public SortedDictionary <uint, MarketState> DuplicateTick(SortedDictionary <uint, MarketState> mostRecentState, DateTime timestamp)
{
// create a new time stamp if it doesn't exist (Only exist if there is a race condition)
if (!_marketData.ContainsKey(timestamp))
{
_marketData.Add(timestamp, new SortedDictionary <uint, MarketState>());
}
var marketDataForTimeStamp = _marketData[timestamp];
lock (marketDataForTimeStamp)
{
DateTime newTimeStamp = DateTime.MinValue;
var prevState = mostRecentState[(uint)mostRecentState.Count - 1];
var newState = new MarketState(_securityObj, prevState, timestamp);
SortedDictionary <uint, MarketState> timeBin = _marketData[timestamp];
newState.BinCnt = (uint)marketDataForTimeStamp.Count;
marketDataForTimeStamp.Add(newState.BinCnt, newState);
if (LogEachTick)
{
string output = newState.ToStringAllData();
if (newState.StateType == MktStateType.Trade)
{
output += " " + newState.ToStringAllTradesNoIndentity();
}
Console.WriteLine(output);
}
}
return(_marketData[timestamp]);
}
// constructor used to create a duplicate a state using a new timestamp
public MarketState(Security security, MarketState previousMktState, DateTime timeStamp)
{
TimeStamp = DateTime.MinValue;
VolumeTdy = 0;
OrderFlowTdy = 0;
VolAtBidTdy = 0;
VolAtAskTdy = 0;
_securityObj = security;
if (security == null)
{
throw new ArgumentException("security object must not be null", "security");
}
if (previousMktState == null)
{
throw new ArgumentException("Previous MarketState object must not be null", "previousMktState");
}
if (timeStamp == null)
{
throw new ArgumentException("timeStamp must not be null", "timeStamp");
}
TimeStamp = timeStamp;
FirstOfInterval = true;
CopyPrevState(previousMktState, FirstOfInterval);
StateType = MktStateType.Duplicate;
}
private void SetAskVolChg(MarketState prevMktState)
{
if (_securityObj.HasQuoteSize)
{
if (Ask == prevMktState.Ask)
{
AskVolChg = (int)(AskVol - prevMktState.AskVol);
AskVolChgSum += AskVolChg;
SetAskVolChgCnt(AskVolChg);
}
else
{
if (Ask == prevMktState.Bid) // just ticked down
{
AskVolChg = (int)(AskVol + prevMktState.BidVol);
AskVolChgSum += AskVolChg;
SetAskVolChgCnt(AskVolChg);
//Console.WriteLine(SecurityObj.Name + " went offered @" + timeStamp.ToLongTimeString());
}
else
{
if (Ask == prevMktState.PrevBid) // just ticked down, but we need to look two data points back for price/volume
{
AskVolChg = (int)(AskVol + prevMktState.PrevBidVol);
AskVolChgSum += AskVolChg;
SetAskVolChgCnt(AskVolChg);
//Console.WriteLine(SecurityObj.Name + " went offered @" + timeStamp.ToLongTimeString());
}
}
}
}
}
private bool DuplicateOfPrevDataPoint(TickData newData, MarketState current)
{
double currPrice = 0;
bool hasSizeData = false;
switch (newData.Type)
{
case Type.Ask:
currPrice = current.Ask;
hasSizeData = ((_securityObj.HasQuoteSize) && (newData.Size != current.AskVol));
break;
case Type.Bid:
currPrice = current.Bid;
hasSizeData = ((_securityObj.HasQuoteSize) && (newData.Size != current.BidVol));
break;
case Type.Trade:
currPrice = current.LastTrdPrice;
hasSizeData = (_securityObj.HasTradeSize);
break;
}
// if it doesn't have size data and the price hasn't changed flag it as as duplicate
return((!hasSizeData) && (Math.Abs(newData.Price - currPrice) < Double.Epsilon));
}
private MarketState GetLatestState()
{
MarketState currentState = null;
if (_marketData.Count > 0) // check to make sure we have some data
{
// get the current market state
