Exemple #1
0
 public void SetNewQuote(FreeQuant.Instruments.Instrument instrument, FreeQuant.Data.Quote quote)
 {
     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.OnNewQuote(quote);
                     }
                 }
             }
         }
         Strategy strategy = (Strategy)null;
         if (!this.strategies.TryGetValue(instrument, out strategy))
         {
             return;
         }
         strategy.OnQuote((OpenQuant.API.Quote) this.objectConverter.Convert(quote));
     }
     catch (Exception ex)
     {
         this.EmitError(ex);
     }
 }
Exemple #2
0
		public zo21q6cy3fImtUHATQ(SimulationExecutionProvider obj0, FIXNewOrderSingle obj1)
		{
			this.smCF4MYTNu = new Quote();
			this.j57Fjc16NJ = 1E-08;

			this.A8bFJItyyx = obj0;
			this.PYBF7sahqY = obj1;
			this.kUyFaL3cQu = obj0.FillOnBarMode;
			this.L27FNaAWTp = obj0.FillAtLimitPrice;
			this.yFOFUpVbqt = obj0.FillAtStopPrice;
			if (obj1.TradeVolumeDelay == 0)
				this.gxTF8gufMx = true;
			if ((this.PYBF7sahqY as SingleOrder).OrdType == OrdType.TrailingStop || (this.PYBF7sahqY as SingleOrder).OrdType == OrdType.TrailingStopLimit)
			{
				switch ((this.PYBF7sahqY as SingleOrder).Side)
				{
					case Side.Buy:
					case Side.BuyMinus:
						this.zGRFvN99ge = double.MaxValue;
						break;
					case Side.Sell:
					case Side.SellShort:
						this.zGRFvN99ge = double.MinValue;
						break;
					default:
						throw new NotSupportedException("" + obj1.Side.ToString());
				}
			}
			this.A8bFJItyyx.MyIPdEI7fi.Add(this.PYBF7sahqY.ClOrdID, this);
			this.dGEFgdOydF();
		}
		public MarketDataUpdateItem(MarketDataViewRow row, Quote quote, Trade trade, Bar bar)
		{
			this.Row = row;
			this.Quote = quote;
			this.Trade = trade;
			this.Bar = bar;
		}
Exemple #4
0
 protected override void OnUpdateQuote(Quote quote)
 {
     this.Cells[1].Value = quote.DateTime;
     this.Cells[6].Value = quote.BidSize;
     this.Cells[7].Value = quote.Bid;
     this.Cells[8].Value = quote.Ask;
     this.Cells[9].Value = quote.AskSize;
 }
Exemple #5
0
		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);
		}
Exemple #6
0
		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;
		}
Exemple #7
0
		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;
		}
Exemple #8
0
 public void EmitQuote(Instrument instrument, DateTime time, byte providerId, double bid, int bidSize, double ask, int askSize)
 {
     FreeQuant.Data.Quote quote = new FreeQuant.Data.Quote(time, bid, bidSize, ask, askSize);
     quote.ProviderId = providerId;
     if (this.MarketDataFilter != null)
     {
         quote = this.MarketDataFilter.FilterQuote(quote, instrument.Symbol);
     }
     if (quote == null)
     {
         return;
     }
     if (this.NewQuote != null)
     {
         this.NewQuote((object)this, new QuoteEventArgs(quote, (IFIXInstrument)instrument.instrument, (IMarketDataProvider)this));
     }
     if (this.barFactory == null)
     {
         return;
     }
     this.barFactory.OnNewQuote((IFIXInstrument)instrument.instrument, quote);
 }
Exemple #9
0
		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;
		}
