static void HandleMarketTradeVolume(T4.API.Market market,
T4.API.Market.TradeVolume poChanges)
{
string tickerID = G.MarketToTickerID(market);
var ld = market.LastDepth;
var msg = new JObject();
msg["price"] = market.ConvertTicksToRealDecimal(ld.LastTradeSpdTicks);
msg["size"] = ld.LastTradeSpdVolume;
msg["spread_trade"] = ld.LastTradeDueToSpread;
var msgParts = new List <ZFrame>();
msgParts.Add(new ZFrame(tickerID + "\x02"));
msgParts.Add(new ZFrame(" " + msg.ToString()));
var msg2 = new JObject();
msg2["daily"] = new JObject();
msg2["daily"]["num_trades"] = market.LastDepth.TotalTradeCount;
msg2["daily"]["volume"] = market.LastDepth.TotalTradedVolume;
var msgParts2 = new List <ZFrame>();
msgParts2.Add(new ZFrame(tickerID + "\x03"));
msgParts2.Add(new ZFrame(" " + msg2.ToString()));
G.pubAQ.Enqueue(() =>
{
G.sockMDPUB.SendMultipart(msgParts);
G.sockMDPUB.SendMultipart(msgParts2);
});
// emit volume-by-price info from poChanges?
}
// TODO: what is this, something needs to be done here??
void MarketCheckSubscription(T4.API.Market poMarket, ref T4.DepthBuffer penDepthBuffer,
ref T4.DepthLevels penDepthLevels)
{
string tickerID = G.MarketToTickerID(poMarket);
L.Info("marketchecksubscription: {0}, {1}, {2}",
tickerID, penDepthBuffer, penDepthLevels);
}
static void HandleMarketSettlement(T4.API.Market market)
{
var ls = market.LastSettlement;
string tickerID = G.MarketToTickerID(market);
L.Info("marketsettlement: {0}, oi={1}, cleared_vol={2}, held_ticks={3}, " +
"held_time={4}, held_date={5}, ticks={6}, vwap={7}",
tickerID, ls.OpenInterest, ls.ClearedVolume, ls.HeldTicks,
ls.HeldTime, ls.HeldTradeDate, ls.Ticks, ls.VWAP);
// TODO: anything worth exposing to zmapi here?
}
static void HandleMarketHighLow(T4.API.Market market)
{
string tickerID = G.MarketToTickerID(market);
var msg = new JObject();
var daily = new JObject();
daily["high"] = market.ConvertTicksToRealDecimal(market.LastHighLow.HighTicks);
daily["low"] = market.ConvertTicksToRealDecimal(market.LastHighLow.LowTicks);
daily["open"] = market.ConvertTicksToRealDecimal(market.LastHighLow.OpenTicks);
msg["daily"] = daily;
var msgParts = new List <ZFrame>();
msgParts.Add(new ZFrame(tickerID + "\x03"));
msgParts.Add(new ZFrame(" " + msg.ToString()));
G.pubAQ.Enqueue(() => G.sockMDPUB.SendMultipart(msgParts));
}
static JArray OrderBookToJArray(T4.API.Market market, T4.API.Market.Depth.DepthList book)
{
JArray res = new JArray();
for (int i = 0; i < book.Count; i++)
{
var lvl = book[i];
JObject r = new JObject();
r["price"] = market.ConvertTicksToRealDecimal(lvl.Ticks);
r["size"] = lvl.Volume;
r["num_orders"] = lvl.NumOfOrders;
r["position"] = i;
res.Add(r);
}
return(res);
}
static void HandleMarketDepthUpdate(T4.API.Market market)
{
string tickerID = G.MarketToTickerID(market);
JObject msg = new JObject();
var ld = market.LastDepth;
msg["bids"] = OrderBookToJArray(market, ld.Bids);
msg["asks"] = OrderBookToJArray(market, ld.Offers);
if (ld.ImpliedBids.Count > 0)
{
msg["implied_bids"] = OrderBookToJArray(market, ld.ImpliedBids);
}
if (ld.ImpliedOffers.Count > 0)
{
msg["implied_asks"] = OrderBookToJArray(market, ld.ImpliedOffers);
}
msg["timestamp"] = market.LastDepth.Time.ToUniversalTime().ToUnixTimestamp();
var msgParts = new List <ZFrame>();
msgParts.Add(new ZFrame(tickerID + "\x01"));
msgParts.Add(new ZFrame(" " + msg.ToString()));
G.pubAQ.Enqueue(() => G.sockMDPUB.SendMultipart(msgParts));
}
public static string MarketToTickerID(T4.API.Market market)
{
return("/" + market.ExchangeID + "/" + market.ContractID + "/" + market.MarketID);
}
JToken ListDirectory(List <ZFrame> ident, JObject msg)
{
string dir = "/";
try
{
dir = msg["content"]["path"].ToString();
}
catch (Exception) { }
if (dir == "")
{
dir = "/";
}
T4.API.MarketData md = G.client.MarketData;
JArray res = new JArray();
string[] spl = dir.Split('/').Where((x) => x.Length > 0).ToArray();
if (spl.Length == 0)
{
foreach (T4.API.Exchange exchange in G.client.MarketData.Exchanges)
{
var r = new JObject();
r["name"] = exchange.ExchangeID;
r["description"] = exchange.Description;
res.Add(r);
}
}
else if (spl.Length == 1)
{
foreach (T4.API.Contract contract in GetContracts(md.Exchanges[spl[0]]))
{
var r = new JObject();
r["name"] = contract.ContractID;
r["description"] = contract.Description;
res.Add(r);
}
}
else if (spl.Length == 2)
{
var markets = GetMarkets(GetContracts(md.Exchanges[spl[0]])[spl[1]]);
foreach (T4.API.Market market in markets)
{
var r = new JObject();
r["name"] = market.MarketID;
r["ticker_id"] = G.MarketToTickerID(market);
r["description"] = market.Description;
res.Add(r);
}
}
else if (spl.Length == 3)
{
T4.API.Market market = GetMarket(spl[0], spl[1], spl[2]);
var r = new JObject();
r["name"] = market.MarketID;
r["ticker_id"] = G.MarketToTickerID(market);
r["description"] = market.Description;
res.Add(r);
}
else
{
throw new ArgumentException("directory not found");
}
res = new JArray(res.OrderBy((x) => x["name"]));
return(res);
}