SortedDictionary <uint, MarketState> currTimeBin = _marketData.ElementAt(_marketData.Count - 1).Value;
currentState = currTimeBin.ElementAt(currTimeBin.Count - 1).Value;
}
return(currentState);
}
public void NewTick(TickData newData)
{
DateTime currTimeBinTimeStamp = getCurrentInterval(newData.TimeStamp);
if (currTimeBinTimeStamp > DateTime.MinValue) // check to make sure the initialzation has happend
{
// get the current market state
SortedDictionary <uint, MarketState> currTimeBin = _marketData[currTimeBinTimeStamp];
MarketState currentState = currTimeBin.ElementAt(currTimeBin.Count - 1).Value; // last data point in time bin
// disregard duplicates
if (!DuplicateOfPrevDataPoint(newData, currentState))
{
bool addedNewTimeStamp = false;
if (!_marketData.ContainsKey(newData.TimeStamp))
{
_marketData.Add(newData.TimeStamp, new SortedDictionary <uint, MarketState>());
_latestTimeBin = newData.TimeStamp > _latestTimeBin ? newData.TimeStamp : _latestTimeBin;
addedNewTimeStamp = true;
}
var marketDataForTimeStamp = _marketData[newData.TimeStamp];
lock (marketDataForTimeStamp)
{
// create a new updated market state
var newState = new MarketState(_securityObj, currentState, newData);
newState.BinCnt = (uint)marketDataForTimeStamp.Count;
marketDataForTimeStamp.Add(newState.BinCnt, newState);
if (LogEachTick)
{
string output = newState.ToStringAllData();
if (newState.StateType == MktStateType.Trade)
{
output += " " + newState.ToStringAllTradesNoIndentity();
}
Console.WriteLine(output);
}
}
// let the market aggregator know there is a new timestamp to aggregate
if (addedNewTimeStamp)
{
_markets.AddTickData(this, _marketData[newData.TimeStamp], newData.TimeStamp);
}
}
}
}
public TradesAtPrice(double price, MarketState state)
{
Price = price;
TradeCount++;
if (price == state.Bid)
{
CntAtBid++;
}
else
if (price == state.Ask)
{
CntAtAsk++;
}
}
private void CopyPrevState(MarketState previous, bool isFirstOfInterval)
{
Bid = previous.Bid;
BidVol = previous.BidVol;
Ask = previous.Ask;
AskVol = previous.AskVol;
PrevBid = previous.PrevBid;
PrevBidVol = previous.PrevBidVol;
PrevAsk = previous.PrevAsk;
PrevAskVol = previous.PrevAskVol;
Mid = previous.Mid;
MidScaled = previous.MidScaled;
if (!isFirstOfInterval)
{
BidOpen = previous.BidOpen;
BidVolOpen = previous.BidVolOpen;
AskOpen = previous.AskOpen;
AskVolOpen = previous.AskVolOpen;
MidOpen = previous.MidOpen;
MidScaledOpen = previous.MidScaledOpen;
LastPriceOpn = previous.LastPriceOpn;
VolAtBid = previous.VolAtBid;
VolAtAsk = previous.VolAtAsk;
TrdCntBid = previous.TrdCntBid;
TrdCntAsk = previous.TrdCntAsk;
BidVolChgSum = previous.BidVolChgSum;
BidVolChgCnt = previous.BidVolChgCnt;
AskVolChgSum = previous.AskVolChgSum;
AskVolChgCnt = previous.AskVolChgCnt;
TrdsAtPrice = previous.TrdsAtPrice;
//BinCnt++;
}
else
{
BidOpen = previous.Bid;
BidVolOpen = previous.BidVol;
AskOpen = previous.Ask;
AskVolOpen = previous.AskVol;
MidOpen = previous.Mid;
MidScaledOpen = previous.MidScaled;
LastPriceOpn = previous.LastTrdPrice;
}
}
public void NewTradeAtPrice(uint volume, MarketState state)
{
TotalVolume += volume;
TradeCount++;
if (Price == state.Bid)
{
VolAtBid += volume;
CntAtBid++;
}
else
{
if (Price == state.Ask)
{
VolAtAsk += volume;
CntAtAsk++;
}
}
}
private void SetBidVolChg(MarketState prevMktState)
{
if (_securityObj.HasQuoteSize)
{
if ((Bid == prevMktState.Bid))
{
BidVolChg = (int)(BidVol - prevMktState.BidVol);