Exemple #10
0
 public static void Add(Instrument instrument, string suffix, Quote quote)
 {
     DataManager.Add(instrument.Symbol + SERIES_SEPARATOR + suffix, quote);
 }
Exemple #11
0
    internal void miSxH6BDd(Instrument obj0, Quote obj1)
    {
      if (!this.isActive)
        return;
      if (Trace.IsLevelEnabled(TraceLevel.Verbose))
				Trace.WriteLine(string.Format("fsfd", (object) this.Name, (object) obj0.Symbol, (object) obj1));
      this.OnNewQuote(obj0, obj1);
    }
Exemple #12
0
		public SimpleDataObject(IFIXInstrument instrument, Quote quote)
		{
			this.DateTime = quote.DateTime;
			this.Instrument = instrument;
			this.DataType = 1;
		}
Exemple #13
0
 public QuoteAction(Instrument instrument, Quote quote)
   : base(instrument)
 {
   this.quote = quote;
 }
		public HistoricalQuoteEventArgs(Quote quote, string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength)
			: base(requestId, instrument, provider, dataLength)
		{
			this.Quote = quote; 
		}
Exemple #15
0
		private void dGEFgdOydF()
		{
			if (!(this.PYBF7sahqY is SingleOrder))
				return;
			SingleOrder singleOrder = this.PYBF7sahqY as SingleOrder;
			if (singleOrder.ContainsField(11201))
				this.kUyFaL3cQu = (FillOnBarMode) singleOrder.FillOnBarMode;
			Instrument instrument = singleOrder.Instrument;
			bool flag = !singleOrder.IsStopLimitReady && (singleOrder.OrdType == OrdType.TrailingStop || singleOrder.OrdType == OrdType.TrailingStopLimit || singleOrder.OrdType == OrdType.StopLimit);
			if (singleOrder.OrdType == OrdType.Market)
			{
				if ((this.A8bFJItyyx.FillOnQuote && !flag || this.A8bFJItyyx.TriggerOnQuote && flag) && this.A8bFJItyyx.FillOnQuoteMode == FillOnQuoteMode.LastQuote)
					this.Y18FFPmDy5(instrument.Quote, (Trade) null, (Bar) null);
				if ((this.A8bFJItyyx.FillOnTrade && !flag || this.A8bFJItyyx.TriggerOnTrade && flag) && this.A8bFJItyyx.FillOnTradeMode == FillOnTradeMode.LastTrade)
					this.Y18FFPmDy5((Quote) null, instrument.Trade, (Bar) null);
				if ((this.A8bFJItyyx.FillOnBar && !flag || this.A8bFJItyyx.TriggerOnBar && flag) && ((this.kUyFaL3cQu == FillOnBarMode.LastBarClose || singleOrder.ForceMarketOrder) && this.A8bFJItyyx.BarFilter.Contains(instrument.Bar.BarType, instrument.Bar.Size)))
					this.Y18FFPmDy5((Quote) null, (Trade) null, instrument.Bar);
			}
			else
			{
				if (instrument.Quote != null && (this.A8bFJItyyx.FillOnQuote && !flag || this.A8bFJItyyx.TriggerOnQuote && flag) && this.A8bFJItyyx.FillOnQuoteMode == FillOnQuoteMode.LastQuote)
					this.Y18FFPmDy5(instrument.Quote, (Trade) null, (Bar) null);
				if (instrument.Trade != null && (this.A8bFJItyyx.FillOnTrade && !flag || this.A8bFJItyyx.TriggerOnTrade && flag) && this.A8bFJItyyx.FillOnTradeMode == FillOnTradeMode.LastTrade)
					this.Y18FFPmDy5((Quote) null, instrument.Trade, (Bar) null);
				if (instrument.Bar != null && (this.A8bFJItyyx.FillOnBar && !flag || this.A8bFJItyyx.TriggerOnBar && flag) && (this.A8bFJItyyx.BarFilter.Contains(instrument.Bar.BarType, instrument.Bar.Size) && this.A8bFJItyyx.FillOnBarMode == FillOnBarMode.LastBarClose))
				{
					double close = instrument.Bar.Close;
