private void OnBulkLevel2Update(csBulkLevel2UpdateEventArgs o)
{
EventHandler <csBulkLevel2UpdateEventArgs> temp = bulkLevel2UpdateEvent;
if (temp != null)
{
temp(this, o);
}
}
} // thread terminates
#endregion
#region ProcessData
/// <summary>
/// Processes the data and fires appropriate update events to subscribers.
/// </summary>
/// <param name="dataToProcess"></param>
private void ProcessData(DateTime timeOfUpdate, List <byte[]> dataToProcess, List <ushort> typesToProcess)
{
csBulkLevel1UpdateEventArgs level1Updates = new csBulkLevel1UpdateEventArgs(timeOfUpdate, new List <byte[]>(), new List <ushort>());
csBulkLevel2UpdateEventArgs level2Updates = new csBulkLevel2UpdateEventArgs(timeOfUpdate, new List <byte[]>(), new List <ushort>());
for (int i = 0; i < typesToProcess.Count; i++)
{
//if statements are ordered in order of frequency of occurrence...
if (typesToProcess[i] == csHeader.MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT)
{
level2Updates.AddUpdate(dataToProcess[i]);
level2Updates.AddUpdateType(typesToProcess[i]);
}
else if (typesToProcess[i] == csHeader.QUOTE_INCREMENTAL_UPDATE_COMPACT)
{
level1Updates.AddUpdate(dataToProcess[i]);
level1Updates.AddUpdateType(typesToProcess[i]);
//for now since they are not included in 'detph' updates we include them there too
//now, it claims to be fixed...so remove it
//level2Updates.AddUpdate(dataToProcess[i]);
//level2Updates.AddUpdateType(typesToProcess[i]);
}
else if (typesToProcess[i] == csHeader.TRADE_INCREMENTAL_UPDATE_COMPACT)
{
level1Updates.AddUpdate(dataToProcess[i]);
level1Updates.AddUpdateType(typesToProcess[i]);
}
else if (typesToProcess[i] == csHeader.MARKET_DEPTH_SNAPSHOT_LEVEL)
{
level2Updates.AddUpdate(dataToProcess[i]);
level2Updates.AddUpdateType(typesToProcess[i]);
}
else if (typesToProcess[i] == csHeader.SECURITY_DEFINITION_RESPONSE)
{//here need to find the correspondence of marketSymbolID and its string
try
{
csHeader.s_SecurityDefinitionResponse securityResponse = new csHeader.s_SecurityDefinitionResponse();
securityResponse.CopyFromManual(dataToProcess[i]);
//securityResponse.RequestID//this is then used as 'marketSymbolID
while (instrumentFromDTCMarketSymbolID.Count <= securityResponse.RequestID)
{
instrumentFromDTCMarketSymbolID.Add(string.Empty);
}
instrumentFromDTCMarketSymbolID[securityResponse.RequestID] = securityResponse.Symbol;
//create a copy of this list
List <string> copy = new List <string>(instrumentFromDTCMarketSymbolID);
//pass it to the potential subscribers
OnSecurityDefinitionResponse(new csSecurityDefinitionResponseEventArgs(copy));
}
catch { }
}
else if (typesToProcess[i] == csHeader.HEARTBEAT)
{
lock (reconnectionLogicLock)
{
secondsSinceLastServerHeartbeat = 0;
}
}
else if (typesToProcess[i] == csHeader.MARKET_DATA_FEED_STATUS)
{
//see what is the status of the feed and act accordingly...
}
}
if (level1Updates.Updates.Count > 0)
{
OnBulkLevel1Update(level1Updates);
}
if (level2Updates.Updates.Count > 0)
{
OnBulkLevel2Update(level2Updates);
}
}