internal void OnLevel2(Level2Update update)
{
if (this.strategy != null && this.strategy.status == StrategyStatus.Running)
{
this.strategy.OnLevel2_(update);
}
}
internal void OnLevel2Update(Level2Update update)
{
OrderBook orderBook = this.book[update.instrumentId];
if (orderBook == null)
{
orderBook = new OrderBook();
this.book[update.instrumentId] = orderBook;
}
orderBook.Set(update);
}
public override object Read(BinaryReader reader)
{
Level2Update level2Update = new Level2Update();
reader.ReadByte();
level2Update.dateTime = DateTime.FromBinary(reader.ReadInt64());
level2Update.providerId = reader.ReadByte();
level2Update.instrumentId = reader.ReadInt32();
int num = reader.ReadInt32();
level2Update.entries = new Level2[num];
for (int i = 0; i < num; i++)
{
level2Update.entries[i] = (Level2)this.streamerManager.Deserialize(reader);
}
return level2Update;
}
public override void Write(BinaryWriter writer, object obj)
{
Level2Update level2Update = (Level2Update)obj;
writer.Write(0);
writer.Write(level2Update.dateTime.ToBinary());
writer.Write(level2Update.providerId);
writer.Write(level2Update.instrumentId);
writer.Write(level2Update.entries.Length);
Level2[] entries = level2Update.entries;
for (int i = 0; i < entries.Length; i++)
{
Level2 obj2 = entries[i];
this.streamerManager.Serialize(writer, obj2);
}
}
internal virtual void OnLevel2_(Level2Update update)
{
if (this.raiseEvents)
{
this.OnLevel2(this.framework.InstrumentManager.GetById(update.instrumentId), update);
}
LinkedList <Strategy> linkedList = this.strategiesByInstrument[update.instrumentId];
if (linkedList != null)
{
for (LinkedListNode <Strategy> linkedListNode = linkedList.First; linkedListNode != null; linkedListNode = linkedListNode.Next)
{
linkedListNode.Data.OnLevel2_(update);
}
}
}
private void OnLevel2Update(Event e)
{
this.data_count += 1L;
Level2Update level2Update = (Level2Update)e;
if (this.framework.Clock.Mode == ClockMode.Simulation)
{
this.framework.Clock.DateTime = level2Update.dateTime;
}
else
{
level2Update.dateTime = this.framework.Clock.DateTime;
}
this.framework.dataManager.OnLevel2Update(level2Update);
this.framework.providerManager.executionSimulator.OnLevel2(level2Update);
this.framework.StrategyManager.OnLevel2(level2Update);
}
public override object Read(BinaryReader reader)
{
Level2Update level2Update = new Level2Update();
reader.ReadByte();
level2Update.dateTime = DateTime.FromBinary(reader.ReadInt64());
level2Update.providerId = reader.ReadByte();
level2Update.instrumentId = reader.ReadInt32();
int num = reader.ReadInt32();
level2Update.entries = new Level2[num];
for (int i = 0; i < num; i++)
{
level2Update.entries[i] = (Level2)this.streamerManager.Deserialize(reader);
}
return(level2Update);
}
internal void Set(Level2Update update)
{
Level2[] entries = update.entries;
for (int i = 0; i < entries.Length; i++)
{
Level2 level = entries[i];
IList <Tick> list = null;
switch (level.side)
{
case Level2Side.Bid:
list = this.bids;
break;
case Level2Side.Ask:
list = this.asks;
break;
}
switch (level.action)
{
case Level2UpdateAction.New:
list.Insert(level.position, new Tick(level));
break;
case Level2UpdateAction.Change:
list[level.position].size = level.size;
break;
case Level2UpdateAction.Delete:
list.RemoveAt(level.position);
break;
case Level2UpdateAction.Reset:
list.Clear();
break;
}
}
}
internal virtual void OnLevel2_(Level2Update update)
{
if (this.raiseEvents)
{
this.OnLevel2(this.framework.InstrumentManager.GetById(update.instrumentId), update);
}
LinkedList<Strategy> linkedList = this.strategiesByInstrument[update.instrumentId];
if (linkedList != null)
{
for (LinkedListNode<Strategy> linkedListNode = linkedList.First; linkedListNode != null; linkedListNode = linkedListNode.Next)
{
linkedListNode.Data.OnLevel2_(update);
}
}
}
public void OnLevel2(Level2Update update)
{
throw new NotImplementedException();
}
protected internal virtual void OnLevel2(Instrument instrument, Level2Update update)
{
}
public void OnLevel2(Level2Update update)
{
}
internal void Set(Level2Update update)
{
Level2[] entries = update.entries;
for (int i = 0; i < entries.Length; i++)
{
Level2 level = entries[i];
IList<Tick> list = null;
switch (level.side)
{
case Level2Side.Bid:
list = this.bids;
break;
case Level2Side.Ask:
list = this.asks;
break;
}
switch (level.action)
{
case Level2UpdateAction.New:
list.Insert(level.position, new Tick(level));
break;
case Level2UpdateAction.Change:
list[level.position].size = level.size;
break;
case Level2UpdateAction.Delete:
list.RemoveAt(level.position);
break;
case Level2UpdateAction.Reset:
list.Clear();
break;
}
}
}
public void OnLevel2(Level2Update update)
{
}
protected internal virtual void OnLevel2(Instrument instrument, Level2Update update)
{
}
internal void OnLevel2(Level2Update update)
{
if (this.strategy != null && this.strategy.status == StrategyStatus.Running)
{
this.strategy.OnLevel2_(update);
}
}
internal void OnLevel2Update(Level2Update update)
{
OrderBook orderBook = this.book[update.instrumentId];
if (orderBook == null)
{
orderBook = new OrderBook();
this.book[update.instrumentId] = orderBook;
}
orderBook.Set(update);
}
