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Update SierraChart2.cpp
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@AndrewAMD
AndrewAMD authored Apr 7, 2021
1 parent 69cb2ff commit e7893d4
Showing 1 changed file with 76 additions and 52 deletions.
128 changes: 76 additions & 52 deletions SierraChart2/SierraChart2.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -395,7 +395,7 @@ bool ubc_subscribe(t_feedid id, void* pMsg, uint16_t Type, int32_t request_id, v
case MARKET_DATA_SNAPSHOT: {
s_MarketDataSnapshot re;
re.CopyFrom(pMsg);
if (re.SymbolID == pAsset->SymbolID && (re.BidPrice || re.AskPrice || re.LastTradePrice)) {
if (re.SymbolID == pAsset->SymbolID && (re.BidPrice && re.AskPrice && re.LastTradePrice)) {
pAsset->is_subscribed = true;
return true;
}
Expand All @@ -407,7 +407,7 @@ bool ubc_subscribe(t_feedid id, void* pMsg, uint16_t Type, int32_t request_id, v
pAsset->is_subscribed = false;
if (!g_BeQuiet) {
if (strlen(re.RejectText))zprintf("Rejected: \"%s\"", re.RejectText);
else zprintf("Rejected.");
else zprintf("%s subscribe: Rejected.",pAsset->SCSymbol.c_str());
}
return true;
}
Expand Down Expand Up @@ -435,7 +435,8 @@ DLLFUNC int BrokerAsset(
if (!pPrice && !pAsset->is_subscribed) { //subscribe
{
s_MarketDataRequest rq;
rq.SymbolID = pAsset->SymbolID = new_request_id();
if(!pAsset->SymbolID) pAsset->SymbolID = new_symbol_id();
rq.SymbolID = pAsset->SymbolID;
rq.RequestAction = SUBSCRIBE;
rq.SetSymbol(pAsset->SCSymbol.c_str());
cl_send(FEED_MAIN, &rq, rq.Size);
Expand All @@ -448,28 +449,28 @@ DLLFUNC int BrokerAsset(
pAsset->is_subscribed = true;
{
s_MarketDepthRequest rq;
if (!pAsset->SymbolID) pAsset->SymbolID = new_symbol_id();
rq.SymbolID = pAsset->SymbolID;
rq.RequestAction = SUBSCRIBE;
rq.SetSymbol(pAsset->SCSymbol.c_str());
cl_send(FEED_MAIN, &rq, rq.Size);
cl_drain(); // no need to block for market depth
}
if (pPrice && pAsset->vPrice != 0) *pPrice = pAsset->vPrice;
if (pSpread && pAsset->vSpread != 0) *pSpread = pAsset->vSpread;
if (pVolume && pAsset->vVolume != 0) *pVolume = pAsset->vVolume;
if (pPip && pAsset->vPip != 0) *pPip = pAsset->vPip;
if (pPipCost && pAsset->vPipCost != 0) *pPipCost = pAsset->vPipCost;
//if (pLotAmount && pAsset->vLotAmount != 0) *pLotAmount = pAsset->vLotAmount;
if (pMarginCost && pAsset->vMarginCost != 0) *pMarginCost = pAsset->vMarginCost;
if (pRollLong && pAsset->vRollLong != 0) *pRollLong = pAsset->vRollLong;
if (pRollShort && pAsset->vRollShort != 0) *pRollShort = pAsset->vRollShort;

return 1;
}//subscribe

if (pPrice && pAsset->vPrice != 0) *pPrice = pAsset->vPrice;
if (pSpread && pAsset->vSpread != 0) *pSpread = pAsset->vSpread;
if (pVolume && pAsset->vVolume != 0) *pVolume = pAsset->vVolume;
if (g_PriceType == 1) {//bid-ask spread
if (pPrice && pAsset->s.AskPrice>0 && pAsset->s.AskPrice != DBL_MAX) {
*pPrice = pAsset->s.AskPrice;
if (pSpread && pAsset->s.BidPrice >0 && pAsset->s.BidPrice != DBL_MAX) {
*pSpread = pAsset->s.AskPrice - pAsset->s.BidPrice;
}
}
}
else if (g_PriceType == 2) {// last trade price
if (pPrice && pAsset->s.LastTradePrice > 0 && pAsset->s.LastTradePrice != DBL_MAX) {
*pPrice = pAsset->s.LastTradePrice;
}
}
if (pPip && pAsset->vPip != 0) *pPip = pAsset->vPip;
if (pPipCost && pAsset->vPipCost != 0) *pPipCost = pAsset->vPipCost;
//if (pLotAmount && pAsset->vLotAmount != 0) *pLotAmount = pAsset->vLotAmount;
Expand Down Expand Up @@ -903,6 +904,18 @@ bool ubc_snapshot(t_feedid id, void* pMsg, uint16_t Type, int32_t request_id, vo
return false;
}

