public void SetNewTrade(FreeQuant.Instruments.Instrument instrument, FreeQuant.Data.Trade trade)
{
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.OnNewTrade(trade);
}
}
}
}
Strategy strategy = (Strategy)null;
if (!this.strategies.TryGetValue(instrument, out strategy))
{
return;
}
strategy.OnTrade((OpenQuant.API.Trade) this.objectConverter.Convert(trade));
}
catch (Exception ex)
{
this.EmitError(ex);
}
}
public void OnNewTrade(IFIXInstrument instrument, Trade trade)
{
if (this.Enabled && this.Input == BarFactoryInput.Trade)
{
this.AddTrade(instrument, trade.DateTime, trade.Price, trade.Size);
}
}
public MarketDataUpdateItem(MarketDataViewRow row, Quote quote, Trade trade, Bar bar)
{
this.Row = row;
this.Quote = quote;
this.Trade = trade;
this.Bar = bar;
}
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);
}
protected override void OnUpdateTrade(Trade trade)
{
double change = this.GetChange(trade.Price);
this.Cells[1].Value = trade.DateTime;
this.Cells[2].Value = trade.Price;
this.Cells[3].Value = change;
this.Cells[4].Value = trade.Size;
if (change > 0.0)
this.Cells[2].Style.ForeColor = Color.Green;
else if (change < 0.0)
{
this.Cells[2].Style.ForeColor = Color.Red;
}
else
{
if (this.DataGridView == null)
return;
this.Cells[2].Style.ForeColor = this.DataGridView.Columns[2].DefaultCellStyle.ForeColor;
}
}
public void EmitTrade(Instrument instrument, DateTime time, byte providerId, double price, int size)
{
FreeQuant.Data.Trade trade = new FreeQuant.Data.Trade(time, price, size);
trade.ProviderId = providerId;
if (this.MarketDataFilter != null)
{
trade = this.MarketDataFilter.FilterTrade(trade, instrument.Symbol);
}
if (trade == null)
{
return;
}
if (this.NewTrade != null)
{
this.NewTrade((object)this, new TradeEventArgs(trade, (IFIXInstrument)instrument.instrument, (IMarketDataProvider)this));
}
if (this.barFactory == null)
{
return;
}
this.barFactory.OnNewTrade((IFIXInstrument)instrument.instrument, trade);
}
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;
}
protected override void OnNewTrade(Instrument instrument, Trade trade)
{
foreach (Stop stop in new ArrayList((ICollection) this.activeStops[instrument]))
{
if (stop.Connected)
stop.yu56453Z5Z(trade);
}
this.A6MpF2380O.OnTrade(instrument, trade);
this.HeHpDewVKD.OnTrade(instrument, trade);
this.marketManager.OnTrade(instrument, trade);
this.exits[instrument].OnTrade(trade);
this.entries[instrument].OnTrade(trade);
this.moneyManagers[instrument].OnTrade(trade);
this.riskManagers[instrument].OnTrade(trade);
}
public void Add(Trade trade)
{
DataManager.Add(this, trade);
}
private void EmitNewTrade(IFIXInstrument instrument, Trade trade)
{
if (this.NewTrade != null)
{
this.NewTrade(this, new TradeEventArgs(trade, instrument, this));
}
if (this.barFactory != null)
{
this.barFactory.OnNewTrade(instrument, trade);
}
}
public SimpleDataObject(IFIXInstrument instrument, Trade trade)
{
this.DateTime = trade.DateTime;
this.Instrument = instrument;
this.DataType = 0;
}
protected override void OnNewTrade(Instrument instrument, Trade trade)
{
foreach (ATSStop atsStop in new ArrayList((ICollection) this.activeStops[instrument]))
{
if (atsStop.Connected)
atsStop.OnNewTrade(trade);
}
this.marketManager.OnTrade(instrument, trade);
this.klBiFcxZsD.OnTrade(instrument, trade);
this.csNiLdTRqH[instrument].OnTrade(trade);
}
public void OnNewTrade(Trade trade)
{
if (!this.fTraceOnTrade)
return;
this.fCurrPrice = trade.Price;
this.fFillPrice = trade.Price;
this.fTrailPrice = trade.Price;
this.oEtiRP16ys();
}
public object Convert(FreeQuant.Data.Trade trade)
{
return(new Trade(trade));
}
protected virtual void OnUpdateTrade(Trade trade)
{
}
public virtual void OnTrade(Instrument instrument, Trade trade)
{
}
public override void Write(Instrument instrument, Trade trade)
{
if (this.error != null)
throw this.error;
this.Enqueue(instrument, (IDataObject) trade);
}
public TradeAction(Instrument instrument, Trade trade)
: base(instrument)
{
this.trade = trade;
}
public void OnNewTrade(IFIXInstrument instrument, Trade trade)
{
if (!this.Enabled || this.Input != BarFactoryInput.Trade)
return;
this.AddTrade(instrument, DateTime.Now, trade.Price, trade.Size);
}
public void EmitTrade(IFIXInstrument instrument, Trade trade)
{
this.Simulator.nNp9oHTwk(new SimpleDataObject(instrument, trade));
}
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;
}
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);
}
internal void gSQVAlpOg(Instrument obj0, Trade obj1)
{
if (!this.isActive)
return;
if (Trace.IsLevelEnabled(TraceLevel.Verbose))
Trace.WriteLine(string.Format("dfdf", (object) this.Name, (object) obj0.Symbol, (object) obj1));
this.OnNewTrade(obj0, obj1);
}
internal void yu56453Z5Z(Trade obj0)
{
if (!this.fTraceOnTrade)
return;
this.fCurrPrice = obj0.Price;
this.fFillPrice = obj0.Price;
this.fTrailPrice = obj0.Price;
this.XqY6FAU6Mj();
}
public static void Add(Instrument instrument, string suffix, Trade trade)
{
DataManager.Add(instrument.Symbol + SERIES_SEPARATOR + suffix, trade);
}
public abstract void Write(Instrument instrument, Trade trade);
public void Add(string series, Trade trade)
{
DataManager.Add(this, series, trade);
}
protected virtual void OnNewTrade(Instrument instrument, Trade trade)
{
}
public void AddTrade(Trade trade, Instrument instrument)
{
this.Il6yEpdoR8.Add(trade.DateTime, new SimpleDataObject(instrument, trade));
}
public static void Add(string series, Trade trade)
{
DataManager.server.Add(series, trade);
}
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));
}
public static void Add(Instrument instrument, Trade trade)
{
DataManager.Add(instrument, SUFFIX_TRADE, trade);
}
public void EmitTrade(Trade trade, Instrument instrument)
{
if (this.MarketDataFilter != null)
{
trade = this.MarketDataFilter.FilterTrade(trade, instrument.Symbol);
if (trade == null)
return;
}
if (this.odL46gHXsq != null)
this.odL46gHXsq((object)this, new TradeEventArgs(trade, (IFIXInstrument)instrument, (IMarketDataProvider)this));
if (this.barFactory == null)
return;
this.barFactory.OnNewTrade((IFIXInstrument)instrument, trade);
}