private void EmitChanged(MDSide side, MDOperation operation, int position)
{
if (this.Changed != null)
{
this.Changed(this, new OrderBookEventArgs(side, operation, position));
}
}
public MarketDepth(DateTime datetime, byte providerId, string marketMaker, string source, int position, MDOperation operation, MDSide side, double price, int size)
{
this.dateTime = datetime;
this.providerId = providerId;
this.MarketMaker = marketMaker;
this.source = source;
this.position = position;
this.operation = operation;
this.side = side;
this.price = price;
this.size = size;
}
internal static BidAsk Convert(MDSide side)
{
switch (side)
{
case MDSide.Bid:
return(BidAsk.Bid);
case MDSide.Ask:
return(BidAsk.Ask);
default:
throw new NotSupportedException(string.Format("MDSide is not supported - {0}", side));
}
}
public virtual void ReadFrom(BinaryReader reader)
{
byte num = reader.ReadByte();
switch (num)
{
case (byte)1:
this.dateTime = new DateTime(reader.ReadInt64());
this.MarketMaker = reader.ReadString();
this.Source = reader.ReadString();
this.Side = (MDSide)reader.ReadByte();
this.Price = Math.Round((double)reader.ReadSingle(), 4);
this.Size = reader.ReadInt32();
this.ProviderId = reader.ReadByte();
this.Position = -1;
this.Operation = MDOperation.Undefined;
break;
case (byte)2:
this.dateTime = new DateTime(reader.ReadInt64());
this.MarketMaker = reader.ReadString();
this.source = reader.ReadString();
this.side = (MDSide)reader.ReadByte();
this.price = Math.Round((double)reader.ReadSingle(), 4);
this.size = reader.ReadInt32();
this.providerId = reader.ReadByte();
this.position = reader.ReadInt32();
this.operation = (MDOperation)reader.ReadByte();
break;
case (byte)3:
this.dateTime = new DateTime(reader.ReadInt64());
this.MarketMaker = reader.ReadString();
this.source = reader.ReadString();
this.side = (MDSide)reader.ReadByte();
this.price = reader.ReadDouble();
this.size = reader.ReadInt32();
this.providerId = reader.ReadByte();
this.position = reader.ReadInt32();
this.operation = (MDOperation)reader.ReadByte();
break;
default:
throw new Exception("" + (object)num);
}
}
private void EmitNewMarketDepth(Instrument instrument, DateTime datatime, int position, MDSide ask, double price, int size)
{
MDOperation insert = MDOperation.Update;
if (MDSide.Ask == ask)
{
if (position >= instrument.OrderBook.Ask.Count)
{
insert = MDOperation.Insert;
}
}
else
{
if (position >= instrument.OrderBook.Bid.Count)
{
insert = MDOperation.Insert;
}
}
if (price != 0 && size != 0)
{
EmitNewMarketDepth(instrument, new MarketDepth(datatime, "", position, insert, ask, price, size));
}
}
private void EmitNewMarketDepth(Instrument instrument, DateTime datatime, int position, MDSide ask, double price, int size)
{
MDOperation insert = MDOperation.Update;
if (MDSide.Ask == ask)
{
if (position >= instrument.OrderBook.Ask.Count)
{
insert = MDOperation.Insert;
}
}
else
{
if (position >= instrument.OrderBook.Bid.Count)
{
insert = MDOperation.Insert;
}
}
if (price != -1 && size != -1)
{
EmitNewMarketDepth(instrument, new MarketDepth(datatime, "", position, insert, ask, price, size));
}
}
private void EmitChanged(MDSide side, MDOperation operation, int position)
{
if (this.Changed != null)
this.Changed(this, new OrderBookEventArgs(side, operation, position));
}
private bool EmitNewMarketDepth(Instrument instrument, DateTime datatime, int position, MDSide ask, double price, int size)
{
bool bRet = false;
MDOperation insert = MDOperation.Update;
if (MDSide.Ask == ask)
{
if (position >= instrument.OrderBook.Ask.Count)
{
insert = MDOperation.Insert;
}
}
else
{
if (position >= instrument.OrderBook.Bid.Count)
{
insert = MDOperation.Insert;
}
}
if (price != 0 && size != 0)
{
EmitNewMarketDepth(instrument, new MarketDepth(datatime, "", position, insert, ask, price, size));
bRet = true;
}
return(bRet);
}
public OrderBookEventArgs(MDSide size, MDOperation operation, int position) : base()
{
this.Side = size;
this.Operation = operation;
this.Position = position;
}
internal static BidAsk Convert(MDSide side)
{
switch (side)
{
case MDSide.Bid:
return BidAsk.Bid;
case MDSide.Ask:
return BidAsk.Ask;
default:
throw new NotSupportedException(string.Format("MDSide is not supported - {0}", side));
}
}
public OrderBookEventArgs(MDSide size, MDOperation operation, int position) : base()
{
this.Side = size;
this.Operation = operation;
this.Position = position;
}
public virtual void ReadFrom(BinaryReader reader)
{
byte num = reader.ReadByte();
switch (num)
{
case (byte) 1:
this.dateTime = new DateTime(reader.ReadInt64());
this.MarketMaker = reader.ReadString();
this.Source = reader.ReadString();
this.Side = (MDSide)reader.ReadByte();
this.Price = Math.Round((double)reader.ReadSingle(), 4);
this.Size = reader.ReadInt32();
this.ProviderId = reader.ReadByte();
this.Position = -1;
this.Operation = MDOperation.Undefined;
break;
case (byte) 2:
this.dateTime = new DateTime(reader.ReadInt64());
this.MarketMaker = reader.ReadString();
this.source = reader.ReadString();
this.side = (MDSide)reader.ReadByte();
this.price = Math.Round((double)reader.ReadSingle(), 4);
this.size = reader.ReadInt32();
this.providerId = reader.ReadByte();
this.position = reader.ReadInt32();
this.operation = (MDOperation)reader.ReadByte();
break;
case (byte) 3:
this.dateTime = new DateTime(reader.ReadInt64());
this.MarketMaker = reader.ReadString();
this.source = reader.ReadString();
this.side = (MDSide)reader.ReadByte();
this.price = reader.ReadDouble();
this.size = reader.ReadInt32();
this.providerId = reader.ReadByte();
this.position = reader.ReadInt32();
this.operation = (MDOperation)reader.ReadByte();
break;
default:
throw new Exception("" + (object)num);
}
}
public MarketDepth(DateTime datetime, string marketMaker, int position, MDOperation operation, MDSide side, double price, int size) : this(datetime, 0, marketMaker, String.Empty, position, operation, side, price, size)
{
}
public MarketDepth(DateTime datetime, byte providerId, string marketMaker, string source, int position, MDOperation operation, MDSide side, double price, int size)
{
this.dateTime = datetime;
this.providerId = providerId;
this.MarketMaker = marketMaker;
this.source = source;
this.position = position;
this.operation = operation;
this.side = side;
this.price = price;
this.size = size;
}
public MarketDepth(DateTime datetime, string marketMaker, int position, MDOperation operation, MDSide side, double price, int size) : this(datetime, 0, marketMaker, String.Empty, position, operation, side, price, size)
{
}