public void ProcessLevel2(LEVEL2RECORD pRec)
{
switch (pRec.side)
{
case enumMarketSide.msAsk:
level2Asks.Process(pRec);
break;
case enumMarketSide.msBid:
level2Bids.Process(pRec);
break;
default:
throw new ApplicationException("Invalid Level II Side");
}
lastBid = level2Bids.LastPrice;
lastAsk = level2Asks.LastPrice;
CheckSignalSync();
if (Environment.TickCount > lastChangeTime + 30)
{
if (level2Bids.HasChanged || level2Asks.HasChanged)
{
LogLevel2Change(false, TradeSide.Unknown, 0, 0);
}
}
}
void MBTQUOTELib.IMbtQuotesNotify.OnLevel2Data(ref LEVEL2RECORD pRec)
{
lock ( level2Locker) {
try {
if (pRec.dPrice < 100000)
{
ProcessLevel2(pRec);
}
} catch (Exception e) {
log.Notice(e.ToString());
}
}
}
void MBTQUOTELib.IMbtQuotesNotify.OnLevel2Data(ref LEVEL2RECORD pRec)
{
}
/// <summary>
/// Processing Level2 data requires tracking the actual current best ask and bid. That's on the TODO
/// Currently using Level1 data from OnQuoteData
/// </summary>
/// <param name="pRec"></param>
void MBTQUOTELib.IMbtQuotesNotify.OnLevel2Data(ref LEVEL2RECORD pRec)
{
TickImpl k = new TickImpl(pRec.bstrSymbol);
k.ex = pRec.bstrSource;
k.time = Util.DT2FT(pRec.UTCTime);
k.date = Util.ToTLDate(DateTime.UtcNow.Date);
enumMarketSide ems = (enumMarketSide)pRec.side;
switch (ems)
{
case enumMarketSide.msAsk:
k.ask = (decimal)pRec.dPrice;
k.oe = pRec.bstrSource;
k.os = k.AskSize = pRec.lSize;
k.trade = k.ask;
k.size = k.AskSize;
break;
case enumMarketSide.msBid:
k.bid = (decimal)pRec.dPrice;
k.be = pRec.bstrSource;
k.bs = k.BidSize = pRec.lSize;
k.trade = k.bid;
k.size = k.BidSize;
break;
}
SendNewTick(k);
}
void MBTQUOTELib.IMbtQuotesNotify.OnLevel2Data(ref LEVEL2RECORD pRec)
{
}
void IMbtQuotesNotify.OnLevel2Data (ref LEVEL2RECORD data) { }
void IMbtQuotesNotify.OnLevel2Data(ref LEVEL2RECORD pRec)
{
throw new NotImplementedException();
}
void IMbtQuotesNotify.OnLevel2Data(ref LEVEL2RECORD pRec)
{
throw new NotImplementedException();
}
