// OnNxCoreMMQuote: Function to handle NxCore MMQuote messages.
//--------------------------------------------------------------
static unsafe void OnNxCoreMMQuote(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
// Get the symbol for category message
String Symbol = new String(&pNxCoreMsg->coreHeader.pnxStringSymbol->String);
// Assign a pointer to the MMQuote data
NxCoreMMQuote *Quote = &pNxCoreMsg->coreData.MMQuote;
if (Quote->pnxStringMarketMaker == null)
{
return;
}
// Get the market maker string
String MarketMaker = new String(&Quote->pnxStringMarketMaker->String);
// Get bid and ask price
double Bid = NxCore.PriceToDouble(Quote->coreQuote.BidPrice, Quote->coreQuote.PriceType);
double Ask = NxCore.PriceToDouble(Quote->coreQuote.AskPrice, Quote->coreQuote.PriceType);
// Write out Symbol, MarketMaker, Time, Bid, Ask, Bidsize, Asksize, Reporting Exg
Console.WriteLine("MMQuote for Symbol: {0:S}, MarketMaker: {1:S} Time: {2:d}:{3:d}:{4:d} Bid: {5:f} Ask: {6:f} BidSize: {7:d} AskSise: {8:d} Exchg: {9:d} ",
Symbol, MarketMaker,
pNxCoreMsg->coreHeader.nxExgTimestamp.Hour, pNxCoreMsg->coreHeader.nxExgTimestamp.Minute, pNxCoreMsg->coreHeader.nxExgTimestamp.Second,
Bid, Ask, Quote->coreQuote.BidSize, Quote->coreQuote.AskSize,
pNxCoreMsg->coreHeader.ReportingExg);
}
// The NXCore Callback Function
//-----------------------------
static unsafe int OnNxCoreCallback(IntPtr pSys, IntPtr pMsg)
{
// Alias structure pointers to the pointers passed in.
NxCoreSystem * pNxCoreSys = (NxCoreSystem *)pSys;
NxCoreMessage *pNxCoreMsg = (NxCoreMessage *)pMsg;
// Do something based on the message type
switch (pNxCoreMsg->MessageType)
{
// NxCore Status Message
case NxCore.NxMSG_STATUS:
OnNxCoreStatus(pNxCoreSys, pNxCoreMsg);
break;
// NxCore Trade Message
case NxCore.NxMSG_TRADE:
OnNxCoreTrade(pNxCoreSys, pNxCoreMsg);
break;
// NxCore Level1 Quote Message
case NxCore.NxMSG_EXGQUOTE:
OnNxCoreExgQuote(pNxCoreSys, pNxCoreMsg);
break;
// NxCore Level2 Quote Message
case NxCore.NxMSG_MMQUOTE:
OnNxCoreMMQuote(pNxCoreSys, pNxCoreMsg);
break;
}
// Continue running the tape
return((int)NxCore.NxCALLBACKRETURN_CONTINUE);
}
static unsafe void OnNxCoreStatus(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
if (DOSAVESTATE)
{
if (pNxCoreSys->nxTime.MsOfDay >= nextstatesavetime)
{
D("saving state at: " + nextstatesavetime + " " + statefilepath);
NxCore.SaveState(statefilepath, NxCore.NxSAVESTATE_ONEPASS);
if (nextstatesavetime == 0)
{
nextstatesavetime = pNxCoreSys->nxTime.MsOfDay;
}
nextstatesavetime += savestateint;
D("save complete. next save time: " + nextstatesavetime);
}
}
STATUS = pNxCoreSys->StatusData;
// Print the specific NxCore status message
switch (pNxCoreSys->Status)
{
case NxCore.NxCORESTATUS_COMPLETE:
D("NxCore Complete Message.");
break;
case NxCore.NxCORESTATUS_INITIALIZING:
D("NxCore Initialize Message.");
break;
case NxCore.NxCORESTATUS_SYNCHRONIZING:
D("NxCore Synchronizing Message.");
break;
case NxCore.NxCORESTATUS_WAITFORCOREACCESS:
{
//D("NxCore Wait For Access.");
break;
}
case NxCore.NxCORESTATUS_RESTARTING_TAPE:
D("NxCore Restart Tape Message.");
break;
case NxCore.NxCORESTATUS_ERROR:
D("NxCore Error.");
break;
case NxCore.NxCORESTATUS_RUNNING:
break;
case NxCore.NxCORESTATUS_LOADED_STATE:
