public static Imbalance Deserialize(string msg)
{
ImbalanceImpl i = new ImbalanceImpl();
string[] r = msg.Split(',');
int v = 0;
if (int.TryParse(r[(int)ImbalanceField.IF_SIZE], out v))
{
i._size = v;
}
if (int.TryParse(r[(int)ImbalanceField.IF_TIME], out v))
{
i._time = v;
}
if (int.TryParse(r[(int)ImbalanceField.IF_PSIZE], out v))
{
i._psize = v;
}
if (int.TryParse(r[(int)ImbalanceField.IF_PTIME], out v))
{
i._ptime = v;
}
if (int.TryParse(r[(int)ImbalanceField.IF_INFO], out v))
{
i._info = v;
}
i._sym = r[(int)ImbalanceField.IF_SYM];
i._ex = r[(int)ImbalanceField.IF_EX];
return(i);
}
public void newImbalance(Imbalance imb)
{
for (int i = 0; i < client.Count; i++)
{
TLSend(ImbalanceImpl.Serialize(imb), MessageTypes.IMBALANCERESPONSE, i);
}
}
public void SerializeDeserilize()
{
// setup imbalance
const string s = "IBM";
const string e = "NYSE";
const int x = 500000;
const int t = 1550;
const int p = 1540;
const int px = 400000;
Imbalance i = new ImbalanceImpl(s, e, x, t, px, p,999);
// verify it's valid
Assert.IsTrue(i.isValid);
// serialize it
string msg = ImbalanceImpl.Serialize(i);
// deserialize it somewhere else
Imbalance ni = ImbalanceImpl.Deserialize(msg);
// make sure it's valid
Assert.IsTrue(ni.isValid);
// verify it's the same
Assert.AreEqual(i.Symbol, ni.Symbol);
Assert.AreEqual(i.Exchange, ni.Exchange);
Assert.AreEqual(i.PrevImbalance, ni.PrevImbalance);
Assert.AreEqual(i.PrevTime, ni.PrevTime);
Assert.AreEqual(i.ThisImbalance, ni.ThisImbalance);
Assert.AreEqual(i.ThisTime, ni.ThisTime);
Assert.AreEqual(i.InfoImbalance, ni.InfoImbalance);
}
public void newImbalance(Imbalance imb)
{
for (int i = 0; i < client.Count; i++)
{
WMUtil.SendMsg(ImbalanceImpl.Serialize(imb), hims[i], Handle, (int)MessageTypes.IMBALANCERESPONSE);
}
}
public static Imbalance[] SampleImbalanceData(int count)
{
Random r = new Random((int)DateTime.Now.Ticks);
string[] syms = TradeLink.Research.RandomSymbol.GetSymbols((int)DateTime.Now.Ticks, 4,count);
Imbalance[] imbs = new Imbalance[syms.Length];
for (int j = 0; j < syms.Length; j++)
{
imbs[j] = new ImbalanceImpl(syms[j], "NYSE", r.Next(-1000, 1000) * r.Next(1000), 1550, r.Next(-1000, 1000) * r.Next(1000), 1540, 0);
}
return imbs;
}
public static Imbalance Deserialize(string msg)
{
ImbalanceImpl i = new ImbalanceImpl();
string[] r = msg.Split(',');
i._size= Convert.ToInt32(r[(int)ImbalanceField.IF_SIZE]);
i._time= Convert.ToInt32(r[(int)ImbalanceField.IF_TIME]);
i._psize= Convert.ToInt32(r[(int)ImbalanceField.IF_PSIZE]);
i._ptime= Convert.ToInt32(r[(int)ImbalanceField.IF_PTIME]);
i._sym= r[(int)ImbalanceField.IF_SYM];
i._ex= r[(int)ImbalanceField.IF_EX];
i._info = Convert.ToInt32(r[(int)ImbalanceField.IF_INFO]);
return i;
}
public static Imbalance Deserialize(string msg)
{
ImbalanceImpl i = new ImbalanceImpl();
string[] r = msg.Split(',');
i._size = Convert.ToInt32(r[(int)ImbalanceField.IF_SIZE]);