BidVolChgSum += BidVolChg;
SetBidVolChgCnt(BidVolChg);
}
else
{
if ((Bid == prevMktState.Ask)) // just ticked up
{
BidVolChg = (int)(BidVol + prevMktState.AskVol);
BidVolChgSum += BidVolChg;
SetBidVolChgCnt(BidVolChg);
//Console.WriteLine(SecurityObj.Name + " went Bid @" + timeStamp.ToLongTimeString());
}
else
{
if ((Bid == prevMktState.PrevAsk)) // just ticked up, but need to look two data points back
{
BidVolChg = (int)(BidVol + prevMktState.PrevAskVol);
BidVolChgSum += BidVolChg;
SetBidVolChgCnt(BidVolChg);
//Console.WriteLine(SecurityObj.Name + " went Bid @" + timeStamp.ToLongTimeString());
}
else
{
if ((Bid < PrevBid)) // just ticked down
{
BidVolChg = (int)(PrevBidVol);
BidVolChgSum -= BidVolChg;
SetBidVolChgCnt(BidVolChg);
Console.WriteLine("{0} went offered @ {1} {2} {3} {4}", Name, TimeStamp.ToLongTimeString(), Bid.ToString(), PrevBid.ToString(), BidVolChg.ToString());
}
}
}
}
}
}
public TradesAtPrice(double price, uint volume, MarketState state)
{
Price = price;
TotalVolume = volume;
TradeCount++;
if (price == state.Bid)
{
VolAtBid += volume;
CntAtBid++;
}
else
{
if (price == state.Ask)
{
VolAtAsk += volume;
CntAtAsk++;
}
}
}
public void FirstTick(TickData bid, TickData ask, TickData trade)
{
Console.WriteLine("Summary for " + _securityObj.Name);
DateTime timeBin = bid.TimeStamp; // no timestamp
if (!_mktInitialized)
{
_mktInitialized = true;
_marketData.Add(timeBin, new SortedDictionary <uint, MarketState>());
lock (_marketData[timeBin])
{
// initialize the market
var newState = new MarketState(_securityObj, bid, ask, trade);
// Add the new state to its time bin
_marketData[newState.TimeStamp].Add(newState.BinCnt, newState);
_markets.AddTickData(this, _marketData[newState.TimeStamp], newState.TimeStamp);
}
}
}
private string MarketStateToString(MarketState lastTick)
{
string output = lastTick.ToFlatFileStringAllData() + lastTick.ToFlatFileStringAllTrades(5);
return(output);
}
private void WriteOutFlatFile(OutPutMktMode mktMode, string filePath, int cutOffHour)
{
bool headerCreated = false;
Dictionary <Security, MktOutput> MktsOutPut = new Dictionary <Security, MktOutput>();
foreach (var dataFactory in _securitites)
{
MktsOutPut.Add(dataFactory.SecurityObj, new MktOutput()
{
basePath = filePath,
baseExtension = ".csv",
security = dataFactory.SecurityObj
});
}
DateTime date = DateTime.MinValue;
List <string> dataCacheAll = new List <string>();
Dictionary <Security, string> dataCacheByMkt = new Dictionary <Security, string>();
StringBuilder fileName = new StringBuilder();
StringBuilder allMktsHeader = new StringBuilder();
foreach (var timeStamp in Markets)
{
// calculate the header using the tickdata's built-in funnction
if (!headerCreated)
{
foreach (var security in timeStamp.Value)
{
MarketState marketState = security.Value[0];
string mktHeaderString = marketState.GetHeadersString() + marketState.GetTradesHeaderString(5);
allMktsHeader.Append(mktHeaderString);
MktsOutPut[security.Key].header = mktHeaderString;
}
Console.WriteLine(allMktsHeader.ToString());
dataCacheAll.Add(allMktsHeader.ToString());
headerCreated = true;
}
StringBuilder data = new StringBuilder();
bool resetDate = false;
foreach (var security in timeStamp.Value)
{
MktOutput mktOutPut = MktsOutPut[security.Key];
// Output a new file for each day. The end of each day is defined by a cutOffHour
DateTime current = timeStamp.Key;
if (date == DateTime.MinValue || ((current.Day != date.Day) && (current.Hour >= cutOffHour)))
