public void OnNewTrade(IFIXInstrument instrument, Trade trade)
{
if (this.Enabled && this.Input == BarFactoryInput.Trade)
{
this.AddTrade(instrument, trade.DateTime, trade.Price, trade.Size);
}
}
public HistoricalDataEventArgs(string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength) : base()
{
this.RequestId = requestId;
this.Instrument = instrument;
this.Provider = provider;
this.DataLength = dataLength;
}
private void EmitNewCorporateAction(IFIXInstrument instrument, CorporateAction corporateAction)
{
if (this.NewCorporateAction != null)
{
this.NewCorporateAction(this, new CorporateActionEventArgs(corporateAction, instrument, this));
}
}
public void EmitNewBarOpen(Bar bar, IFIXInstrument instrument)
{
if (this.NewBarOpen != null)
{
this.NewBarOpen(null, new BarEventArgs(bar, instrument, provider));
}
}
private void EmitHistoricalBar(string requestId, IFIXInstrument instrument, Bar bar)
{
if (this.NewHistoricalBar != null)
{
this.NewHistoricalBar(this, new HistoricalBarEventArgs(bar, requestId, instrument, this, -1));
}
}
private void jsgfiCe1q(IFIXInstrument instrument, long size)
{
if (this.NewBarSlice != null)
{
this.NewBarSlice(this, new BarSliceEventArgs(size, null));
}
}
private void EmitNewFundamental(IFIXInstrument instrument, Fundamental fundamental)
{
if (this.NewFundamental != null)
{
this.NewFundamental(this, new FundamentalEventArgs(fundamental, instrument, this));
}
}
private void NQyesH3ccX(IFIXInstrument instrument, CorporateAction action)
{
if (this.NewCorporateAction != null)
{
this.NewCorporateAction(this, new CorporateActionEventArgs(action, instrument, this));
}
}
private void EmitNewQuoteEvent(IFIXInstrument instrument, SmartQuant.Data.Quote quote)
{
if (quote == null)
{
return;
}
if (instrument == null)
{
throw new ArgumentException("合约不存在,请检查是否创建了合约");
}
// 本想把这行代码放在构造函数中的，结果发现有问题
// 在QuoteMonitor中可以看到价差，但在策略中并不会触发相应的事件
var NewQuoteDelegate = (MulticastDelegate)NewQuoteField.GetValue(marketDataProvider);
foreach (Delegate dlg in NewQuoteDelegate.GetInvocationList())
{
dlg.Method.Invoke(dlg.Target, new object[] { marketDataProvider, new QuoteEventArgs(quote, instrument, marketDataProvider) });
}
if (factory != null)
{
factory.OnNewQuote(instrument, quote);
}
}
private void EmitBar(IFIXInstrument instrument, SmartQuant.Data.Bar bar)
{
if (this.NewBar != null)
{
this.NewBar(this, new BarEventArgs(bar, instrument, this));
}
}
private void EmitHistoricalDataRequestError(string requestId, IFIXInstrument instrument, string message)
{
if (this.HistoricalDataRequestError != null)
{
this.HistoricalDataRequestError(this, new HistoricalDataErrorEventArgs(requestId, instrument, this, -1, message));
}
}
public HistoricalDataEventArgs(string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength) : base()
{
this.RequestId = requestId;
this.Instrument = instrument;
this.Provider = provider;
this.DataLength = dataLength;
}
private void EmitNewBarOpen(Bar bar, IFIXInstrument instrument)
{
if (this.NewBarOpen != null)
{
this.NewBarOpen(null, new BarEventArgs(bar, instrument, null));
}
}
public void OnNewTrade(IFIXInstrument instrument, Trade trade)
{
if (this.Enabled && this.Input == BarFactoryInput.Trade)
{
this.AddTrade(instrument, trade.DateTime, trade.Price, trade.Size);
}
}
private void EmitHistoricalDataRequestCompleted(string requestId, IFIXInstrument instrument)
{
if (this.HistoricalDataRequestCompleted != null)
{
this.HistoricalDataRequestCompleted(this, new HistoricalDataEventArgs(requestId, instrument, this, -1));
}
}
private void EmitNewMarketDepth(IFIXInstrument instrument, MarketDepth marketDepth)
{
if (NewMarketDepth != null)
{
NewMarketDepth(this, new MarketDepthEventArgs(marketDepth, instrument, this));
