public void SetNewQuote(FreeQuant.Instruments.Instrument instrument, FreeQuant.Data.Quote quote)
{
try
{
if (this.stops.Count != 0)
{
List <ATSStop> list = (List <ATSStop>)null;
if (this.activeStops.TryGetValue(instrument, out list))
{
foreach (ATSStop atsStop in new ArrayList((ICollection)list))
{
if (atsStop.Connected)
{
atsStop.OnNewQuote(quote);
}
}
}
}
Strategy strategy = (Strategy)null;
if (!this.strategies.TryGetValue(instrument, out strategy))
{
return;
}
strategy.OnQuote((OpenQuant.API.Quote) this.objectConverter.Convert(quote));
}
catch (Exception ex)
{
this.EmitError(ex);
}
}
public zo21q6cy3fImtUHATQ(SimulationExecutionProvider obj0, FIXNewOrderSingle obj1)
{
this.smCF4MYTNu = new Quote();
this.j57Fjc16NJ = 1E-08;
this.A8bFJItyyx = obj0;
this.PYBF7sahqY = obj1;
this.kUyFaL3cQu = obj0.FillOnBarMode;
this.L27FNaAWTp = obj0.FillAtLimitPrice;
this.yFOFUpVbqt = obj0.FillAtStopPrice;
if (obj1.TradeVolumeDelay == 0)
this.gxTF8gufMx = true;
if ((this.PYBF7sahqY as SingleOrder).OrdType == OrdType.TrailingStop || (this.PYBF7sahqY as SingleOrder).OrdType == OrdType.TrailingStopLimit)
{
switch ((this.PYBF7sahqY as SingleOrder).Side)
{
case Side.Buy:
case Side.BuyMinus:
this.zGRFvN99ge = double.MaxValue;
break;
case Side.Sell:
case Side.SellShort:
this.zGRFvN99ge = double.MinValue;
break;
default:
throw new NotSupportedException("" + obj1.Side.ToString());
}
}
this.A8bFJItyyx.MyIPdEI7fi.Add(this.PYBF7sahqY.ClOrdID, this);
this.dGEFgdOydF();
}
public MarketDataUpdateItem(MarketDataViewRow row, Quote quote, Trade trade, Bar bar)
{
this.Row = row;
this.Quote = quote;
this.Trade = trade;
this.Bar = bar;
}
protected override void OnUpdateQuote(Quote quote)
{
this.Cells[1].Value = quote.DateTime;
this.Cells[6].Value = quote.BidSize;
this.Cells[7].Value = quote.Bid;
this.Cells[8].Value = quote.Ask;
this.Cells[9].Value = quote.AskSize;
}
public void Update(Quote quote, Trade trade, Bar bar)
{
if (!this.enabled)
return;
if (quote != null)
this.OnUpdateQuote(quote);
if (trade != null)
this.OnUpdateTrade(trade);
if (bar == null)
return;
this.OnUpdateBar(bar);
}
public void OnNewQuote(IFIXInstrument instrument, Quote quote)
{
if (!this.Enabled)
return;
Quote quote1;
if (!this.ALv6cyCmM.TryGetValue(instrument, out quote1))
{
quote1 = new Quote();
this.ALv6cyCmM.Add(instrument, quote1);
}
switch (this.Input)
{
case BarFactoryInput.Bid:
if (quote.Bid != quote1.Bid || quote.BidSize != quote1.BidSize)
{
this.AddTrade(instrument, quote.DateTime, quote.Bid, quote.BidSize);
}
break;
case BarFactoryInput.Ask:
if (quote.Ask != quote1.Ask || quote.AskSize != quote1.AskSize)
{
this.AddTrade(instrument, quote.DateTime, quote.Ask, quote.AskSize);
}
break;
case BarFactoryInput.BidAsk:
if (quote.Ask != quote1.Ask || quote.AskSize != quote1.AskSize)
this.AddTrade(instrument, quote.DateTime, quote.Ask, quote.AskSize);
if (quote.Bid != quote1.Bid || quote.BidSize != quote1.BidSize)
{
this.AddTrade(instrument, quote.DateTime, quote.Bid, quote.BidSize);
}
break;
case BarFactoryInput.Middle:
if (quote.Ask != quote1.Ask || quote.AskSize != quote1.AskSize || (quote.Bid != quote1.Bid || quote.BidSize != quote1.BidSize))
{
this.AddTrade(instrument, quote.DateTime, (quote.Ask + quote.Bid) / 2.0, (quote.AskSize + quote.BidSize) / 2);
