private void SendVolumeUpdate(TradedEventArgs e, OrderBook book)
{
var volumeUpdate = new IncrementalUpdate(MatchEventIndicator.LastVolume, e.Time);
volumeUpdate.MDEntries.Add(MarketDataUpdateDataBlock.VolumeNew(e.Security,
incrementalSeqNums[e.Security],
book.SessionVolume));
incrementalSeqNums[e.Security]++;
incrementalServer.Send(volumeUpdate);
}
private void HandleSnapshotTimerInterval(object state)
{
return;
if (snapshotSecurityIterator == 0)
{
// take snapshot of all books
// i.e. generate all kinds of messages
// x Book Quotes – Bids and Offers
// x Implied Book Quotes – Bids and Offers
// Last Trade
// Opening Prices
// Session High and Low Trade Prices
// Session High Bid and Session Low Offer
// Fixing Price
// Settlement Price
// Cleared Trade Volume
// Open Interest
// Electronic Volume
// Threshold Limits
//SendRangeUpdate(e, book);
//SendOpenPriceUpdate(e, book);
//SendClearedVolumeUpdate(e, book);
//SendOpenInterestUpdate();
//SendSettlementUpdate(e, book);
snapshotTime = DateTime.UtcNow;
}
var sec = securities[snapshotSecurityIterator];
var update = new IncrementalUpdate(MatchEventIndicator.LastMessage, snapshotTime);
update.MDEntries.Add(MarketDataUpdateDataBlock.VolumeNew(sec, incrementalSeqNums[sec], 0));
incrementalSeqNums[sec]++;
snapshotServer.Send(update);
// move iterator on
snapshotSecurityIterator++;
if (snapshotSecurityIterator >= securities.Count)
{
snapshotSecurityIterator = 0;
}
}