public bool AddReplaceItem(MarketDepth item)
{
bool flag = false;
int num = 0;
IEnumerator enumerator = this.fList.GetEnumerator();
try
{
while (enumerator.MoveNext())
{
MarketDepth marketDepth = (MarketDepth)enumerator.Current;
if (marketDepth.Price == item.Price && marketDepth.Size == item.Size && marketDepth.MarketMaker == item.MarketMaker && marketDepth.Side == item.Side)
{
this.fList[num] = item;
flag = true;
}
num++;
}
}
finally
{
IDisposable disposable = enumerator as IDisposable;
if (disposable != null)
{
disposable.Dispose();
}
}
if (!flag)
{
this.fList.Add(item);
}
return flag;
}
public void EmitMarketDepth(FreeQuant.Data.MarketDepth depth, Instrument instrument)
{
if (this.WiB4iTUE4w == null)
{
return;
}
this.WiB4iTUE4w((object)this, new MarketDepthEventArgs(depth, (IFIXInstrument)instrument, (IMarketDataProvider)this));
}
public void Add(MarketDepth marketDepth)
{
DataManager.Add(this, marketDepth);
}
public void Add(string series, MarketDepth marketDepth)
{
DataManager.Add(this, series, marketDepth);
}
public MarketDepth(MarketDepth marketDepth) : this(marketDepth.DateTime, marketDepth.ProviderId, marketDepth.MarketMaker, marketDepth.Source, marketDepth.Position, marketDepth.operation, marketDepth.side, marketDepth.Price, marketDepth.Size)
{
}
public static void Add(Instrument instrument, string suffix, MarketDepth marketDepth)
{
DataManager.Add(instrument.Symbol + SERIES_SEPARATOR + suffix, marketDepth);
}
internal void NEl89GHdA(Instrument obj0, MarketDepth obj1)
{
if (!this.isActive)
return;
if (Trace.IsLevelEnabled(TraceLevel.Verbose))
Trace.WriteLine(string.Format("fds", (object) this.Name, (object) obj0.Symbol, (object) obj1));
this.OnNewMarketDepth(obj0, obj1);
}
public void Add(MarketDepth marketDepth)
{
try
{
OrderBookEntryList orderBookEntryList;
switch (marketDepth.Side)
{
case MDSide.Bid:
orderBookEntryList = this.bidList;
break;
case MDSide.Ask:
orderBookEntryList = this.askList;
break;
default:
throw new ArgumentException("Invalid Side" + marketDepth.Side);
}
switch (marketDepth.Operation)
{
case MDOperation.Insert:
if (marketDepth.Position == -1)
{
int index = -1;
switch (marketDepth.Side)
{
case MDSide.Bid:
index = 0;
while (index < orderBookEntryList.Count && marketDepth.Price <= orderBookEntryList[index].Price)
++index;
break;
case MDSide.Ask:
index = orderBookEntryList.Count;
while (index > 0 && marketDepth.Price <= orderBookEntryList[index - 1].Price)
--index;
break;
}
orderBookEntryList.Insert(index, new OrderBookEntry(marketDepth.DateTime, marketDepth.Price, marketDepth.Size));
this.EmitChanged(marketDepth.Side, marketDepth.Operation, index);
break;
}
else
{
orderBookEntryList.Insert(marketDepth.Position, new OrderBookEntry(marketDepth.DateTime, marketDepth.Price, marketDepth.Size));
this.EmitChanged(marketDepth.Side, marketDepth.Operation, marketDepth.Position);
break;
}
case MDOperation.Update:
if (marketDepth.Position == -1 || marketDepth.Position >= orderBookEntryList.Count)
break;
OrderBookEntry orderBookEntry = orderBookEntryList[marketDepth.Position];
orderBookEntry.DateTime = marketDepth.DateTime;
orderBookEntry.Size = marketDepth.Size;
if (marketDepth.Price > 0.0)
orderBookEntry.Price = marketDepth.Price;
this.EmitChanged(marketDepth.Side, marketDepth.Operation, marketDepth.Position);
break;
case MDOperation.Delete:
if (marketDepth.Position == -1)
break;
orderBookEntryList.RemoveAt(marketDepth.Position);
this.EmitChanged(marketDepth.Side, marketDepth.Operation, marketDepth.Position);
break;
case MDOperation.Reset:
orderBookEntryList.Clear();
this.EmitChanged(marketDepth.Side, marketDepth.Operation, marketDepth.Position);
break;
case MDOperation.Undefined:
break;
default:
throw new ArgumentException("MDOperation is unknown: " + marketDepth.Operation.ToString());
}
}
catch (Exception ex)
{
Trace.WriteLine(ex.ToString());
}
}
public HistoricalMarketDepthEventArgs(MarketDepth marketDepth, string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength)
: base(requestId, instrument, provider, dataLength)
{
this.MarketDepth = marketDepth;
}
public void SetNewMarketDepth(FreeQuant.Instruments.Instrument instrument, MarketDepth depth)
{
try
{
Strategy strategy = (Strategy) null;
if (!this.strategies.TryGetValue(instrument, out strategy))
return;
strategy.OnOrderBookChanged((OrderBookUpdate) this.objectConverter.Convert(depth));
}
catch (Exception ex)
{
this.EmitError(ex);
}
}
public MarketDepth(MarketDepth marketDepth) : this(marketDepth.DateTime, marketDepth.ProviderId, marketDepth.MarketMaker, marketDepth.Source, marketDepth.Position, marketDepth.operation, marketDepth.side, marketDepth.Price, marketDepth.Size)