}
break;
case BarFactoryInput.Spread:
if (quote.Ask != quote1.Ask || quote.AskSize != quote1.AskSize || (quote.Bid != quote1.Bid || quote.BidSize != quote1.BidSize))
{
this.AddTrade(instrument, quote.DateTime, quote.Ask - quote.Bid, 0);
}
break;
}
quote1.Ask = quote.Ask;
quote1.Bid = quote.Bid;
quote1.AskSize = quote.AskSize;
quote1.BidSize = quote.BidSize;
}
public void OnNewQuote(IFIXInstrument instrument, Quote quote)
{
if (!this.Enabled)
return;
double price;
int size;
switch (this.Input)
{
case BarFactoryInput.Bid:
price = quote.Bid;
size = quote.BidSize;
break;
case BarFactoryInput.Ask:
price = quote.Ask;
size = quote.AskSize;
break;
case BarFactoryInput.BidAsk:
this.AddTrade(instrument, DateTime.Now, quote.Bid, quote.BidSize);
this.AddTrade(instrument, DateTime.Now, quote.Ask, quote.AskSize);
return;
case BarFactoryInput.Middle:
this.AddTrade(instrument, DateTime.Now, (quote.Ask + quote.Bid) / 2.0, (quote.AskSize + quote.BidSize) / 2);
return;
case BarFactoryInput.Spread:
price = quote.Ask - quote.Bid;
size = 0;
break;
default:
return;
}
BarFactory.mU5OEr88NSmCpsBxeD u5Oer88NsmCpsBxeD = this.cqyLFWMOvs[instrument] as BarFactory.mU5OEr88NSmCpsBxeD;
if (u5Oer88NsmCpsBxeD == null)
{
u5Oer88NsmCpsBxeD = new BarFactory.mU5OEr88NSmCpsBxeD();
this.cqyLFWMOvs.Add(instrument, u5Oer88NsmCpsBxeD);
}
if (price == u5Oer88NsmCpsBxeD.price && size == u5Oer88NsmCpsBxeD.size)
return;
this.AddTrade(instrument, DateTime.Now, price, size);
u5Oer88NsmCpsBxeD.price = price;
u5Oer88NsmCpsBxeD.size = size;
}
public void EmitQuote(Instrument instrument, DateTime time, byte providerId, double bid, int bidSize, double ask, int askSize)
{
FreeQuant.Data.Quote quote = new FreeQuant.Data.Quote(time, bid, bidSize, ask, askSize);
quote.ProviderId = providerId;
if (this.MarketDataFilter != null)
{
quote = this.MarketDataFilter.FilterQuote(quote, instrument.Symbol);
}
if (quote == null)
{
return;
}
if (this.NewQuote != null)
{
this.NewQuote((object)this, new QuoteEventArgs(quote, (IFIXInstrument)instrument.instrument, (IMarketDataProvider)this));
}
if (this.barFactory == null)
{
return;
}
this.barFactory.OnNewQuote((IFIXInstrument)instrument.instrument, quote);
}
private double CcXFPEywDQ(Quote obj0, Trade obj1, Bar obj2)
{
SingleOrder singleOrder = this.PYBF7sahqY as SingleOrder;
if (singleOrder.ContainsField(11103) && singleOrder.StrategyFill)
return singleOrder.StrategyPrice;
bool flag = !singleOrder.IsStopLimitReady && (singleOrder.OrdType == OrdType.TrailingStop || singleOrder.OrdType == OrdType.TrailingStopLimit || singleOrder.OrdType == OrdType.StopLimit);
if (obj0 != null && (this.A8bFJItyyx.FillOnQuote && !flag || this.A8bFJItyyx.TriggerOnQuote && flag))
{
if (!this.A8bFJItyyx.FillAtWorstQuoteRate || obj0.Bid <= obj0.Ask)
{
switch (singleOrder.Side)
{
case Side.Buy:
case Side.BuyMinus:
if (obj0.Ask != 0.0)
return obj0.Ask;
else
break;
case Side.Sell:
case Side.SellShort:
if (obj0.Bid != 0.0)
return obj0.Bid;
else
break;
default:
throw new NotSupportedException("" + ((object) singleOrder.Side).ToString());
}
}
else
{
switch (singleOrder.Side)
{
case Side.Buy:
case Side.BuyMinus:
if (obj0.Bid != 0.0)
return obj0.Bid;
else
break;
case Side.Sell:
case Side.SellShort:
if (obj0.Ask != 0.0)
return obj0.Ask;
else