i._time = Convert.ToInt32(r[(int)ImbalanceField.IF_TIME]);
i._psize = Convert.ToInt32(r[(int)ImbalanceField.IF_PSIZE]);
i._ptime = Convert.ToInt32(r[(int)ImbalanceField.IF_PTIME]);
i._sym = r[(int)ImbalanceField.IF_SYM];
i._ex = r[(int)ImbalanceField.IF_EX];
i._info = Convert.ToInt32(r[(int)ImbalanceField.IF_INFO]);
return(i);
}
public static Imbalance Deserialize(string msg)
{
ImbalanceImpl i = new ImbalanceImpl();
string[] r = msg.Split(',');
int v = 0;
if (int.TryParse(r[(int)ImbalanceField.IF_SIZE], out v))
i._size = v;
if (int.TryParse(r[(int)ImbalanceField.IF_TIME], out v))
i._time = v;
if (int.TryParse(r[(int)ImbalanceField.IF_PSIZE], out v))
i._psize = v;
if (int.TryParse(r[(int)ImbalanceField.IF_PTIME], out v))
i._ptime = v;
if (int.TryParse(r[(int)ImbalanceField.IF_INFO], out v))
i._info = v;
i._sym= r[(int)ImbalanceField.IF_SYM];
i._ex= r[(int)ImbalanceField.IF_EX];
return i;
}
void handle(MessageTypes type, string msg)
{
long result = 0;
switch (type)
{
case MessageTypes.TICKNOTIFY:
Tick t;
try
{
_lastheartbeat = DateTime.Now.Ticks;
t = TickImpl.Deserialize(msg);
}
catch (Exception ex)
{
_tickerrors++;
debug("Error processing tick: " + msg);
debug("TickErrors: " + _tickerrors);
debug("Error: " + ex.Message + ex.StackTrace);
break;
}
if (gotTick != null)
{
gotTick(t);
}
break;
case MessageTypes.IMBALANCERESPONSE:
Imbalance i = ImbalanceImpl.Deserialize(msg);
_lastheartbeat = DateTime.Now.Ticks;
if (gotImbalance != null)
{
gotImbalance(i);
}
break;
case MessageTypes.ORDERCANCELRESPONSE:
{
long id = 0;
_lastheartbeat = DateTime.Now.Ticks;
if (gotOrderCancel != null)
{
if (long.TryParse(msg, out id))
{
gotOrderCancel(id);
}
else if (SendDebugEvent != null)
{
SendDebugEvent("Count not parse order cancel: " + msg);
}
}
}
break;
case MessageTypes.EXECUTENOTIFY:
_lastheartbeat = DateTime.Now.Ticks;
// date,time,symbol,side,size,price,comment
Trade tr = TradeImpl.Deserialize(msg);
if (gotFill != null)
{
gotFill(tr);
}
break;
case MessageTypes.ORDERNOTIFY:
_lastheartbeat = DateTime.Now.Ticks;
Order o = OrderImpl.Deserialize(msg);
if (gotOrder != null)
{
gotOrder(o);
}
break;
case MessageTypes.HEARTBEATRESPONSE:
{
_lastheartbeat = DateTime.Now.Ticks;
v("got heartbeat response at: " + _lastheartbeat);
_recvheartbeat = !_recvheartbeat;
}
break;
case MessageTypes.POSITIONRESPONSE:
try
{
_lastheartbeat = DateTime.Now.Ticks;
Position pos = PositionImpl.Deserialize(msg);
if (gotPosition != null)
{
gotPosition(pos);
}
}
catch (Exception ex)
{
if (SendDebugEvent != null)
{
SendDebugEvent(msg + " " + ex.Message + ex.StackTrace);
}
}
break;
case MessageTypes.ACCOUNTRESPONSE:
_lastheartbeat = DateTime.Now.Ticks;
if (gotAccounts != null)
{
gotAccounts(msg);
}
break;
case MessageTypes.FEATURERESPONSE:
_lastheartbeat = DateTime.Now.Ticks;
string[] p = msg.Split(',');
List <MessageTypes> f = new List <MessageTypes>();
