public void EmitMarketDepth(global::OpenQuant.API.Instrument instrument, DateTime time, BidAsk side, OrderBookAction action, double price, int size, int position)
{
MarketDepth marketDepth = new MarketDepth(time, string.Empty, position, global::OpenQuant.API.EnumConverter.Convert(action), global::OpenQuant.API.EnumConverter.Convert(side), price, size);
if (this.NewMarketDepth != null)
{
this.NewMarketDepth(this, new MarketDepthEventArgs(marketDepth, instrument.instrument, this));
}
}
public void EmitBar(global::OpenQuant.API.Instrument instrument, global::OpenQuant.API.BarType barType, long barSize, DateTime beginDateTime, DateTime endDateTime, double open, double high, double low, double close, long volume)
{
SmartQuant.Data.Bar bar = new SmartQuant.Data.Bar(global::OpenQuant.API.EnumConverter.Convert(barType), barSize, beginDateTime, endDateTime, open, high, low, close, volume, 0L);
if (this.MarketDataFilter != null)
{
bar = this.MarketDataFilter.FilterBar(bar, instrument.Symbol);
}
if (bar != null)
{
this.EmitBar(instrument.instrument, bar);
}
}
public void SendMarketDataRequest(FIXMarketDataRequest request)
{
SubscriptionDataType subscriptionDataType = (SubscriptionDataType)0;
for (int i = 0; i < request.NoMDEntryTypes; i++)
{
FIXMDEntryTypesGroup mDEntryTypesGroup = request.GetMDEntryTypesGroup(i);
switch (mDEntryTypesGroup.MDEntryType)
{
case '0':
case '1':
if (request.MarketDepth == 1)
{
subscriptionDataType |= SubscriptionDataType.Quotes;
}
else
{
subscriptionDataType |= SubscriptionDataType.OrderBook;
}
break;
case '2':
subscriptionDataType |= SubscriptionDataType.Trades;
break;
}
}
for (int j = 0; j < request.NoRelatedSym; j++)
{
FIXRelatedSymGroup relatedSymGroup = request.GetRelatedSymGroup(j);
SmartQuant.Instruments.Instrument key = SmartQuant.Instruments.InstrumentManager.Instruments[relatedSymGroup.Symbol];
global::OpenQuant.API.Instrument instrument = Map.SQ_OQ_Instrument[key] as global::OpenQuant.API.Instrument;
switch (request.SubscriptionRequestType)
{
case '1':
this.provider.CallSubscribe(instrument, subscriptionDataType);
break;
case '2':
this.provider.CallUnsubscribe(instrument, subscriptionDataType);
break;
default:
throw new Exception("Unknown subscription request type " + request.SubscriptionRequestType);
}
}
}
public void EmitQuote(global::OpenQuant.API.Instrument instrument, DateTime time, byte providerId, double bid, int bidSize, double ask, int askSize)
{
SmartQuant.Data.Quote quote = new SmartQuant.Data.Quote(time, bid, bidSize, ask, askSize);
quote.ProviderId = providerId;
if (this.MarketDataFilter != null)
{
quote = this.MarketDataFilter.FilterQuote(quote, instrument.Symbol);
}
if (quote == null)
{
return;
}
if (this.NewQuote != null)
{
this.NewQuote(this, new QuoteEventArgs(quote, instrument.instrument, this));
}
if (this.barFactory != null)
{
this.barFactory.OnNewQuote(instrument.instrument, quote);
}
}
public void EmitTrade(global::OpenQuant.API.Instrument instrument, DateTime time, byte providerId, double price, int size)
{
SmartQuant.Data.Trade trade = new SmartQuant.Data.Trade(time, price, size);
trade.ProviderId = providerId;
if (this.MarketDataFilter != null)
{
trade = this.MarketDataFilter.FilterTrade(trade, instrument.Symbol);
}
if (trade == null)
{
return;
}
if (this.NewTrade != null)
{
this.NewTrade(this, new TradeEventArgs(trade, instrument.instrument, this));
}
if (this.barFactory != null)
{
this.barFactory.OnNewTrade(instrument.instrument, trade);
}
}