D("Nxcore has been loaded from a saved state.");
break;
case NxCore.NxCORESTATUS_SAVING_STATE:
D("Nxcore is now saving it's current state.");
break;
}
}
static unsafe void OnNxCoreSymbolSpin(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
String Symbol = new string(&pNxCoreMsg->coreHeader.pnxStringSymbol->String);
if (symbolsToImport.Contains(Symbol.Remove(0, 1)))
{
pNxCoreMsg->coreHeader.pnxStringSymbol->UserData1 = 1;
Console.WriteLine("SET");
csvs[Symbol.Remove(0, 1)] = "MsOfDay, Time,Price,Size\n";
}
}
// OnNxCoreTrade: Function to handle NxCore Trade messages.
//--------------------------------------------------------------
static unsafe void OnNxCoreTrade(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
// Get the symbol for category message
String Symbol = new String(&pNxCoreMsg->coreHeader.pnxStringSymbol->String);
if (pNxCoreMsg->coreHeader.pnxStringSymbol->UserData1 == 1)
{
//if (Symbol.ToString() == "eCSIQ") {
// Assign a pointer to the Trade data
NxCoreTrade *Trade = &pNxCoreMsg->coreData.Trade;
// Get the price and net change
double Price = NxCore.PriceToDouble(Trade->Price, Trade->PriceType);
double NetChange = NxCore.PriceToDouble(Trade->NetChange, Trade->PriceType);
int Hour = pNxCoreMsg->coreHeader.nxExgTimestamp.Hour;
int Minute = pNxCoreMsg->coreHeader.nxExgTimestamp.Minute;
int Second = pNxCoreMsg->coreHeader.nxExgTimestamp.Second;
int Millisecond = pNxCoreMsg->coreHeader.nxExgTimestamp.Millisecond;
int MsOfDay = Convert.ToInt32(pNxCoreMsg->coreHeader.nxExgTimestamp.MsOfDay);
string TimeOfTrade = Hour.ToString() + ":" + Minute.ToString() + ":" + Second.ToString() + ":" + Millisecond.ToString();
string Volume = pNxCoreMsg->coreData.Trade.Size.ToString();
//Check that price is within BBO or not tradethruexempt
int tradeCondition = pNxCoreMsg->coreData.Trade.TradeCondition;
//
//var extendedTradeCondition = pNxCoreMsg->coreData.Trade.ExtTradeConditions;
if (tradeCondition == 108) //TradeThruExempt
{
//Get BBO
double bestBidPrice = pNxCoreMsg->coreData.ExgQuote.BestBidPrice;
double bestAskPrice = pNxCoreMsg->coreData.ExgQuote.BestAskPrice;
Console.WriteLine("Trade for Symbol: {0:S}, Time: {1:d}:{2:d}:{3:d} Price: {4:f} BBO: {5} {6} TradeCondition: {7}", Symbol,
pNxCoreMsg->coreHeader.nxExgTimestamp.Hour, pNxCoreMsg->coreHeader.nxExgTimestamp.Minute, pNxCoreMsg->coreHeader.nxExgTimestamp.Second,
Price, bestBidPrice, bestAskPrice, tradeCondition);
}
var newLine = string.Format("{0},{1},{2},{3}", MsOfDay, TimeOfTrade, Price, Volume);
csvs[Symbol.Remove(0, 1)] += newLine + "\n";
// Write out Symbol, Time, Price, NetChg, Size, Reporting Exg
/*Console.WriteLine("Trade for Symbol: {0:S}, Time: {1:d}:{2:d}:{3:d} Price: {4:f} NetChg: {5:f} Size: {6:d} Exchg: {7:d} ",
* Symbol,
* pNxCoreMsg->coreHeader.nxExgTimestamp.Hour, pNxCoreMsg->coreHeader.nxExgTimestamp.Minute, pNxCoreMsg->coreHeader.nxExgTimestamp.Second,
* Price, NetChange, Trade->Size,
* pNxCoreMsg->coreHeader.ReportingExg);*/
}
}
// OnNxCoreStatus: Function to handle NxCore Status messages
//----------------------------------------------------------
static unsafe void OnNxCoreStatus(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
// If a Minute has elapsed print the NxCore system time.
