public override bool OnProcessTick(Tick tick)
{
int askDepth = tick.AskDepth;
int bidDepth = tick.BidDepth;
totalAskSize += askDepth;
totalBidSize += bidDepth;
tickCount++;
int total = askDepth + bidDepth;
if (bidDepth > askDepth)
{
ratio[0] = askDepth == 0 ? 0 : bidDepth / askDepth;
}
else if (bidDepth < askDepth)
{
ratio[0] = bidDepth == 0 ? 0 : -askDepth / bidDepth;
}
else
{
ratio[0] = 0;
}
bidSize[0] = tick.BidLevel(0) + tick.BidLevel(1);
askSize[0] = tick.AskLevel(0) + tick.AskLevel(1);
return(true);
}
public override bool OnProcessTick(Tick tick)
{
for (int i = 0; i < 5; i++)
{
sumBidSizes += tick.BidLevel(i);
sumAskSizes += tick.AskLevel(i);
}
countAskLevels += 5;
countBidLevels += 5;
bid[0] += tick.BidLevel(0); // + tick.BidLevels(1);
ask[0] += tick.AskLevel(0); // + tick.AskLevels(1);
return(true);
}
private Yield OnTick(SymbolInfo symbol, Tick tick)
{
if (quotePacketQueue.Count > 10)
{
return(Yield.NoWork.Repeat);
}
if (trace)
{
log.Trace("Sending tick: " + tick);
}
var packet = quoteSocket.CreatePacket();
StringBuilder sb = new StringBuilder();
if (tick.IsTrade)
{
sb.Append("3|"); // Trade
}
else
{
sb.Append("1|"); // Level 1
}
sb.Append("2026=USD;"); //Currency
sb.Append("1003="); //Symbol
sb.Append(symbol.Symbol);
sb.Append(';');
sb.Append("2037=0;"); //Open Interest
sb.Append("2085=.144;"); //Unknown
sb.Append("2048=00/00/2009;"); //Unknown
sb.Append("2049=00/00/2009;"); //Unknown
if (tick.IsTrade)
{
sb.Append("2002="); //Last Trade.
sb.Append(tick.Price);
sb.Append(';');
sb.Append("2007=");
sb.Append(tick.Size);
sb.Append(';');
}
sb.Append("2050=0;"); //Unknown
sb.Append("2003="); // Last Bid
sb.Append(tick.Bid);
sb.Append(';');
sb.Append("2051=0;"); //Unknown
sb.Append("2004="); //Last Ask
sb.Append(tick.Ask);
sb.Append(';');
sb.Append("2052=00/00/2010;"); //Unknown
sb.Append("2005=");
sb.Append(Math.Max((int)tick.AskLevel(0), 1));
sb.Append(';');
sb.Append("2053=00/00/2010;"); //Unknown
sb.Append("2006=");
sb.Append(Math.Max((int)tick.BidLevel(0), 1));
sb.Append(';');
sb.Append("2008=0.0;"); // Yesterday Close
sb.Append("2056=0.0;"); // Unknown
sb.Append("2009=0.0;"); // High today
sb.Append("2057=0;"); // Unknown
sb.Append("2010=0.0"); // Low today
sb.Append("2058=1;"); // Unknown
sb.Append("2011=0.0;"); // Open Today
sb.Append("2012=6828928;"); // Volume Today
sb.Append("2013=20021;"); // Up/Down Tick
sb.Append("2014="); // Time
sb.Append(tick.UtcTime.TimeOfDay);
sb.Append(".");
sb.Append(tick.UtcTime.Microsecond);
sb.Append(';');
sb.Append("2015=");
sb.Append(tick.UtcTime.Month.ToString("00"));
sb.Append('/');
sb.Append(tick.UtcTime.Day.ToString("00"));
sb.Append('/');
sb.Append(tick.UtcTime.Year);
sb.Append('\n');
var message = sb.ToString();
if (trace)
{
log.Trace("Tick message: " + message);
}
packet.DataOut.Write(message.ToCharArray());
if (packet == null)
{
throw new NullReferenceException();
}
quotePacketQueue.Enqueue(packet);
return(Yield.DidWork.Return);
}
