private void OnAskQuote(TickData askEvent)
{
PrevAsk = Ask;
Ask = askEvent.Price;
PrevAskVol = AskVol;
AskVol = _securityObj.HasQuoteSize ? askEvent.Size : 0;
}
private void OnBidQuote(TickData bidEvent)
{
PrevBid = Bid;
Bid = bidEvent.Price;
PrevBidVol = BidVol;
BidVol = _securityObj.HasQuoteSize ? bidEvent.Size : 0;
}
private void OnTrade(TickData trade)
{
LastTrdPrice = trade.Price;
if (LastTrdPrice == Bid)
{
TrdCntBid++;
}
if (LastTrdPrice == Ask)
{
TrdCntAsk++;
}
if ((_securityObj.HasTradeSize) && (trade.Size > 0))
{
LastTrdSize = trade.Size;
if (LastTrdPrice == Bid)
{
VolAtBid += LastTrdSize;
}
if (LastTrdPrice == Ask)
{
VolAtAsk += LastTrdSize;
}
}
else
{
LastTrdSize = 0;
VolAtBid = 0;
VolAtAsk = 0;
}
if (TrdsAtPrice.ContainsKey(trade.Price))
{
TrdsAtPrice[trade.Price].NewTradeAtPrice(LastTrdSize, this);
}
else
{
if ((_securityObj.HasTradeSize) && (trade.Size > 0))
{
TrdsAtPrice.Add(LastTrdPrice, new TradesAtPrice(LastTrdPrice, LastTrdSize, this));
}
else
{
TrdsAtPrice.Add(LastTrdPrice, new TradesAtPrice(LastTrdPrice, this));
}
}
}
// constructor used on very first event to initialize market state (market summary event)
public MarketState(Security security, TickData bid, TickData ask, TickData trade)
{
if (security == null)
{
throw new ArgumentException("security object must not be null", "security");
}
if (bid == null)
{
throw new ArgumentException("TickData object for bid object must not be null", "bid");
}
if (ask == null)
{
throw new ArgumentException("TickData object for ask object must not be null", "ask");
}
if (trade == null)
{
throw new ArgumentException("TickData object for trade object must not be null", "bid");
}
VolumeTdy = 0;
OrderFlowTdy = 0;
VolAtBidTdy = 0;
VolAtAskTdy = 0;
_securityObj = security;
StateType = MktStateType.Summary;
TimeStamp = bid.TimeStamp;
FirstOfInterval = true;
OnBidQuote(bid);
SetBidOpen(bid);
OnAskQuote(ask);
SetAskOpen(ask);
OnTrade(trade);
SetTradeOpn(trade);
SetMid();
SetMidOpen();
}
private void SetTradeOpn(TickData trade)
{
LastPriceOpn = trade.Price;
}
private void SetAskOpen(TickData askEvent)
{
AskOpen = askEvent.Price;
AskVolOpen = _securityObj.HasQuoteSize ? askEvent.Size : 0;
}
private void SetBidOpen(TickData bidEvent)
{
BidOpen = bidEvent.Price;
BidVolOpen = _securityObj.HasQuoteSize ? bidEvent.Size : 0;
}
// constructor used for each successive data event after the initial market summary event
public MarketState(Security security, MarketState previousMktState, TickData tickData)
{
VolumeTdy = 0;
OrderFlowTdy = 0;
VolAtBidTdy = 0;
VolAtAskTdy = 0;
_securityObj = security;
if (previousMktState == null)
{
throw new ArgumentException("Previous MarketState object must not be null", "previousMktState");
}
if (tickData.TimeStamp == null)
{
throw new ArgumentException("tickData.TimeStamp must not be null", "tickData.TimeStamp");
}
TimeStamp = tickData.TimeStamp;
FirstOfInterval = (tickData.TimeStamp.Subtract(previousMktState.TimeStamp).TotalSeconds > 0);
CopyPrevState(previousMktState, FirstOfInterval);
switch (tickData.Type)
{
case Type.Ask:
StateType = MktStateType.Ask;
OnAskQuote(tickData);
SetAskVolChg(previousMktState);
SetMid();
if (FirstOfInterval)
{
SetAskOpen(tickData);
SetMidOpen();
}
break;
case Type.Bid:
StateType = MktStateType.Bid;
OnBidQuote(tickData);
SetBidVolChg(previousMktState);
SetMid();
if (FirstOfInterval)
{
SetBidOpen(tickData);
SetMidOpen();
}
break;
case Type.Trade:
StateType = MktStateType.Trade;
OnTrade(tickData);
if (FirstOfInterval)
{
SetTradeOpn(tickData);
}
break;
default:
throw new ArgumentException("TickData's 'Type' parameter must be of enum of type TickData.Type", "tickData");
}
if ((FirstOfInterval) || (Codes == null))
{
Codes = tickData.Codes;
}
else
{
if (tickData.Codes != null)
{
if (tickData.Codes.Count > 0)
{
foreach (var code in tickData.Codes)
{
if (!Codes.ContainsKey(code.Key))
{
Codes.Add(code.Key, code.Value);
}
}
}
}
}
}