_rfl.Clear();
foreach (string s in p)
{
try
{
MessageTypes mt = (MessageTypes)Convert.ToInt32(s);
f.Add(mt);
_rfl.Add(mt);
}
catch (Exception) { }
}
if (gotFeatures != null)
{
gotFeatures(f.ToArray());
}
break;
case MessageTypes.SERVERDOWN:
if (gotServerDown != null)
{
gotServerDown(msg);
}
break;
case MessageTypes.SERVERUP:
if (gotServerUp != null)
{
gotServerUp(msg);
}
break;
default:
_lastheartbeat = DateTime.Now.Ticks;
if (gotUnknownMessage != null)
{
gotUnknownMessage(type, 0, 0, 0, string.Empty, ref msg);
}
break;
}
result = 0;
}
void doquote(ref structSTIQuoteUpdate q)
{
Tick k = new TickImpl(q.bstrSymbol);
k.bid = (decimal)q.fBidPrice;
k.ask = (decimal)q.fAskPrice;
k.bs = q.nBidSize / 100;
k.os = q.nAskSize / 100;
k.ex = GetExPretty(q.bstrExch);
k.be = GetExPretty(q.bstrBidExch);
k.oe = GetExPretty(q.bstrAskExch);
int now = Convert.ToInt32(q.bstrUpdateTime);
k.date = Util.ToTLDate(DateTime.Now);
//int sec = now % 100;
k.time = now;
// we don't want to simply return on out-of-order ticks because it'll prevent processing
// of the mdx messages further in this function.
if (!IgnoreOutOfOrderTicks || (k.time > _lasttime))
{
_lasttime = k.time;
k.trade = (decimal)q.fLastPrice;
k.size = q.nLastSize;
// execute orders if papertrade is enabled
if (isPaperTradeEnabled)
ptt.newTick(k);
// notify clients of tick
if (!_imbalance || (_imbalance && k.isValid))
tl.newTick(k);
}
/////////////////////////
// MDX Processing
/////////////////////////
if (q.nMdxMsgType == 1)
{
if (VerboseDebugging)
debug(q.bstrUpdateTime
+ " Received Regulatory Imbalance for: " + q.bstrSymbol
+ " ValidIntradayMarketImb: " + q.bValidIntradayMktImb
+ " ValidMktImb: " + q.bValidMktImb
+ " Imbalance: " + q.nImbalance
+ " iMktImbalance: " + q.nIntradayMktImbalance
+ " MktImbalance: " + q.nMktImbalance);
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Imbalance imb = new ImbalanceImpl(q.bstrSymbol, GetExPretty(q.bstrExch), q.nIntradayMktImbalance, time, 0, 0, 0);
tl.newImbalance(imb);
}
}
else if (q.nMdxMsgType == 2)
{
if (VerboseDebugging)
debug(q.bstrUpdateTime
+ " Received Informational Imbalance for: " + q.bstrSymbol
+ " ValidIntradayMarketImb: " + q.bValidIntradayMktImb
+ " ValidMktImb: " + q.bValidMktImb
+ " Imbalance: " + q.nImbalance
+ " iMktImbalance: " + q.nIntradayMktImbalance
+ " MktImbalance: " + q.nMktImbalance);
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Imbalance imb = new ImbalanceImpl(q.bstrSymbol, GetExPretty(q.bstrExch), 0, time, 0, 0, q.nIntradayMktImbalance);
tl.newImbalance(imb);
}
}
else if (q.nMdxMsgType == 3)
{
if (VerboseDebugging)
debug(q.bstrUpdateTime
+ " Received Halt/Delay for: " + q.bstrSymbol
+ " Status: " + q.bstrHaltResumeStatus
+ " Reason: " + q.bstrHaltResumeReason);
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