// NOTE: The last time sent is 24:00:00. Don't print that
// time as DateTime() will fail...24:00:00 is not actually
// a real time value.
if ((pNxCoreSys->ClockUpdateInterval >= NxCore.NxCLOCK_MINUTE) &&
(pNxCoreSys->nxTime.Hour < 24))
{
DateTime thisTime = new DateTime(pNxCoreSys->nxDate.Year,
pNxCoreSys->nxDate.Month,
pNxCoreSys->nxDate.Day,
pNxCoreSys->nxTime.Hour,
pNxCoreSys->nxTime.Minute,
pNxCoreSys->nxTime.Second);
timeInTapeFile = thisTime;
}
// Print the specific NxCore status message
switch (pNxCoreSys->Status)
{
case NxCore.NxCORESTATUS_COMPLETE:
Console.WriteLine("NxCore Complete Message.");
break;
case NxCore.NxCORESTATUS_INITIALIZING:
Console.WriteLine("NxCore Initialize Message.");
break;
case NxCore.NxCORESTATUS_SYNCHRONIZING:
Console.WriteLine("NxCore Synchronizing Message.");
break;
case NxCore.NxCORESTATUS_WAITFORCOREACCESS:
Console.WriteLine("NxCore Wait For Access.");
break;
case NxCore.NxCORESTATUS_RESTARTING_TAPE:
Console.WriteLine("NxCore Restart Tape Message.");
break;
case NxCore.NxCORESTATUS_ERROR:
Console.WriteLine("NxCore Error.");
break;
case NxCore.NxCORESTATUS_RUNNING:
break;
}
}
// OnNxCoreTrade: Function to handle NxCore Trade messages.
//--------------------------------------------------------------
static unsafe void OnNxCoreTrade(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
// Get the symbol for category message
String Symbol = new String(&pNxCoreMsg->coreHeader.pnxStringSymbol->String);
// Assign a pointer to the Trade data
NxCoreTrade *Trade = &pNxCoreMsg->coreData.Trade;
// Get the price and net change
double Price = NxCore.PriceToDouble(Trade->Price, Trade->PriceType);
double NetChange = NxCore.PriceToDouble(Trade->NetChange, Trade->PriceType);
// Write out Symbol, Time, Price, NetChg, Size, Reporting Exg
Console.WriteLine("Trade for Symbol: {0:S}, Time: {1:d}:{2:d}:{3:d} Price: {4:f} NetChg: {5:f} Size: {6:d} Exchg: {7:d} ",
Symbol,
pNxCoreMsg->coreHeader.nxExgTimestamp.Hour, pNxCoreMsg->coreHeader.nxExgTimestamp.Minute, pNxCoreMsg->coreHeader.nxExgTimestamp.Second,
Price, NetChange, Trade->Size,
pNxCoreMsg->coreHeader.ReportingExg);
}
// The NXCore Callback Function
//-----------------------------
static unsafe int OnNxCoreCallback(IntPtr pSys, IntPtr pMsg)
{
// Alias structure pointers to the pointers passed in.
