public Level2Snapshot(DateTime dateTime, byte providerId, int instrumentId, Bid[] bids, Ask[] asks)
: base(dateTime)
{
ProviderId = providerId;
InstrumentId = instrumentId;
Bids = bids;
Asks = asks;
}
public void OnBid(Bid bid)
{
var orders = this.ordersByInstrumentId[bid.InstrumentId];
if (orders == null)
return;
foreach (var order in orders)
{
method_8(order, bid, this.framework.DataManager.GetAsk(order.Instrument));
if (AddQueueToOrderText)
order.Text = order.double_6.ToString();
}
}
public Quote GetQuote(int level)
{
var bid = new Bid();
var ask = new Ask();
Tick tick;
if (Bids.Count < level)
{
tick = Bids[level];
bid = new Bid(tick.DateTime, tick.ProviderId, tick.InstrumentId, tick.Price, tick.Size);
}
if (Asks.Count < level)
{
tick = Asks[level];
ask = new Ask(tick.DateTime, tick.ProviderId, tick.InstrumentId, tick.Price, tick.Size);
}
return new Quote(bid, ask);
}
internal virtual void vmethod_10(Bid bid)
{
if (this.IsInstance)
{
this.OnBid(bid);
List<Stop> list = this.idArray_0[bid.instrumentId];
if (list != null)
{
for (int i = 0; i < list.Count; i++)
{
Stop stop_ = list[i];
if (stop_.Connected)
{
stop_.method_6(bid);
}
}
}
}
}
public Level2(Bid bid, Level2UpdateAction action, int position) : base(bid)
{
Side = Level2Side.Bid;
Action = action;
Position = position;
}
private bool FillWithBid(Order order, Bid bid)
{
if (order.Side != OrderSide.Sell)
return false;
while (true)
{
switch (order.Type)
{
case OrderType.Market:
case OrderType.Pegged:
Fill(order, bid.Price, bid.Size);
return true;
case OrderType.Stop:
if (bid.Price <= order.StopPx)
{
if (!FillAtStopPrice)
{
order.Type = OrderType.Market;
continue;
}
Fill(order, order.StopPx, bid.Size);
return true;
}
break;
case OrderType.Limit:
if (bid.Price >= order.Price)
{
Fill(order, FillAtLimitPrice ? order.Price : bid.Price, bid.Size);
return true;
}
return false;
case OrderType.StopLimit:
if (bid.Price <= order.StopPx)
{
order.Type = OrderType.Limit;
continue;
}
break;
}
break;
}
return false;
}
private void method_8(Order order_0, Bid bid_0, Ask ask_0)
{
}
private void HandleSend(Order order)
{
if (order.Qty == 0.0)
{
this.ExecOrderRejected(order, "Order amount can not be zero");
return;
}
var report = new ExecutionReport
{
DateTime = this.framework.Clock.DateTime,
Order = order,
OrderId = order.Id,
Instrument = order.Instrument,
InstrumentId = order.InstrumentId,
ExecType = ExecType.ExecNew,
OrdStatus = OrderStatus.New,
CurrencyId = order.Instrument.CurrencyId,
OrdType = order.Type,
Side = order.Side,
OrdQty = order.Qty,
Price = order.Price,
StopPx = order.StopPx,
TimeInForce = order.TimeInForce,
CumQty = 0,
LastQty = 0,
LeavesQty = order.Qty,
LastPx = 0,
AvgPx = 0,
Text = order.Text
};
order.LeavesQty = report.LeavesQty;
this.summariesByOrderId[order.Id] = new ReportSummary(report);
EmitExecutionReport(report, Queued);
if (order.TimeInForce == TimeInForce.AUC)
{
this.stops.Add(order);
if (this.stops.Count == 1)
{
this.framework.Clock.AddReminder(OnAuction1, this.framework.Clock.DateTime.Date.Add(Auction1));
this.framework.Clock.AddReminder(OnAuction2, this.framework.Clock.DateTime.Date.Add(Auction2));
}
return;
}
int int_ = order.InstrumentId;
GetOrdersBy(int_, true).Add(order);
if (((order.Type == OrderType.Market || order.Type == OrderType.Pegged) && !FillMarketOnNext) || (order.Type == OrderType.Limit && !FillLimitOnNext) || (order.Type == OrderType.Stop && !FillStopOnNext) || (order.Type == OrderType.StopLimit && !FillStopLimitOnNext))
