// OnNxCoreQuote: Function to handle NxCore ExgQuote messages.
//--------------------------------------------------------------
static unsafe void OnNxCoreExgQuote(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
// Get the symbol for category message
String Symbol = new String(&pNxCoreMsg->coreHeader.pnxStringSymbol->String);
// Assign a pointer to the ExgQuote data
NxCoreExgQuote *Quote = &pNxCoreMsg->coreData.ExgQuote;
// Get bid and ask price
double Bid = NxCore.PriceToDouble(Quote->coreQuote.BidPrice, Quote->coreQuote.PriceType);
double Ask = NxCore.PriceToDouble(Quote->coreQuote.AskPrice, Quote->coreQuote.PriceType);
// Write out Symbol, Time, Bid, Ask, Bidsize, Asksize, Reporting Exg
Console.WriteLine("ExgQuote for Symbol: {0:S}, Time: {1:d}:{2:d}:{3:d} Bid: {4:f} Ask: {5:f} BidSize: {6:d} AskSise: {7:d} Exchg: {8:d} ",
Symbol,
pNxCoreMsg->coreHeader.nxExgTimestamp.Hour, pNxCoreMsg->coreHeader.nxExgTimestamp.Minute, pNxCoreMsg->coreHeader.nxExgTimestamp.Second,
Bid, Ask, Quote->coreQuote.BidSize, Quote->coreQuote.AskSize,
pNxCoreMsg->coreHeader.ReportingExg);
}
static unsafe void OnNxCoreExgQuote(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
if (keepcurrent && (STATUS < 4))
{
return;
}
if (DOLIVESKIPTEST)
{
if (pNxCoreSys->nxTime.MsOfDay < (DateTime.UtcNow.TimeOfDay.TotalMilliseconds - (DateTime.Now.IsDaylightSavingTime() ? (1000 * 60 * 60 * 4) : (1000 * 60 * 60 * 5))))
{
return;
}
DOLIVESKIPTEST = false;
D("NxCore starting realtime data");
}
// Get the symbol for category message
int idx = _nxsyms.getindex(new string(&pNxCoreMsg->coreHeader.pnxStringSymbol->String));
if (idx < 0)
{
return;
}
if (!_nxsyms[idx])
{
return;
}
// Assign a pointer to the ExgQuote data
NxCoreExgQuote *Quote = &pNxCoreMsg->coreData.ExgQuote;
NxCoreQuote cq = Quote->coreQuote;
// Get bid and ask price
double bid = 0;
double ask = 0;
int bs = 0;
int os = 0;
string be = string.Empty;
string oe = string.Empty;
bool bbid = false;
bool bask = false;
if ((cq.BidPriceChange != 0) || (cq.BidSizeChange != 0))
{
bid = NxCore.PriceToDouble(Quote->coreQuote.BidPrice, Quote->coreQuote.PriceType);
bs = Quote->coreQuote.BidSize;
be = excode2name(Quote->BestBidExg);
bbid = true;
}
if ((cq.AskPriceChange != 0) || (cq.AskSizeChange != 0))
{
ask = NxCore.PriceToDouble(Quote->coreQuote.AskPrice, Quote->coreQuote.PriceType);
os = Quote->coreQuote.AskSize;
oe = excode2name(Quote->BestAskExg);
bask = true;
}
if (bask || bbid)
{
NxTime time = pNxCoreMsg->coreHeader.nxExgTimestamp;
int tltime = time.Hour * 10000 + time.Minute * 100 + time.Second;
NxDate date = pNxCoreMsg->coreHeader.nxSessionDate;
int tldate = (int)date.Year * 10000 + (int)date.Month * 100 + (int)date.Day;
Tick k = new TickImpl();
k.symbol = _realsym2nxidx.getlabel(idx);
k.date = tldate;
k.time = tltime;
if (bask && bbid)
{
k.bid = (decimal)bid;
k.bs = bs;
k.be = be;
k.ask = (decimal)ask;
k.os = os;
k.oe = oe;
}
else if (bbid)
{
k.bid = (decimal)bid;
k.bs = bs;
k.be = be;
}
else
{
k.ask = (decimal)ask;
k.os = os;
k.oe = oe;
}
try
{
tl.newTick(k);
}
catch (Exception ex)
{
D("bad tick: " + k.ToString() + " " + ex.Message + ex.StackTrace);
}
}
}