{
if (resetDate == false)
{
resetDate = true;
if (mktMode == OutPutMktMode.AggregatedMkts)
{
if (dataCacheAll.Count > 0)
{
writeCacheToFile(fileName.ToString(), dataCacheAll);
dataCacheAll.Add(allMktsHeader.ToString());
}
}
}
if ((mktMode == OutPutMktMode.SeperateMkts) || (mktMode == OutPutMktMode.BothMkts))
{
// output each of the individual markets data
if (mktOutPut.dataCache.Count > 0)
{
writeCacheToFile(mktOutPut.filePath.ToString(), mktOutPut.dataCache);
}
}
// construct the new file name
fileName.Clear();
fileName.Append(filePath);
string dateStr = current.Year.ToString() +
current.Month.ToString("00") +
current.Day.ToString("00");
switch (mktMode)
{
case OutPutMktMode.SeperateMkts:
mktOutPut.SetFilePath(dateStr);
break;
case OutPutMktMode.BothMkts:
mktOutPut.SetFilePath(dateStr);
fileName.Append("All_Mkts_");
break;
case OutPutMktMode.AggregatedMkts:
default:
fileName.Append("All_Mkts_");
break;
}
fileName.Append(dateStr);
fileName.Append(".csv");
}
if ((mktMode == OutPutMktMode.AggregatedMkts) || (mktMode == OutPutMktMode.BothMkts))
{
MarketState lastTick = security.Value[(uint)(security.Value.Count - 1)];
data.Append(MarketStateToString(lastTick) + ",");
}
else
{
foreach (var mktStates in security.Value)
{
mktOutPut.dataCache.Add(MarketStateToString(mktStates.Value) + ",");
}
}
}
if (resetDate)
{
date = timeStamp.Key; // reset the date if we moved passed the cut off for a new day
}
if ((mktMode == OutPutMktMode.AggregatedMkts) || (mktMode == OutPutMktMode.BothMkts))
{
dataCacheAll.Add(data.ToString());
}
}
if ((mktMode == OutPutMktMode.AggregatedMkts) || (mktMode == OutPutMktMode.BothMkts))
{
if (dataCacheAll.Count > 0)
{
writeCacheToFile(fileName.ToString(), dataCacheAll);
}
}
if ((mktMode == OutPutMktMode.SeperateMkts) || (mktMode == OutPutMktMode.BothMkts))
{
// output each of the individual markets final data set
foreach (var mktOutPut in MktsOutPut.Values)
{
if (mktOutPut.dataCache.Count > 0)
{
writeCacheToFile(mktOutPut.filePath.ToString(), mktOutPut.dataCache);
}
}
}
}
public void NewTradeAtPrice(uint volume, MarketState state)
{
TotalVolume += volume;
TradeCount++;
if (Price == state.Bid)
{
VolAtBid += volume;
CntAtBid++;
}
else
{
if (Price == state.Ask)
{
VolAtAsk += volume;
CntAtAsk++;
}
}
}
public TradesAtPrice(double price, uint volume, MarketState state)
{
Price = price;
TotalVolume = volume;
TradeCount++;
if (price == state.Bid)
{
VolAtBid += volume;
CntAtBid++;
}
else
{
if (price == state.Ask)
{
VolAtAsk += volume;
CntAtAsk++;
}
}
}
public TradesAtPrice(double price, MarketState state)
{
Price = price;
TradeCount++;
if (price == state.Bid) CntAtBid++;
else
if (price == state.Ask) CntAtAsk++;
}
private bool DuplicateOfPrevDataPoint(TickData newData, MarketState current)
{
double currPrice = 0;
bool hasSizeData = false;
switch (newData.Type)
{
case Type.Ask:
currPrice = current.Ask;
hasSizeData = ((_securityObj.HasQuoteSize) && (newData.Size != current.AskVol));
break;
case Type.Bid:
currPrice = current.Bid;
hasSizeData = ((_securityObj.HasQuoteSize) && (newData.Size != current.BidVol));
break;
case Type.Trade:
currPrice = current.LastTrdPrice;
hasSizeData = (_securityObj.HasTradeSize);
break;
}
// if it doesn't have size data and the price hasn't changed flag it as as duplicate
return ((!hasSizeData) && (Math.Abs(newData.Price - currPrice) < Double.Epsilon));
}
public void FirstTick(TickData bid, TickData ask, TickData trade)