NxCoreSystem * pNxCoreSys = (NxCoreSystem *)pSys;
NxCoreMessage *pNxCoreMsg = (NxCoreMessage *)pMsg;
// Do something based on the message type
switch (pNxCoreMsg->MessageType)
{
// NxCore Status Message
case NxCore.NxMSG_STATUS:
OnNxCoreStatus(pNxCoreSys, pNxCoreMsg);
break;
// NxCore Trade Message
case NxCore.NxMSG_TRADE:
//if (pNxCoreMsg->coreHeader.nxExgTimestamp.Hour > 8 && pNxCoreMsg->coreHeader.nxExgTimestamp.Minute > 35) return 1;
OnNxCoreTrade(pNxCoreSys, pNxCoreMsg);
break;
case NxCore.NxMSG_SYMBOLSPIN:
OnNxCoreSymbolSpin(pNxCoreSys, pNxCoreMsg);
break;
// NxCore Level1 Quote Message
//case NxCore.NxMSG_EXGQUOTE:
// OnNxCoreExgQuote(pNxCoreSys, pNxCoreMsg);
// break;
// NxCore Level2 Quote Message
//case NxCore.NxMSG_MMQUOTE:
// OnNxCoreMMQuote(pNxCoreSys, pNxCoreMsg);
}
if (killThread)
{
return((int)NxCore.NxCALLBACKRETURN_STOP);
}
// Continue running the tape
return((int)NxCore.NxCALLBACKRETURN_CONTINUE);
}
static unsafe void OnNxCoreMMQuote(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
}
static unsafe void OnNxCoreExgQuote(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
if (keepcurrent && (STATUS < 4))
{
return;
}
if (DOLIVESKIPTEST)
{
if (pNxCoreSys->nxTime.MsOfDay < (DateTime.UtcNow.TimeOfDay.TotalMilliseconds - (DateTime.Now.IsDaylightSavingTime() ? (1000 * 60 * 60 * 4) : (1000 * 60 * 60 * 5))))
{
return;
}
DOLIVESKIPTEST = false;
D("NxCore starting realtime data");
}
// Get the symbol for category message
int idx = _nxsyms.getindex(new string(&pNxCoreMsg->coreHeader.pnxStringSymbol->String));
if (idx < 0)
{
return;
}
if (!_nxsyms[idx])
{
return;
}
// Assign a pointer to the ExgQuote data
NxCoreExgQuote *Quote = &pNxCoreMsg->coreData.ExgQuote;
NxCoreQuote cq = Quote->coreQuote;
// Get bid and ask price
double bid = 0;
double ask = 0;
int bs = 0;
int os = 0;
string be = string.Empty;
string oe = string.Empty;
bool bbid = false;
bool bask = false;
if ((cq.BidPriceChange != 0) || (cq.BidSizeChange != 0))
{
bid = NxCore.PriceToDouble(Quote->coreQuote.BidPrice, Quote->coreQuote.PriceType);
bs = Quote->coreQuote.BidSize;
be = excode2name(Quote->BestBidExg);
bbid = true;
}
if ((cq.AskPriceChange != 0) || (cq.AskSizeChange != 0))
{
ask = NxCore.PriceToDouble(Quote->coreQuote.AskPrice, Quote->coreQuote.PriceType);
os = Quote->coreQuote.AskSize;
oe = excode2name(Quote->BestAskExg);
bask = true;
}
if (bask || bbid)
{
NxTime time = pNxCoreMsg->coreHeader.nxExgTimestamp;
int tltime = time.Hour * 10000 + time.Minute * 100 + time.Second;
NxDate date = pNxCoreMsg->coreHeader.nxSessionDate;
int tldate = (int)date.Year * 10000 + (int)date.Month * 100 + (int)date.Day;
Tick k = new TickImpl();
k.symbol = _realsym2nxidx.getlabel(idx);
k.date = tldate;
k.time = tltime;
if (bask && bbid)
{
k.bid = (decimal)bid;
k.bs = bs;
k.be = be;
k.ask = (decimal)ask;
k.os = os;
k.oe = oe;
}
else if (bbid)
{
k.bid = (decimal)bid;