}
}
private void EmitNewBarOpenEvent(IFIXInstrument instrument, SmartQuant.Data.Bar bar)
{
if (bar == null)
{
return;
}
if (_NewBarOpen == null)
{
return;
}
if (instrument == null)
{
throw new ArgumentException("合约不存在,请检查是否创建了合约");
}
if (NewBarOpenField == null && _NewBarOpen != null)
{
throw new ArgumentException("事件没有正确识别");
}
var NewBarOpenDelegate = (MulticastDelegate)NewBarOpenField.GetValue(marketDataProvider);
foreach (Delegate dlg in NewBarOpenDelegate.GetInvocationList())
{
dlg.Method.Invoke(dlg.Target, new object[] { marketDataProvider, new BarEventArgs(bar, instrument, marketDataProvider) });
}
}
private void EmitHistoricalTrade(string requestID, IFIXInstrument instrument, Trade trade)
{
if (this.NewHistoricalTrade != null)
{
this.NewHistoricalTrade(this, new HistoricalTradeEventArgs(trade, requestID, instrument, this, -1));
}
}
private void HiaeqOcUjh(IFIXInstrument instrument, MarketDepth md)
{
if (this.NewMarketDepth != null)
{
this.NewMarketDepth(this, new MarketDepthEventArgs(md, instrument, this));
}
}
private void EmitNewBarOpenEvent(IFIXInstrument instrument, Bar bar)
{
if (this.NewBarOpen != null)
{
this.NewBarOpen(this, new BarEventArgs(bar, instrument, this));
}
}
private void EmitHistoricalQuote(string requestID, IFIXInstrument instrument, Quote quote)
{
if (this.NewHistoricalQuote != null)
{
this.NewHistoricalQuote(this, new HistoricalQuoteEventArgs(quote, requestID, instrument, this, -1));
}
}
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 OnNewTrade(IFIXInstrument instrument, Trade trade)
{
if (!this.Enabled || this.Input != BarFactoryInput.Trade)
{
return;
}
this.AddTrade(instrument, DateTime.Now, trade.Price, trade.Size);
}
private void EmitNewBar(Bar bar, IFIXInstrument instrument)
{
bar.IsComplete = true;
if (this.NewBar != null)
{
this.NewBar(null, new BarEventArgs(bar, instrument, null));
}
}
private void EmitBar(IFIXInstrument instrument, FreeQuant.Data.Bar bar)
{
if (this.NewBar == null)
{
return;
}
this.NewBar((object)this, new BarEventArgs(bar, instrument, (IMarketDataProvider)this));
}
public void EmitNewBar(Bar bar, IFIXInstrument instrument)
{
bar.IsComplete = true;
if (this.NewBar != null)
{
this.NewBar(null, new BarEventArgs(bar, instrument, provider));
}
}
private void OnReminder(ReminderEventArgs args)
{
Dictionary <long, Dictionary <IFIXInstrument, Bar> > barFinishedStore = new Dictionary <long, Dictionary <IFIXInstrument, Bar> >();
Monitor.Enter(this);
try
{
foreach (KeyValuePair <IFIXInstrument, Dictionary <BarType, Dictionary <long, object> > > kvp1 in barStore.ToList())
{
IFIXInstrument instrument = kvp1.Key;
Dictionary <BarType, Dictionary <long, object> > barCabinet = barStore[instrument];
if (barCabinet.ContainsKey(BarType.Time))
{
Dictionary <long, object> barBox = barCabinet[BarType.Time];
foreach (KeyValuePair <long, object> kvp2 in barBox.ToList())
{
long num = kvp2.Key;
BarData barData = (BarData)kvp2.Value;
if (barData.RealyEndTime == args.SignalTime)
{
if (!barFinishedStore.ContainsKey(num))
{
barFinishedStore.Add(num, new Dictionary <IFIXInstrument, Bar>());
}
Dictionary <IFIXInstrument, Bar> barFinishedCabinet = barFinishedStore[num];
barFinishedCabinet.Add(instrument, barData.Bar);
barBox.Remove(num);
}
}
if (barBox.Count == 0)
{
barCabinet.Remove(BarType.Time);
}
}
if (barCabinet.Count == 0)
{
barStore.Remove(instrument);
}
}
}
finally
{
Monitor.Exit(this);
}
foreach (KeyValuePair <long, Dictionary <IFIXInstrument, Bar> > kvp3 in barFinishedStore)
{
long barSize = kvp3.Key;
Dictionary <IFIXInstrument, Bar> barFinishedCabinet = kvp3.Value;
foreach (KeyValuePair <IFIXInstrument, Bar> pair in barFinishedCabinet)
{
this.EmitNewBar(pair.Value, pair.Key);