int contract_sort(const void* a, const void* b) {
CONTRACT
* pa = (CONTRACT*)a,
* pb = (CONTRACT*)b;
if (pa->Expiry != pb->Expiry) {
return pa->Expiry - pb->Expiry;
}
if (pa->Type != pb->Type) {
return pa->Type - pb->Type;
}
return (int)(pa->fStrike - pb->fStrike);
}
DLLFUNC double BrokerCommand(int Command, DWORD dwParameter) {
cl_drain();
switch (Command) {
Expand Down Expand Up @@ -1025,62 +1038,73 @@ DLLFUNC double BrokerCommand(int Command, DWORD dwParameter) {
return 1;
}
return 0;
case SC_SET_FUTURES_CONTRACT_CONFIG: {
case GET_FUTURES: { //does not set multiplier
int today_yyyymmdd = get_todays_date_yyyymmdd();
int yr_first = today_yyyymmdd / 10000;
int yr_max = yr_first + 10;
const char* monthcodestr = get_monthcode_string((int)dwParameter);
int len = (int)strlen(monthcodestr);
int N = 0;
for (int yr = yr_first; yr <= yr_max; yr++) {
for (int i=0; i < len; i++) {
char sc_symbol[64];
strcpy_s(sc_symbol, g_Symbol);
auto p = strstr(sc_symbol, "?##");
if (!p)continue;
const char* myy = strf("%c%02d", monthcodestr[i], yr % 100);
memcpy_s(p, 3, myy, 3);
for (int nAttempts = 1; nAttempts <= 20; nAttempts++) {
if (nAttempts>1)zprintf("GET_FUTURES: Attempt %d of 20", nAttempts);
int yr_first = today_yyyymmdd / 10000;
int yr_max = yr_first + 10;
const char* monthcodestr = "FGHJKMNQUVXZ";//get_monthcode_string((int)dwParameter);
int len = (int)strlen(monthcodestr);
int N = 0;
for (int yr = yr_first; yr <= yr_max; yr++) {
for (int i = 0; i < len; i++) {
char sc_symbol[64];
strcpy_s(sc_symbol, g_Symbol);
auto p = strstr(sc_symbol, "?##");
if (!p)continue;
const char* myy = strf("%c%02d", monthcodestr[i], yr % 100);
memcpy_s(p, 3, myy, 3);

s_Asset* pA = get_asset_by_SCSymbol(sc_symbol);
if (!pA) continue;
if (!pA->is_defined) continue;
if (today_yyyymmdd > pA->nExpiry) continue;
g_BeQuiet = true;
int ret = BrokerAsset(sc_symbol, NULL, NULL, NULL, NULL, NULL, NULL, NULL, NULL, NULL);
g_BeQuiet = false;
if (!ret) continue;
pA = get_asset_by_SCSymbol(sc_symbol);
if (!pA) continue;
if (!pA->is_subscribed) continue;
if (!pA->nExpiry) continue;
s_Asset* pA = get_asset_by_SCSymbol(sc_symbol);
if (!pA) continue;
if (!pA->is_defined) continue;
if (today_yyyymmdd > pA->nExpiry) continue;
g_BeQuiet = true;
int ret = BrokerAsset(sc_symbol, NULL, NULL, NULL, NULL, NULL, NULL, NULL, NULL, NULL);
g_BeQuiet = false;
if (!ret) continue;
pA = get_asset_by_SCSymbol(sc_symbol);
if (!pA) continue;
if (!pA->is_subscribed) continue;
if (!pA->nExpiry) continue;

pA->UnderlyingSymbol = g_Symbol;
pA->ZorroSymbol = strf("%s-FUT-%08d", g_Symbol, pA->nExpiry);
N++;
pA->UnderlyingSymbol = g_Symbol;
pA->ZorroSymbol = strf("%s-FUT-%08d", g_Symbol, pA->nExpiry);
N++;
}
}
if (N) break;
for (int j = 0; j < 10; j++) { //wait up to one second to try again if no matches
cl_loiter();
}
}
return N;
}//SC_SET_FUTURES_CONTRACT_CONFIG
case GET_FUTURES: { //does not set multiplier
CONTRACT* p = (CONTRACT*)dwParameter;
int today_yyyymmdd = get_todays_date_yyyymmdd();
int N = 0;
for (const auto& ap : g_mAssets) {
const auto& a = ap.second;
const s_Asset& a = ap.second;
const s_MarketDataSnapshot& s = a.s;
if (a.UnderlyingSymbol != g_Symbol)continue;
if (a.nExpiry < today_yyyymmdd)continue;
if (!a.is_subscribed) continue;
memset(&p[N], 0, sizeof(CONTRACT));
p[N].Expiry = a.nExpiry;
p[N].Type = FUTURE;
if (s.AskPrice != DBL_MAX)p[N].fAsk = (float)s.AskPrice;
if (s.BidPrice != DBL_MAX)p[N].fBid = (float)s.BidPrice;
if (!p[N].fAsk) p[N].fAsk = (float)s.LastTradePrice;
if (!p[N].fBid) p[N].fBid = (float)s.LastTradePrice;
if (!p[N].fAsk) p[N].fAsk = (float)s.BidPrice;
if (!p[N].fBid) p[N].fBid = (float)s.AskPrice;
N++;
if (N == MAX_CONTRACTS) break;
}
qsort(p, N, sizeof(CONTRACT), contract_sort);
return N;
}//GET_FUTURES
case SET_HWND:
cl_set_hwnd((HWND)dwParameter);
return 1;
}//switch
return 0;
}
}

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