API Documentation

    #define cszNxCoreGetStateData "sNxCoreGetStateData"
    typedef int (__stdcall *NxCoreGetStateData) (char* pBuffer, int bufferSize, int stateType, int param1, int param2, NxString* pnxsSymOrCtc);
    int GetStateData(
        char*                           pBuffer,
        int                             bufferSize,
        int                             stateType,
        int                             param1,
        int                             param2,
        NxString*                       pnxsSymOrCtc
        );

#define _CRT_SECURE_NO_WARNINGS
#include <windows.h>
#include <stdio.h>
#include "NxCoreAPI.h"
#include "NxCoreAPI_class.h"    
  
NxCoreClass nxCoreClass;    
  
NxString *getSymbol(const NxCoreMessage* pNxCoreMsg,char *Symbol)
{
    // Is this a valid option?    
    if ((pNxCoreMsg->coreHeader.pnxStringSymbol->String[0]=='o')&&(pNxCoreMsg->coreHeader.pnxOptionHdr))
    {
        // If pnxsDateAndStrike->String[0] == ' ', then this symbol is in new OSI format. 	
        if (pNxCoreMsg->coreHeader.pnxOptionHdr->pnxsDateAndStrike->String[0]==' ')	
        {
            sprintf(Symbol,"%s%02d%02d%02d%c%08d",
                    pNxCoreMsg->coreHeader.pnxStringSymbol->String,
                    pNxCoreMsg->coreHeader.pnxOptionHdr->nxExpirationDate.Year-2000,
                    pNxCoreMsg->coreHeader.pnxOptionHdr->nxExpirationDate.Month,
                    pNxCoreMsg->coreHeader.pnxOptionHdr->nxExpirationDate.Day,
                    (pNxCoreMsg->coreHeader.pnxOptionHdr->PutCall == 0) ? 'C' : 'P',
                    pNxCoreMsg->coreHeader.pnxOptionHdr->strikePrice);
        }
        // Otherwise the symbol is in old OPRA format.
        else
        {
            sprintf(Symbol,"%s%c%c",
                    pNxCoreMsg->coreHeader.pnxStringSymbol->String,
                    pNxCoreMsg->coreHeader.pnxOptionHdr->pnxsDateAndStrike->String[0],
                    pNxCoreMsg->coreHeader.pnxOptionHdr->pnxsDateAndStrike->String[1]);
        }    
  
        // Return nx date-strike string ptr
        return pNxCoreMsg->coreHeader.pnxOptionHdr->pnxsDateAndStrike;
    }    
  
    // Not an option, just copy the symbol and return nx string ptr
    strcpy(Symbol,pNxCoreMsg->coreHeader.pnxStringSymbol->String);    
  
    return pNxCoreMsg->coreHeader.pnxStringSymbol;
}    
  
int __stdcall nxCoreCallback(const NxCoreSystem* pNxCoreSys, const NxCoreMessage* pNxCoreMessage)
{
    switch (pNxCoreMessage->MessageType)
    {
        case NxMSG_MMQUOTE:
        {
            const NxCoreHeader& ch = pNxCoreMessage->coreHeader;
            const NxTime&       t  = pNxCoreSys->nxTime;    
  
            // Get the symbol and the correct string pointer
            char symbol[23];
            NxString* nx =getSymbol(pNxCoreMessage,symbol);    
  
            do
            {
                NxCoreStateOHLCTrade nt;
                int rc = nxCoreClass.GetStateData((char*) &nt, sizeof(nt), NxSTATETYPE_OHLCTRADE, 0, 0, nx);
                if (rc != 0)
                {
                    break;
                }    
  
                printf("%.2d:%.2d:%.2d.%.3d %s Price(%ld @ %.2lf) O(%.2lf) H(%.2lf) L(%.2lf) C(%.2lf) V(%I64d) Net(%.2lf)\n",
                                    (int) t.Hour, (int) t.Minute, (int) t.Second, (int) t.Millisecond,
                                    symbol, nt.TradeSize, nxCoreClass.PriceToDouble(nt.Price, nt.PriceType),
                                    nxCoreClass.PriceToDouble(nt.High,      nt.PriceType),
                                    nxCoreClass.PriceToDouble(nt.Low,       nt.PriceType),
                                    nxCoreClass.PriceToDouble(nt.Last,      nt.PriceType),
                                    nxCoreClass.PriceToDouble(nt.Open,      nt.PriceType),
                                    nt.TotalVolume,
                                    nxCoreClass.PriceToDouble(nt.NetChange, nt.PriceType));
            } while(false);    
  