HaltResume h = new HaltResumeImpl(q.bstrSymbol, GetExPretty(q.bstrExch), time, q.bstrHaltResumeStatus, q.bstrHaltResumeReason);
for (int clientNumber = 0; clientNumber < tl.NumClients; clientNumber++)
tl.TLSend(HaltResumeImpl.Serialize(h), MessageTypes.HALTRESUME, clientNumber);
}
}
else if (q.nMdxMsgType == 4)
{
if (VerboseDebugging)
debug(q.bstrUpdateTime
+ " Received Indication for: " + q.bstrSymbol
+ " ValidIndicators: " + q.bValidIndicators
+ " IndicatorHigh: " + q.fIndicatorHigh
+ " IndicatorLow: " + q.fIndicatorLow);
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Indication ind = new IndicationImpl(q.bstrSymbol, GetExPretty(q.bstrExch), time, q.bValidIndicators, (decimal)q.fIndicatorHigh, (decimal)q.fIndicatorLow);
for (int clientNumber = 0; clientNumber < tl.NumClients; clientNumber++)
tl.TLSend(IndicationImpl.Serialize(ind), MessageTypes.INDICATION, clientNumber);
}
}
}
void m_Session_OnNYSEImbalanceMessage(object sender, BWNYSEImbalance imbalanceMsg)
{
string s = imbalanceMsg.Symbol;
int i = imbalanceMsg.ImbalanceVolume;
int it = TradeLink.Common.Util.DT2FT(imbalanceMsg.Time);
int pi = imbalanceMsg.InitImbalanceVolume;
int pt = TradeLink.Common.Util.DT2FT(imbalanceMsg.InitTime);
string ex = imbalanceMsg.FeedID.ToString();
Imbalance imb = new ImbalanceImpl(s, ex, i, it, pi, pt, i);
tl.newImbalance(imb);
}
protected override void WndProc(ref System.Windows.Forms.Message m)
{
long result = 0;
TradeLinkMessage tlm = WMUtil.ToTradeLinkMessage(ref m);
if (tlm == null) // if it's not a WM_COPYDATA message
{
base.WndProc(ref m); // let form process it
return; // we're done
}
string msg = tlm.body;
switch (tlm.type)
{
case MessageTypes.TICKNOTIFY:
Tick t;
try
{
t = TickImpl.Deserialize(msg);
}
catch (Exception ex)
{
_tickerrors++;
debug("Error processing tick: " + msg);
debug("TickErrors: " + _tickerrors);
debug("Error: " + ex.Message + ex.StackTrace);
break;
}
if (gotTick != null)
{
gotTick(t);
}
break;
case MessageTypes.IMBALANCERESPONSE:
Imbalance i = ImbalanceImpl.Deserialize(msg);
if (gotImbalance != null)
{
gotImbalance(i);
}
break;
case MessageTypes.ORDERCANCELRESPONSE:
{
long id = 0;
if (gotOrderCancel != null)
{
if (long.TryParse(msg, out id))
{
gotOrderCancel(id);
}
else if (SendDebugEvent != null)
{
SendDebugEvent("Count not parse order cancel: " + msg);
}
}
}
break;
case MessageTypes.EXECUTENOTIFY:
// date,time,symbol,side,size,price,comment
try
{
Trade tr = TradeImpl.Deserialize(msg);
if (gotFill != null)
{
gotFill(tr);
}
}
catch (Exception ex)
{
debug("error deserializing fill: " + msg);
debug("error: " + ex.Message + ex.StackTrace);
debug("broker: " + BrokerName);
}
break;
case MessageTypes.ORDERNOTIFY:
try
{
Order o = OrderImpl.Deserialize(msg);
if (gotOrder != null)
{
gotOrder(o);
}
}
catch (Exception ex)
{
debug("error deserializing order: " + msg);
debug("error: " + ex.Message + ex.StackTrace);
debug("broker: " + BrokerName);
