public OriginQuotation(Instrument instrument, DataRow originQuotation)
{
this.modifyState = ModifyState.Unchanged;
this.instrument = instrument;
this.timestamp = (DateTime)originQuotation["Timestamp"];
if (originQuotation["Ask"] != DBNull.Value)
{
this.ask = Price.CreateInstance((string)originQuotation["Ask"], instrument.NumeratorUnit, instrument.Denominator);
}
if (originQuotation["Bid"] != DBNull.Value)
{
this.bid = Price.CreateInstance((string)originQuotation["Bid"], instrument.NumeratorUnit, instrument.Denominator);
}
if (originQuotation["High"] != DBNull.Value)
{
this.high = Price.CreateInstance((string)originQuotation["High"], instrument.NumeratorUnit, instrument.Denominator);
}
if (originQuotation["Low"] != DBNull.Value)
{
this.low = Price.CreateInstance((string)originQuotation["Low"], instrument.NumeratorUnit, instrument.Denominator);
}
if (originQuotation.Table.Columns.Contains("Volume") && originQuotation["Volume"] != DBNull.Value)
{
this.volume = (string)originQuotation["Volume"];
}
if (originQuotation.Table.Columns.Contains("TotalVolume") && originQuotation["TotalVolume"] != DBNull.Value)
{
this.totalVolume = (string)originQuotation["TotalVolume"];
}
this.origin = instrument.CalculateOrigin(this.ask, this.bid, false);
}
public OriginQuotation(Instrument instrument, CollectorQuotation cq)
{
this.modifyState = ModifyState.Added;
this.instrument = instrument;
this.timestamp = cq.Timestamp;
this.ask = Price.CreateInstance(cq.Ask, instrument.NumeratorUnit, instrument.Denominator);
this.bid = Price.CreateInstance(cq.Bid, instrument.NumeratorUnit, instrument.Denominator);
this.high = Price.CreateInstance(cq.High, instrument.NumeratorUnit, instrument.Denominator);
this.low = Price.CreateInstance(cq.Low, instrument.NumeratorUnit, instrument.Denominator);
this.volume = cq.Volume;
this.totalVolume = cq.TotalVolume;
this.origin = instrument.CalculateOrigin(this.ask, this.bid, instrument.OriginQReceived != null);
//Special handle, it's not so strict
//NOTE: Has problem for session clear !
if (this.origin == null && instrument.OriginQReceived != null)
{
if (this.ask == null) this.ask = this.instrument.OriginQReceived.ask;
if (this.bid == null) this.bid = this.instrument.OriginQReceived.bid;
this.origin = instrument.CalculateOrigin(this.ask, this.bid, false);
}
this.FilterErrorHighLow(instrument, false);
}
public QuotePolicyDetail(Instrument instrument, DataRow quotePolicy)
{
this.id = (Guid)quotePolicy["QuotePolicyID"];
this.priceType = (PriceType)(byte)quotePolicy["PriceType"];
this.autoAdjustPoints = (int)quotePolicy["AutoAdjustPoints"];
this.spreadPoints = (int)quotePolicy["SpreadPoints"];
this.isOriginHiLo = (bool)quotePolicy["IsOriginHiLo"];
this.overrideHigh = null;
this.overrideLow = null;
this.SetCrossRef(instrument);
}
public QuotePolicyDetail(Instrument instrument, XmlNode quotePolicy)
{
this.id = XmlConvert.ToGuid(quotePolicy.Attributes["QuotePolicyID"].Value);
this.priceType = (PriceType)XmlConvert.ToByte(quotePolicy.Attributes["PriceType"].Value);
this.autoAdjustPoints = XmlConvert.ToInt32(quotePolicy.Attributes["AutoAdjustPoints"].Value);
this.spreadPoints = XmlConvert.ToInt32(quotePolicy.Attributes["SpreadPoints"].Value);
this.isOriginHiLo = XmlConvert.ToBoolean(quotePolicy.Attributes["IsOriginHiLo"].Value);
this.overrideHigh = null;
this.overrideLow = null;
this.SetCrossRef(instrument);
}
