public Level2Snapshot(DateTime dateTime, byte providerId, int instrumentId, Bid[] bids, Ask[] asks)
: base(dateTime)
{
ProviderId = providerId;
InstrumentId = instrumentId;
Bids = bids;
Asks = asks;
}
public Quote GetQuote(int level)
{
var bid = new Bid();
var ask = new Ask();
Tick tick;
if (Bids.Count < level)
{
tick = Bids[level];
bid = new Bid(tick.DateTime, tick.ProviderId, tick.InstrumentId, tick.Price, tick.Size);
}
if (Asks.Count < level)
{
tick = Asks[level];
ask = new Ask(tick.DateTime, tick.ProviderId, tick.InstrumentId, tick.Price, tick.Size);
}
return new Quote(bid, ask);
}
internal void OnAsk(Ask ask)
{
if (TraceOnQuote && Side == PositionSide.Short)
{
this.fillPrice = this.trailPrice = this.currPrice = GetPrice(ask.Price);
this.method_1();
}
}
public Level2Snapshot(DateTime dateTime, DateTime exchangeDateTime, byte providerId, int instrumentId, Bid[] bids, Ask[] asks) : this(dateTime, providerId, instrumentId, bids, asks)
{
ExchangeDateTime = exchangeDateTime;
}
protected override void OnAsk(Instrument instrument, Ask ask)
{
if (instrument == spread)
return;
if (!isAskBidReady)
{
isAskBidReady = true;
foreach (Leg leg in spread.Legs)
{
if (leg.Instrument.Ask == null || leg.Instrument.Bid == null)
{
isAskBidReady = false;
return;
}
}
}
//
double askPrice = 0;
int askSize = Int32.MaxValue;
foreach (Leg leg in spread.Legs)
{
if (leg.Weight > 0)
{
askPrice += leg.Instrument.Ask.Price * leg.Weight;
askSize = Math.Min(askSize, leg.Instrument.Ask.Size);
}
else if (leg.Weight < 0)
{
askPrice += leg.Instrument.Bid.Price * leg.Weight;
askSize = Math.Min(askSize, leg.Instrument.Bid.Size);
}
}
// Create new ask for spread instrument.
EmitAsk(new Ask(ask.DateTime, 0, spread.Id, askPrice, askSize));
}
public override void EmitAsk(Ask ask)
{
EventManager.OnEvent(new Ask(ask){providerId = IsInstance ? (byte)Parent.Id : (byte)Id});
}
protected virtual void OnAsk(Ask ask)
{
}
internal void OnAsk(Ask ask)
{
if (Strategy?.Status == StrategyStatus.Running)
Strategy.EmitAsk(ask);
}
protected virtual void OnAsk(Ask Ask)
{
// noop
}
public Quote(Bid bid, Ask ask)
{
Bid = bid;
Ask = ask;
DateTime = bid.DateTime > ask.DateTime ? bid.DateTime : ask.DateTime;
}
public Ask(Ask ask) : base(ask)
{
}
public void OnAsk(Ask ask)
{
var orders = GetOrdersBy(ask.InstrumentId);
if (orders == null)
return;
if (FillOnQuote)
{
foreach (var order in orders)
FillWithAsk(order, ask);
ClearOrders();
}
}
private bool FillWithAsk(Order order, Ask ask)
{
if (order.Side != OrderSide.Buy)
return false;
while (true)
{
switch (order.Type)
{
case OrderType.Market:
case OrderType.Pegged:
Fill(order, ask.Price, ask.Size);
return true;
case OrderType.Stop:
if (ask.Price >= order.StopPx)
{
if (!FillAtStopPrice)
{
order.Type = OrderType.Market;
continue;
}
Fill(order, order.StopPx, ask.Size);
return true;
}
break;
case OrderType.Limit:
if (ask.Price <= order.Price)
{
Fill(order, FillAtLimitPrice ? order.Price : ask.Price, ask.Size);
return true;
}
return false;
case OrderType.StopLimit:
if (ask.Price >= order.StopPx)
{
order.Type = OrderType.Limit;
continue;
}
break;
}
break;
}
return false;
}
public Level2(Ask ask, Level2UpdateAction action, int position) : base(ask)
{
Side = Level2Side.Ask;
Action = action;
Position = position;
}
public void OnAsk(Ask ask)
{
throw new NotImplementedException();
}
private void method_8(Order order_0, Bid bid_0, Ask ask_0)
{
}
//public Level2Snapshot GetLevel2Snapshot()
//{
// lock (this.lck)
// {
// if (!this.bool_0)
// this.method_3();
// var bids = new List<Bid>();
// var asks = new List<Ask>();
// foreach (var tick in this.bids)
// if (tick is Bid)
// bids.Add(tick as Bid);
// foreach (var tick in this.asks)
// if (tick is Ask)
// asks.Add(tick as Ask);
