protected override void OnMarketData(Data.MarketDataEventArgs marketDataUpdate)
{
if (marketDataUpdate.IsReset)
{
CurrentValue = double.MinValue;
return;
}
if (marketDataUpdate.MarketDataType != Data.MarketDataType.Last || marketDataUpdate.Instrument.MarketData.LastClose == null)
{
return;
}
bool tryAgainLater;
double rate = 0;
if (account != null)
{
rate = marketDataUpdate.Instrument.GetConversionRate(Data.MarketDataType.Bid, account.Denomination, out tryAgainLater);
}
switch (Unit)
{
case Cbi.PerformanceUnit.Percent: CurrentValue = (marketDataUpdate.Price - marketDataUpdate.Instrument.MarketData.LastClose.Price) / marketDataUpdate.Instrument.MarketData.LastClose.Price; break;
case Cbi.PerformanceUnit.Pips: CurrentValue = ((marketDataUpdate.Price - marketDataUpdate.Instrument.MarketData.LastClose.Price) / Instrument.MasterInstrument.TickSize) * (Instrument.MasterInstrument.InstrumentType == Cbi.InstrumentType.Forex ? 0.1 : 1); break;;
case Cbi.PerformanceUnit.Ticks: CurrentValue = (marketDataUpdate.Price - marketDataUpdate.Instrument.MarketData.LastClose.Price) / Instrument.MasterInstrument.TickSize; break;
case Cbi.PerformanceUnit.Currency: CurrentValue = (marketDataUpdate.Price - marketDataUpdate.Instrument.MarketData.LastClose.Price) * Instrument.MasterInstrument.PointValue * rate * (Instrument.MasterInstrument.InstrumentType == Cbi.InstrumentType.Forex ? (account != null ? account.ForexLotSize : Cbi.Account.DefaultLotSize) : 1); break;
case Cbi.PerformanceUnit.Points: CurrentValue = (marketDataUpdate.Price - marketDataUpdate.Instrument.MarketData.LastClose.Price); break;
}
}
protected override void OnMarketData(Data.MarketDataEventArgs marketDataUpdate)
{
if (marketDataUpdate.IsReset)
{
CurrentValue = double.MinValue;
return;
}
double dailyLow = double.MinValue;
double settlementOrLastClose = double.MinValue;
if (marketDataUpdate.MarketDataType == MarketDataType.DailyLow && (marketDataUpdate.Instrument.MarketData.LastClose != null || marketDataUpdate.Instrument.MarketData.Settlement != null))
{
dailyLow = marketDataUpdate.Price;
settlementOrLastClose = marketDataUpdate.Instrument.MarketData.Settlement != null ? marketDataUpdate.Instrument.MarketData.Settlement.Price : marketDataUpdate.Instrument.MarketData.LastClose.Price;
}
else if ((marketDataUpdate.MarketDataType == MarketDataType.LastClose || marketDataUpdate.MarketDataType == MarketDataType.Settlement) && marketDataUpdate.Instrument.MarketData.DailyLow != null)
{
dailyLow = marketDataUpdate.Instrument.MarketData.DailyLow.Price;
settlementOrLastClose = marketDataUpdate.Instrument.MarketData.Settlement != null ? marketDataUpdate.Instrument.MarketData.Settlement.Price : marketDataUpdate.Price;
}
else if (isInitialCalculation)
{
if (marketDataUpdate.Instrument.MarketData.DailyLow != null && (marketDataUpdate.Instrument.MarketData.LastClose != null || marketDataUpdate.Instrument.MarketData.Settlement != null))
{
dailyLow = marketDataUpdate.Instrument.MarketData.DailyLow.Price;
settlementOrLastClose = marketDataUpdate.Instrument.MarketData.Settlement != null ? marketDataUpdate.Instrument.MarketData.Settlement.Price : marketDataUpdate.Instrument.MarketData.LastClose.Price;
}
isInitialCalculation = false;
}
if (dailyLow == double.MinValue || settlementOrLastClose == double.MinValue)
