public Instrument(InstrumentType type, string symbol, string secutityExchange, string currency)
{
if (FreeQuant.Instruments.InstrumentManager.Instruments.Contains(symbol))
{
return;
}
this.instrument = new FreeQuant.Instruments.Instrument(symbol, EnumConverter.Convert(type));
this.instrument.SecurityExchange = secutityExchange;
this.instrument.Currency = currency;
this.instrument.Save();
}
public static BarSeries GetHistoricalBars(Instrument instrument, DateTime begin, DateTime end, BarType barType, long barSize)
{
FreeQuant.Instruments.Instrument instrument1 = Map.OQ_FQ_Instrument[(object)instrument] as FreeQuant.Instruments.Instrument;
if (barSize == 86400)
{
return(new BarSeries((FreeQuant.Series.BarSeries)FreeQuant.Instruments.DataManager.GetDailySeries(instrument1, begin, end)));
}
else
{
return(new BarSeries(FreeQuant.Instruments.DataManager.GetBarSeries(instrument1, begin, end, EnumConverter.Convert(barType), barSize)));
}
}
public static void Add(Instrument instrument, Bar bar)
{
FreeQuant.Instruments.Instrument instrument1 = Map.OQ_FQ_Instrument[(object)instrument] as FreeQuant.Instruments.Instrument;
if (bar.bar.BarType == FreeQuant.Data.BarType.Time && bar.bar.Size == 86400L)
{
Daily daily = new Daily(bar.bar.DateTime, bar.bar.Open, bar.bar.High, bar.bar.Low, bar.bar.Close, bar.bar.Volume, bar.bar.OpenInt);
FreeQuant.Instruments.DataManager.Add(instrument1, daily);
}
else
{
FreeQuant.Instruments.DataManager.Add(instrument1, bar.bar);
}
}
public void SendMarketDataRequest(FIXMarketDataRequest request)
{
SubscriptionDataType subscriptionDataType = (SubscriptionDataType)0;
for (int i = 0; i < request.NoMDEntryTypes; ++i)
{
switch (request.GetMDEntryTypesGroup(i).MDEntryType)
{
case '0':
case '1':
if (request.MarketDepth == 1)
{
subscriptionDataType |= SubscriptionDataType.Quotes;
break;
}
else
{
subscriptionDataType |= SubscriptionDataType.OrderBook;
break;
}
case '2':
subscriptionDataType |= SubscriptionDataType.Trades;
break;
}
}
for (int i = 0; i < request.NoRelatedSym; ++i)
{
FreeQuant.Instruments.Instrument instrument1 = FreeQuant.Instruments.InstrumentManager.Instruments[request.GetRelatedSymGroup(i).Symbol];
Instrument instrument2 = Map.FQ_OQ_Instrument[(object)instrument1] as Instrument;
switch (request.SubscriptionRequestType)
{
case '1':
this.provider.CallSubscribe(instrument2, subscriptionDataType);
break;
case '2':
this.provider.CallUnsubscribe(instrument2, subscriptionDataType);
break;
default:
throw new Exception("Unknown subscription request type " + (object)request.SubscriptionRequestType);
}
}
}
internal Instrument(FreeQuant.Instruments.Instrument instrument)
{
this.instrument = instrument;
this.book = new OrderBook(instrument.OrderBook);
this.AltIDGroups = new AltIDGroupList(this);
}
