Trying to create a quote based on ticks coming from "reqMktData".?
Simplified code below.?
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Question: There are two separate callbacks for option greeks and prices and both are important for my strategy but at the moment callback for prices is almost always executed before callback for greeks, so "PointStream" often receives quote with prices but without greeks. Is there an easy way to make sure that before I send final quote to the stream, its greeks are already calculated??
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void SubscribeToPoints(Contract contract)
{
? var point = new PointModel();
? void subscribeToComs(TickOptionMessage message)
? {
? ? point.Delta = message.Delta;
? ? point.Gamma = message.Gamma;
? ? point.Theta = message.Theta;
? ? point.Vega = message.Vega;
? ? point.Sigma = message.ImpliedVolatility;
? }
? void subscribeToPrices(TickPriceMessage message)
? {
? ? switch (message.Field)
? ? {
? ? ? case PropertyEnum.BidSize: point.BidSize = message.Data; break;
? ? ? case PropertyEnum.AskSize: point.AskSize = message.Data; break;
? ? ? case PropertyEnum.BidPrice: point.Bid = message.Data; break;
? ? ? case PropertyEnum.AskPrice: point.Ask = message.Data; break;
? ? ? case PropertyEnum.LastPrice: point.Last = message.Data; break;
? ? }
? ? PointStream(point);
? }
? client.TickPrice += subscribeToPrices;
? client.TickOptionCommunication += subscribeToComs;
? client.ClientSocket.reqMktData(id, contract, string.Empty, false, false, null);
}