break;
default:
throw new NotSupportedException("" + ((object) singleOrder.Side).ToString());
}
}
}
if (obj1 != null && (this.A8bFJItyyx.FillOnTrade && !flag || this.A8bFJItyyx.TriggerOnTrade && flag) && obj1.Price != 0.0)
return obj1.Price;
if (obj2 != null && (this.A8bFJItyyx.FillOnBar && !flag || this.A8bFJItyyx.TriggerOnBar && flag))
{
if (singleOrder.StrategyComponent == "which")
return singleOrder.StrategyPrice;
if (singleOrder.ForceMarketOrder)
{
if (obj2.Close != 0.0)
return obj2.Close;
if (obj2.Open != 0.0)
return obj2.Open;
}
switch (this.kUyFaL3cQu)
{
case FillOnBarMode.LastBarClose:
case FillOnBarMode.NextBarClose:
return obj2.Close;
case FillOnBarMode.NextBarOpen:
return obj2.Open;
}
}
return 0.0;
}
public static void Add(Instrument instrument, string suffix, Quote quote)
{
DataManager.Add(instrument.Symbol + SERIES_SEPARATOR + suffix, quote);
}
internal void miSxH6BDd(Instrument obj0, Quote obj1)
{
if (!this.isActive)
return;
if (Trace.IsLevelEnabled(TraceLevel.Verbose))
Trace.WriteLine(string.Format("fsfd", (object) this.Name, (object) obj0.Symbol, (object) obj1));
this.OnNewQuote(obj0, obj1);
}
public SimpleDataObject(IFIXInstrument instrument, Quote quote)
{
this.DateTime = quote.DateTime;
this.Instrument = instrument;
this.DataType = 1;
}
public QuoteAction(Instrument instrument, Quote quote)
: base(instrument)
{
this.quote = quote;
}
public HistoricalQuoteEventArgs(Quote quote, string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength)
: base(requestId, instrument, provider, dataLength)
{
this.Quote = quote;
}
private void dGEFgdOydF()
{
if (!(this.PYBF7sahqY is SingleOrder))
return;
SingleOrder singleOrder = this.PYBF7sahqY as SingleOrder;
if (singleOrder.ContainsField(11201))
this.kUyFaL3cQu = (FillOnBarMode) singleOrder.FillOnBarMode;
Instrument instrument = singleOrder.Instrument;
bool flag = !singleOrder.IsStopLimitReady && (singleOrder.OrdType == OrdType.TrailingStop || singleOrder.OrdType == OrdType.TrailingStopLimit || singleOrder.OrdType == OrdType.StopLimit);
if (singleOrder.OrdType == OrdType.Market)
{
if ((this.A8bFJItyyx.FillOnQuote && !flag || this.A8bFJItyyx.TriggerOnQuote && flag) && this.A8bFJItyyx.FillOnQuoteMode == FillOnQuoteMode.LastQuote)
this.Y18FFPmDy5(instrument.Quote, (Trade) null, (Bar) null);
if ((this.A8bFJItyyx.FillOnTrade && !flag || this.A8bFJItyyx.TriggerOnTrade && flag) && this.A8bFJItyyx.FillOnTradeMode == FillOnTradeMode.LastTrade)
this.Y18FFPmDy5((Quote) null, instrument.Trade, (Bar) null);
if ((this.A8bFJItyyx.FillOnBar && !flag || this.A8bFJItyyx.TriggerOnBar && flag) && ((this.kUyFaL3cQu == FillOnBarMode.LastBarClose || singleOrder.ForceMarketOrder) && this.A8bFJItyyx.BarFilter.Contains(instrument.Bar.BarType, instrument.Bar.Size)))
this.Y18FFPmDy5((Quote) null, (Trade) null, instrument.Bar);
}
else
{
if (instrument.Quote != null && (this.A8bFJItyyx.FillOnQuote && !flag || this.A8bFJItyyx.TriggerOnQuote && flag) && this.A8bFJItyyx.FillOnQuoteMode == FillOnQuoteMode.LastQuote)
this.Y18FFPmDy5(instrument.Quote, (Trade) null, (Bar) null);
if (instrument.Trade != null && (this.A8bFJItyyx.FillOnTrade && !flag || this.A8bFJItyyx.TriggerOnTrade && flag) && this.A8bFJItyyx.FillOnTradeMode == FillOnTradeMode.LastTrade)