k.bs = bs;
k.be = be;
}
else
{
k.ask = (decimal)ask;
k.os = os;
k.oe = oe;
}
try
{
tl.newTick(k);
}
catch (Exception ex)
{
D("bad tick: " + k.ToString() + " " + ex.Message + ex.StackTrace);
}
}
}
static unsafe void OnNxCoreTrade(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
if (keepcurrent && (STATUS < 4))
{
return;
}
if (DOLIVESKIPTEST)
{
if (pNxCoreSys->nxTime.MsOfDay < (DateTime.UtcNow.TimeOfDay.TotalMilliseconds - (DateTime.Now.IsDaylightSavingTime() ? (1000 * 60 * 60 * 4) : (1000 * 60 * 60 * 5))))
{
return;
}
DOLIVESKIPTEST = false;
D("NxCore starting realtime data");
}
// Get the symbol for category message
int idx = _nxsyms.getindex(new string(&pNxCoreMsg->coreHeader.pnxStringSymbol->String));
if (idx < 0)
{
return;
}
if (!_nxsyms[idx])
{
return;
}
// Assign a pointer to the Trade data
NxCoreTrade *Trade = &pNxCoreMsg->coreData.Trade;
// Get the price and net change
double Price = NxCore.PriceToDouble(Trade->Price, Trade->PriceType);
//double NetChange = NxCore.PriceToDouble(Trade->NetChange, Trade->PriceType);
NxTime time = pNxCoreMsg->coreHeader.nxExgTimestamp;
int tltime = time.Hour * 10000 + time.Minute * 100 + time.Second;
NxDate date = pNxCoreMsg->coreHeader.nxSessionDate;
int tldate = (int)date.Year * 10000 + (int)date.Month * 100 + (int)date.Day;
string ex = excode2name(pNxCoreMsg->coreHeader.ReportingExg);
int size = (int)Trade->Size;
// check for index
if (size <= 0)
{
return;
}
Tick k = new TickImpl();
k.symbol = _realsym2nxidx.getlabel(idx);
k.date = tldate;
k.time = tltime;
k.trade = (decimal)Price;
k.ex = ex;
k.size = size;
try
{
tl.newTick(k);
}
catch (Exception e)
{
D("bad tick: " + k.symbol + " " + Price + " " + size + " " + ex + " " + e.Message + e.StackTrace);
}
}
// OnNxCoreTrade: Function to handle NxCore Trade messages.
//--------------------------------------------------------------
static unsafe void OnNxCoreTrade(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
// Get the symbol for category message
String Symbol = new String(&pNxCoreMsg->coreHeader.pnxStringSymbol->String);
if (pNxCoreMsg->coreHeader.pnxStringSymbol->UserData1 == 1)
{
//if (Symbol.ToString() == "eCSIQ") {
// Assign a pointer to the Trade data
NxCoreTrade *Trade = &pNxCoreMsg->coreData.Trade;
// Get the price and net change
double Price = NxCore.PriceToDouble(Trade->Price, Trade->PriceType);
double NetChange = NxCore.PriceToDouble(Trade->NetChange, Trade->PriceType);
int Hour = pNxCoreMsg->coreHeader.nxExgTimestamp.Hour;
int Minute = pNxCoreMsg->coreHeader.nxExgTimestamp.Minute;
int Second = pNxCoreMsg->coreHeader.nxExgTimestamp.Second;
int Millisecond = pNxCoreMsg->coreHeader.nxExgTimestamp.Millisecond;
int MsOfDay = Convert.ToInt32(pNxCoreMsg->coreHeader.nxExgTimestamp.MsOfDay);
string TimeOfTrade = Hour.ToString() + ":" + Minute.ToString() + ":" + Second.ToString() + ":" + Millisecond.ToString();