{
Console.WriteLine("Summary for " + _securityObj.Name);
DateTime timeBin = bid.TimeStamp; // no timestamp
if (!_mktInitialized)
{
_mktInitialized = true;
_marketData.Add(timeBin, new SortedDictionary<uint, MarketState>());
lock (_marketData[timeBin])
{
// initialize the market
var newState = new MarketState(_securityObj, bid, ask, trade);
// Add the new state to its time bin
_marketData[newState.TimeStamp].Add(newState.BinCnt, newState);
_markets.AddTickData(this, _marketData[newState.TimeStamp], newState.TimeStamp);
}
}
}
// constructor used to create a duplicate a state using a new timestamp
public MarketState(Security security, MarketState previousMktState, DateTime timeStamp)
{
TimeStamp = DateTime.MinValue;
VolumeTdy = 0;
OrderFlowTdy = 0;
VolAtBidTdy = 0;
VolAtAskTdy = 0;
_securityObj = security;
if (security == null)
throw new ArgumentException("security object must not be null", "security");
if (previousMktState == null)
throw new ArgumentException("Previous MarketState object must not be null", "previousMktState");
if (timeStamp == null)
throw new ArgumentException("timeStamp must not be null", "timeStamp");
TimeStamp = timeStamp;
FirstOfInterval = true;
CopyPrevState(previousMktState, FirstOfInterval);
StateType = MktStateType.Duplicate;
}
// constructor used for each successive data event after the initial market summary event
public MarketState(Security security, MarketState previousMktState, TickData tickData)
{
VolumeTdy = 0;
OrderFlowTdy = 0;
VolAtBidTdy = 0;
VolAtAskTdy = 0;
_securityObj = security;
if (previousMktState == null)
{
throw new ArgumentException("Previous MarketState object must not be null", "previousMktState");
}
if (tickData.TimeStamp == null)
{
throw new ArgumentException("tickData.TimeStamp must not be null", "tickData.TimeStamp");
}
TimeStamp = tickData.TimeStamp;
FirstOfInterval = (tickData.TimeStamp.Subtract(previousMktState.TimeStamp).TotalSeconds > 0);
CopyPrevState(previousMktState, FirstOfInterval);
switch (tickData.Type)
{
case Type.Ask:
StateType = MktStateType.Ask;
OnAskQuote(tickData);
SetAskVolChg(previousMktState);
SetMid();
if (FirstOfInterval)
{
SetAskOpen(tickData);
SetMidOpen();
}
break;
case Type.Bid:
StateType = MktStateType.Bid;
OnBidQuote(tickData);
SetBidVolChg(previousMktState);
SetMid();
if (FirstOfInterval)
{
SetBidOpen(tickData);
SetMidOpen();
}
break;
case Type.Trade:
StateType = MktStateType.Trade;
OnTrade(tickData);
if (FirstOfInterval)
{
SetTradeOpn(tickData);
}
break;
default:
throw new ArgumentException("TickData's 'Type' parameter must be of enum of type TickData.Type", "tickData");
}
if ((FirstOfInterval) || (Codes == null))
{
Codes = tickData.Codes;
}
else
{
if (tickData.Codes != null)
{
if (tickData.Codes.Count > 0)
{
foreach (var code in tickData.Codes)
{
if (!Codes.ContainsKey(code.Key))
{
Codes.Add(code.Key, code.Value);
}
}
}
}
}
}
private void CopyPrevState(MarketState previous, bool isFirstOfInterval)
{
Bid = previous.Bid;
BidVol = previous.BidVol;
Ask = previous.Ask;
AskVol = previous.AskVol;
PrevBid = previous.PrevBid;
PrevBidVol = previous.PrevBidVol;
PrevAsk = previous.PrevAsk;
PrevAskVol = previous.PrevAskVol;
Mid = previous.Mid;
MidScaled = previous.MidScaled;
if (!isFirstOfInterval)
{
BidOpen = previous.BidOpen;
BidVolOpen = previous.BidVolOpen;
AskOpen = previous.AskOpen;
AskVolOpen = previous.AskVolOpen;
MidOpen = previous.MidOpen;