this.Y18FFPmDy5((Quote) null, instrument.Trade, (Bar) null);
if (instrument.Bar != null && (this.A8bFJItyyx.FillOnBar && !flag || this.A8bFJItyyx.TriggerOnBar && flag) && (this.A8bFJItyyx.BarFilter.Contains(instrument.Bar.BarType, instrument.Bar.Size) && this.A8bFJItyyx.FillOnBarMode == FillOnBarMode.LastBarClose))
{
double close = instrument.Bar.Close;
if (close != 0.0)
this.wYBFLwFB4S(close, singleOrder.OrderQty);
}
}
if (this.aXtFGP76FH)
return;
if (this.A8bFJItyyx.FillOnQuote || this.A8bFJItyyx.TriggerOnQuote)
instrument.NewQuote += new QuoteEventHandler(this.PyJFklA8yp);
if (this.A8bFJItyyx.FillOnTrade || this.A8bFJItyyx.TriggerOnTrade)
instrument.NewTrade += new TradeEventHandler(this.YGKFrq1UXP);
this.smCF4MYTNu = instrument.Quote;
if (this.A8bFJItyyx.FillOnBar || this.A8bFJItyyx.TriggerOnBar)
{
if (singleOrder.ForceMarketOrder)
{
instrument.NewBar += new BarEventHandler(this.YgkFRBfPV0);
instrument.NewBarOpen += new BarEventHandler(this.OyPFEsHGL2);
}
else if (singleOrder.OrdType == OrdType.Market)
{
switch (this.kUyFaL3cQu)
{
case FillOnBarMode.LastBarClose:
case FillOnBarMode.NextBarClose:
instrument.NewBar += new BarEventHandler(this.YgkFRBfPV0);
break;
case FillOnBarMode.NextBarOpen:
instrument.NewBarOpen += new BarEventHandler(this.OyPFEsHGL2);
break;
}
}
else
{
instrument.NewBar += new BarEventHandler(this.YgkFRBfPV0);
instrument.NewBarOpen += new BarEventHandler(this.OyPFEsHGL2);
}
}
if ((int) this.PYBF7sahqY.TimeInForce != 54)
return;
Clock.AddReminder(new ReminderEventHandler(this.xT1FyAqCPT), this.PYBF7sahqY.ExpireTime, (object) null);
}
public object Convert(FreeQuant.Data.Quote quote)
{
return(new Quote(quote));
}
protected virtual void OnUpdateQuote(Quote quote)
{
}
public override void Write(Instrument instrument, Quote quote)
{
if (this.error != null)
throw this.error;
this.Enqueue(instrument, (IDataObject) quote);
}
private void Y18FFPmDy5(Quote obj0, Trade obj1, Bar obj2)
{
SingleOrder singleOrder = this.PYBF7sahqY as SingleOrder;
if (singleOrder.OrdStatus != OrdStatus.New && singleOrder.OrdStatus != OrdStatus.PendingNew && (singleOrder.OrdStatus != OrdStatus.PartiallyFilled && singleOrder.OrdStatus != OrdStatus.Replaced))
return;
double num1 = this.CcXFPEywDQ(obj0, obj1, obj2);
double num2 = this.VirF0ddUxQ(singleOrder, obj0, obj1, obj2);
if (num1 == 0.0 || num2 == 0.0)
return;
if (singleOrder.OrdType == OrdType.Market || singleOrder.OrdType == OrdType.TrailingStop && singleOrder.IsStopLimitReady)
this.D35FmNWSPm(num1, num2);
else
this.wYBFLwFB4S(num1, num2);
}
private void PyJFklA8yp(object obj0, QuoteEventArgs obj1)
{
SingleOrder singleOrder = this.PYBF7sahqY as SingleOrder;
Quote quote = obj1.Quote;
if (this.A8bFJItyyx.FillAtWorstQuoteRate || this.smCF4MYTNu.Bid <= this.smCF4MYTNu.Ask || quote.Bid <= quote.Ask)
{
switch (singleOrder.Side)
{
case Side.Buy:
if (quote.Ask != this.smCF4MYTNu.Ask || quote.AskSize != this.smCF4MYTNu.AskSize)
{
this.Y18FFPmDy5(quote, (Trade) null, (Bar) null);
break;
}
else
break;
case Side.Sell:
case Side.SellShort:
if (quote.Bid != this.smCF4MYTNu.Bid || quote.BidSize != this.smCF4MYTNu.BidSize)
{
this.Y18FFPmDy5(quote, (Trade) null, (Bar) null);
break;
}
else
break;
}
}
else
{
switch (singleOrder.Side)
{
case Side.Buy:
