internal void OnLevel2(Level2Update l2u)
{
if (Strategy?.Status == StrategyStatus.Running)
{
Strategy.EmitLevel2(l2u);
}
}
internal void OnLevel2(Level2Update l2u)
{
var pId = l2u.ProviderId + 1;
var iId = l2u.InstrumentId;
this.idArray_10[pId] = this.idArray_10[pId] ?? new IdArray <OrderBook>(10240);
var orderBook = this.idArray_10[pId][iId] = this.idArray_10[pId][iId] ?? new OrderBook();
orderBook.OnLevel2(l2u);
var orderBookAggr = this.idArray_4[iId] = this.idArray_4[iId] ?? new OrderBookAggr(iId);
orderBookAggr.OnLevel2(l2u);
}
public override object Read(BinaryReader reader, byte version)
{
var l2u = new Level2Update();
l2u.DateTime = new DateTime(reader.ReadInt64());
l2u.ProviderId = reader.ReadByte();
l2u.InstrumentId = reader.ReadInt32();
int count = reader.ReadInt32();
l2u.Entries = new Level2[count];
for (int i = 0; i < count; i++)
{
l2u.Entries[i] = (Level2)this.streamerManager.Deserialize(reader);
}
return(l2u);
}
internal void OnLevel2(Level2Update l2u)
{
foreach (var level in l2u.Entries)
{
IList <Tick> list = null;
switch (level.Side)
{
case Level2Side.Bid:
list = Bids;
break;
case Level2Side.Ask:
list = Asks;
break;
}
switch (level.Action)
{
case Level2UpdateAction.New:
list.Insert(level.InstrumentId, new Tick(level));
break;
case Level2UpdateAction.Change:
list[level.InstrumentId].Size = level.Size;
break;
case Level2UpdateAction.Delete:
if (level.InstrumentId >= list.Count)
{
Console.WriteLine($"OrderBook::{level.Side} Delete warning at index: {level.InstrumentId}, max index: {list.Count - 1}, InstrumentId: {level.InstrumentId}");
list.RemoveAt(list.Count - 1);
}
else
{
list.RemoveAt(level.InstrumentId);
}
break;
case Level2UpdateAction.Reset:
list.Clear();
break;
}
}
}
internal void OnLevel2(Level2Update l2u)
{
foreach (var level in l2u.Entries)
{
IList<Tick> list = null;
switch (level.Side)
{
case Level2Side.Bid:
list = Bids;
break;
case Level2Side.Ask:
list = Asks;
break;
}
switch (level.Action)
{
case Level2UpdateAction.New:
list.Insert(level.InstrumentId, new Tick(level));
break;
case Level2UpdateAction.Change:
list[level.InstrumentId].Size = level.Size;
break;
case Level2UpdateAction.Delete:
if (level.InstrumentId >= list.Count)
{
Console.WriteLine($"OrderBook::{level.Side} Delete warning at index: {level.InstrumentId}, max index: {list.Count - 1}, InstrumentId: {level.InstrumentId}");
list.RemoveAt(list.Count - 1);
}
else
list.RemoveAt(level.InstrumentId);
break;
case Level2UpdateAction.Reset:
list.Clear();
break;
}
}
}
public void OnLevel2(Level2Update update)
{
throw new NotImplementedException();
}
public void Save(Level2Update level2, SaveMode option = SaveMode.Add) => Save(level2.InstrumentId, level2, option);
public void OnLevel2(Level2Update update)
{
// noop
}
public void OnLevel2(Level2Update update)
{
throw new NotImplementedException();
}
public override object Read(BinaryReader reader, byte version)
{
var l2u = new Level2Update();
l2u.DateTime = new DateTime(reader.ReadInt64());
l2u.ProviderId = reader.ReadByte();
l2u.InstrumentId = reader.ReadInt32();
int count = reader.ReadInt32();
l2u.Entries = new Level2[count];
for (int i = 0; i < count; i++)
l2u.Entries[i] = (Level2)this.streamerManager.Deserialize(reader);
return l2u;
}
protected virtual void OnLevel2(Level2Update update)
{
}
internal virtual void vmethod_14(Level2Update update)
{
if (this.IsInstance)
{
this.OnLevel2(update);
}
}
public void OnLevel2(Level2Update update)
{
// noop
}
internal void OnLevel2(Level2Update l2u)
{
//lock (this.lck)
//{
// this.bool_0 = false;
// Tuple<DateTime, List<Tick>, List<Tick>> tuple;
// if (this.GonEpGhAb.TryGetValue(l2u.ProviderId, out tuple))
// {
