//New RTD subscription callback
protected override object ConnectData(Topic topic, IList <string> topicInfo, ref bool newValues)
{
object result;
int topicId = GetTopicId(topic);
Logging.Log("ConnectData: {0} - {{{1}}}", topicId, string.Join(", ", topicInfo));
//parse and validate request
//---
//count and default parameters
if (topicInfo.Count < 2)
{
return(ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA)); //need at least a product and a datapoint
}
else if (topicInfo.Count == 2)
{
topicInfo.Add("0"); //default to top level of book
}
//parse parameters
string product = topicInfo[0];
DataPoint dataPoint;
bool dataPointOk = Enum.TryParse <DataPoint>(topicInfo[1], out dataPoint);
int level;
bool levelOk = Int32.TryParse(topicInfo[2], out level);
//return error if parameters are invalid
if (!dataPointOk || !levelOk)
{
return(ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA)); //incorrect level or datapoint request
}
if (level > 9 || level < 0)
{
return(ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA)); //level out of range
}
//store subscription request
//---
//if product has not yet been subscribed, create subscription container
if (!_topics.ContainsKey(product))
{
_topics[product] = new TopicCollection();
}
//store subscription request
_topics[product].TopicItems[Tuple.Create(dataPoint, level)] = topic;
if (_topicDetails.ContainsKey(topicId))
{
Logging.Log("ERROR: duplicate topicId: {0} {1}", topicId, _topicDetails[topicId]);
}
_topicDetails.Add(topicId, new TopicSubscriptionDetails(product, dataPoint, level));
//return data
//--
if (dataPoint == DataPoint.Last)
{
if (!_cache.Instruments.ContainsKey(product))
{
//may be empty when sheet is first loaded
result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorGettingData); //return "pending data" to Excel
}
else
{
//get data from cache
BitMexInstrument inst = _cache.Instruments[product];
switch (dataPoint)
{
case DataPoint.Last:
result = inst.lastPrice;
break;
default:
result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA);
break;
}
}
}
else //bid/ask etc
{
if (!_cache.MarketData.ContainsKey(product))
{
//if product is not yet in cache, request snapshot
//this can happen if a product doesnt update very frequently
_api.GetSnapshot(product);
result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorGettingData); //return "pending data" to Excel
}
else
{
//get data from cache
MarketDataSnapshot snap = _cache.MarketData[product];
switch (dataPoint)
{
case DataPoint.Bid:
result = snap.BidDepth[level].Price;
break;
case DataPoint.BidVol:
result = snap.BidDepth[level].Qty;
break;
case DataPoint.Ask:
result = snap.AskDepth[level].Price;
break;
case DataPoint.AskVol:
result = snap.AskDepth[level].Qty;
break;
default:
result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA);
break;
}
}
}
return(result);
}
//New RTD subscription callback
protected override object ConnectData(Topic topic, IList<string> topicInfo, ref bool newValues)
{
object result;
int topicId = GetTopicId(topic);
Logging.Log("ConnectData: {0} - {{{1}}}", topicId, string.Join(", ", topicInfo));
//parse and validate request
//---
//count and default parameters
if (topicInfo.Count < 2)
return ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA); //need at least a product and a datapoint
else if (topicInfo.Count == 2)
topicInfo.Add("0"); //default to top level of book
//parse parameters
string product = topicInfo[0];
DataPoint dataPoint;
bool dataPointOk = Enum.TryParse<DataPoint>(topicInfo[1], out dataPoint);
int level;
bool levelOk = Int32.TryParse(topicInfo[2], out level);
//return error if parameters are invalid
if(!dataPointOk || !levelOk)
return ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA); //incorrect level or datapoint request
if(level > 9 || level < 0)
return ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA); //level out of range
//store subscription request
//---
//if product has not yet been subscribed, create subscription container
if (!_topics.ContainsKey(product))
_topics[product] = new TopicCollection();
//store subscription request
_topics[product].TopicItems[Tuple.Create(dataPoint, level)] = topic;
if(_topicDetails.ContainsKey(topicId))
Logging.Log("ERROR: duplicate topicId: {0} {1}", topicId, _topicDetails[topicId]);
_topicDetails.Add(topicId, new TopicSubscriptionDetails(product, dataPoint, level));
//return data
//--
if(dataPoint == DataPoint.Last)
{
if (!_cache.Instruments.ContainsKey(product))
{
//may be empty when sheet is first loaded
result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorGettingData); //return "pending data" to Excel
}
else
{
//get data from cache
BitMexInstrument inst = _cache.Instruments[product];
switch(dataPoint)
{
case DataPoint.Last:
result = inst.lastPrice;
break;
default:
result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA);
break;
}
}
}
else //bid/ask etc
{
if (!_cache.MarketData.ContainsKey(product))
{
//if product is not yet in cache, request snapshot
//this can happen if a product doesnt update very frequently
_api.GetSnapshot(product);
result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorGettingData); //return "pending data" to Excel
}
else
{
//get data from cache
MarketDataSnapshot snap = _cache.MarketData[product];
switch(dataPoint)
{
case DataPoint.Bid:
result = snap.BidDepth[level].Price;
break;
case DataPoint.BidVol:
result = snap.BidDepth[level].Qty;
break;
case DataPoint.Ask:
result = snap.AskDepth[level].Price;
break;
case DataPoint.AskVol:
result = snap.AskDepth[level].Qty;
break;
default:
result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA);
break;
}
}
}
return result;
}