// return new Level2Snapshot(this.dateTime_0, 0, this.instrumentId, bids.ToArray(), asks.ToArray());
// }
//}
public Quote GetQuote(int level)
{
lock (this.lck)
{
if (!this.bool_0)
this.method_3();
var bid = new Bid();
var ask = new Ask();
if (this.bids.Count > level)
{
var tick = this.bids[level];
bid = new Bid(tick.dateTime, tick.ProviderId, tick.InstrumentId, tick.Price, tick.Size);
}
if (this.asks.Count > level)
{
var tick = this.asks[level];
ask = new Ask(tick.dateTime, tick.ProviderId, tick.InstrumentId, tick.Price, tick.Size);
}
return new Quote(bid, ask);
}
}
private void method_7(List <byte> providers = null)
{
SortedList <double, Tick> sortedList = new SortedList <double, Tick>(new PriceComparer(PriceSortOrder.Descending));
SortedList <double, Tick> sortedList2 = new SortedList <double, Tick>(new PriceComparer(PriceSortOrder.Ascending));
List <Tuple <DateTime, List <Tick>, List <Tick> > > list;
if (providers == null)
{
list = new List <Tuple <DateTime, List <Tick>, List <Tick> > >(this.GonEpGhAb.Values);
}
else
{
list = new List <Tuple <DateTime, List <Tick>, List <Tick> > >();
foreach (byte current in providers)
{
if (this.GonEpGhAb.ContainsKey((int)current))
{
list.Add(this.GonEpGhAb[(int)current]);
}
}
}
this.dateTime_0 = default(DateTime);
foreach (Tuple <DateTime, List <Tick>, List <Tick> > current2 in list)
{
if (current2.Item1 > this.dateTime_0)
{
this.dateTime_0 = current2.Item1;
}
}
List <Tuple <DateTime, List <Tick>, List <Tick> > > list2 = new List <Tuple <DateTime, List <Tick>, List <Tick> > >();
foreach (Tuple <DateTime, List <Tick>, List <Tick> > current3 in list)
{
if (current3.Item1 + this.Timeout >= this.dateTime_0)
{
list2.Add(current3);
}
}
foreach (Tuple <DateTime, List <Tick>, List <Tick> > current4 in list2)
{
foreach (Tick current5 in current4.Item2)
{
if (!sortedList.ContainsKey(current5.Price))
{
Bid bid = new Bid(current5);
if (this.Mode == OrderBookAggr.AggregationMode.TotalValue)
{
bid.ProviderId = 0;
}
sortedList.Add(current5.Price, bid);
}
else if (this.Mode == OrderBookAggr.AggregationMode.TotalValue)
{
sortedList[current5.Price].Size += current5.Size;
}
else if (this.Mode == OrderBookAggr.AggregationMode.MaxValue && current5.Size > sortedList[current5.Price].Size)
{
sortedList[current5.Price] = new Bid(current5);
}
}
foreach (Tick current6 in current4.Item3)
{
if (!sortedList2.ContainsKey(current6.Price))
{
Ask ask = new Ask(current6);
if (this.Mode == OrderBookAggr.AggregationMode.TotalValue)
{
ask.ProviderId = 0;
}
sortedList2.Add(current6.Price, ask);
}
else if (this.Mode == OrderBookAggr.AggregationMode.TotalValue)
{
sortedList2[current6.Price].Size += current6.Size;
}
else if (this.Mode == OrderBookAggr.AggregationMode.MaxValue && current6.Size > sortedList2[current6.Price].Size)
{
sortedList2[current6.Price] = new Ask(current6);
}
}
}
this.bids = new List <Tick>(sortedList.Values);
this.asks = new List <Tick>(sortedList2.Values);
this.bool_0 = true;
}
private void method_7(List<byte> providers = null)
{
SortedList<double, Tick> sortedList = new SortedList<double, Tick>(new PriceComparer(PriceSortOrder.Descending));
SortedList<double, Tick> sortedList2 = new SortedList<double, Tick>(new PriceComparer(PriceSortOrder.Ascending));
List<Tuple<DateTime, List<Tick>, List<Tick>>> list;
if (providers == null)
{
list = new List<Tuple<DateTime, List<Tick>, List<Tick>>>(this.GonEpGhAb.Values);
}
else
{
list = new List<Tuple<DateTime, List<Tick>, List<Tick>>>();
foreach (byte current in providers)
{
if (this.GonEpGhAb.ContainsKey((int)current))
{
list.Add(this.GonEpGhAb[(int)current]);
}
}
}
this.dateTime_0 = default(DateTime);
foreach (Tuple<DateTime, List<Tick>, List<Tick>> current2 in list)
{
if (current2.Item1 > this.dateTime_0)
{
this.dateTime_0 = current2.Item1;
}
}