// tuple = new Tuple<DateTime, List<Tick>, List<Tick>>(l2u.DateTime, tuple.Item2, tuple.Item3);
// }
// else
// {
// tuple = new Tuple<DateTime, List<Tick>, List<Tick>>(l2u.DateTime, new List<Tick>(), new List<Tick>());
// }
// this.GonEpGhAb[l2u.ProviderId] = tuple;
// Level2[] level2_ = l2u.Entries;
// int i = 0;
// while (i < level2_.Length)
// {
// Level2 level = level2_[i];
// switch (level.Side)
// {
// case Level2Side.Bid:
// {
// List<Tick> list = tuple.Item2;
// goto IL_B2;
// }
// case Level2Side.Ask:
// {
// List<Tick> list = tuple.Item3;
// goto IL_B2;
// }
// }
// IL_1B4:
// i++;
// continue;
// IL_B2:
// switch (level.Action)
// {
// case Level2UpdateAction.New:
// {
// List<Tick> list;
// list.Insert(level.Position, new Tick(level));
// goto IL_1B4;
// }
// case Level2UpdateAction.Change:
// {
// List<Tick> list;
// list[level.Position].size = level.Size;
// goto IL_1B4;
// }
// case Level2UpdateAction.Delete:
// {
// List<Tick> list;
// if (level.Position >= list.Count)
// {
// Console.WriteLine($"OrderBook:: {level.Side} Delete warning at index: {level.Position}, max index: {list.Count - 1}, InstrumentId: {level.InstrumentId}");
// list.RemoveAt(list.Count - 1);
// goto IL_1B4;
// }
// list.RemoveAt(level.Position);
// goto IL_1B4;
// }
// case Level2UpdateAction.Reset:
// {
// List<Tick> list;
// list.Clear();
// goto IL_1B4;
// }
// default:
// goto IL_1B4;
// }
// }
//}
}
internal void OnLevel2(Level2Update l2u)
{
if (Strategy?.Status == StrategyStatus.Running)
Strategy.EmitLevel2(l2u);
}
internal void OnLevel2(Level2Update l2u)
{
var pId = l2u.ProviderId + 1;
var iId = l2u.InstrumentId;
this.idArray_10[pId] = this.idArray_10[pId] ?? new IdArray<OrderBook>(10240);
var orderBook = this.idArray_10[pId][iId] = this.idArray_10[pId][iId] ?? new OrderBook();
orderBook.OnLevel2(l2u);
var orderBookAggr = this.idArray_4[iId] = this.idArray_4[iId] ?? new OrderBookAggr(iId);
orderBookAggr.OnLevel2(l2u);
}
public void Save(Level2Update level2, SaveMode option = SaveMode.Add) => Save(level2.InstrumentId, level2, option);
internal void OnLevel2(Level2Update l2u)
{
//lock (this.lck)
//{
// this.bool_0 = false;
// Tuple<DateTime, List<Tick>, List<Tick>> tuple;
// if (this.GonEpGhAb.TryGetValue(l2u.ProviderId, out tuple))
// {
// tuple = new Tuple<DateTime, List<Tick>, List<Tick>>(l2u.DateTime, tuple.Item2, tuple.Item3);
// }
// else
// {
// tuple = new Tuple<DateTime, List<Tick>, List<Tick>>(l2u.DateTime, new List<Tick>(), new List<Tick>());
// }
// this.GonEpGhAb[l2u.ProviderId] = tuple;
// Level2[] level2_ = l2u.Entries;
// int i = 0;
// while (i < level2_.Length)
// {
// Level2 level = level2_[i];
// switch (level.Side)
// {
// case Level2Side.Bid:
// {
// List<Tick> list = tuple.Item2;
// goto IL_B2;
// }
// case Level2Side.Ask:
// {
// List<Tick> list = tuple.Item3;
// goto IL_B2;
// }
// }
// IL_1B4:
// i++;
// continue;
// IL_B2:
// switch (level.Action)
// {
// case Level2UpdateAction.New:
// {
// List<Tick> list;
// list.Insert(level.Position, new Tick(level));
// goto IL_1B4;
// }
// case Level2UpdateAction.Change:
// {
// List<Tick> list;
// list[level.Position].size = level.Size;
// goto IL_1B4;
// }
// case Level2UpdateAction.Delete:
// {
// List<Tick> list;
// if (level.Position >= list.Count)
// {
// Console.WriteLine($"OrderBook:: {level.Side} Delete warning at index: {level.Position}, max index: {list.Count - 1}, InstrumentId: {level.InstrumentId}");
// list.RemoveAt(list.Count - 1);
// goto IL_1B4;
// }
// list.RemoveAt(level.Position);
// goto IL_1B4;
// }
// case Level2UpdateAction.Reset:
// {
// List<Tick> list;
// list.Clear();
// goto IL_1B4;
// }
// default:
// goto IL_1B4;
// }
// }
//}
}
