/// <summary>
/// MarketDataSnapshot message handler
/// </summary>
private void OnMarketDataSnapshot(MarketDataSnapshot message)
{
var instrument = message.getInstrument();
var securityType = _symbolMapper.GetBrokerageSecurityType(instrument.getSymbol());
var symbol = _symbolMapper.GetLeanSymbol(instrument.getSymbol(), securityType, Market.FXCM);
var isHistoryResponse = _pendingHistoryRequests.Contains(message.getRequestID());
if (isHistoryResponse)
{
var time = FromJavaDate(message.getDate().toDate());
// append ticks/bars to history
if (message.getFXCMTimingInterval() == FXCMTimingIntervalFactory.TICK)
{
var bidPrice = Convert.ToDecimal(message.getBidClose());
var askPrice = Convert.ToDecimal(message.getAskClose());
var tick = new Tick(time, symbol, bidPrice, askPrice);
_lastHistoryChunk.Add(tick);
}
else
{
var open = Convert.ToDecimal((message.getBidOpen() + message.getAskOpen()) / 2);
var high = Convert.ToDecimal((message.getBidHigh() + message.getAskHigh()) / 2);
var low = Convert.ToDecimal((message.getBidLow() + message.getAskLow()) / 2);
var close = Convert.ToDecimal((message.getBidClose() + message.getAskClose()) / 2);
var bar = new TradeBar(time, symbol, open, high, low, close, 0);
_lastHistoryChunk.Add(bar);
}
}
else
{
// update the current prices for the instrument
_rates[instrument.getSymbol()] = message;
// if instrument is subscribed, add ticks to list
if (_subscribedSymbols.Contains(symbol))
{
// For some unknown reason, messages returned by SubscriptionRequestTypeFactory.SUBSCRIBE
// have message.getDate() rounded to the second, so we use message.getMakingTime() instead
var time = FromJavaDate(new java.util.Date(message.getMakingTime()));
var bidPrice = Convert.ToDecimal(message.getBidClose());
var askPrice = Convert.ToDecimal(message.getAskClose());
var tick = new Tick(time, symbol, bidPrice, askPrice);
lock (_ticks)
{
_ticks.Add(tick);
}
}
}
if (message.getRequestID() == _currentRequest)
{
if (message.getFXCMContinuousFlag() == IFixValueDefs.__Fields.FXCMCONTINUOUS_END)
{
_mapRequestsToAutoResetEvents[_currentRequest].Set();
_mapRequestsToAutoResetEvents.Remove(_currentRequest);
if (isHistoryResponse)
{
_pendingHistoryRequests.Remove(_currentRequest);
}
}
}
}
/// <summary>
/// MarketDataSnapshot message handler
/// </summary>
private void OnMarketDataSnapshot(MarketDataSnapshot message)
{
var instrument = message.getInstrument();
var securityType = _symbolMapper.GetBrokerageSecurityType(instrument.getSymbol());
var symbol = _symbolMapper.GetLeanSymbol(instrument.getSymbol(), securityType, Market.FXCM);
var isHistoryResponse = _pendingHistoryRequests.Contains(message.getRequestID());
if (isHistoryResponse)
{
var time = FromJavaDate(message.getDate().toDate());
// history timestamps must be in exchange time zone
DateTimeZone exchangeTimeZone;
if (_symbolExchangeTimeZones.TryGetValue(symbol, out exchangeTimeZone))
{
time = time.ConvertFromUtc(exchangeTimeZone);
}
// append ticks/bars to history
if (message.getFXCMTimingInterval() == FXCMTimingIntervalFactory.TICK)
{
var bidPrice = Convert.ToDecimal(message.getBidClose());
var askPrice = Convert.ToDecimal(message.getAskClose());
var tick = new Tick(time, symbol, bidPrice, askPrice);
_lastHistoryChunk.Add(tick);
}
else
{
var bar = new QuoteBar(
time,
symbol,
new Bar(
Convert.ToDecimal(message.getBidOpen()),
Convert.ToDecimal(message.getBidHigh()),
Convert.ToDecimal(message.getBidLow()),
Convert.ToDecimal(message.getBidClose())
),
0,
new Bar(
Convert.ToDecimal(message.getAskOpen()),
Convert.ToDecimal(message.getAskHigh()),