}
this.EmitNewBarSlice(barSize);
}
this.times.Remove(args.SignalTime);
}
private InstrumentCounter GetInstrumentCounter(IFIXInstrument instrument)
{
InstrumentCounter instrumentCounter;
if (!this.instrumentCounters.TryGetValue(instrument, out instrumentCounter))
{
instrumentCounter = new InstrumentCounter(instrument);
this.instrumentCounters.Add(instrument, instrumentCounter);
}
return instrumentCounter;
}
private void EmitNewTradeEvent(IFIXInstrument instrument, Trade trade)
{
if (NewTrade != null)
{
NewTrade(this, new TradeEventArgs(trade, instrument, this));
}
if (factory != null)
{
factory.OnNewTrade(instrument, trade);
}
}
private void EmitNewQuoteEvent(IFIXInstrument instrument, Quote quote)
{
if (NewQuote != null)
{
NewQuote(this, new QuoteEventArgs(quote, instrument, this));
}
if (factory != null)
{
factory.OnNewQuote(instrument, quote);
}
}
public void OnNewTrade(IFIXInstrument instrument, Trade trade)
{
if (!this.enabled)
{
return;
}
if (this.input == BarFactoryInput.Trade)
{
this.OnNewMarketData(instrument, trade.DateTime, trade.Price, trade.Size);
}
}
private InstrumentCounter GetInstrumentCounter(IFIXInstrument instrument)
{
InstrumentCounter instrumentCounter;
if (!this.instrumentCounters.TryGetValue(instrument, out instrumentCounter))
{
instrumentCounter = new InstrumentCounter(instrument);
this.instrumentCounters.Add(instrument, instrumentCounter);
}
return(instrumentCounter);
}
private void EmitNewQuoteEvent(IFIXInstrument instrument, Quote quote)
{
if (NewQuote != null)
{
NewQuote(this, new QuoteEventArgs(quote, instrument, this));
}
if (factory != null)
{
factory.OnNewQuote(instrument, quote);
}
}
private void EmitNewTradeEvent(IFIXInstrument instrument, Trade trade)
{
if (NewTrade != null)
{
NewTrade(this, new TradeEventArgs(trade, instrument, this));
}
if (factory != null)
{
factory.OnNewTrade(instrument, trade);
}
}
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 InstrumentOrderListTable this[IFIXInstrument instrument]
{
get
{
InstrumentOrderListTable table = this.orders[instrument] as InstrumentOrderListTable;
if (table == null)
{
table = new InstrumentOrderListTable();
this.orders.Add(instrument, table);
}
return table;
}
}
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;
}
private void EmitNewQuoteEvent(IFIXInstrument instrument, Quote quote)
{
if (this.MarketDataFilter != null)
{
quote = this.MarketDataFilter.FilterQuote(quote, instrument.Symbol);
}
if (quote != null)
{
if (NewQuote != null)
{
NewQuote(this, new QuoteEventArgs(quote, instrument, this));
}
if (factory != null)
{
factory.OnNewQuote(instrument, quote);
}
}
}
private void EmitNewTradeEvent(IFIXInstrument instrument, Trade trade)
{
if (this.MarketDataFilter != null)
{
trade = this.MarketDataFilter.FilterTrade(trade, instrument.Symbol);
}
if (trade != null)
{
if (NewTrade != null)
{
NewTrade(this, new TradeEventArgs(trade, instrument, this));
}
if (factory != null)
{
factory.OnNewTrade(instrument, trade);
}
}
}
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 MarketDepthEventArgs(MarketDepth marketDepth, IFIXInstrument instrument, IMarketDataProvider provider) : base(instrument, provider)
{
this.MarketDepth = marketDepth;
}
private void EmitNewMarketDepth(IFIXInstrument instrument, MarketDepth marketDepth)
{
if (NewMarketDepth != null)
{
NewMarketDepth(this, new MarketDepthEventArgs(marketDepth, instrument, this));
}
}
public HistoricalQuoteEventArgs(Quote quote, string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength)
: base(requestId, instrument, provider, dataLength)
{
this.Quote = quote;
}
public FundamentalEventArgs(Fundamental fundamental, IFIXInstrument instrument, IMarketDataProvider provider)