if (quote.Bid != this.smCF4MYTNu.Bid || quote.BidSize != this.smCF4MYTNu.BidSize)
{
this.Y18FFPmDy5(quote, (Trade) null, (Bar) null);
break;
}
else
break;
case Side.Sell:
case Side.SellShort:
if (quote.Ask != this.smCF4MYTNu.Ask || quote.AskSize != this.smCF4MYTNu.AskSize)
{
this.Y18FFPmDy5(quote, (Trade) null, (Bar) null);
break;
}
else
break;
}
}
this.smCF4MYTNu = quote;
}
protected override void OnNewQuote(Instrument instrument, Quote quote)
{
foreach (ATSStop atsStop in new ArrayList((ICollection) this.activeStops[instrument]))
{
if (atsStop.Connected)
atsStop.OnNewQuote(quote);
}
this.marketManager.OnQuote(instrument, quote);
this.klBiFcxZsD.OnQuote(instrument, quote);
this.csNiLdTRqH[instrument].OnQuote(quote);
}
public void OnNewQuote(Quote quote)
{
if (!this.fTraceOnQuote)
return;
switch (this.fSide)
{
case PositionSide.Long:
this.fCurrPrice = quote.Ask;
break;
case PositionSide.Short:
this.fCurrPrice = quote.Bid;
break;
}
this.fFillPrice = this.fCurrPrice;
this.fTrailPrice = this.fCurrPrice;
this.oEtiRP16ys();
}
private void ST74ZxO7ZP([In] object obj0, [In] FIXMarketDataSnapshotEventArgs obj1)
{
Console.WriteLine(BeAEwTZGlZaeOmY5cm.J00weU3cM6(4536));
FIXMarketDataSnapshot snapshotFullRefresh = obj1.MarketDataSnapshotFullRefresh;
Instrument instrument = InstrumentManager.Instruments[(this.mdRequests[(object)snapshotFullRefresh.MDReqID] as RequestRecord).Symbol];
Trade trade = this.OEp4ErKILr[(object)instrument] as Trade;
Quote quote = this.Hmv4SHEnBE[(object)instrument] as Quote;
if (trade == null)
{
trade = new Trade();
this.OEp4ErKILr[(object)instrument] = (object)trade;
}
if (quote == null)
{
quote = new Quote();
this.Hmv4SHEnBE[(object)instrument] = (object)quote;
}
bool flag1 = false;
bool flag2 = false;
for (int i = 0; i < snapshotFullRefresh.NoMDEntries; ++i)
{
FIXMDEntriesGroup mdEntriesGroup = snapshotFullRefresh.GetMDEntriesGroup(i);
switch (mdEntriesGroup.MDEntryType)
{
case '0':
if (quote.Bid != mdEntriesGroup.MDEntryPx || quote.BidSize != (int)mdEntriesGroup.MDEntrySize)
{
quote.DateTime = Clock.Now;
quote.Bid = mdEntriesGroup.MDEntryPx;
quote.BidSize = (int)mdEntriesGroup.MDEntrySize;
flag2 = true;
break;
}
else
break;
case '1':
if (quote.Ask != mdEntriesGroup.MDEntryPx || quote.AskSize != (int)mdEntriesGroup.MDEntrySize)
{
quote.DateTime = Clock.Now;
quote.Ask = mdEntriesGroup.MDEntryPx;
quote.AskSize = (int)mdEntriesGroup.MDEntrySize;
flag2 = true;
break;
}
else
break;
case '2':
if (trade.Price != mdEntriesGroup.MDEntryPx || trade.Size != (int)mdEntriesGroup.MDEntrySize)
{
trade.DateTime = Clock.Now;
trade.Price = mdEntriesGroup.MDEntryPx;
trade.Size = (int)mdEntriesGroup.MDEntrySize;
flag1 = true;
break;
}
else
break;
}
}
if (flag1 && this.odL46gHXsq != null)
this.odL46gHXsq((object)this, new TradeEventArgs(new Trade(trade), (IFIXInstrument)instrument, (IMarketDataProvider)this));
if (flag2 && this.uQX4e0V1fj != null)
this.uQX4e0V1fj((object)this, new QuoteEventArgs(new Quote(quote), (IFIXInstrument)instrument, (IMarketDataProvider)this));
if (this.oSc4rhuvbm == null)
return;
this.oSc4rhuvbm((object)this, new MarketDataSnapshotEventArgs(obj1.MarketDataSnapshotFullRefresh));
}
internal void ddk6JqyZZD(Quote obj0)
{
if (!this.fTraceOnQuote)
return;
switch (this.fSide)
{
case PositionSide.Long:
