//
//
/// <summary>
/// Called by the executionListener thread to process an event on the queue.
/// </summary>
private void ProcessEvent()
{
if (m_isDisposing)
{
return;
}
EventArgs e;
while (m_InQueue.TryDequeue(out e)) //remove from threadsafe queue
{
m_WorkQueue.Enqueue(e); // place on my current work stack
}
//
// Process all events now
//
while (m_WorkQueue.Count > 0)
{
e = m_WorkQueue.Dequeue();
if (e is EngineEventArgs)
{
EngineEventArgs engEvent = (EngineEventArgs)e;
if (engEvent.EngineID >= 0)
{
m_ExecContainer.EngineList[engEvent.EngineID].ProcessEvent(engEvent);
if (engEvent.Status == EngineEventArgs.EventStatus.Confirm || engEvent.Status == EngineEventArgs.EventStatus.Failed)
{
m_EngineHub.OnEngineChanged(engEvent);
}
}
if (engEvent.MsgType == EngineEventArgs.EventType.SyntheticOrder)
{
m_ExecContainer.IOrderEngine.ProcessEvent(e);
}
}
else if (e is InstrumentChangeArgs)
{ // this is a market update.
// 1. Fill Orders ( we should do this first)
// 2. Update Internal Markets
InstrumentChangeArgs instrChangeArgs = (InstrumentChangeArgs)e;
m_MarketInstrumentIdChangedList.Clear(); // load ids for instruments we need to check.
foreach (KeyValuePair <int, InstrumentChange> pair in instrChangeArgs.ChangedInstruments)
{
if (pair.Value.MarketDepthChanged[QTMath.BidSide].Contains(0) || pair.Value.MarketDepthChanged[QTMath.AskSide].Contains(0))
{
m_MarketInstrumentIdChangedList.Add(pair.Value.InstrumentID);
}
}
if (m_MarketInstrumentIdChangedList.Count > 0)
{
SimulateFills(m_MarketInstrumentIdChangedList);
SimulateMarketUpdates(m_MarketInstrumentIdChangedList);
}
}
else if (e is FoundServiceEventArg)
{
FoundServiceEventArg foundServiceEvent = (FoundServiceEventArg)e;
if (foundServiceEvent.FoundInstruments != null && foundServiceEvent.FoundInstruments.Count != 0)
{
foreach (InstrumentName instrName in foundServiceEvent.FoundInstruments)
{
if (!m_ExecContainer.m_Markets.ContainsKey(instrName))
{
UV.Lib.BookHubs.Market newMarket = UV.Lib.BookHubs.Market.Create(instrName);
m_ExecContainer.m_Markets.Add(instrName, newMarket);
}
InstrumentDetails instrDetails;
if (m_Market.TryGetInstrumentDetails(instrName, out instrDetails))
{
ProcessInstrumentsFound(instrDetails);
}
}
}
}
}
}
//
//
private void MarketTTAPI_MarketFoundServiceResource(object sender, EventArgs e)
{
FoundServiceEventArg foundServiceEventArg = (FoundServiceEventArg)e;
if (foundServiceEventArg.FoundInstruments != null)
{
foreach (InstrumentName instrumentFromTT in foundServiceEventArg.FoundInstruments)
{
if (!m_InstrumentPendingWriting.Contains(instrumentFromTT))
{
InstrumentInfoItem BREInstrumentInfoItem;
if (m_InstrumentExistInDatabase.Contains(instrumentFromTT))
{
BREInstrumentInfoItem = m_BREInstrumentInfoItems[instrumentFromTT];
}
else
{
BREInstrumentInfoItem = m_BREInstrumentInfoItem;
InstrumentDetails instrumentDetails;
if (m_Market.TryGetInstrumentDetails(instrumentFromTT, out instrumentDetails))
{
BREInstrumentInfoItem.LastTradeDate = instrumentDetails.ExpirationDate;
BREInstrumentInfoItem.Type = instrumentDetails.Type;
string expiryCode;
if (!BRE.Lib.Utilities.QTMath.TryParseMMMYYToMonthCode(instrumentDetails.InstrumentName.SeriesName, out expiryCode))
{
m_Log.NewEntry(LogLevel.Error, "Failed to parse instrument series name for instrument {0}.", instrumentFromTT);
continue;
}
BREInstrumentInfoItem.Expiry = expiryCode;
}
else
{
m_Log.NewEntry(LogLevel.Error, "Failed to get instrument details for instrument {0}.", instrumentFromTT);
continue;
}
m_BREInstrumentInfoItems.Add(instrumentFromTT, BREInstrumentInfoItem);
}
BREInstrumentInfoItem.InstrumentNameTT = instrumentFromTT.FullName;
string instrumentNameDatabase;
string hedgeOptions;
if (QTMath.TryConvertInstrumentNameToInstrumentNameDatabase(instrumentFromTT, m_Log, out instrumentNameDatabase))
{
BREInstrumentInfoItem.InstrumentNameDatabase = instrumentNameDatabase;
}
else
{
m_Log.NewEntry(LogLevel.Error, "Instrument name database generated failed for instrument {0}.", instrumentFromTT);
continue;
}
if (m_HedgeOptionsWriter.TryWriteHedgeOptionsForInstrument(instrumentFromTT, out hedgeOptions))
{
BREInstrumentInfoItem.HedgeOptions = hedgeOptions;
}
else
{
m_Log.NewEntry(LogLevel.Error, "Hedge options generated failed for instrument {0}.", instrumentFromTT);
continue;
}
m_InstrumentPendingWriting.Add(instrumentFromTT);
}
}
}
m_UIDispatcher.Invoke(
new Action(() =>
{
this.buttonWrite.Enabled = true;
})
);
}