public void Add(FixedIncomeIntraDayTimeBarCollection value)
{
if (value == null)
{
this._logger.LogInformation("UniverseFixedIncomeIntraDayCache was asked to add null. returning");
return;
}
this._logger.LogInformation(
$"UniverseFixedIncomeIntraDayCache adding {value.Epoch} - {value.Exchange?.MarketIdentifierCode}");
if (this._latestExchangeFrameBook.ContainsKey(value.Exchange.MarketIdentifierCode))
{
this._latestExchangeFrameBook.Remove(value.Exchange.MarketIdentifierCode);
this._latestExchangeFrameBook.Add(value.Exchange.MarketIdentifierCode, value);
}
else
{
this._latestExchangeFrameBook.Add(value.Exchange.MarketIdentifierCode, value);
}
if (!this._marketHistory.ContainsKey(value.Exchange.MarketIdentifierCode))
{
var history = new FixedIncomeIntraDayHistoryStack(this._windowSize);
history.Add(value, value.Epoch);
this._marketHistory.TryAdd(value.Exchange.MarketIdentifierCode, history);
}
else
{
this._marketHistory.TryGetValue(value.Exchange.MarketIdentifierCode, out var history);
history?.Add(value, value.Epoch);
history?.ArchiveExpiredActiveItems(value.Epoch);
}
}
public void Add(FixedIncomeIntraDayTimeBarCollection frame, DateTime currentTime)
{
if (frame == null)
{
return;
}
lock (this._lock)
{
if (currentTime.Subtract(frame.Epoch) <= this._activeTradeDuration)
{
this._activeStack.Push(frame);
}
}
}
private IUniverseEvent MapRowToFixedIncomeIntradayMarketDataEvent(IntradayMarketDataParameters marketDataParam)
{
if (marketDataParam == null)
{
return(null);
}
if (string.IsNullOrWhiteSpace(marketDataParam.SecurityName) ||
!this._securitySelection.Securities.ContainsKey(marketDataParam.SecurityName))
{
this._scenarioContext.Pending();
return(null);
}
if (marketDataParam.Bid == null || marketDataParam.Ask == null || marketDataParam.Price == null)
{
this._scenarioContext.Pending();
return(null);
}
var security = this._securitySelection.Securities[marketDataParam.SecurityName];
var bid = this.MapToMoney(marketDataParam.Bid, marketDataParam.Currency);
var ask = this.MapToMoney(marketDataParam.Ask, marketDataParam.Currency);
var price = this.MapToMoney(marketDataParam.Price, marketDataParam.Currency);
var volume = new Volume(marketDataParam.Volume.GetValueOrDefault(0));
var intradayPrices = new SpreadTimeBar(bid.Value, ask.Value, price.Value, volume);
var marketData = new FixedIncomeInstrumentIntraDayTimeBar(
security.Instrument,
intradayPrices,
null,
marketDataParam.Epoch,
security.Market);
var timeBarCollection = new FixedIncomeIntraDayTimeBarCollection(
security.Market,
marketDataParam.Epoch,
new[] { marketData });
var universeEvent = new UniverseEvent(
UniverseStateEvent.FixedIncomeIntraDayTick,
marketDataParam.Epoch,
timeBarCollection);
return(universeEvent);
}
