public void Copy(TickIO tick, byte contentMask)
{
Initialize();
SetSymbol(tick.lSymbol);
SetTime(tick.UtcTime);
binary.contentMask = contentMask;
if (binary.IsQuote)
{
SetQuote(tick.lBid, tick.lAsk);
}
if (binary.IsTrade)
{
SetTrade(tick.Side, tick.lPrice, tick.Size);
}
if (binary.IsOption)
{
var type = binary.OptionType;
SetOption(type, tick.Strike, tick.UtcOptionExpiration);
}
if (binary.HasDepthOfMarket)
{
fixed(ushort *b = binary.DepthBidLevels)
fixed(ushort *a = binary.DepthAskLevels)
for (int i = 0; i < TickBinary.DomLevels; i++)
{
*(b + i) = (ushort)tick.BidLevel(i);
*(a + i) = (ushort)tick.AskLevel(i);
}
}
dataVersion = tick.DataVersion;
}
public void Copy(TickIO tick, byte contentMask)
{
bool dom = (contentMask & ContentBit.DepthOfMarket) != 0;
bool simulateTicks = (contentMask & ContentBit.SimulateTicks) != 0;
bool quote = (contentMask & ContentBit.Quote) != 0;
bool trade = (contentMask & ContentBit.TimeAndSales) != 0;
Initialize();
SetSymbol(tick.lSymbol);
SetTime(tick.UtcTime);
IsSimulateTicks = simulateTicks;
if (quote)
{
SetQuote(tick.lBid, tick.lAsk);
}
if (trade)
{
SetTrade(tick.Side, tick.lPrice, tick.Size);
}
if (dom)
{
fixed(ushort *b = binary.DepthBidLevels)
fixed(ushort *a = binary.DepthAskLevels)
for (int i = 0; i < TickBinary.DomLevels; i++)
{
*(b + i) = (ushort)tick.BidLevel(i);
*(a + i) = (ushort)tick.AskLevel(i);
}
}
binary.ContentMask = contentMask;
dataVersion = tick.DataVersion;
}
public override void AssertTick(TickIO tick, TickIO lastTick, ulong symbol)
{
Assert.IsTrue(tick.IsQuote);
if (tick.IsQuote)
{
Assert.Greater(tick.Bid, 0);
Assert.Greater(tick.BidLevel(0), 0);
Assert.Greater(tick.Ask, 0);
Assert.Greater(tick.AskLevel(0), 0);
}
if (tick.IsTrade)
{
Assert.Greater(tick.Price, 0);
Assert.Greater(tick.Size, 0);
}
Assert.IsTrue(tick.Time >= lastTick.Time, "tick.Time > lastTick.Time");
Assert.AreEqual(symbol, tick.lSymbol);
}
public void AssertTimeAndSales(TickIO tick, TickIO lastTick, long symbol)
{
Assert.IsFalse(tick.IsQuote);
if (tick.IsQuote)
{
Assert.Greater(tick.Bid, 0);
Assert.Greater(tick.BidLevel(0), 0);
Assert.Greater(tick.Ask, 0);
Assert.Greater(tick.AskLevel(0), 0);
}
Assert.IsTrue(tick.IsTrade);
if (tick.IsTrade)
{
Assert.Greater(tick.Price, 0);
Assert.Greater(tick.Size, 0);
}
Assert.AreEqual(symbol, tick.lSymbol);
}
protected override void TrySendTick(SymbolInfo symbol, TickIO tick)
{
if (trace)
{
log.Trace("TrySendTick( " + symbol + " " + tick + ")");
}
var quoteMessage = QuoteSocket.MessageFactory.Create();
var lastTick = lastTicks[symbol.BinaryIdentifier];
var buffer = quoteMessage.Data.GetBuffer();
var position = quoteMessage.Data.Position;
quoteMessage.Data.SetLength(1024);
if (tick.IsTrade)
{
var index = 0;
var snippet = tradeSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
// Symbol
var value = symbol.Symbol.ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
++index; snippet = tradeSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
// Price
var len = ConvertPriceToBytes(tick.lPrice);
var pos = len;
for (var i = 0; i < len; i++)
{
buffer[position] = (byte)bytebuffer[--pos];
++position;
}
++index; snippet = tradeSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
// Size
value = tick.Size.ToString().ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
++index; snippet = tradeSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
// Bid
if (tick.lBid != lastTick.lBid)
{
value = ("2003=" + tick.Bid + ";").ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
}
++index; snippet = tradeSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
// Ask
if (tick.lAsk != lastTick.lAsk)
{
value = ("2004=" + tick.Ask + ";").ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
}
++index; snippet = tradeSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
// Ask size
var askSize = Math.Max((int)tick.AskLevel(0), 1);
if (askSize != lastTick.AskLevel(0))
{
value = ("2005=" + askSize + ";").ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
}
++index; snippet = tradeSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
// Bid size
var bidSize = Math.Max((int)tick.BidLevel(0), 1);
if (bidSize != lastTick.BidLevel(0))
{
value = ("2006=" + bidSize + ";").ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
}
++index; snippet = tradeSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
}
else
{
var index = 0;
var snippet = quoteSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
var value = symbol.Symbol.ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
++index; snippet = quoteSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
if (tick.lBid != lastTick.lBid)
{
value = ("2003=" + tick.Bid + ";").ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
}
++index; snippet = quoteSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
if (tick.lAsk != lastTick.lAsk)
{
value = ("2004=" + tick.Ask + ";").ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
}
++index; snippet = quoteSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
var askSize = Math.Max((int)tick.AskLevel(0), 1);
if (askSize != lastTick.AskLevel(0))
{
value = ("2005=" + askSize + ";").ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
}
++index; snippet = quoteSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
var bidSize = Math.Max((int)tick.BidLevel(0), 1);
if (bidSize != lastTick.BidLevel(0))
{
value = ("2006=" + bidSize + ";").ToCharArray();
for (var i = 0; i < value.Length; i++)
{
buffer[position] = (byte)value[i];
++position;
}
}
++index; snippet = quoteSnippetBytes[index];
Array.Copy(snippet, 0, buffer, position, snippet.Length);
position += snippet.Length;
}
var strValue = (tick.UtcTime.TimeOfDay + "." + tick.UtcTime.Microsecond.ToString("000") + ";2015=" + tick.UtcTime.Month.ToString("00") +
"/" + tick.UtcTime.Day.ToString("00") + "/" + tick.UtcTime.Year + "\n").ToCharArray();
for (var i = 0; i < strValue.Length; i++)
{
buffer[position] = (byte)strValue[i];
++position;
}
if (trace)
{
var message = Encoding.ASCII.GetString(buffer, 0, (int)position);
log.Trace("Tick message: " + message);
}
quoteMessage.Data.Position = position;
quoteMessage.Data.SetLength(position);
lastTick.Inject(tick.Extract());
if (trace)
{
log.Trace("Added tick to packet: " + tick.UtcTime);
}
quoteMessage.SendUtcTime = tick.UtcTime.Internal;
if (quoteMessage.Data.GetBuffer().Length == 0)
{
return;
}
QuotePacketQueue.Enqueue(quoteMessage, quoteMessage.SendUtcTime);
if (trace)
{
log.Trace("Enqueued tick packet: " + new TimeStamp(quoteMessage.SendUtcTime));
}
}