public OverridedQuotation(Instrument instrument, QuotePolicyDetail quotePolicy, DataRow overridedQuotation)
{
this.modifyState = ModifyState.Unchanged;
this.quotePolicy = quotePolicy;
this.instrument = instrument;
this.timestamp = (DateTime)overridedQuotation["Timestamp"];
if (overridedQuotation["Origin"] != DBNull.Value)
{
this.origin = Price.CreateInstance((string)overridedQuotation["Origin"], instrument.NumeratorUnit, instrument.Denominator);
}
if (overridedQuotation["Ask"] != DBNull.Value)
{
this.ask = Price.CreateInstance((string)overridedQuotation["Ask"], instrument.NumeratorUnit, instrument.Denominator);
}
if (overridedQuotation["Bid"] != DBNull.Value)
{
this.bid = Price.CreateInstance((string)overridedQuotation["Bid"], instrument.NumeratorUnit, instrument.Denominator);
}
if (overridedQuotation["High"] != DBNull.Value)
{
this.high = Price.CreateInstance((string)overridedQuotation["High"], instrument.NumeratorUnit, instrument.Denominator);
}
if (overridedQuotation["Low"] != DBNull.Value)
{
this.low = Price.CreateInstance((string)overridedQuotation["Low"], instrument.NumeratorUnit, instrument.Denominator);
}
this.dealerID = (Guid)overridedQuotation["DealerID"];
if (overridedQuotation.Table.Columns.Contains("Volume") && overridedQuotation["Volume"] != DBNull.Value)
{
this.volume = (string)overridedQuotation["Volume"];
}
if (overridedQuotation.Table.Columns.Contains("TotalVolume") && overridedQuotation["TotalVolume"] != DBNull.Value)
{
this.totalVolume = (string)overridedQuotation["TotalVolume"];
}
}
private void SetCrossRef(Instrument instrument)
{
this.instrument = instrument;
this.instrument.QuotePolicyDetails.Add(this);
}
public bool Update(XmlNode quotePolicy, Instrument instrument)
{
this.Dispose();
foreach (XmlAttribute attribute in quotePolicy.Attributes)
{
switch (attribute.Name)
{
case "PriceType":
this.priceType = (PriceType)XmlConvert.ToInt16(attribute.Value);
break;
case "AutoAdjustPoints":
this.autoAdjustPoints = XmlConvert.ToInt32(attribute.Value);
break;
case "SpreadPoints":
this.spreadPoints = XmlConvert.ToInt32(attribute.Value);
break;
case "IsOriginHiLo":
this.isOriginHiLo = XmlConvert.ToBoolean(attribute.Value);
break;
}
}
this.SetCrossRef(instrument);
return true;
}
public void FilterErrorHighLow(Instrument instrument, bool useLast)
{
if (useLast)
{
if (this.high == instrument.ErrorOriginHigh) this.high = instrument.OriginHigh;
if (this.low == instrument.ErrorOriginLow) this.low = instrument.OriginLow;
}
else
{
if (this.high == instrument.ErrorOriginHigh) this.high = null;
if (this.low == instrument.ErrorOriginLow) this.low = null;
}
}
internal iExchange.Common.OriginQuotation ToLightVersion(Instrument instrument)
{
iExchange.Common.OriginQuotation lightOriginQ = new iExchange.Common.OriginQuotation();
lightOriginQ.HasWatchOnlyQuotePolicies = instrument.HasWatchOnlyQuotePolicies;
lightOriginQ.InstrumentID = this.InstrumentID;
lightOriginQ.Timestamp = this.timestamp;
lightOriginQ.Ask = (string)this.origin;
lightOriginQ.Bid = (string)this.origin;
lightOriginQ.High = (string)this.originHigh;
lightOriginQ.Low = (string)this.originLow;
lightOriginQ.Origin = (string)this.origin;
lightOriginQ.Volume = this.volume;
lightOriginQ.TotalVolume = this.totalVolume;
return lightOriginQ;
}
public void NormalizeOrigins(Instrument instrument)
{
this.origin = Price.CreateInstance(this.originString, instrument.NumeratorUnit, instrument.Denominator);