{
}
protected override void OnNewMarketDepth(Instrument instrument, MarketDepth marketDepth)
{
this.kXJRQmVtwY.OnMarketDepth(instrument, marketDepth);
this.k7bROYTXtn.OnMarketDepth(instrument, marketDepth);
}
public void Add(MarketDepth marketDepth)
{
try
{
OrderBookEntryList orderBookEntryList;
switch (marketDepth.Side)
{
case MDSide.Bid:
orderBookEntryList = this.bidList;
break;
case MDSide.Ask:
orderBookEntryList = this.askList;
break;
default:
throw new ArgumentException("Invalid Side" + marketDepth.Side);
}
switch (marketDepth.Operation)
{
case MDOperation.Insert:
if (marketDepth.Position == -1)
{
int index = -1;
switch (marketDepth.Side)
{
case MDSide.Bid:
index = 0;
while (index < orderBookEntryList.Count && marketDepth.Price <= orderBookEntryList[index].Price)
{
++index;
}
break;
case MDSide.Ask:
index = orderBookEntryList.Count;
while (index > 0 && marketDepth.Price <= orderBookEntryList[index - 1].Price)
{
--index;
}
break;
}
orderBookEntryList.Insert(index, new OrderBookEntry(marketDepth.DateTime, marketDepth.Price, marketDepth.Size));
this.EmitChanged(marketDepth.Side, marketDepth.Operation, index);
break;
}
else
{
orderBookEntryList.Insert(marketDepth.Position, new OrderBookEntry(marketDepth.DateTime, marketDepth.Price, marketDepth.Size));
this.EmitChanged(marketDepth.Side, marketDepth.Operation, marketDepth.Position);
break;
}
case MDOperation.Update:
if (marketDepth.Position == -1 || marketDepth.Position >= orderBookEntryList.Count)
{
break;
}
OrderBookEntry orderBookEntry = orderBookEntryList[marketDepth.Position];
orderBookEntry.DateTime = marketDepth.DateTime;
orderBookEntry.Size = marketDepth.Size;
if (marketDepth.Price > 0.0)
{
orderBookEntry.Price = marketDepth.Price;
}
this.EmitChanged(marketDepth.Side, marketDepth.Operation, marketDepth.Position);
break;
case MDOperation.Delete:
if (marketDepth.Position == -1)
{
break;
}
orderBookEntryList.RemoveAt(marketDepth.Position);
this.EmitChanged(marketDepth.Side, marketDepth.Operation, marketDepth.Position);
break;
case MDOperation.Reset:
orderBookEntryList.Clear();
this.EmitChanged(marketDepth.Side, marketDepth.Operation, marketDepth.Position);
break;
case MDOperation.Undefined:
break;
default:
throw new ArgumentException("MDOperation is unknown: " + marketDepth.Operation.ToString());
}
}
catch (Exception ex)
{
Trace.WriteLine(ex.ToString());
}
}
public object Convert(MarketDepth marketDepth)
{
return new OrderBookUpdate(marketDepth);
}
protected override void OnNewMarketDepth(Instrument instrument, MarketDepth marketDepth)
{
this.A6MpF2380O.OnMarketDepth(instrument, marketDepth);
this.HeHpDewVKD.OnMarketDepth(instrument, marketDepth);
this.marketManager.OnMarketDepth(instrument, marketDepth);
this.exits[instrument].OnMarketDepth(marketDepth);
this.entries[instrument].OnMarketDepth(marketDepth);
this.moneyManagers[instrument].OnMarketDepth(marketDepth);
this.riskManagers[instrument].OnMarketDepth(marketDepth);
}
public virtual void OnMarketDepth(MarketDepth marketDepth)
{
}
public virtual void OnMarketDepth(Instrument instrument, MarketDepth marketDepth)
{
}
protected override void OnNewMarketDepth(Instrument instrument, MarketDepth marketDepth)
{
this.marketManager.OnMarketDepth(instrument, marketDepth);
this.klBiFcxZsD.OnMarketDepth(instrument, marketDepth);
this.csNiLdTRqH[instrument].OnMarketDepth(marketDepth);
}
private void HiaeqOcUjh(IFIXInstrument instrument, MarketDepth md)
{
if (this.NewMarketDepth != null)
{
this.NewMarketDepth(this, new MarketDepthEventArgs(md, instrument, this));
}
}
protected virtual void OnNewMarketDepth(Instrument instrument, MarketDepth marketDepth)
{
}
internal OrderBookUpdate(MarketDepth marketDepth)
{
this.marketDepth = marketDepth;
}
public static void Add(string series, MarketDepth marketDepth)
{
DataManager.server.Add(series, marketDepth);
}
public MarketDepthEventArgs(MarketDepth marketDepth, IFIXInstrument instrument, IMarketDataProvider provider) : base(instrument, provider)
{
this.MarketDepth = marketDepth;
}
public static void Add(Instrument instrument, MarketDepth marketDepth)
{
DataManager.Add(instrument, SUFFIX_MARKET_DEPTH, marketDepth);
}
public void EmitMarketDepth(Instrument instrument, DateTime time, BidAsk side, OrderBookAction action, double price, int size, int position)
{
MarketDepth marketDepth = new MarketDepth(time, string.Empty, position, EnumConverter.Convert(action), EnumConverter.Convert(side), price, size);
if (this.NewMarketDepth == null)
return;
this.NewMarketDepth((object) this, new MarketDepthEventArgs(marketDepth, (IFIXInstrument) instrument.instrument, (IMarketDataProvider) this));
}