: base(instrument, provider)
{
this.Fundamental = fundamental;
}
private void EmitNewBarOpenEvent(IFIXInstrument instrument, SmartQuant.Data.Bar bar)
{
if (bar == null)
return;
if (_NewBarOpen == null)
return;
if (instrument == null)
throw new ArgumentException("合约不存在,请检查是否创建了合约");
if (NewBarOpenField == null && _NewBarOpen != null)
throw new ArgumentException("事件没有正确识别");
var NewBarOpenDelegate = (MulticastDelegate)NewBarOpenField.GetValue(marketDataProvider);
foreach (Delegate dlg in NewBarOpenDelegate.GetInvocationList())
{
dlg.Method.Invoke(dlg.Target, new object[] { marketDataProvider, new BarEventArgs(bar, instrument, marketDataProvider) });
}
}
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 QuoteEventArgs(Quote quote, IFIXInstrument instrument, IMarketDataProvider provider)
: base(instrument, provider)
{
this.Quote = quote;
}
public SimpleDataObject(IFIXInstrument instrument, Trade trade)
{
this.DateTime = trade.DateTime;
this.Instrument = instrument;
this.DataType = 0;
}
extern Quote[] IHistoryProvider.GetQuoteHistory(IFIXInstrument instrument, DateTime datetime1, DateTime datetime2);
extern MarketDepth[] IHistoryProvider.GetMarketDepthHistory(IFIXInstrument instrument, DateTime datetime1, DateTime datetime2);
extern Daily[] IHistoryProvider.GetDailyHistory(IFIXInstrument instrument, DateTime datetime1, DateTime datetime2, bool dividendAndSplitAdjusted);
extern Bar[] IHistoryProvider.GetBarHistory(IFIXInstrument instrument, DateTime datetime1, DateTime datetime2, int barSize);
public SimpleDataObject(IFIXInstrument instrument, Quote quote)
{
this.DateTime = quote.DateTime;
this.Instrument = instrument;
this.DataType = 1;
}
public HistoricalDataErrorEventArgs(string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength, string message)
: base(requestId, instrument, provider, dataLength)
{
this.Message = message;
}
private void EmitNewQuoteEvent(IFIXInstrument instrument, SmartQuant.Data.Quote quote)
{
if (quote == null)
return;
if (instrument == null)
throw new ArgumentException("合约不存在,请检查是否创建了合约");
// 本想把这行代码放在构造函数中的，结果发现有问题
// 在QuoteMonitor中可以看到价差，但在策略中并不会触发相应的事件
var NewQuoteDelegate = (MulticastDelegate)NewQuoteField.GetValue(marketDataProvider);
foreach (Delegate dlg in NewQuoteDelegate.GetInvocationList())
{
dlg.Method.Invoke(dlg.Target, new object[] { marketDataProvider, new QuoteEventArgs(quote, instrument, marketDataProvider) });
}
if (factory != null)
{
factory.OnNewQuote(instrument, quote);
}
}
private void EmitNewTradeEvent(IFIXInstrument instrument, SmartQuant.Data.Trade trade)
{
if (trade == null)
return;
if (instrument == null)
throw new ArgumentException("合约不存在,请检查是否创建了合约");
var NewTradeDelegate = (MulticastDelegate)NewTradeField.GetValue(marketDataProvider);
foreach (Delegate dlg in NewTradeDelegate.GetInvocationList())
{
dlg.Method.Invoke(dlg.Target, new object[] { marketDataProvider, new TradeEventArgs(trade, instrument, marketDataProvider) });
}
if (factory != null)
{
factory.OnNewTrade(instrument, trade);
}
}
extern Trade[] IHistoryProvider.GetTradeHistory(IFIXInstrument instrument, DateTime datetime1, DateTime datetime2);
private void EmitNewBarOpen(Bar bar, IFIXInstrument instrument)
{
if (this.NewBarOpen != null)
{
this.NewBarOpen(null, new BarEventArgs(bar, instrument, null));
}
}
public HistoricalMarketDepthEventArgs(MarketDepth marketDepth, string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength)
: base(requestId, instrument, provider, dataLength)
{
this.MarketDepth = marketDepth;
}
public HistoricalBarEventArgs(Bar bar, string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength) : base(requestId, instrument, provider, dataLength)
{
this.Bar = bar;
}