List<Tuple<DateTime, List<Tick>, List<Tick>>> list2 = new List<Tuple<DateTime, List<Tick>, List<Tick>>>();
foreach (Tuple<DateTime, List<Tick>, List<Tick>> current3 in list)
{
if (current3.Item1 + this.Timeout >= this.dateTime_0)
{
list2.Add(current3);
}
}
foreach (Tuple<DateTime, List<Tick>, List<Tick>> current4 in list2)
{
foreach (Tick current5 in current4.Item2)
{
if (!sortedList.ContainsKey(current5.Price))
{
Bid bid = new Bid(current5);
if (this.Mode == OrderBookAggr.AggregationMode.TotalValue)
{
bid.ProviderId = 0;
}
sortedList.Add(current5.Price, bid);
}
else if (this.Mode == OrderBookAggr.AggregationMode.TotalValue)
{
sortedList[current5.Price].Size += current5.Size;
}
else if (this.Mode == OrderBookAggr.AggregationMode.MaxValue && current5.Size > sortedList[current5.Price].Size)
{
sortedList[current5.Price] = new Bid(current5);
}
}
foreach (Tick current6 in current4.Item3)
{
if (!sortedList2.ContainsKey(current6.Price))
{
Ask ask = new Ask(current6);
if (this.Mode == OrderBookAggr.AggregationMode.TotalValue)
{
ask.ProviderId = 0;
}
sortedList2.Add(current6.Price, ask);
}
else if (this.Mode == OrderBookAggr.AggregationMode.TotalValue)
{
sortedList2[current6.Price].Size += current6.Size;
}
else if (this.Mode == OrderBookAggr.AggregationMode.MaxValue && current6.Size > sortedList2[current6.Price].Size)
{
sortedList2[current6.Price] = new Ask(current6);
}
}
}
this.bids = new List<Tick>(sortedList.Values);
this.asks = new List<Tick>(sortedList2.Values);
this.bool_0 = true;
}
internal virtual void vmethod_11(Ask ask)
{
if (this.IsInstance)
{
this.OnAsk(ask);
List<Stop> list = this.idArray_0[ask.instrumentId];
if (list != null)
{
for (int i = 0; i < list.Count; i++)
{
Stop stop_ = list[i];
if (stop_.Connected)
{
stop_.method_7(ask);
}
}
}
}
}
protected override void OnAsk(Instrument instrument, Ask ask)
{
if (instrument.Id == currentFuturesContract.Id)
{
Ask rootAsk = new Ask(ask.DateTime, 0, rootInstrument.Id, ask.Price, ask.Size);
// Emit ask to to BuySide strategy.
EmitAsk(rootAsk);
}
}
public virtual void EmitAsk(Ask ask)
{
EventManager.OnEvent(new Ask(ask){providerId = (byte)Id});
}
public Quote(Bid bid, Ask ask)
{
Bid = bid;
Ask = ask;
DateTime = bid.DateTime > ask.DateTime ? bid.DateTime : ask.DateTime;
}
public void OnAsk(Ask ask)
{
// Check conditions for send leg orders.
if (order.Side == OrderSide.Buy)
{
switch (order.Type)
{
case OrderType.Limit:
if (ask.Price <= order.Price)
SendLegOrders();
break;
case OrderType.Stop:
if (ask.Price >= order.StopPx)
SendLegOrders();
break;
}
}
}
public Ask(Ask ask) : base(ask)
{
}
public override void EmitAsk(Ask ask)
{
// Emit ask to BuySide strategy.
base.EmitAsk(ask);
System.Collections.Generic.LinkedListNode<OrderProcessor> processorNode = processors.First;
// Send ask to order processors.
while (processorNode != null)
{
OrderProcessor processor = processorNode.Value;
processor.OnAsk(ask);
processorNode = processorNode.Next;
}
}
public new virtual void EmitAsk(Ask ask)
{
this.framework.EventManager.OnEvent(new Ask(ask) { ProviderId = (byte)Id });
}
public Level2(Ask ask, Level2UpdateAction action, int position): base(ask)
{
Side = Level2Side.Ask;
Action = action;
Position = position;
}
public override void EmitAsk(Ask ask)
{
var providerId = GetProviderId();
this.framework.EventManager.OnEvent(new Ask(ask) { ProviderId = providerId });
}
private void method_8(Order order_0, Bid bid_0, Ask ask_0)
{
}
internal void OnAsk(Ask ask)
{
var iId = ask.InstrumentId;
var pId = ask.ProviderId + 1;
this.latestAsk[iId] = ask;
this.askByIIdAndPId[pId] = this.askByIIdAndPId[pId] ?? new IdArray<Ask>(10240);
this.askByIIdAndPId[pId][iId] = ask;
}
protected virtual void OnAsk(Ask Ask)
{
// noop
}
public void OnAsk(Ask ask)
{
throw new NotImplementedException();
}