private void _OnBarUpdateRealTime()
{
if (FirstTickOfBar)
{
_curBarVol = 0;
}
//now we empty the tick queue used in OnMarketData
int queueCount = _tickQueue.Count;
// if COBC=true then last tick belongs to next bar
if (CalculateOnBarClose)
{
queueCount--;
}
GMarketDataType tcTemp;
for (int i = 0; i < queueCount; i++)
{
_mktData = _tickQueue.Dequeue();
//not the same process if we have to split volume or not.
//if we don't, we send all volume
//we only split on volume chart, if volume is too high, if it is the last tick of the queue and if we asked for splitting
if ((BarsPeriod.Id != PeriodType.Volume) || ((_curBarVol + _mktData.volume) <= _maxVolume) || (i < (queueCount - 1)) || !_splitVolume)
{
_vol2Send = _mktData.volume;
_SendMarketData();
}
else
{
//split volume
_vol2Send = Math.Max(_maxVolume - _curBarVol, 0);
_SendMarketData();//Math.Max(MaxVolume - curBarVol, 0), FirstTickOfBar);
//requeue remaining volume
//if COBC=true we have to remove the last tick or we will have an ordering problem
if (CalculateOnBarClose)
{
tcTemp = _tickQueue.Dequeue();
_tickQueue.Enqueue(_mktData);
_tickQueue.Enqueue(tcTemp);
}
else
{
_tickQueue.Enqueue(_mktData);
}
}
}
}
protected virtual void GOnMarketData(GMarketDataType e)
{
}
protected int CalcDelta(GMarketDataType e)
{
return(_CalcDelta(e.tickType, e.price, e.volume, _calcMode, _backupMode, _filterSize, _filterMode));
}