MidScaledOpen = previous.MidScaledOpen;
LastPriceOpn = previous.LastPriceOpn;
VolAtBid = previous.VolAtBid;
VolAtAsk = previous.VolAtAsk;
TrdCntBid = previous.TrdCntBid;
TrdCntAsk = previous.TrdCntAsk;
BidVolChgSum = previous.BidVolChgSum;
BidVolChgCnt = previous.BidVolChgCnt;
AskVolChgSum = previous.AskVolChgSum;
AskVolChgCnt = previous.AskVolChgCnt;
TrdsAtPrice = previous.TrdsAtPrice;
//BinCnt++;
}
else
{
BidOpen = previous.Bid;
BidVolOpen = previous.BidVol;
AskOpen = previous.Ask;
AskVolOpen = previous.AskVol;
MidOpen = previous.Mid;
MidScaledOpen = previous.MidScaled;
LastPriceOpn = previous.LastTrdPrice;
}
}
private string MarketStateToString(MarketState lastTick, int numTradePrices)
{
string output = lastTick.ToFlatFileStringAllData() + lastTick.ToFlatFileStringAllTrades(numTradePrices);
return(output);
}
private string MarketStateToString(MarketState lastTick)
{
string output = lastTick.ToFlatFileStringAllData() + lastTick.ToFlatFileStringAllTrades(5);
return output;
}
private void SetAskVolChg(MarketState prevMktState)
{
if (_securityObj.HasQuoteSize)
{
if (Ask == prevMktState.Ask)
{
AskVolChg = (int)(AskVol - prevMktState.AskVol);
AskVolChgSum += AskVolChg;
SetAskVolChgCnt(AskVolChg);
}
else
{
if (Ask == prevMktState.Bid) // just ticked down
{
AskVolChg = (int)(AskVol + prevMktState.BidVol);
AskVolChgSum += AskVolChg;
SetAskVolChgCnt(AskVolChg);
//Console.WriteLine(SecurityObj.Name + " went offered @" + timeStamp.ToLongTimeString());
}
else
{
if (Ask == prevMktState.PrevBid) // just ticked down, but we need to look two data points back for price/volume
{
AskVolChg = (int)(AskVol + prevMktState.PrevBidVol);
AskVolChgSum += AskVolChg;
SetAskVolChgCnt(AskVolChg);
//Console.WriteLine(SecurityObj.Name + " went offered @" + timeStamp.ToLongTimeString());
}
}
}
}
}
public void NewTick(TickData newData)
{
DateTime currTimeBinTimeStamp = getCurrentInterval(newData.TimeStamp);
if (currTimeBinTimeStamp > DateTime.MinValue) // check to make sure the initialzation has happend
{
// get the current market state
SortedDictionary<uint, MarketState> currTimeBin = _marketData[currTimeBinTimeStamp];
MarketState currentState = currTimeBin.ElementAt(currTimeBin.Count - 1).Value; // last data point in time bin
// disregard duplicates
if (!DuplicateOfPrevDataPoint(newData, currentState))
{
bool addedNewTimeStamp = false;
if (!_marketData.ContainsKey(newData.TimeStamp))
{
_marketData.Add(newData.TimeStamp, new SortedDictionary<uint, MarketState>());
addedNewTimeStamp = true;
}
var marketDataForTimeStamp = _marketData[newData.TimeStamp];
lock (marketDataForTimeStamp)
{
// create a new updated market state
var newState = new MarketState(_securityObj, currentState, newData);
newState.BinCnt = (uint) marketDataForTimeStamp.Count;
marketDataForTimeStamp.Add(newState.BinCnt, newState);
if (LogEachTick)
{
string output = newState.ToStringAllData();
if (newState.StateType == MktStateType.Trade) output += " " + newState.ToStringAllTradesNoIndentity();
Console.WriteLine(output);
}
}
// let the market aggregator know there is a new timestamp to aggregate
if (addedNewTimeStamp)
_markets.AddTickData(this, _marketData[newData.TimeStamp], newData.TimeStamp);
}
}
}
// constructor used for each successive data event after the initial market summary event
public MarketState(Security security, MarketState previousMktState, TickData tickData)
{
VolumeTdy = 0;
OrderFlowTdy = 0;
VolAtBidTdy = 0;
