private void ClientMarketDataLogger(object sender, TWSMarketDataEventArgs e)
{
if (e.Snapshot.Contract.SecurityType == IBSecurityType.Index)
{
if (e.TickType != IBTickType.LastPrice)
return;
}
else if (e.TickType != IBTickType.LastSize &&
e.TickType != IBTickType.AskSize &
e.TickType != IBTickType.BidSize)
return;
var s = e.Snapshot;
string symbol = e.Snapshot.Contract.Symbol + "-" + e.Snapshot.Contract.SecurityType;
TextWriter sw;
if (!_logFiles.TryGetValue(symbol, out sw))
{
_logFiles.Add(symbol, sw = new StreamWriter(symbol + ".log"));
sw.WriteLine("ts,price,size,type");
}
if (e.TickType == IBTickType.LastSize)
WriteToLog(sw, s.TradeTimeStamp, s.Last, s.LastSize, e.TickType);
if (e.TickType == IBTickType.AskSize)
WriteToLog(sw, s.AskTimeStamp, s.Ask, s.AskSize, e.TickType);
if (e.TickType == IBTickType.BidSize)
WriteToLog(sw, s.BidTimeStamp, s.Bid, s.BidSize, e.TickType);
if (e.TickType == IBTickType.LastPrice)
WriteToLog(sw, s.TradeTimeStamp, s.Last, 0, e.TickType);
}
private void ClientMarketData(object sender, TWSMarketDataEventArgs e)
{
if (InvokeRequired)
{
TWSMarketDataSnapshot s = e.Snapshot.Clone() as TWSMarketDataSnapshot;
BeginInvoke(_updateGridRowDelegate, s, e.TickType);
}
else
_updateGridRowDelegate(e.Snapshot, e.TickType);
}