            do
            {
                NxCoreStateExgQuotes q;
                int rc = nxCoreClass.GetStateData((char*) &q, sizeof(q), NxSTATETYPE_EXGQUOTES, 0, 0, nx);
                if (rc != 0)
                {
                    break;
                }    
  
                char buf[1024];
                char* p = buf;
    
  
                for (int i = 0; i < q.StateQuoteCount; i++)
                {
                    const NxCoreStateExgQuote& eq = q.StateExgQuotes[i];    
  
                    if (eq.BidPrice > 0 && eq.BidSize > 0)
                    {
                        p += sprintf(p, "%s_bid(%ld @ %.2lf)[%ld] ",
                            q.BestBidExg == eq.ReportingExg ? "BBO" : "RGN",
                            eq.BidSize, nxCoreClass.PriceToDouble(eq.BidPrice, q.PriceType), eq.ReportingExg);
                    }
                    if (eq.AskPrice > 0 && eq.AskSize > 0)
                    {
                        p += sprintf(p, "%s_ask(%ld @ %.2lf)[%ld] ",
                            q.BestAskExg == eq.ReportingExg ? "BBO" : "RGN",
                            eq.AskSize, nxCoreClass.PriceToDouble(eq.AskPrice, q.PriceType), eq.ReportingExg);
                    }
                }
                if (p > buf)
                {
                    printf("%.2d:%.2d:%.2d.%.3d %s %s\n",
                        (int) t.Hour, (int) t.Minute, (int) t.Second, (int) t.Millisecond,
                        symbol, buf);
                }
            } while(false);    
  
            do
            {
                NxCoreStateMMQuotes mmq;
                int rc = nxCoreClass.GetStateData((char*) &mmq, sizeof(mmq), NxSTATETYPE_MMQUOTES, ch.ReportingExg, 0, nx);
                if (rc != 0)
                {
                    break;
                }    
  
                char buf[1024];
                char* p = buf;    
  
                for (int i = 0; i < mmq.StateQuoteCount; i++)
                {
                    const NxCoreStateMMQuote& mm = mmq.StateMMQuotes[i];
                    if (mm.BidPrice > 0 && mm.BidSize > 0)
                    {
                        p += sprintf(p, "MM_bid(%ld @ %.2lf)[%s|%ld] ",
                            mm.BidSize, nxCoreClass.PriceToDouble(mm.BidPrice, mmq.PriceType),
                            mm.pnxStringMarketMaker->String,
                            ch.ReportingExg);
                    }
                    if (mm.AskPrice > 0 && mm.AskSize > 0)
                    {
                        p += sprintf(p, "MM_ask(%ld @ %.2lf)[%s|%ld] ",
                            mm.AskSize, nxCoreClass.PriceToDouble(mm.AskPrice, mmq.PriceType),
                            mm.pnxStringMarketMaker->String,
                            ch.ReportingExg);
                    }
                }
                if (p > buf)
                {
                    printf("%.2d:%.2d:%.2d.%.3d %s %s\n",
                        (int) t.Hour, (int) t.Minute, (int) t.Second, (int) t.Millisecond,
                        symbol, buf);
                }
            } while(false);    
  
            break;
        }
    }    
  
    return NxCALLBACKRETURN_CONTINUE;
}    
  
int main(int argc, char** argv)
{
    if (!nxCoreClass.LoadNxCore("NxCoreAPI.dll") &&
        !nxCoreClass.LoadNxCore("C:\\Program Files\\Nanex\\NxCoreAPI\\NxCoreAPI.dll"))
    {
        fprintf(stderr, "Can't find NxCoreAPI.dll\n");
        return -1;
    }
    nxCoreClass.ProcessTape(argv[1], 0, NxCF_EXCLUDE_CRC_CHECK, 0, nxCoreCallback);
    return 0;
}