//
//
// *************************************************************
// **** ValidatePrices() ****
// *************************************************************
/// <summary>
/// Called prior to updating prices in a strategy to make sure our prices are valid.
///
/// This overload is called when the user does NOT have the book.
/// </summary>
/// <param name="desiredPrice"></param>
/// <param name="mktSide"></param>
/// <param name="instrName"></param>
/// <returns>true if prices are valid.</returns>
public bool ValidatePrices(double desiredPrice, int mktSide, InstrumentName instrName)
{
bool isValid = false;
UV.Lib.BookHubs.Book aBook;
if (m_Market.TryEnterReadBook(out aBook))
{
isValid = ValidatePrices(desiredPrice, mktSide, instrName, aBook);
m_Market.ExitReadBook(aBook);
}
return(isValid);
}
//
//
//
//
//
// *********************************************************
// **** CreateBar() ****
// *********************************************************
/// <summary>
/// This is called each time a bar must be created from a snapshot of the current market.
/// New bars are pushed into the BarEventArg.BarList queue and handed to the QueryBuilder
/// for query creation and writing.
/// Called by internal hub thread.
/// </summary>
private void CreateBar(DateTime barTime)
{
//Log.NewEntry(LogLevel.Minor, "DataHub: CreateBar - Bar Creation Started");
BarEventArgs eArg = m_BarEventFactory.Get(); // new version GetBarEventArg();
eArg.unixTime = (int)Utilities.QTMath.DateTimeToEpoch(barTime.ToUniversalTime()); //round this to the floor.
Log.NewEntry(LogLevel.Minor, "CreateBar: Attempting to create bar for timestamp {0} - miliseconds = {1}", eArg.unixTime, barTime.Millisecond);
if ((eArg.unixTime - m_LastBarTimeStamp) > 1)
{ // we have stepped through time in some interval greater than a second....create email alert for debugging purposes
DatabaseWriterEventArgs emailEvent = new DatabaseWriterEventArgs();
emailEvent.Request = DatabaseWriterRequests.SendEmail;
emailEvent.QueryBase.AppendFormat("Data Hub Missed Timestamp. Current timestamp={0} and last timestamp={1} difference is {2} seconds", eArg.unixTime, m_LastBarTimeStamp, eArg.unixTime - m_LastBarTimeStamp);
m_DatabaseWriterHub.HubEventEnqueue(emailEvent);
}
m_LastBarTimeStamp = eArg.unixTime;
//
// Get markets now.
//
UV.Lib.BookHubs.Book aBook;
if (m_Market.TryEnterReadBook(out aBook))
{
foreach (KeyValuePair <int, UV.Lib.BookHubs.Market> aBookMarket in aBook.Instruments)
{
int mySQLID = -1;
if (m_InstrumentsRequested.Contains(aBookMarket.Value.Name) && m_InstrToMySQLID.TryGetValue(aBookMarket.Value.Name, out mySQLID))
{ // we would like to record data for this instrument
if (aBookMarket.Value.Qty[(int)UV.Lib.Utilities.QTMath.BidSide][0] == 0 ||
aBookMarket.Value.Qty[(int)UV.Lib.Utilities.QTMath.AskSide][0] == 0)
{// we have bad data this can happen sometimes in between sessions..
//Log.NewEntry(LogLevel.Major, "CreateBar: Bid Or Ask qty for {0} is equal To zero, skipping bar", aBookMarket.Value.Name);
continue;
}
Bar aBar = m_BarFactory.Get(); // grab a bar!
aBar.mysqlID = mySQLID; // set instrument id
aBar.bidPrice = aBookMarket.Value.Price[(int)UV.Lib.Utilities.QTMath.BidSide][0]; // set best bid
aBar.askPrice = aBookMarket.Value.Price[(int)UV.Lib.Utilities.QTMath.AskSide][0]; // set best ask
aBar.bidQty = aBookMarket.Value.Qty[(int)UV.Lib.Utilities.QTMath.BidSide][0]; // set best bidqty
aBar.askQty = aBookMarket.Value.Qty[(int)UV.Lib.Utilities.QTMath.AskSide][0]; // set best askqty
aBar.lastTradePrice = aBookMarket.Value.LastPrice;
aBar.sessionVolume = aBookMarket.Value.Volume[(int)UV.Lib.Utilities.QTMath.LastSide];
aBar.longVolume = aBookMarket.Value.Volume[(int)UV.Lib.Utilities.QTMath.BidSide];
aBar.shortVolume = aBookMarket.Value.Volume[(int)UV.Lib.Utilities.QTMath.AskSide];
aBar.totalVolume = aBar.longVolume + aBar.shortVolume + aBookMarket.Value.Volume[(int)UV.Lib.Utilities.QTMath.UnknownSide];
aBar.sessionCode = Convert.ToInt32(aBookMarket.Value.IsMarketGood); // flag for trading ==1 or not trading==0
eArg.BarList.Enqueue(aBar);
}
}
m_Market.ExitReadBook(aBook);
}
else
{ // something went wrong here!
Log.NewEntry(LogLevel.Error, " ********* CreateBar: FAILED TO OBTAIN READ FOR BOOK! *********");
}
if (eArg.BarList.Count > 0 && !m_IsDebugMode) // do not write to db in debug mode.
{
m_QueryBuilderHub.HubEventEnqueue(eArg);
}
}//CreateBar().
