void IMbtQuotesNotify.OnQuoteData(ref QUOTERECORD pRec)
{
SessionQuoteInformation information;
Quote quote;
lock (this)
{
if (_sessions.ContainsKey(pRec.bstrSymbol) == false)
{
SystemMonitor.OperationWarning("Quote received for session not found.");
return;
}
information = _sessions[pRec.bstrSymbol];
if (information.Quote.HasValue == false)
{
information.Quote = new Quote();
}
quote = information.Quote.Value;
}
ConvertQuoteRecord(ref quote, pRec);
lock (this)
{
information.Quote = quote;
}
if (QuoteUpdateEvent != null)
{
QuoteUpdateEvent(this, information);
}
}
void MBTQUOTELib.IMbtQuotesNotify.OnQuoteData(ref QUOTERECORD pQuote)
{
lock ( quotesLocker) {
try {
ProcessLevel1(ref pQuote);
} catch (Exception ex) {
log.Notice(ex.ToString());
}
}
}
void ConvertQuoteRecord(ref Quote quote, QUOTERECORD pRec)
{
quote.Ask = (0 == pRec.dAsk) ? (decimal?)null : (decimal)pRec.dAsk;
quote.Bid = (0 == pRec.dBid) ? (decimal?)null : (decimal)pRec.dBid;
quote.High = (0 == pRec.dHigh) ? (decimal?)null : (decimal)pRec.dHigh;
quote.Low = (0 == pRec.dLow) ? (decimal?)null : (decimal)pRec.dLow;
quote.Open = (decimal)pRec.dOpen;
quote.Volume = pRec.lVolume;
quote.Time = pRec.UTCDateTime;
}
public Quote?GetSingleSymbolQuote(string symbolName, TimeSpan timeOut, out string symbolMarket)
{
symbolMarket = string.Empty;
if (IsInitialized == false)
{
return(null);
}
string market = string.Empty;
Quote? result = null;
_messageLoopOperator.Invoke(delegate()
{
MbtQuotes client = _quotesClient;
if (client == null)
{
return;
}
QUOTERECORD record = client.GetSingleQuote(symbolName, (int)timeOut.TotalMilliseconds);
if (string.IsNullOrEmpty(record.bstrSymbol) == false &&
record.bstrSymbol.ToUpper() == symbolName.ToUpper())
{// Match found.
Quote quoteResult = new Quote();
Commission?commission = null;
Dictionary <string, SessionQuoteInformation> sessionsHotSwap = _sessionsHotSwap;
if (sessionsHotSwap.ContainsKey(record.bstrSymbol))
{
commission = sessionsHotSwap[record.bstrSymbol].Commission;
}
ConvertQuoteRecord(ref quoteResult, commission, record);
market = record.bstrMarket;
result = quoteResult;
}
else
{
// Failed to find baseCurrency.
SystemMonitor.OperationWarning("Failed to find requested symbol.");
}
});
if (result.HasValue)
{
symbolMarket = market;
}
return(result);
}
void ConvertQuoteRecord(ref Quote quote, Commission?commission, QUOTERECORD pRec)
{
quote.Ask = (0 == pRec.dAsk) ? (decimal?)null : (decimal)pRec.dAsk;
quote.Bid = (0 == pRec.dBid) ? (decimal?)null : (decimal)pRec.dBid;
MBTradingConnectionManager manager = _manager;
if (commission.HasValue && (manager != null && manager.Adapter != null && manager.Adapter.ApplyQuoteCommission))
{
commission.Value.ApplyCommissions(manager.Adapter, ref quote);
}
quote.High = (0 == pRec.dHigh) ? (decimal?)null : (decimal)pRec.dHigh;
quote.Low = (0 == pRec.dLow) ? (decimal?)null : (decimal)pRec.dLow;
quote.Open = (decimal)pRec.dOpen;
quote.Volume = pRec.lVolume;
quote.Time = pRec.UTCDateTime;
}
public void ProcessLevel1(ref QUOTERECORD pQuote)
{
if (trace)
{
log.Trace("ProcessQuote: " +
pQuote.bstrCompany + ", " +
pQuote.bstrMarket + ", " +
pQuote.bstrSymbol + ", " +
pQuote.bstrUnderlier + ", " +
pQuote.dAsk + ", " +
pQuote.dBid + ", " +
pQuote.dLast + ", " +
pQuote.dMarginMult + ", " +
pQuote.dStrikePrice + ", " +
pQuote.lAskSize + ", " +
pQuote.lBidSize + ", " +
pQuote.lContractSize + ", " +
pQuote.lExpMonth + ", " +
pQuote.lExpYear + ", " +
pQuote.lFlags + ", " +
pQuote.lLastSize + ", " +
pQuote.putcall + ", " +
pQuote.tick);
}
lastBid = pQuote.dBid;
lastAsk = pQuote.dAsk;
lastBidSize = pQuote.lBidSize;
lastAskSize = pQuote.lAskSize;
CheckSignalSync();
if (lastBid != lastTick.Bid || lastAsk != lastTick.Ask)
{
CreateTick();
if (TryAddLevel1())
{
SendTick();
}
}
}
void MBTQUOTELib.IMbtQuotesNotify.OnQuoteData(ref QUOTERECORD pQuote)
{
}
/// <summary>
/// Provides quote data but each quote has both a bid and ask. As forex does not actually have a trade in the quotes,
/// the Response must manage how it wants to handle the bid/ask, i.e. if you're long send....