{
return;
}
bool tryAgainLater;
double rate = 0;
if (account != null)
{
rate = marketDataUpdate.Instrument.GetConversionRate(Data.MarketDataType.Bid, account.Denomination, out tryAgainLater);
}
switch (Unit)
{
case Cbi.PerformanceUnit.Percent: CurrentValue = (dailyLow - settlementOrLastClose) / settlementOrLastClose; break;
case Cbi.PerformanceUnit.Pips: CurrentValue = ((dailyLow - settlementOrLastClose) / Instrument.MasterInstrument.TickSize) * (Instrument.MasterInstrument.InstrumentType == Cbi.InstrumentType.Forex ? 0.1 : 1); break;;
case Cbi.PerformanceUnit.Ticks: CurrentValue = (dailyLow - settlementOrLastClose) / Instrument.MasterInstrument.TickSize; break;
case Cbi.PerformanceUnit.Currency: CurrentValue = (dailyLow - settlementOrLastClose) * Instrument.MasterInstrument.PointValue * rate * (Instrument.MasterInstrument.InstrumentType == Cbi.InstrumentType.Forex ? (account != null ? account.ForexLotSize : Cbi.Account.DefaultLotSize) : 1); break;
case Cbi.PerformanceUnit.Points: CurrentValue = (dailyLow - settlementOrLastClose); break;
}
}
protected override void OnMarketData(Data.MarketDataEventArgs marketDataUpdate)
{
if (marketDataUpdate.IsReset)
{
CurrentValue = double.MinValue;
sessionIterator = null;
return;
}
}
protected override void OnMarketData(Data.MarketDataEventArgs marketDataUpdate)
{
if (marketDataUpdate.IsReset)
{
currentValue = double.MinValue;
if (lastValue != currentValue)
{
Draw.TextFixed(this, "NinjaScriptInfo", FormatValue(currentValue), GetTextPosition(Location), currentValue >= 0 ? PositiveBrush : NegativeBrush, Font, Brushes.Transparent, Brushes.Transparent, 0);
lastValue = currentValue;
}
return;
}
if (marketDataUpdate.MarketDataType != Data.MarketDataType.Last || (marketDataUpdate.Instrument.MarketData.LastClose == null && marketDataUpdate.Instrument.MarketData.Settlement == null))
{
return;
}
bool tryAgainLater = false;
double rate = 0;
double settlementOrLast = marketDataUpdate.Instrument.MarketData.Settlement != null ? marketDataUpdate.Instrument.MarketData.Settlement.Price : marketDataUpdate.Instrument.MarketData.LastClose.Price;
if (account != null)
{
rate = marketDataUpdate.Instrument.GetConversionRate(Data.MarketDataType.Bid, account.Denomination, out tryAgainLater);
}
switch (Unit)
{
case Cbi.PerformanceUnit.Percent:
currentValue = (marketDataUpdate.Price - settlementOrLast) / settlementOrLast;
break;
case Cbi.PerformanceUnit.Pips:
currentValue = ((marketDataUpdate.Price - settlementOrLast) / Instrument.MasterInstrument.TickSize) * (Instrument.MasterInstrument.InstrumentType == Cbi.InstrumentType.Forex ? 0.1 : 1);
break;
case Cbi.PerformanceUnit.Ticks:
currentValue = (marketDataUpdate.Price - settlementOrLast) / Instrument.MasterInstrument.TickSize;
break;
case Cbi.PerformanceUnit.Currency:
currentValue = (marketDataUpdate.Price - settlementOrLast) * Instrument.MasterInstrument.PointValue * rate * (Instrument.MasterInstrument.InstrumentType == Cbi.InstrumentType.Forex ? (account != null ? account.ForexLotSize : Cbi.Account.DefaultLotSize) : 1);
break;
case Cbi.PerformanceUnit.Points:
currentValue = (marketDataUpdate.Price - settlementOrLast);
break;
}
if (lastValue != currentValue)
{
