHeader(iWrite, names, columns);
System.Array.Sort(ids);
foreach (int id in ids)
{
// i need MarketSimulationMaof.Option to show the name of the option
// currently I take care only of options
MarketSimulationMaof.Option option = marketSimulationMaof.GetOption(id);
// get information kept in the MrketSimulation.Core
MarketSimulation.MarketData md = marketSimulationMaof.GetSecurity(id);
System.Collections.ArrayList values = new System.Collections.ArrayList();
values.Add(id);
values.Add(option.GetName());
values.Add(md.id);
values.Add(OrderBook2String(md.bid, 9));
values.Add(OrderBook2String(md.ask, 9));
values.Add(md.lastTrade);
values.Add(md.lastTradeSize);
values.Add(md.dayVolume);
CommandLineInterface.printValues(iWrite, values, columns);
}
}
/// <summary>
/// called by MarketSimulation when a change is in the status of the security
/// </summary>
public void callback(MarketSimulation.MarketData md)
{
int id = md.id;
MarketSimulationMaof.Option option = marketSimulationMaof.GetOption(id);
string optionName = option.GetName();
// print everything out - name, bids, asks
MarketSimulation.OrderPair[] bids = md.bid;
MarketSimulation.OrderPair[] asks = md.ask;
System.Collections.ArrayList values = new System.Collections.ArrayList();
values.Add(md.tick);
values.Add(id);
values.Add(optionName);
values.Add(md.lastTrade);
values.Add(md.dayVolume);
values.Add(OrderBook2String(bids, 9));
values.Add(OrderBook2String(asks, 9));
CommandLineInterface.printValues(iWrite, values, this.columns);
}
/// <summary>
/// DataType is something like K300MaofType - lot of strings. The method will convert
/// this into something convenient to work with.
/// </summary>
/// <param name="dt">
/// A <see cref="System.Object"/>
/// Object of type DataType
/// </param>
/// <returns>
/// A <see cref="MarketData"/>
/// New object containing integers like Price, best bid/ask, etc.
/// </returns>
protected void RawDataToMarketData(K300RzfType dt, ref MarketSimulation.MarketData md)
{
if (FilterRezefData(dt))
{
md.id = JQuant.Convert.StrToInt(dt.BNO_Num);
md.bid[0].price = JQuant.Convert.StrToInt(dt.LMT_BY1);
md.bid[1].price = JQuant.Convert.StrToInt(dt.LMT_BY2);
md.bid[2].price = JQuant.Convert.StrToInt(dt.LMT_BY3);
md.bid[0].size = JQuant.Convert.StrToInt(dt.LMY_BY1_NV);
md.bid[1].size = JQuant.Convert.StrToInt(dt.LMY_BY2_NV);
md.bid[2].size = JQuant.Convert.StrToInt(dt.LMY_BY3_NV);
md.ask[0].price = JQuant.Convert.StrToInt(dt.LMT_SL1);
md.ask[1].price = JQuant.Convert.StrToInt(dt.LMT_SL2);
md.ask[2].price = JQuant.Convert.StrToInt(dt.LMT_SL3);
md.ask[0].size = JQuant.Convert.StrToInt(dt.LMY_SL1_NV);
md.ask[1].size = JQuant.Convert.StrToInt(dt.LMY_SL2_NV);
md.ask[2].size = JQuant.Convert.StrToInt(dt.LMY_SL3_NV);
md.lastTrade = JQuant.Convert.StrToInt(dt.LST_DL_PR);
md.lastTradeSize = JQuant.Convert.StrToInt(dt.LST_DL_VL);
md.dayVolume = JQuant.Convert.StrToInt(dt.DAY_VL);
md.tick = JQuant.Convert.StrToLong(dt.UPD_TIME, 0);
}
}
