internal void Refresh()
{
lock (m_synchronizer)
{
Algorithm.Swap(ref m_first, ref m_second);
m_first.Clear();
}
foreach (var element in m_second)
{
m_quotes.Enqueue(element);
m_last = element;
}
long now = EnvironmentEx.GetTickCountEx();
for (; m_quotes.Count > 0;)
{
QuoteEx entry = m_quotes.Peek();
long delta = (now - entry.Time);
if (delta > m_intervalInMs)
{
m_quotes.Dequeue();
}
else
{
break;
}
}
m_time = now;
}
internal static GraphPart CreateAsks(double requiredVolume, Quotes quotes)
{
GraphPart result = new GraphPart(quotes);
List <Point2F> points = result.m_points;
long now = quotes.Time;
foreach (var element in quotes.Items)
{
Point2F point = new Point2F();
point.X = (element.Time - now) / 1000.0F;
point.Y = MathEx.CalculateWAVP(requiredVolume, element.Quote.Asks);
points.Add(point);
}
QuoteEx quote = quotes.Last;
if (null != quote.Quote)
{
Point2F point = new Point2F();
point.X = (quote.Time - now) / 1000.0F;
if (point.X < -quotes.Interval)
{
point.X = -(float)quotes.Interval;
}
point.Y = MathEx.CalculateWAVP(requiredVolume, quote.Quote.Asks);
points.Add(point);
}
return(result);
}
private static void WriteQuote(double lotSize, double roundingStepOfPrice, IEnumerable<double> volumes, QuoteEx quote, long start, StringBuilder builder)
{
double delta = (quote.Time - start) / 1000.0;
builder.Append(delta);
builder.AppendFormat(",{0}", quote.Quote.CreatingTime.ToString("yyyy-MM-ddTHH:mm:ss.fff"));
foreach(var element in volumes)
{
float? bid = MathEx.CalculateWAVP(element * lotSize, quote.Quote.Bids);
float? ask = MathEx.CalculateWAVP(element * lotSize, quote.Quote.Asks);
if (bid.HasValue)
{
bid = (float)MathEx.RoundDown(bid.Value, roundingStepOfPrice);
}
if (ask.HasValue)
{
ask = (float)MathEx.RoundUp(ask.Value, roundingStepOfPrice);
}
builder.AppendFormat(",{0},{1}", bid, ask);
}
builder.AppendLine();
}
internal void Add(Quote quote)
{
lock (m_synchronizer)
{
long now = EnvironmentEx.GetTickCountEx();
QuoteEx entry = new QuoteEx(now, quote);
m_first.Add(entry);
}
}
internal void Set(Quote[] quotes)
{
m_quotes.Clear();
Quote last = quotes.Last();
m_time = 0;
foreach (var element in quotes)
{
long time = (long)(element.CreatingTime - last.CreatingTime).TotalMilliseconds;
long delta = (m_time - time);
if (delta <= m_intervalInMs)
{
QuoteEx quote = new QuoteEx(time, element);
m_quotes.Enqueue(quote);
}
}
}
internal void Refresh()
{
lock (m_synchronizer)
{
Algorithm.Swap(ref m_first, ref m_second);
m_first.Clear();
}
foreach (var element in m_second)
{
m_quotes.Enqueue(element);
m_last = element;
}
long now = EnvironmentEx.GetTickCountEx();
for (; m_quotes.Count > 0; )
{
QuoteEx entry = m_quotes.Peek();
long delta = (now - entry.Time);
if (delta > m_intervalInMs)
{
m_quotes.Dequeue();
}
else
{
break;
}
}
m_time = now;
}
internal void Add(Quote quote)
{
lock (m_synchronizer)
{
long now = EnvironmentEx.GetTickCountEx();
QuoteEx entry = new QuoteEx(now, quote);
m_first.Add(entry);
}
}
internal void Set(Quote[] quotes)
{
m_quotes.Clear();
Quote last = quotes.Last();
m_time = 0;
foreach (var element in quotes)
{
long time = (long)(element.CreatingTime - last.CreatingTime).TotalMilliseconds;
long delta = (m_time - time);
if (delta <= m_intervalInMs)
{
QuoteEx quote = new QuoteEx(time, element);
m_quotes.Enqueue(quote);
}
}
}
private static void WriteQuote(double lotSize, double roundingStepOfPrice, IEnumerable <double> volumes, QuoteEx quote, long start, StringBuilder builder)
{
double delta = (quote.Time - start) / 1000.0;
builder.Append(delta);
builder.AppendFormat(",{0}", quote.Quote.CreatingTime.ToString("yyyy-MM-ddTHH:mm:ss.fff"));
foreach (var element in volumes)
{
float?bid = MathEx.CalculateWAVP(element * lotSize, quote.Quote.Bids);
float?ask = MathEx.CalculateWAVP(element * lotSize, quote.Quote.Asks);
if (bid.HasValue)
{
bid = (float)MathEx.RoundDown(bid.Value, roundingStepOfPrice);
}
if (ask.HasValue)
{
ask = (float)MathEx.RoundUp(ask.Value, roundingStepOfPrice);
}
builder.AppendFormat(",{0},{1}", bid, ask);
}
builder.AppendLine();
}