Draw.TextFixed(this, "NinjaScriptInfo", FormatValue(currentValue), GetTextPosition(Location), currentValue >= 0 ? PositiveBrush : NegativeBrush, Font, Brushes.Transparent, Brushes.Transparent, 0);
lastValue = currentValue;
}
}
protected override void OnMarketData(Data.MarketDataEventArgs marketDataUpdate)
{
if (marketDataUpdate.IsReset)
{
CurrentValue = double.MinValue;
}
else if (marketDataUpdate.MarketDataType == Data.MarketDataType.Ask)
{
CurrentValue = marketDataUpdate.Price;
}
}
protected override void OnMarketData(Data.MarketDataEventArgs marketDataUpdate)
{
if (marketDataUpdate.IsReset)
{
CurrentValue = double.MinValue;
}
else if (marketDataUpdate.MarketDataType == Data.MarketDataType.OpenInterest)
{
CurrentValue = marketDataUpdate.Volume;
}
}
protected override void OnMarketData(Data.MarketDataEventArgs marketDataUpdate)
{
if (marketDataUpdate.IsReset)
{
CurrentValue = double.MinValue;
}
else if (marketDataUpdate.MarketDataType == Data.MarketDataType.Last)
{
CurrentValue = marketDataUpdate.Time.Subtract(reference).TotalSeconds;
}
}
protected override void OnMarketData(Data.MarketDataEventArgs marketDataUpdate)
{
if (marketDataUpdate.IsReset)
{
CurrentValue = double.MinValue;
}
else if (marketDataUpdate.MarketDataType == Data.MarketDataType.Bid)
{
instrumentType = marketDataUpdate.Instrument.MasterInstrument.InstrumentType;
CurrentValue = instrumentType == InstrumentType.CryptoCurrency ? Core.Globals.ToCryptocurrencyVolume(marketDataUpdate.Volume) : marketDataUpdate.Volume;
}
}
protected override void OnMarketData(Data.MarketDataEventArgs marketDataUpdate)
{
if (marketDataUpdate.IsReset)
{
CurrentValue = double.MinValue;
}
else if ((marketDataUpdate.MarketDataType == Data.MarketDataType.Ask || marketDataUpdate.MarketDataType == Data.MarketDataType.Bid) &&
Instrument.MarketData.Ask != null && Instrument.MarketData.Bid != null)
{
CurrentValue = Instrument.MarketData.Ask.Price - Instrument.MarketData.Bid.Price;
}
}
protected override void OnMarketData(Data.MarketDataEventArgs marketDataUpdate)
{
if (marketDataUpdate.IsReset)
{
CurrentValue = double.MinValue;
return;
}
if (marketDataUpdate.MarketDataType != Data.MarketDataType.Last || marketDataUpdate.Instrument.MarketData.LastClose == null)
{
return;
}
CurrentValue = Math.Abs((marketDataUpdate.Instrument.MarketData.DailyLow.Price - marketDataUpdate.Instrument.MarketData.DailyHigh.Price)) * marketDataUpdate.Instrument.MasterInstrument.PointValue;
}
protected override void OnMarketData(Data.MarketDataEventArgs marketDataUpdate)
{
if (marketDataUpdate.IsReset)
{
CurrentValue = double.MinValue;
return;
}
else if (marketDataUpdate.MarketDataType != Data.MarketDataType.Last || marketDataUpdate.Instrument.MarketData.LastClose == null)
{
return;
}
lastClose = marketDataUpdate.Instrument.MarketData.LastClose.Price;
CurrentValue = (marketDataUpdate.Price - marketDataUpdate.Instrument.MarketData.LastClose.Price) / marketDataUpdate.Instrument.MarketData.LastClose.Price;
}
protected override void OnMarketData(Data.MarketDataEventArgs marketDataUpdate)
{
if (marketDataUpdate.MarketDataType == MarketDataType.Bid)
{
lastBid = marketDataUpdate.Price;
return;
}
else if (marketDataUpdate.MarketDataType == MarketDataType.Ask)
{
lastAsk = marketDataUpdate.Price;
return;
}
else if (marketDataUpdate.MarketDataType != MarketDataType.Last)
{
return;
}
