void MBTQUOTELib.IMbtQuotesNotify.OnTSData(ref TSRECORD pRec)
{
TickImpl k = new TickImpl();
k.symbol = pRec.bstrSymbol;
enumTickType tt = (enumTickType)pRec.lType;
switch (tt)
{
case enumTickType.ttAskTick:
k.ask = (decimal)pRec.dPrice;
k.oe = pRec.bstrExchange;
k.os = pRec.lSize;
break;
case enumTickType.ttBidTick:
k.bid = (decimal)pRec.dPrice;
k.be = pRec.bstrExchange;
k.bs = pRec.lSize;
break;
case enumTickType.ttTradeTick:
k.trade = (decimal)pRec.dPrice;
k.ex = pRec.bstrExchange;
k.size = pRec.lSize;
break;
}
tl.newTick(k);
}
void MBTQUOTELib.IMbtQuotesNotify.OnTSData(ref TSRECORD pRec)
{
lock ( tsDataLocker) {
try {
ProcessTimeAndSales(ref pRec);
} catch (Exception ex) {
log.Notice(ex.ToString());
}
}
}
public void ProcessTimeAndSales(ref TSRECORD pTimeAndSales)
{
if (trace)
{
log.Trace("TimeAndSale: " +
pTimeAndSales.bstrExchange + ", " +
pTimeAndSales.bstrSymbol + ", " +
pTimeAndSales.cond + ", " +
pTimeAndSales.dPrice + ", " +
pTimeAndSales.lSize + ", " +
pTimeAndSales.lType + ", " +
pTimeAndSales.status + ", " +
pTimeAndSales.tick + ", " +
pTimeAndSales.type + ", " +
pTimeAndSales.UTCDateTime);
}
int InsideMarketHours = 30030;
if (pTimeAndSales.status == enumTickStatus.tsNormal &&
pTimeAndSales.type == enumTickType.ttTradeTick &&
pTimeAndSales.cond == enumTickCondition.tcTrade_RegularSale &&
pTimeAndSales.lType == InsideMarketHours)
{
CreateTick();
lastAsk = lastBid = pTimeAndSales.dPrice;
CheckSignalSync();
tick.SetTrade(pTimeAndSales.dPrice, pTimeAndSales.lSize);
if (Symbol.QuoteType == QuoteType.Level1)
{
TryAddLevel1();
}
else if (Symbol.QuoteType == QuoteType.Level2)
{
TryAddLevel2();
}
SendTick();
}
}
void MBTQUOTELib.IMbtQuotesNotify.OnTSData(ref TSRECORD pRec)
{
TickImpl k = new TickImpl();
k.symbol = pRec.bstrSymbol;
enumTickType tt = (enumTickType)pRec.lType;
switch (tt)
{
case enumTickType.ttAskTick:
k.ask = (decimal)pRec.dPrice;
k.oe = pRec.bstrExchange;
k.os = pRec.lSize;
break;
case enumTickType.ttBidTick:
k.bid = (decimal)pRec.dPrice;
k.be = pRec.bstrExchange;
k.bs= pRec.lSize;
break;
case enumTickType.ttTradeTick:
k.trade = (decimal)pRec.dPrice;
k.ex = pRec.bstrExchange;
k.size= pRec.lSize;
break;
}
tl.newTick(k);
}
void IMbtQuotesNotify.OnTSData (ref TSRECORD data) { }
void IMbtQuotesNotify.OnTSData(ref TSRECORD pRec)
{
throw new NotImplementedException();
}
void IMbtQuotesNotify.OnTSData(ref TSRECORD pRec)
{
throw new NotImplementedException();
}
