public void StartSymbol(Receiver receiver, SymbolInfo symbol, object eventDetail)
{
TickIO tickIO = Factory.TickUtil.TickIO();
tickIO.Initialize();
tickIO.SetSymbol(symbol.BinaryIdentifier);
tickIO.SetTime(new TimeStamp(2000, 1, 1));
tickIO.SetQuote(100D, 100D);
while (!receiver.OnEvent(symbol, (int)EventType.StartHistorical, symbol))
{
Factory.Parallel.Yield();
}
var binaryBox = tickPool.Create();
binaryBox.TickBinary = tickIO.Extract();
while (!receiver.OnEvent(symbol, (int)EventType.Tick, binaryBox))
{
Factory.Parallel.Yield();
}
tickIO.Initialize();
tickIO.SetSymbol(symbol.BinaryIdentifier);
tickIO.SetTime(new TimeStamp(2000, 1, 2));
tickIO.SetQuote(101D, 101D);
binaryBox = tickPool.Create();
binaryBox.TickBinary = tickIO.Extract();
while (!receiver.OnEvent(symbol, (int)EventType.Tick, binaryBox))
{
Factory.Parallel.Yield();
}
while (!receiver.OnEvent(symbol, (int)EventType.EndHistorical, symbol))
{
Factory.Parallel.Yield();
}
}
private bool TryAddLevel1()
{
if (lastAsk == 0 || lastBid == 0 || lastAskSize == 0 || lastBidSize == 0)
{
return(false);
}
tick.SetQuote(lastBid, lastAsk, (ushort)lastBidSize, (ushort)lastAskSize);
if (trace)
{
log.Trace("Level1 SetQuote()");
}
return(true);
}
public void SendQuote()
{
if (isQuoteInitialized || VerifyQuote())
{
if (isRunning)
{
if (Symbol.QuoteType != QuoteType.Level1)
{
if (!errorWrongLevel1Type)
{
log.Error("Received " + QuoteType.Level1 + " quote but " + Symbol + " is configured for QuoteType = " + Symbol.QuoteType + " in the symbol dictionary.");
errorWrongLevel1Type = true;
}
}
else if (Bid == 0D)
{
log.Error("Found quote bid was set to " + Bid + " so skipping this tick.");
return;
}
else if (Ask == 0D)
{
log.Error("Found quote ask was set to " + Ask + " so skipping this tick.");
return;
}
else
{
tickIO.Initialize();
tickIO.SetSymbol(Symbol.BinaryIdentifier);
tickIO.SetTime(Time);
tickIO.SetQuote(Bid, Ask, (short)BidSize, (short)AskSize);
var box = tickPool.Create(tickPoolCallerId);
var tickId = box.TickBinary.Id;
box.TickBinary = tickIO.Extract();
box.TickBinary.Id = tickId;
quotesLatency.TryUpdate(box.TickBinary.Symbol, box.TickBinary.UtcTime);
var eventItem = new EventItem(symbol, EventType.Tick, box);
agent.SendEvent(eventItem);
Interlocked.Increment(ref tickCount);
if (Diagnose.TraceTicks)
{
Diagnose.AddTick(diagnoseMetric, ref box.TickBinary);
}
if (trace)
{
log.Trace("Sent quote for " + Symbol + ": " + tickIO);
}
}
}
}
}
public void SendQuote()
{
if (isInitialized)
{
if (symbol.QuoteType == QuoteType.Level1)
{
tickIO.Initialize();
tickIO.SetSymbol(symbol.BinaryIdentifier);
tickIO.SetTime(TimeStamp.UtcNow);
tickIO.SetQuote(Bid, Ask, (ushort)BidSize, (ushort)AskSize);
TickBinary binary = tickIO.Extract();
receiver.OnSend(ref binary);
}
}
else
{
VerifyInitialized();
}
}
public void SendQuote()
{
if (isQuoteInitialized || VerifyQuote())
{
if (isRunning)
{
if (symbol.QuoteType != QuoteType.Level1)
{
if (!errorWrongLevel1Type)
{
log.Error("Received " + QuoteType.Level1 + " quote but " + symbol + " is configured for QuoteType = " + symbol.QuoteType + " in the symbol dictionary.");
errorWrongLevel1Type = true;
}
}
else if (Bid == 0D)
{
log.Error("Found quote bid was set to " + Bid + " so skipping this tick.");
return;
}
else if (Ask == 0D)
{
log.Error("Found quote ask was set to " + Ask + " so skipping this tick.");
return;
}
else
{
tickIO.Initialize();
tickIO.SetSymbol(symbol.BinaryIdentifier);
tickIO.SetTime(Time);
tickIO.SetQuote(Bid, Ask, (short)BidSize, (short)AskSize);
var box = tickPool.Create();
box.TickBinary = tickIO.Extract();
receiver.OnEvent(symbol, (int)EventType.Tick, box);
if (trace)
{
log.Trace("Sent tick for " + symbol + ": " + tickIO);
}
}
}
}
}