/// pt[symbol].isLong ? k.bid : k.ask.... and opposite if you're entering
/// </summary>
/// <param name="pQuote"></param>
void MBTQUOTELib.IMbtQuotesNotify.OnQuoteData(ref QUOTERECORD pQuote)
{
TickImpl k = new TickImpl(pQuote.bstrSymbol);
k.time = Util.DT2FT(pQuote.UTCDateTime);
k.date = Util.ToTLDate(DateTime.UtcNow.Date);
k.ask = (decimal)pQuote.dAsk;
k.bid = (decimal)pQuote.dBid;
k.os = k.AskSize = pQuote.lAskSize;
k.bs = k.BidSize = pQuote.lBidSize;
k.ex = k.be = k.oe = pQuote.bstrMarket;
SendNewTick(k);
}
void MBTQUOTELib.IMbtQuotesNotify.OnQuoteData(ref QUOTERECORD pQuote)
{
}
void IMbtQuotesNotify.OnQuoteData (ref QUOTERECORD data) {
var bid = data.dBid.ToString();
var ask = data.dAsk.ToString();
var msg = bid.PadLeft(9,' ') + " / " + ask.PadLeft(9,' ');
Console.WriteLine(msg);
}
void ConvertQuoteRecord(ref Quote quote, QUOTERECORD pRec)
{
quote.Ask = (0 == pRec.dAsk) ? (decimal?)null : (decimal)pRec.dAsk;
quote.Bid = (0 == pRec.dBid) ? (decimal?)null : (decimal)pRec.dBid;
quote.High = (0 == pRec.dHigh) ? (decimal?)null : (decimal)pRec.dHigh;
quote.Low = (0 == pRec.dLow) ? (decimal?)null : (decimal)pRec.dLow;
quote.Open = (decimal)pRec.dOpen;
quote.Volume = pRec.lVolume;
quote.Time = pRec.UTCDateTime;
}
void IMbtQuotesNotify.OnQuoteData(ref QUOTERECORD pRec)
{
SessionQuoteInformation information;
Quote quote;
lock (this)
{
if (_sessions.ContainsKey(pRec.bstrSymbol) == false)
{
SystemMonitor.OperationWarning("Quote received for session not found.");
return;
}
information = _sessions[pRec.bstrSymbol];
if (information.Quote.HasValue == false)
{
information.Quote = new Quote();
}
quote = information.Quote.Value;
}
ConvertQuoteRecord(ref quote, pRec);
lock (this)
{
information.Quote = quote;
}
if (QuoteUpdateEvent != null)
{
QuoteUpdateEvent(this, information);
}
}
void ConvertQuoteRecord(ref Quote quote, Commission? commission, QUOTERECORD pRec)
{
quote.Ask = (0 == pRec.dAsk) ? (decimal?)null : (decimal)pRec.dAsk;
quote.Bid = (0 == pRec.dBid) ? (decimal?)null : (decimal)pRec.dBid;
MBTradingConnectionManager manager = _manager;
if (commission.HasValue && (manager != null && manager.Adapter != null && manager.Adapter.ApplyQuoteCommission))
{
commission.Value.ApplyCommissions(manager.Adapter, ref quote);
}
quote.High = (0 == pRec.dHigh) ? (decimal?)null : (decimal)pRec.dHigh;
quote.Low = (0 == pRec.dLow) ? (decimal?)null : (decimal)pRec.dLow;
quote.Open = (decimal)pRec.dOpen;
quote.Volume = pRec.lVolume;
quote.Time = pRec.UTCDateTime;
}