this.fCurrPrice = obj0.Bid;
break;
case PositionSide.Short:
this.fCurrPrice = obj0.Ask;
break;
}
this.fFillPrice = this.fCurrPrice;
this.fTrailPrice = this.fCurrPrice;
this.XqY6FAU6Mj();
}
public void EmitQuote(Quote quote, Instrument instrument)
{
if (this.MarketDataFilter != null)
{
quote = this.MarketDataFilter.FilterQuote(quote, instrument.Symbol);
if (quote == null)
return;
}
if (this.uQX4e0V1fj != null)
this.uQX4e0V1fj((object)this, new QuoteEventArgs(quote, (IFIXInstrument)instrument, (IMarketDataProvider)this));
if (this.barFactory == null)
return;
this.barFactory.OnNewQuote((IFIXInstrument)instrument, quote);
}
public abstract void Write(Instrument instrument, Quote quote);
public void Add(string series, Quote quote)
{
DataManager.Add(this, series, quote);
}
protected virtual void OnNewQuote(Instrument instrument, Quote quote)
{
}
public void Add(Quote quote)
{
DataManager.Add(this, quote);
}
public static void Add(string series, Quote quote)
{
DataManager.server.Add(series, quote);
}
protected override void OnNewQuote(Instrument instrument, Quote quote)
{
foreach (Stop stop in new ArrayList((ICollection) this.activeStops[instrument]))
{
if (stop.Connected)
stop.ddk6JqyZZD(quote);
}
this.A6MpF2380O.OnQuote(instrument, quote);
this.HeHpDewVKD.OnQuote(instrument, quote);
this.marketManager.OnQuote(instrument, quote);
this.exits[instrument].OnQuote(quote);
this.entries[instrument].OnQuote(quote);
this.moneyManagers[instrument].OnQuote(quote);
this.riskManagers[instrument].OnQuote(quote);
}
public static void Add(Instrument instrument, Quote quote)
{
DataManager.Add(instrument, SUFFIX_QUOTE, quote);
}
private double VirF0ddUxQ(SingleOrder obj0, Quote obj1, Trade obj2, Bar obj3)
{
bool flag = !obj0.IsStopLimitReady && (obj0.OrdType == OrdType.TrailingStop || obj0.OrdType == OrdType.TrailingStopLimit || obj0.OrdType == OrdType.StopLimit);
if (obj1 != null && this.A8bFJItyyx.PartialFills && (this.A8bFJItyyx.FillOnQuote && !flag || this.A8bFJItyyx.TriggerOnQuote && flag))
{
if (!this.A8bFJItyyx.FillAtWorstQuoteRate || obj1.Bid <= obj1.Ask)
{
switch (obj0.Side)
{
case Side.Buy:
if (obj1.AskSize > 0)
return (double) obj1.AskSize;
else
break;
case Side.Sell:
case Side.SellShort:
if (obj1.BidSize > 0)
return (double) obj1.BidSize;
else
break;
default:
return obj0.OrderQty;
}
}
else
{
switch (obj0.Side)
{
case Side.Buy:
if (obj1.BidSize > 0)
return (double) obj1.BidSize;
else
break;
case Side.Sell:
case Side.SellShort:
if (obj1.Ask > 0.0)
return (double) obj1.AskSize;
else
break;
default:
return obj0.OrderQty;
}
}
}
if ((this.A8bFJItyyx.FillOnTrade && !flag || this.A8bFJItyyx.TriggerOnTrade && flag) && obj2 != null)
{
if ((obj0.OrdType == OrdType.Limit || (obj0.OrdType == OrdType.StopLimit || obj0.OrdType == OrdType.TrailingStopLimit) && obj0.IsStopLimitReady) && (obj0.CumQty == 0.0 && Math.Abs(obj2.Price - obj0.Price) < 0.001 && (obj0.TradeVolumeDelay != 0 && !this.gxTF8gufMx)))
{
this.w02FZf7vnP += obj2.Size;
if (this.w02FZf7vnP <= obj0.TradeVolumeDelay)
return 0.0;
this.gxTF8gufMx = true;
if (this.A8bFJItyyx.PartialFills)
return (double) (this.w02FZf7vnP - obj0.TradeVolumeDelay);
else
return obj0.OrderQty;
}
else if (this.A8bFJItyyx.PartialFills)
return (double) obj2.Size;
}
return obj0.OrderQty;
}