{
if (FillOnQuote)
{
Ask ask = this.framework.DataManager.GetAsk(int_);
if (ask != null && FillWithAsk(order, ask))
{
this.ClearOrders();
return;
}
Bid bid = this.framework.DataManager.GetBid(int_);
if (bid != null && this.FillWithBid(order, bid))
{
this.ClearOrders();
return;
}
}
if (FillOnTrade)
{
var trade = this.framework.DataManager.GetTrade(int_);
if (trade != null && this.FillWithTrade(order, trade))
{
this.ClearOrders();
return;
}
}
if (FillOnBar)
{
var bar = this.framework.DataManager.GetBar(int_);
if (BarFilter.Count != 0 && !BarFilter.Contains(bar.Type, bar.Size))
{
return;
}
if (bar != null && this.FillWithBar(order, bar))
{
ClearOrders();
}
}
}
}
public Quote(Bid bid, Ask ask)
{
Bid = bid;
Ask = ask;
DateTime = bid.DateTime > ask.DateTime ? bid.DateTime : ask.DateTime;
}
public Level2(Bid bid, Level2UpdateAction action, int position): base(bid)
{
Side = Level2Side.Bid;
Action = action;
Position = position;
}
public override void EmitBid(Bid bid)
{
EventManager.OnEvent(new Bid(bid){providerId = IsInstance ? (byte)Parent.Id : (byte)Id});
}
public void OnBid(Bid bid)
{
// Check conditions for send leg orders.
if (order.Side == OrderSide.Sell)
{
switch (order.Type)
{
case OrderType.Limit:
if (bid.Price >= order.Price)
SendLegOrders();
break;
case OrderType.Stop:
if (bid.Price <= order.StopPx)
SendLegOrders();
break;
}
}
}
protected override void OnBid(Instrument instrument, Bid bid)
{
if (instrument.Id == currentFuturesContract.Id)
{
Bid rootBid = new Bid(bid.DateTime, 0, rootInstrument.Id, bid.Price, bid.Size);
// Emit bid to to BuySide strategy.
EmitBid(rootBid);
}
}
public Quote(Bid bid, Ask ask)
{
Bid = bid;
Ask = ask;
DateTime = bid.DateTime > ask.DateTime ? bid.DateTime : ask.DateTime;
}
private void method_7(List<byte> providers = null)
{
SortedList<double, Tick> sortedList = new SortedList<double, Tick>(new PriceComparer(PriceSortOrder.Descending));
SortedList<double, Tick> sortedList2 = new SortedList<double, Tick>(new PriceComparer(PriceSortOrder.Ascending));
List<Tuple<DateTime, List<Tick>, List<Tick>>> list;
if (providers == null)
{
list = new List<Tuple<DateTime, List<Tick>, List<Tick>>>(this.GonEpGhAb.Values);
}
else
{
list = new List<Tuple<DateTime, List<Tick>, List<Tick>>>();
foreach (byte current in providers)
{
if (this.GonEpGhAb.ContainsKey((int)current))
{
list.Add(this.GonEpGhAb[(int)current]);
}
}
}
this.dateTime_0 = default(DateTime);
foreach (Tuple<DateTime, List<Tick>, List<Tick>> current2 in list)
{
if (current2.Item1 > this.dateTime_0)
{
this.dateTime_0 = current2.Item1;
}
}
List<Tuple<DateTime, List<Tick>, List<Tick>>> list2 = new List<Tuple<DateTime, List<Tick>, List<Tick>>>();
foreach (Tuple<DateTime, List<Tick>, List<Tick>> current3 in list)
{
if (current3.Item1 + this.Timeout >= this.dateTime_0)
{
list2.Add(current3);
}
}
foreach (Tuple<DateTime, List<Tick>, List<Tick>> current4 in list2)
{
foreach (Tick current5 in current4.Item2)
{
if (!sortedList.ContainsKey(current5.Price))
{
Bid bid = new Bid(current5);
if (this.Mode == OrderBookAggr.AggregationMode.TotalValue)
{
bid.ProviderId = 0;
}
sortedList.Add(current5.Price, bid);
}
else if (this.Mode == OrderBookAggr.AggregationMode.TotalValue)
{