if (lastAsk == double.MinValue || lastBid == double.MinValue)
{
slots.Insert(0, TrendValue.Between);
}
else if (marketDataUpdate.Price.ApproxCompare(lastAsk) == 0)
{
slots.Insert(0, TrendValue.AtAsk);
}
else if (marketDataUpdate.Price.ApproxCompare(lastAsk) == 1)
{
slots.Insert(0, TrendValue.AboveAsk);
}
else if (marketDataUpdate.Price.ApproxCompare(lastBid) == 0)
{
slots.Insert(0, TrendValue.AtBid);
}
else if (marketDataUpdate.Price.ApproxCompare(lastBid) == -1)
{
slots.Insert(0, TrendValue.BelowBid);
}
else
{
slots.Insert(0, TrendValue.Between);
}
if (slots.Count > maxSlots)
{
slots.RemoveRange(maxSlots - 1, slots.Count - maxSlots);
}
}
protected override void OnMarketData(Data.MarketDataEventArgs marketDataUpdate)
{
CurrentValue = realizedPL + (position == null ? 0 : position.GetUnrealizedProfitLoss(Cbi.PerformanceUnit.Currency));
}
protected override void OnMarketData(Data.MarketDataEventArgs marketUpdate)
{
if (marketUpdate.MarketDataType != Data.MarketDataType.Last)
{
return;
}
Data.MarketDataEventArgs mu = marketUpdate; // Access to modified closure
if (justConnected)
{
if (SuperDom.Account == null)
{
return;
}
// Get the orders already open and assign APQ values to them
lock (SuperDom.Account.Orders)
foreach (Cbi.Order order in SuperDom.Account.Orders)
{
GetInitialOrderApq(order, order.OrderState, order.LimitPrice);
}
justConnected = false;
return;
}
long currentApqValue;
if (priceApqValues.TryGetValue(mu.Price, out currentApqValue))
{
// If the current volume has dropped below the previous value, update APQ value
lock (SuperDom.Rows)
{
PriceRow row = SuperDom.Rows.FirstOrDefault(r => r.Price == mu.Price);
if (row != null)
{
if (row.BuyOrders.Count > 0)
{
long newVal = currentApqValue - mu.Volume;
if (currentApqValue != 0 && newVal < currentApqValue)
{
priceApqValues.TryUpdate(mu.Price, // Key
currentApqValue > 1 ? (newVal >= 1 ? newVal : 1) : currentApqValue, // New value
currentApqValue); // Comparison value
ConcurrentDictionary <Cbi.Order, long> ordersThisPrice;
if (priceToOrderApqMap.TryGetValue(mu.Price, out ordersThisPrice))
{
foreach (Cbi.Order key in ordersThisPrice.Keys)
{
if (newVal < ordersThisPrice[key])
{
ordersThisPrice.TryUpdate(key, newVal, ordersThisPrice[key]);
}
}
}
}
}
else if (row.SellOrders.Count == 0)
{
long oldDepth;
priceApqValues.TryRemove(mu.Price, out oldDepth);
}
}
}
}
if (priceApqValues.TryGetValue(mu.Price, out currentApqValue))
{
// If the current volume has dropped below the previous value, update APQ value
lock (SuperDom.Rows)
{
PriceRow row = SuperDom.Rows.FirstOrDefault(r => r.Price == mu.Price);
if (row != null)
{
if (row.SellOrders.Count > 0)
{
long newVal = currentApqValue - mu.Volume;
if (currentApqValue != 0 && newVal < currentApqValue)
{
priceApqValues.TryUpdate(mu.Price, // Key
currentApqValue > 1 ? (newVal >= 1 ? newVal : 1) : currentApqValue, // New value
currentApqValue); // Comparison value
ConcurrentDictionary <Cbi.Order, long> ordersThisPrice;
if (priceToOrderApqMap.TryGetValue(mu.Price, out ordersThisPrice))
{
foreach (Cbi.Order key in ordersThisPrice.Keys)
{
if (newVal < ordersThisPrice[key])
{
ordersThisPrice.TryUpdate(key, newVal, ordersThisPrice[key]);
}
}
}
}
}
else if (row.BuyOrders.Count == 0)
{
long oldDepth;
priceApqValues.TryRemove(mu.Price, out oldDepth);
}
}
}
}
}
