NxCoreStateTrade
The struct NxCoreStateTrade is defined in NxCoreAPI.h as:
struct NxCoreStateTrade {
unsigned __int64 TotalVolume;
unsigned int TickVolume;
unsigned char PriceType;
unsigned char PriceFlags;
unsigned char ConditionFlags;
unsigned char VolumeType;
int Open;
int High;
int Low;
int Last;
int NetChange;
int Price;
int Threshold;
int Tick;
};
Latest TotalVolume for the symbol
Latest TickVolume for the symbol
Latest PriceType for the symbol
Latest PriceFlags for the symbol
Latest ConditionFlags for the symbol
Latest VolumeType for the symbol
Latest Open for the symbol
Latest High for the symbol
Latest Low for the symbol
Latest Last for the symbol
Latest NetChange for the symbol
Latest Price for the symbol
Latest Threshold for the symbol
Latest Tick for the symbol
Here's an example of getting the trade information for every symbol that quotes
#define _CRT_SECURE_NO_WARNINGS #include <stdio.h> #include "NxCoreAPI.h" #include "NxCoreAPI_Wrapper_C++.h" NxCoreClass NxCore; 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_EXGQUOTE: { 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); NxCoreStateTrade nt; int rc = NxCore.StateGetLastTrade(&nt, nx); if (rc != 0) { break; } printf("%02d:%02d:%02d.%03d %s Price(%.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, NxCore.PriceToDouble(nt.Price, nt.PriceType), NxCore.PriceToDouble(nt.High, nt.PriceType), NxCore.PriceToDouble(nt.Low, nt.PriceType), NxCore.PriceToDouble(nt.Last, nt.PriceType), NxCore.PriceToDouble(nt.Open, nt.PriceType), nt.TotalVolume, NxCore.PriceToDouble(nt.NetChange, nt.PriceType)); break; } } return NxCALLBACKRETURN_CONTINUE; } int main(int argc, char** argv) { if (!NxCore.LoadNxCore("NxCoreAPI64.dll") && !NxCore.LoadNxCore("NxCoreAPI.dll")) { fprintf(stderr, "loading library failed\n"); return -1; } NxCore.ProcessTape(argv[1], 0, NxCF_EXCLUDE_CRC_CHECK, 0, nxCoreCallback); return 0; } |
import net.nanex.NxCoreClass; class StateTradeSample extends NxCoreClass{ @Override public int OnNxCoreCallback(NxCoreSystem nxCoreSys, NxCoreMessage nxCoreMsg) { switch (nxCoreMsg.MessageType) { case defines.NxMSG_EXGQUOTE: NxCoreHeader ch = nxCoreMsg.coreHeader; NxTime t = nxCoreSys.nxTime; String symbol; NxCoreStateTrade nt; // get the state data for current Trade if (ch.pnxStringSymbol.String.charAt(0) == 'o' && ch.pnxOptionHdr != null) {// If an option.... symbol = String.format("%s%02d%02d%02d%c%08d", ch.pnxStringSymbol.String, ch.pnxOptionHdr.nxExpirationDate.Year-2000, ch.pnxOptionHdr.nxExpirationDate.Month, ch.pnxOptionHdr.nxExpirationDate.Day, (ch.pnxOptionHdr.PutCall == 0) ? 'C' : 'P', ch.pnxOptionHdr.strikePrice); nt = StateGetLastTrade(ch.ListedExg, ch.pnxStringSymbol.String, ch.pnxOptionHdr.nxExpirationDate, ch.pnxOptionHdr.strikePrice, ch.pnxOptionHdr.PutCall); } else{// otherwise a non-option symbol = ch.pnxStringSymbol.String; nt = StateGetLastTrade(ch.ListedExg, ch.pnxStringSymbol.String); } //make sure a valid return from function if(nt == null) break; System.out.println( String.format("%02d:%02d:%02d.%03d %s Price(%.2f) O(%.2f) H(%.2f) L(%.2f) C(%.2f) V(%d) Net(%.2f)", t.Hour, t.Minute, t.Second, t.Millisecond, symbol, PriceToDouble(nt.Price, nt.PriceType), PriceToDouble(nt.High, nt.PriceType), PriceToDouble(nt.Low, nt.PriceType), PriceToDouble(nt.Last, nt.PriceType), PriceToDouble(nt.Open, nt.PriceType), nt.TotalVolume, PriceToDouble(nt.NetChange, nt.PriceType))); break; } return defines.NxCALLBACKRETURN_CONTINUE; } public static void main(String args[]) { StateTradeSample nxCore = new StateTradeSample(); if (nxCore.LoadNxCore("NxCoreAPI64.dll") != 0){ nxCore.ProcessTape(args[0], 0, 0, 0); } else System.out.println("loading library failed"); } } |
import NxCore tapePath = "" def OnNxCoreCallback(NxCoreSys, NxCoreMsg): if NxCoreMsg.MessageType == NxCore.NxMSG_EXGQUOTE: ch = NxCoreMsg.coreHeader t = NxCoreSys.nxTime # get the state data for current Trade if ch.pnxStringSymbol.String[0] == 'o' and ch.pnxOptionHdr:# If an option.... symbol = "{}{:02d}{:02d}{:02d}{}{:08d}".format( ch.pnxStringSymbol.String, ch.pnxOptionHdr.nxExpirationDate.Year-2000, ch.pnxOptionHdr.nxExpirationDate.Month, ch.pnxOptionHdr.nxExpirationDate.Day, 'C' if (ch.pnxOptionHdr.PutCall == 0) else 'P', ch.pnxOptionHdr.strikePrice) nt = NxCore.StateGetLastTrade(ch.ListedExg, ch.pnxStringSymbol.String, ch.pnxOptionHdr.nxExpirationDate.NDays, ch.pnxOptionHdr.strikePrice, ch.pnxOptionHdr.PutCall) else:# otherwise a non-option symbol = ch.pnxStringSymbol.String nt = NxCore.StateGetLastTrade(ch.ListedExg, ch.pnxStringSymbol.String) #make sure a valid return from function if not nt: return NxCore.NxCALLBACKRETURN_CONTINUE print("{:02d}:{:02d}:{:02d}.{:03d} {} Price({:.2f}) O({:.2f}) H({:.2f}) L({:.2f}) C({:.2f}) V({}) Net({:.2f})" .format(t.Hour, t.Minute, t.Second, t.Millisecond, symbol, NxCore.PriceToFloat(nt.Price, nt.PriceType), NxCore.PriceToFloat(nt.High, nt.PriceType), NxCore.PriceToFloat(nt.Low, nt.PriceType), NxCore.PriceToFloat(nt.Last, nt.PriceType), NxCore.PriceToFloat(nt.Open, nt.PriceType), nt.TotalVolume, NxCore.PriceToFloat(nt.NetChange, nt.PriceType))) return NxCore.NxCALLBACKRETURN_CONTINUE if NxCore.LoadNxCore("NxCoreAPI64.dll"): NxCore.ProcessTape(tapePath, 0, 0, 0, OnNxCoreCallback) else: print("loading library failed") |