VolAtAskTdy = 0;
_securityObj = security;
if (previousMktState == null)
throw new ArgumentException("Previous MarketState object must not be null", "previousMktState");
if (tickData.TimeStamp == null)
throw new ArgumentException("tickData.TimeStamp must not be null", "tickData.TimeStamp");
TimeStamp = tickData.TimeStamp;
FirstOfInterval = (tickData.TimeStamp.Subtract(previousMktState.TimeStamp).TotalSeconds > 0);
CopyPrevState(previousMktState, FirstOfInterval);
switch (tickData.Type)
{
case Type.Ask:
StateType = MktStateType.Ask;
OnAskQuote(tickData);
SetAskVolChg(previousMktState);
SetMid();
if (FirstOfInterval)
{
SetAskOpen(tickData);
SetMidOpen();
}
break;
case Type.Bid:
StateType = MktStateType.Bid;
OnBidQuote(tickData);
SetBidVolChg(previousMktState);
SetMid();
if (FirstOfInterval)
{
SetBidOpen(tickData);
SetMidOpen();
}
break;
case Type.Trade:
StateType = MktStateType.Trade;
OnTrade(tickData);
if (FirstOfInterval)
{
SetTradeOpn(tickData);
}
break;
default:
throw new ArgumentException("TickData's 'Type' parameter must be of enum of type TickData.Type", "tickData");
}
if ((FirstOfInterval) || (Codes == null))
{
Codes = tickData.Codes;
}
else
{
if (tickData.Codes != null)
{
if (tickData.Codes.Count > 0)
{
foreach (var code in tickData.Codes)
{
if (!Codes.ContainsKey(code.Key))
Codes.Add(code.Key, code.Value);
}
}
}
}
}
public SortedDictionary<uint, MarketState> DuplicateTick(SortedDictionary<uint, MarketState> mostRecentState, DateTime timestamp)
{
// create a new time stamp if it doesn't exist (Only exist if there is a race condition)
if (!_marketData.ContainsKey(timestamp))
_marketData.Add(timestamp, new SortedDictionary<uint, MarketState>());
var marketDataForTimeStamp = _marketData[timestamp];
lock (marketDataForTimeStamp)
{
DateTime newTimeStamp = DateTime.MinValue;
var prevState = mostRecentState[(uint)mostRecentState.Count - 1];
var newState = new MarketState(_securityObj, prevState, timestamp);
SortedDictionary<uint, MarketState> timeBin = _marketData[timestamp];
newState.BinCnt = (uint)marketDataForTimeStamp.Count;
marketDataForTimeStamp.Add(newState.BinCnt, newState);
if (LogEachTick)
{
string output = newState.ToStringAllData();
if (newState.StateType == MktStateType.Trade) output += " " + newState.ToStringAllTradesNoIndentity();
Console.WriteLine(output);
}
}
return _marketData[timestamp];
}
private void SetBidVolChg(MarketState prevMktState)
{
if (_securityObj.HasQuoteSize)
{
if ((Bid == prevMktState.Bid))
{
BidVolChg = (int)(BidVol - prevMktState.BidVol);
BidVolChgSum += BidVolChg;
SetBidVolChgCnt(BidVolChg);
}
else
{
if ((Bid == prevMktState.Ask)) // just ticked up
{
BidVolChg = (int)(BidVol + prevMktState.AskVol);
BidVolChgSum += BidVolChg;
SetBidVolChgCnt(BidVolChg);
//Console.WriteLine(SecurityObj.Name + " went Bid @" + timeStamp.ToLongTimeString());
}
else
{
if ((Bid == prevMktState.PrevAsk)) // just ticked up, but need to look two data points back
{
BidVolChg = (int)(BidVol + prevMktState.PrevAskVol);
BidVolChgSum += BidVolChg;
SetBidVolChgCnt(BidVolChg);
//Console.WriteLine(SecurityObj.Name + " went Bid @" + timeStamp.ToLongTimeString());
}
else
{
if ((Bid < PrevBid)) // just ticked down
{
BidVolChg = (int)(PrevBidVol);
BidVolChgSum -= BidVolChg;
SetBidVolChgCnt(BidVolChg);
Console.WriteLine("{0} went offered @ {1} {2} {3} {4}", Name, TimeStamp.ToLongTimeString(), Bid.ToString(), PrevBid.ToString(), BidVolChg.ToString());
}
}
}
}
}
}