}
break;
case MessageTypes.POSITIONRESPONSE:
try
{
Position pos = PositionImpl.Deserialize(msg);
if (gotPosition != null)
{
gotPosition(pos);
}
}
catch (Exception ex)
{
if (SendDebugEvent != null)
{
SendDebugEvent(msg + " " + ex.Message + ex.StackTrace);
}
}
break;
case MessageTypes.ACCOUNTRESPONSE:
if (gotAccounts != null)
{
gotAccounts(msg);
}
break;
case MessageTypes.FEATURERESPONSE:
string[] p = msg.Split(',');
List <MessageTypes> f = new List <MessageTypes>();
foreach (string s in p)
{
try
{
f.Add((MessageTypes)Convert.ToInt32(s));
}
catch (Exception) { }
}
if (gotFeatures != null)
{
gotFeatures(f.ToArray());
}
if (gotUnknownMessage != null)
{
gotUnknownMessage(tlm.type, 0, 0, 0, string.Empty, ref tlm.body);
}
break;
case MessageTypes.SERVERDOWN:
if (gotServerDown != null)
{
gotServerDown(msg);
}
break;
case MessageTypes.SERVERUP:
if (gotServerUp != null)
{
gotServerUp(msg);
}
break;
default:
if (gotUnknownMessage != null)
{
gotUnknownMessage(tlm.type, 0, 0, 0, string.Empty, ref tlm.body);
}
break;
}
result = 0;
m.Result = (IntPtr)result;
}
protected override void WndProc(ref System.Windows.Forms.Message m)
{
long result = 0;
TradeLinkMessage tlm = WMUtil.ToTradeLinkMessage(ref m);
if (tlm == null) // if it's not a WM_COPYDATA message
{
base.WndProc(ref m); // let form process it
return; // we're done
}
string msg = tlm.body;
string[] r = msg.Split(',');
switch (tlm.type)
{
case MessageTypes.ORDERCANCELRESPONSE:
if (gotOrderCancel != null)
{
gotOrderCancel(Convert.ToUInt32(msg));
}
break;
case MessageTypes.TICKNOTIFY:
Tick t = TickImpl.Deserialize(msg);
if (t.isTrade)
{
try
{
if (t.trade > chighs[t.symbol])
{
chighs[t.symbol] = t.trade;
}
if (t.trade < clows[t.symbol])
{
clows[t.symbol] = t.trade;
}
}
catch (KeyNotFoundException)
{
chighs.Add(t.symbol, 0);
clows.Add(t.symbol, decimal.MaxValue);
}
}
if (gotTick != null)
{
gotTick(t);
}
break;
case MessageTypes.EXECUTENOTIFY:
// date,time,symbol,side,size,price,comment
Trade tr = TradeImpl.Deserialize(msg);
if (gotFill != null)
{
gotFill(tr);
}
break;
case MessageTypes.ORDERNOTIFY:
Order o = OrderImpl.Deserialize(msg);
if (gotOrder != null)
{
gotOrder(o);
}
break;
case MessageTypes.POSITIONRESPONSE:
Position pos = PositionImpl.Deserialize(msg);
if (gotPosition != null)
{
gotPosition(pos);
}
break;
case MessageTypes.ACCOUNTRESPONSE:
if (gotAccounts != null)
{
gotAccounts(msg);
}
break;
case MessageTypes.FEATURERESPONSE:
string[] p = msg.Split(',');
List <MessageTypes> f = new List <MessageTypes>();
foreach (string s in p)
{
try
{
f.Add((MessageTypes)Convert.ToInt32(s));
}
catch (Exception) { }
}
if (gotSupportedFeatures != null)
{
gotSupportedFeatures(f.ToArray());
}
break;
case MessageTypes.IMBALANCERESPONSE:
Imbalance i = ImbalanceImpl.Deserialize(msg);
if (gotImbalance != null)
{
gotImbalance(i);
}
break;
}
result = 0;
m.Result = (IntPtr)result;
}