this.originHigh = Price.CreateInstance(this.highString, instrument.NumeratorUnit, instrument.Denominator);
this.originLow = Price.CreateInstance(this.lowString, instrument.NumeratorUnit, instrument.Denominator);
}
//Changed for emperor 2004-12-22
public OverridedQuotation(Instrument instrument, QuotePolicyDetail quotePolicy, OriginQuotation originQuotation)
{
this.modifyState = ModifyState.Added;
this.quotePolicy = quotePolicy;
this.instrument = instrument;
if (instrument.ExchangeSystem == ExchangeSystem.Bursa && originQuotation != null)
{
this.timestamp = originQuotation.Timestamp;
}
else
{
this.timestamp = DateTime.Now;
}
this.origin = instrument.LastOrigin;
this.volume = instrument.LastVolume;
this.totalVolume = instrument.LastTotalVolume;
//this.dealerID=instrument.DealerID;
this.dealerID = (originQuotation == null ? instrument.LastOfferDealerID : Guid.Empty);
//Changed for emperor 2004-12-22
if (quotePolicy.PriceType == PriceType.OriginEnable)
{
if (originQuotation != null) //Dealer not changed
{
Price bidBase = originQuotation.Bid;
Price askBase = originQuotation.Ask;
if (instrument.OriginQProcessed != null)
{
if (bidBase == null) bidBase = instrument.OriginQProcessed.Bid;
if (askBase == null) askBase = instrument.OriginQProcessed.Ask;
}
if (bidBase == null)
{
bidBase = askBase;
}
else if (askBase == null)
{
askBase = bidBase;
}
else if (askBase < bidBase)
{
askBase = bidBase;
}
this.bid = bidBase + quotePolicy.AutoAdjustPoints;
this.ask = askBase + quotePolicy.AutoAdjustPoints;
this.volume = originQuotation.Volume;
this.totalVolume = originQuotation.TotalVolume;
}
else //Dealer changed
{
this.bid = this.origin + quotePolicy.AutoAdjustPoints;
try
{
this.ask = this.bid + Math.Abs(instrument.OriginQProcessed.Ask - instrument.OriginQProcessed.Bid);
}
catch (Exception ex)
{
Manager.Common.Logger.TraceEvent(System.Diagnostics.TraceEventType.Error, "OverridedQuotation.OverridedQuotation Error\r\n{0}", ex.ToString());
this.ask = this.bid;
}
}
this.bid = this.bid - quotePolicy.SpreadPoints;
this.ask = this.ask + quotePolicy.SpreadPoints;
}
else
{
this.bid = this.origin + quotePolicy.AutoAdjustPoints;
this.ask = this.bid + quotePolicy.SpreadPoints;
}
}
public OverridedQuotation(Instrument instrument, QuotePolicyDetail quotePolicy)
: this(instrument, quotePolicy, (OriginQuotation)null)
{
}
public static OverridedQuotation CreateHistoryQuotation(Guid dealerID, Instrument instrument, QuotePolicyDetail quotePolicy, string timestamp, string origin, bool needApplyAutoAdjustPoints, bool highBid, bool lowBid)
{
OverridedQuotation overridedQuotation = new OverridedQuotation();
overridedQuotation.modifyState = ModifyState.Added;
overridedQuotation.quotePolicy = quotePolicy;
overridedQuotation.instrument = instrument;
overridedQuotation.timestamp = DateTime.Parse(timestamp);
overridedQuotation.origin = Price.CreateInstance(origin, instrument.NumeratorUnit, instrument.Denominator);
overridedQuotation.dealerID = dealerID;
overridedQuotation.bid = needApplyAutoAdjustPoints ? overridedQuotation.origin + quotePolicy.AutoAdjustPoints : overridedQuotation.origin;
overridedQuotation.ask = overridedQuotation.bid + quotePolicy.SpreadPoints;
overridedQuotation.CalculateHiLo(highBid, lowBid);
//overridedQuotation.high = highBid ? overridedQuotation.bid : overridedQuotation.ask;
//overridedQuotation.low = lowBid ? overridedQuotation.bid : overridedQuotation.ask;
return overridedQuotation;
}