sortedList[current5.Price].Size += current5.Size;
}
else if (this.Mode == OrderBookAggr.AggregationMode.MaxValue && current5.Size > sortedList[current5.Price].Size)
{
sortedList[current5.Price] = new Bid(current5);
}
}
foreach (Tick current6 in current4.Item3)
{
if (!sortedList2.ContainsKey(current6.Price))
{
Ask ask = new Ask(current6);
if (this.Mode == OrderBookAggr.AggregationMode.TotalValue)
{
ask.ProviderId = 0;
}
sortedList2.Add(current6.Price, ask);
}
else if (this.Mode == OrderBookAggr.AggregationMode.TotalValue)
{
sortedList2[current6.Price].Size += current6.Size;
}
else if (this.Mode == OrderBookAggr.AggregationMode.MaxValue && current6.Size > sortedList2[current6.Price].Size)
{
sortedList2[current6.Price] = new Ask(current6);
}
}
}
this.bids = new List<Tick>(sortedList.Values);
this.asks = new List<Tick>(sortedList2.Values);
this.bool_0 = true;
}
//public Level2Snapshot GetLevel2Snapshot()
//{
// lock (this.lck)
// {
// if (!this.bool_0)
// this.method_3();
// var bids = new List<Bid>();
// var asks = new List<Ask>();
// foreach (var tick in this.bids)
// if (tick is Bid)
// bids.Add(tick as Bid);
// foreach (var tick in this.asks)
// if (tick is Ask)
// asks.Add(tick as Ask);
// return new Level2Snapshot(this.dateTime_0, 0, this.instrumentId, bids.ToArray(), asks.ToArray());
// }
//}
public Quote GetQuote(int level)
{
lock (this.lck)
{
if (!this.bool_0)
this.method_3();
var bid = new Bid();
var ask = new Ask();
if (this.bids.Count > level)
{
var tick = this.bids[level];
bid = new Bid(tick.dateTime, tick.ProviderId, tick.InstrumentId, tick.Price, tick.Size);
}
if (this.asks.Count > level)
{
var tick = this.asks[level];
ask = new Ask(tick.dateTime, tick.ProviderId, tick.InstrumentId, tick.Price, tick.Size);
}
return new Quote(bid, ask);
}
}
protected virtual void OnBid(Bid bid)
{
// noop
}
protected virtual void OnBid(Bid bid)
{
}
public override void EmitBid(Bid bid)
{
// Emit bid to BuySide strategy.
base.EmitBid(bid);
System.Collections.Generic.LinkedListNode<OrderProcessor> processorNode = processors.First;
// Send bid to order processors.
while (processorNode != null)
{
OrderProcessor processor = processorNode.Value;
processor.OnBid(bid);
processorNode = processorNode.Next;
}
}
public virtual void EmitBid(Bid bid)
{
EventManager.OnEvent(new Bid(bid){providerId = (byte)Id});
}
public void OnBid(Bid bid)
{
var orders = GetOrdersBy(bid.InstrumentId);
if (orders == null)
return;
if (FillOnQuote)
{
foreach (var order in orders)
FillWithBid(order, bid);
ClearOrders();
}
}
public Bid(Bid bid) : base(bid)
{
}
public new virtual void EmitBid(Bid bid)
{
this.framework.EventManager.OnEvent(new Bid(bid) { ProviderId = (byte)Id });
}
protected override void OnBid(Instrument instrument, Bid bid)
{
if (instrument == spread)
return;
if (!isAskBidReady)
{
isAskBidReady = true;
foreach (Leg leg in spread.Legs)
{
if (leg.Instrument.Ask == null || leg.Instrument.Bid == null)
{
isAskBidReady = false;
return;
}
}
}
//
double bidPrice = 0;
int bidSize = Int32.MaxValue;
foreach (Leg leg in spread.Legs)
{
if (leg.Weight > 0)
{
bidPrice += leg.Instrument.Bid.Price * leg.Weight;
bidSize = Math.Min(bidSize, leg.Instrument.Bid.Size);
}
else if (leg.Weight < 0)
{
bidPrice += leg.Instrument.Ask.Price * leg.Weight;
bidSize = Math.Min(bidSize, leg.Instrument.Ask.Size);
}
}
// Create new bid for spread instrument.