					if (close != 0.0)
						this.wYBFLwFB4S(close, singleOrder.OrderQty);
				}
			}
			if (this.aXtFGP76FH)
				return;
			if (this.A8bFJItyyx.FillOnQuote || this.A8bFJItyyx.TriggerOnQuote)
				instrument.NewQuote += new QuoteEventHandler(this.PyJFklA8yp);
			if (this.A8bFJItyyx.FillOnTrade || this.A8bFJItyyx.TriggerOnTrade)
				instrument.NewTrade += new TradeEventHandler(this.YGKFrq1UXP);
			this.smCF4MYTNu = instrument.Quote;
			if (this.A8bFJItyyx.FillOnBar || this.A8bFJItyyx.TriggerOnBar)
			{
				if (singleOrder.ForceMarketOrder)
				{
					instrument.NewBar += new BarEventHandler(this.YgkFRBfPV0);
					instrument.NewBarOpen += new BarEventHandler(this.OyPFEsHGL2);
				}
				else if (singleOrder.OrdType == OrdType.Market)
				{
					switch (this.kUyFaL3cQu)
					{
						case FillOnBarMode.LastBarClose:
						case FillOnBarMode.NextBarClose:
							instrument.NewBar += new BarEventHandler(this.YgkFRBfPV0);
							break;
						case FillOnBarMode.NextBarOpen:
							instrument.NewBarOpen += new BarEventHandler(this.OyPFEsHGL2);
							break;
					}
				}
				else
				{
					instrument.NewBar += new BarEventHandler(this.YgkFRBfPV0);
					instrument.NewBarOpen += new BarEventHandler(this.OyPFEsHGL2);
				}
			}
			if ((int) this.PYBF7sahqY.TimeInForce != 54)
				return;
			Clock.AddReminder(new ReminderEventHandler(this.xT1FyAqCPT), this.PYBF7sahqY.ExpireTime, (object) null);
		}
Exemple #16
0
 public object Convert(FreeQuant.Data.Quote quote)
 {
     return(new Quote(quote));
 }
Exemple #17
0
		protected virtual void OnUpdateQuote(Quote quote)
		{
		}
Exemple #18
0
 public override void Write(Instrument instrument, Quote quote)
 {
   if (this.error != null)
     throw this.error;
   this.Enqueue(instrument, (IDataObject) quote);
 }
Exemple #19
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);
		}
Exemple #20
0
		private void PyJFklA8yp(object obj0, QuoteEventArgs obj1)
		{
			SingleOrder singleOrder = this.PYBF7sahqY as SingleOrder;
			Quote quote = obj1.Quote;
			if (this.A8bFJItyyx.FillAtWorstQuoteRate || this.smCF4MYTNu.Bid <= this.smCF4MYTNu.Ask || quote.Bid <= quote.Ask)
			{
				switch (singleOrder.Side)
				{
					case Side.Buy:
						if (quote.Ask != this.smCF4MYTNu.Ask || quote.AskSize != this.smCF4MYTNu.AskSize)
						{
							this.Y18FFPmDy5(quote, (Trade) null, (Bar) null);
							break;
						}
						else
							break;
					case Side.Sell:
					case Side.SellShort:
						if (quote.Bid != this.smCF4MYTNu.Bid || quote.BidSize != this.smCF4MYTNu.BidSize)
						{
							this.Y18FFPmDy5(quote, (Trade) null, (Bar) null);
							break;
						}
						else
							break;
				}
			}
			else
			{
				switch (singleOrder.Side)
				{
					case Side.Buy:
						if (quote.Bid != this.smCF4MYTNu.Bid || quote.BidSize != this.smCF4MYTNu.BidSize)
						{
							this.Y18FFPmDy5(quote, (Trade) null, (Bar) null);
							break;
						}
						else
							break;
					case Side.Sell:
					case Side.SellShort:
						if (quote.Ask != this.smCF4MYTNu.Ask || quote.AskSize != this.smCF4MYTNu.AskSize)
						{
							this.Y18FFPmDy5(quote, (Trade) null, (Bar) null);
							break;
						}