string Volume = pNxCoreMsg->coreData.Trade.Size.ToString();
//Check that price is not tradethruexempt in the extended trade conditions - for future imports
//int tradeCondition = pNxCoreMsg->coreData.Trade.ExtTradeConditions[]
var tradeCondition = pNxCoreMsg->coreData.Trade.TradeCondition;
byte *extendedTradeConditions = pNxCoreMsg->coreData.Trade.ExtTradeConditions;
int len = 0;
for (int i = 0; i < 10; i++)
{
try
{
string aaa = extendedTradeConditions[i].ToString();
if (aaa == "255")
{
break;
}
len++;
}
catch (Exception)
{
break;
}
}
byte[] _extendedTradeConditions = new byte[len];
Marshal.Copy((IntPtr)extendedTradeConditions, _extendedTradeConditions, 0, len);
Debug.WriteLine(tradeCondition);
foreach (int condition in _extendedTradeConditions)
{
Debug.WriteLine(condition);
}
Debug.WriteLine("");
Debug.WriteLine("------------------------");
Debug.WriteLine("");
//string extCondition = extendedTradeConditions[0].ToString();
//Debug.WriteLine(extCondition);
int a = 1;
/*if (tradeCondition == 108) //TradeThruExempt
* {
* //Get BBO
* double bestBidPrice = pNxCoreMsg->coreData.ExgQuote.BestBidPrice;
* double bestAskPrice = pNxCoreMsg->coreData.ExgQuote.BestAskPrice;
*
* Console.WriteLine("Trade for Symbol: {0:S}, Time: {1:d}:{2:d}:{3:d} Price: {4:f} BBO: {5} {6} TradeCondition: {7}", Symbol,
* pNxCoreMsg->coreHeader.nxExgTimestamp.Hour, pNxCoreMsg->coreHeader.nxExgTimestamp.Minute, pNxCoreMsg->coreHeader.nxExgTimestamp.Second,
* Price, bestBidPrice, bestAskPrice, tradeCondition);
* }*/
if (len == 0)
{
var newLine = string.Format("{0},{1},{2},{3},{4}", MsOfDay, TimeOfTrade, Price, Volume, tradeCondition.ToString());
csvs[Symbol.Remove(0, 1)] += newLine + "\n";
}
if (len == 1)
{
var newLine = string.Format("{0},{1},{2},{3},{4},{5}", MsOfDay, TimeOfTrade, Price, Volume, tradeCondition.ToString(), _extendedTradeConditions[0].ToString());
csvs[Symbol.Remove(0, 1)] += newLine + "\n";
}
if (len == 2)
{
var newLine = string.Format("{0},{1},{2},{3},{4},{5},{6}", MsOfDay, TimeOfTrade, Price, Volume, tradeCondition.ToString(), _extendedTradeConditions[0].ToString(),
_extendedTradeConditions[1].ToString());
csvs[Symbol.Remove(0, 1)] += newLine + "\n";
}
if (len == 3)
{
var newLine = string.Format("{0},{1},{2},{3},{4},{5},{6},{7}", MsOfDay, TimeOfTrade, Price, Volume, tradeCondition.ToString(), _extendedTradeConditions[0].ToString(),
_extendedTradeConditions[1].ToString(), _extendedTradeConditions[2].ToString());
csvs[Symbol.Remove(0, 1)] += newLine + "\n";
}
// Write out Symbol, Time, Price, NetChg, Size, Reporting Exg
/*Console.WriteLine("Trade for Symbol: {0:S}, Time: {1:d}:{2:d}:{3:d} Price: {4:f} NetChg: {5:f} Size: {6:d} Exchg: {7:d} ",
* Symbol,
* pNxCoreMsg->coreHeader.nxExgTimestamp.Hour, pNxCoreMsg->coreHeader.nxExgTimestamp.Minute, pNxCoreMsg->coreHeader.nxExgTimestamp.Second,
* Price, NetChange, Trade->Size,
* pNxCoreMsg->coreHeader.ReportingExg);*/
}
}
