// 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();
}
public DataFactory(Security security)
{
_securityObj = security;
SecurityName = security.Name;
SecurityId = security.Id;
}
// 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);
}
}
}
}
}
// constructor used to create a duplicate a state using a new timestamp
public MarketState(Security security, MarketState previousMktState, DateTime timeStamp)
{
TimeStamp = DateTime.MinValue;
VolumeTdy = 0;
OrderFlowTdy = 0;
VolAtBidTdy = 0;
VolAtAskTdy = 0;
_securityObj = security;
if (security == null)
throw new ArgumentException("security object must not be null", "security");
if (previousMktState == null)
throw new ArgumentException("Previous MarketState object must not be null", "previousMktState");
if (timeStamp == null)
throw new ArgumentException("timeStamp must not be null", "timeStamp");
TimeStamp = timeStamp;
FirstOfInterval = true;
CopyPrevState(previousMktState, FirstOfInterval);
StateType = MktStateType.Duplicate;
}