						else
							break;
				}
			}
			this.smCF4MYTNu = quote;
		}
Exemple #21
0
		protected override void OnNewQuote(Instrument instrument, Quote quote)
		{
			foreach (ATSStop atsStop in new ArrayList((ICollection) this.activeStops[instrument]))
			{
				if (atsStop.Connected)
					atsStop.OnNewQuote(quote);
			}
			this.marketManager.OnQuote(instrument, quote);
			this.klBiFcxZsD.OnQuote(instrument, quote);
			this.csNiLdTRqH[instrument].OnQuote(quote);
		}
Exemple #22
0
		public void OnNewQuote(Quote quote)
		{
			if (!this.fTraceOnQuote)
				return;
			switch (this.fSide)
			{
				case PositionSide.Long:
					this.fCurrPrice = quote.Ask;
					break;
				case PositionSide.Short:
					this.fCurrPrice = quote.Bid;
					break;
			}
			this.fFillPrice = this.fCurrPrice;
			this.fTrailPrice = this.fCurrPrice;
			this.oEtiRP16ys();
		}
Exemple #23
0
		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));
		}
Exemple #24
0
 internal void ddk6JqyZZD(Quote obj0)
 {
   if (!this.fTraceOnQuote)
     return;
   switch (this.fSide)
   {
     case PositionSide.Long:
       this.fCurrPrice = obj0.Bid;
       break;
     case PositionSide.Short:
       this.fCurrPrice = obj0.Ask;
       break;
   }
   this.fFillPrice = this.fCurrPrice;
   this.fTrailPrice = this.fCurrPrice;
   this.XqY6FAU6Mj();
 }
Exemple #25
0
		public void EmitQuote(Quote quote, Instrument instrument)
		{
			if (this.MarketDataFilter != null)
			{
				quote = this.MarketDataFilter.FilterQuote(quote, instrument.Symbol);
				if (quote == null)
					return;
			}
			if (this.uQX4e0V1fj != null)
				this.uQX4e0V1fj((object)this, new QuoteEventArgs(quote, (IFIXInstrument)instrument, (IMarketDataProvider)this));
			if (this.barFactory == null)
				return;
			this.barFactory.OnNewQuote((IFIXInstrument)instrument, quote);
		}
Exemple #26
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		public abstract void Write(Instrument instrument, Quote quote);
Exemple #27
0
 public void Add(string series, Quote quote)
 {
     DataManager.Add(this, series, quote);
 }
Exemple #28
0
 protected virtual void OnNewQuote(Instrument instrument, Quote quote)
 {
 }
Exemple #29
0
 public void Add(Quote quote)
 {
     DataManager.Add(this, quote);
 }
Exemple #30
0
 public static void Add(string series, Quote quote)
 {
     DataManager.server.Add(series, quote);
 }
Exemple #31
0
 protected override void OnNewQuote(Instrument instrument, Quote quote)
 {
   foreach (Stop stop in new ArrayList((ICollection) this.activeStops[instrument]))
   {
     if (stop.Connected)
       stop.ddk6JqyZZD(quote);
   }
   this.A6MpF2380O.OnQuote(instrument, quote);
   this.HeHpDewVKD.OnQuote(instrument, quote);
   this.marketManager.OnQuote(instrument, quote);
   this.exits[instrument].OnQuote(quote);
   this.entries[instrument].OnQuote(quote);
   this.moneyManagers[instrument].OnQuote(quote);
   this.riskManagers[instrument].OnQuote(quote);
 }
Exemple #32
0
 public static void Add(Instrument instrument, Quote quote)
 {
     DataManager.Add(instrument, SUFFIX_QUOTE, quote);
 }
Exemple #33
0
		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;
		}