Convert.ToDecimal(message.getAskLow()),
Convert.ToDecimal(message.getAskClose())
),
0);
_lastHistoryChunk.Add(bar);
}
}
else
{
// update the current prices for the instrument
_rates[instrument.getSymbol()] = message;
// if instrument is subscribed, add ticks to list
if (_subscriptionManager.IsSubscribed(symbol, TickType.Quote))
{
// For some unknown reason, messages returned by SubscriptionRequestTypeFactory.SUBSCRIBE
// have message.getDate() rounded to the second, so we use message.getMakingTime() instead
var time = FromJavaDate(new java.util.Date(message.getMakingTime()));
// live ticks timestamps must be in exchange time zone
DateTimeZone exchangeTimeZone;
if (_symbolExchangeTimeZones.TryGetValue(symbol, out exchangeTimeZone))
{
time = time.ConvertFromUtc(exchangeTimeZone);
}
var bidPrice = Convert.ToDecimal(message.getBidClose());
var askPrice = Convert.ToDecimal(message.getAskClose());
var tick = new Tick(time, symbol, bidPrice, askPrice);
_aggregator.Update(tick);
}
}
if (message.getRequestID() == _currentRequest)
{
if (message.getFXCMContinuousFlag() == IFixValueDefs.__Fields.FXCMCONTINUOUS_END)
{
_mapRequestsToAutoResetEvents[_currentRequest].Set();
_mapRequestsToAutoResetEvents.Remove(_currentRequest);
if (isHistoryResponse)
{
_pendingHistoryRequests.Remove(_currentRequest);
}
}
}
}
/// <summary>
/// MarketDataSnapshot message handler
/// </summary>
private void OnMarketDataSnapshot(MarketDataSnapshot message)
{
var instrument = message.getInstrument();
var securityType = _symbolMapper.GetBrokerageSecurityType(instrument.getSymbol());
var symbol = _symbolMapper.GetLeanSymbol(instrument.getSymbol(), securityType, Market.FXCM);
var isHistoryResponse = _pendingHistoryRequests.Contains(message.getRequestID());
if (isHistoryResponse)
{
var time = FromJavaDate(message.getDate().toDate());
// append ticks/bars to history
if (message.getFXCMTimingInterval() == FXCMTimingIntervalFactory.TICK)
{
var bidPrice = Convert.ToDecimal(message.getBidClose());
var askPrice = Convert.ToDecimal(message.getAskClose());
var tick = new Tick(time, symbol, bidPrice, askPrice);
_lastHistoryChunk.Add(tick);
}
else
{
var open = Convert.ToDecimal((message.getBidOpen() + message.getAskOpen()) / 2);
var high = Convert.ToDecimal((message.getBidHigh() + message.getAskHigh()) / 2);
var low = Convert.ToDecimal((message.getBidLow() + message.getAskLow()) / 2);
var close = Convert.ToDecimal((message.getBidClose() + message.getAskClose()) / 2);
var bar = new TradeBar(time, symbol, open, high, low, close, 0);
_lastHistoryChunk.Add(bar);
}
}
else
{
// update the current prices for the instrument
_rates[instrument.getSymbol()] = message;
// if instrument is subscribed, add ticks to list
if (_subscribedSymbols.Contains(symbol))
{
// For some unknown reason, messages returned by SubscriptionRequestTypeFactory.SUBSCRIBE
// have message.getDate() rounded to the second, so we use message.getMakingTime() instead
var time = FromJavaDate(new java.util.Date(message.getMakingTime()));
var bidPrice = Convert.ToDecimal(message.getBidClose());
var askPrice = Convert.ToDecimal(message.getAskClose());
var tick = new Tick(time, symbol, bidPrice, askPrice);
lock (_ticks)
{
_ticks.Add(tick);
}
}
}
if (message.getRequestID() == _currentRequest)
{
if (message.getFXCMContinuousFlag() == IFixValueDefs.__Fields.FXCMCONTINUOUS_END)
{
_mapRequestsToAutoResetEvents[_currentRequest].Set();
_mapRequestsToAutoResetEvents.Remove(_currentRequest);
if (isHistoryResponse) _pendingHistoryRequests.Remove(_currentRequest);
}
}
}