EmitBid(new Bid(bid.DateTime, 0, spread.Id, bidPrice, bidSize));
}
public override void EmitBid(Bid bid)
{
var providerId = GetProviderId();
this.framework.EventManager.OnEvent(new Bid(bid) { ProviderId = providerId });
}
public Level2Snapshot(DateTime dateTime, DateTime exchangeDateTime, byte providerId, int instrumentId, Bid[] bids, Ask[] asks) : this(dateTime, providerId, instrumentId, bids, asks)
{
ExchangeDateTime = exchangeDateTime;
}
internal void OnBid(Bid bid)
{
var iId = bid.InstrumentId;
var pId = bid.ProviderId + 1;
this.latestBid[iId] = bid;
this.bidByIIdAndPId[pId] = this.bidByIIdAndPId[pId] ?? new IdArray<Bid>(10240);
this.bidByIIdAndPId[pId][iId] = bid;
}
internal void OnBid(Bid bid)
{
if (TraceOnQuote && Side == PositionSide.Long)
{
this.fillPrice = this.trailPrice = this.currPrice = GetPrice(bid.Price);
this.method_1();
}
}
public Bid(Bid bid) : base(bid)
{
}
internal void OnBid(Bid bid)
{
if (Strategy?.Status == StrategyStatus.Running)
Strategy.EmitBid(bid);
}
private void method_7(List <byte> providers = null)
{
SortedList <double, Tick> sortedList = new SortedList <double, Tick>(new PriceComparer(PriceSortOrder.Descending));
SortedList <double, Tick> sortedList2 = new SortedList <double, Tick>(new PriceComparer(PriceSortOrder.Ascending));
List <Tuple <DateTime, List <Tick>, List <Tick> > > list;
if (providers == null)
{
list = new List <Tuple <DateTime, List <Tick>, List <Tick> > >(this.GonEpGhAb.Values);
}
else
{
list = new List <Tuple <DateTime, List <Tick>, List <Tick> > >();
foreach (byte current in providers)
{
if (this.GonEpGhAb.ContainsKey((int)current))
{
list.Add(this.GonEpGhAb[(int)current]);
}
}
}
this.dateTime_0 = default(DateTime);
foreach (Tuple <DateTime, List <Tick>, List <Tick> > current2 in list)
{
if (current2.Item1 > this.dateTime_0)
{
this.dateTime_0 = current2.Item1;
}
}
List <Tuple <DateTime, List <Tick>, List <Tick> > > list2 = new List <Tuple <DateTime, List <Tick>, List <Tick> > >();
foreach (Tuple <DateTime, List <Tick>, List <Tick> > current3 in list)
{
if (current3.Item1 + this.Timeout >= this.dateTime_0)
{
list2.Add(current3);
}
}
foreach (Tuple <DateTime, List <Tick>, List <Tick> > current4 in list2)
{
foreach (Tick current5 in current4.Item2)
{
if (!sortedList.ContainsKey(current5.Price))
{
Bid bid = new Bid(current5);
if (this.Mode == OrderBookAggr.AggregationMode.TotalValue)
{
bid.ProviderId = 0;
}
sortedList.Add(current5.Price, bid);
}
else if (this.Mode == OrderBookAggr.AggregationMode.TotalValue)
{
sortedList[current5.Price].Size += current5.Size;
}
else if (this.Mode == OrderBookAggr.AggregationMode.MaxValue && current5.Size > sortedList[current5.Price].Size)
{
sortedList[current5.Price] = new Bid(current5);
}
}
foreach (Tick current6 in current4.Item3)
{
if (!sortedList2.ContainsKey(current6.Price))
{
Ask ask = new Ask(current6);
if (this.Mode == OrderBookAggr.AggregationMode.TotalValue)
{
ask.ProviderId = 0;
}
sortedList2.Add(current6.Price, ask);
}
else if (this.Mode == OrderBookAggr.AggregationMode.TotalValue)
{
sortedList2[current6.Price].Size += current6.Size;
}
else if (this.Mode == OrderBookAggr.AggregationMode.MaxValue && current6.Size > sortedList2[current6.Price].Size)
{
sortedList2[current6.Price] = new Ask(current6);
}
}
}
this.bids = new List <Tick>(sortedList.Values);
this.asks = new List <Tick>(sortedList2.Values);
this.bool_0 = true;
}
protected virtual void OnBid(Bid bid)
{
// noop
}
private void method_8(Order order_0, Bid bid_0, Ask ask_0)
{
}