public static Security SecurityFromFileName(string filename)
{
try
{
// file name with extension from path string
filename = Path.GetFileName(filename);
string ds = System.Text.RegularExpressions.Regex.Match(filename, "([0-9]{8})[.]", System.Text.RegularExpressions.RegexOptions.IgnoreCase).Result("$1");
string sym = filename.Replace(ds, "").Replace(".TXT", "").Replace(".txt", "");
Security s = Security.Deserialize(sym);
//s.Date = Convert.ToInt32(ds);
return(s);
}
catch (Exception)
{
return(new Security("", ""));
}
}
public virtual void tickSize(int tickerId, int field, int size)
{
if (tickerId < 0 || tickerId > _marketDataRequests.Count)
{
OnDebug("can't match market data ticker.");
return;
}
Tick k = new Tick();
DateTime ct = DateTime.Now;
k.Date = ct.Year * 10000 + ct.Month * 100 + ct.Day;
k.Time = ct.Hour * 10000 + ct.Minute * 100 + ct.Second;
k.FullSymbol = _marketDataRequests[tickerId].FullSymbol;
// this will be removed
Security sec = Security.Deserialize(k.FullSymbol);
bool hundrednorm = (sec.SecurityType == "STK") || (sec.SecurityType == "NIL");
if (field == (int)TickType.LastSize)
{
_marketDataRequests[tickerId].TradeSize = size; // not adjusted by hundreds
k.TradeSize = _marketDataRequests[tickerId].TradeSize;
k.TradePrice = _marketDataRequests[tickerId].TradePrice;
}
else if (field == (int)TickType.BidSize)
{
_marketDataRequests[tickerId].BidSize = size;
k.BidPrice = _marketDataRequests[tickerId].BidPrice;
k.BidSize = _marketDataRequests[tickerId].BidSize;
}
else if (field == (int)TickType.AskSize)
{
_marketDataRequests[tickerId].AskSize = size;
k.AskSize = _marketDataRequests[tickerId].AskSize;
k.AskPrice = _marketDataRequests[tickerId].AskPrice;
}
else
{
return;
}
if (k.IsValid)
{
OnGotTick(k);
}
}
//********************************* Auxiliary Functions *************************************//
#region Auxiliary Functions
/// <summary>
/// Deserialize SecurityImpl to Contract
/// </summary>
/// <param name="symbol">
/// STK: LocalSymbol SMART
/// OPT/FOP: Symbol Expiry C/P Strike Exchange Type
/// Other; LocalSymbol Exchange Type
/// </param>
/// <returns></returns>
private Contract SecurityFullNameToContract(string symbol)
{
Security sec = (Security)Security.Deserialize(symbol);
Contract contract = new Contract();
if (sec.IsCall || sec.IsPut)
{
contract.Expiry = sec.Expiry.ToString();
contract.Strike = (double)sec.Strike;
contract.Right = sec.IsCall ? "C" : "P";
contract.Symbol = sec.Symbol;
}
else
{
contract.LocalSymbol = sec.Symbol;
}
if (sec.HasDest)
{
contract.Exchange = sec.Exchange;
//contract.PrimaryExch = sec.DestEx;
}
else
{
contract.Exchange = "SMART";
}
if (sec.HasSecType)
{
contract.SecType = sec.SecurityType;
}
else
{
contract.SecType = "STK";
}
contract.Currency = "USD";
return(contract);
}