Exemple #1
0
        public OpenBookReturn(TransaqOpenBook tq, int position, int type)
        {
            if (tq.Sell > 0 || tq.Sell == -1)
            {
                this.Side = BidAsk.Ask;
                this.Size = tq.Sell;
            }
            if (tq.Buy > 0 || tq.Buy == -1)
            {
                this.Side = BidAsk.Bid;
                this.Size = tq.Buy;
            }
            switch (type)
            {
            case 1:
                this.Action = OrderBookAction.Delete;
                break;

            case 2:
                this.Action = OrderBookAction.Insert;
                break;

            case 3:
                this.Action = OrderBookAction.Update;
                break;

            default:
                this.Action = OrderBookAction.Undefined;
                break;
            }
            this.Price    = tq.Price;
            this.Position = position;
        }
Exemple #2
0
		public OpenBookReturn(TransaqOpenBook tq, int position, int type)
		{
			if (tq.Sell > 0 || tq.Sell == -1)
			{
				this.Side = BidAsk.Ask;
				this.Size = tq.Sell;
			}
			if (tq.Buy > 0 || tq.Buy == -1)
			{
				this.Side = BidAsk.Bid;
				this.Size = tq.Buy;
			}
			switch (type)
			{
				case 1:
					this.Action = OrderBookAction.Delete;
					break;
				case 2:
					this.Action = OrderBookAction.Insert;
					break;
				case 3:
					this.Action = OrderBookAction.Update;
					break;
				default:
					this.Action = OrderBookAction.Undefined;
					break;
			}
			this.Price = tq.Price;
			this.Position = position;
		}
Exemple #3
0
        private OpenBookReturn Delete(ref TransaqOpenBook tob, ref List <OpenBookData> openBookData)
        {
            bool flag = true;

            if (openBookData.Count == 0)
            {
                return(new OpenBookReturn(tob, -1, 0));
            }
            if (openBookData.Count > 0 && flag)
            {
                for (int index = 0; index < openBookData.Count; ++index)
                {
                    if (openBookData[index].Price == tob.Price)
                    {
                        openBookData.RemoveAt(index);
                        return(new OpenBookReturn(tob, index, 1));
                    }
                }
                flag = false;
            }
            if (openBookData.Count > 0 && !flag)
            {
                return(new OpenBookReturn(tob, -1, 0));
            }
            else
            {
                return(new OpenBookReturn(tob, -1, 0));
            }
        }
Exemple #4
0
 public OpenBookReturn UpdateOpenBook(TransaqOpenBook tob)
 {
   if (tob.Sell == -1)
     return this.Delete(ref tob, ref this.openBookAsk);
   if (tob.Buy == -1)
     return this.Delete(ref tob, ref this.openBookBid);
   if (tob.Sell > 0)
     return this.UpdateOrInsert(ref tob, ref this.openBookAsk, "ASK");
   if (tob.Buy > 0)
     return this.UpdateOrInsert(ref tob, ref this.openBookBid, "DESC");
   else
     return new OpenBookReturn(tob, -1, 0);
 }
Exemple #5
0
 private OpenBookReturn Delete(ref TransaqOpenBook tob, ref List<OpenBookData> openBookData)
 {
   bool flag = true;
   if (openBookData.Count == 0)
     return new OpenBookReturn(tob, -1, 0);
   if (openBookData.Count > 0 && flag)
   {
     for (int index = 0; index < openBookData.Count; ++index)
     {
       if (openBookData[index].Price == tob.Price)
       {
         openBookData.RemoveAt(index);
         return new OpenBookReturn(tob, index, 1);
       }
     }
     flag = false;
   }
   if (openBookData.Count > 0 && !flag)
     return new OpenBookReturn(tob, -1, 0);
   else
     return new OpenBookReturn(tob, -1, 0);
 }
Exemple #6
0
 public OpenBookReturn UpdateOpenBook(TransaqOpenBook tob)
 {
     if (tob.Sell == -1)
     {
         return(this.Delete(ref tob, ref this.openBookAsk));
     }
     if (tob.Buy == -1)
     {
         return(this.Delete(ref tob, ref this.openBookBid));
     }
     if (tob.Sell > 0)
     {
         return(this.UpdateOrInsert(ref tob, ref this.openBookAsk, "ASK"));
     }
     if (tob.Buy > 0)
     {
         return(this.UpdateOrInsert(ref tob, ref this.openBookBid, "DESC"));
     }
     else
     {
         return(new OpenBookReturn(tob, -1, 0));
     }
 }
Exemple #7
0
 private OpenBookReturn UpdateOrInsert(ref TransaqOpenBook tob, ref List<OpenBookData> openBookData, string sortType)
 {
   for (int index = 0; index < openBookData.Count; ++index)
   {
     if (openBookData[index].Price == tob.Price)
     {
       openBookData.RemoveAt(index);
       openBookData.Insert(index, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
       return new OpenBookReturn(tob, index, 3);
     }
   }
   if (openBookData.Count == 0)
   {
     openBookData.Insert(0, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
     return new OpenBookReturn(tob, 0, 2);
   }
   else
   {
     if (openBookData.Count > 0 && sortType == "ASK")
     {
       if (tob.Price < Enumerable.First<OpenBookData>((IEnumerable<OpenBookData>) openBookData).Price)
       {
         openBookData.Insert(0, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
         return new OpenBookReturn(tob, 0, 2);
       }
       else if (tob.Price > Enumerable.Last<OpenBookData>((IEnumerable<OpenBookData>) openBookData).Price)
       {
         openBookData.Add(new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
         return new OpenBookReturn(tob, openBookData.Count - 1, 2);
       }
       else
       {
         for (int index = 0; index < openBookData.Count - 1; ++index)
         {
           if (openBookData[index].Price < tob.Price && tob.Price < openBookData[index + 1].Price)
           {
             openBookData.Insert(index + 1, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
             return new OpenBookReturn(tob, index + 1, 2);
           }
         }
       }
     }
     if (openBookData.Count > 0 && sortType == "DESC")
     {
       if (tob.Price > Enumerable.First<OpenBookData>((IEnumerable<OpenBookData>) openBookData).Price)
       {
         openBookData.Insert(0, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
         return new OpenBookReturn(tob, 0, 2);
       }
       else if (tob.Price < Enumerable.Last<OpenBookData>((IEnumerable<OpenBookData>) openBookData).Price)
       {
         openBookData.Add(new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
         return new OpenBookReturn(tob, openBookData.Count - 1, 2);
       }
       else
       {
         for (int index = 0; index < openBookData.Count - 1; ++index)
         {
           if (openBookData[index].Price > tob.Price && tob.Price > openBookData[index + 1].Price)
           {
             openBookData.Insert(index + 1, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
             return new OpenBookReturn(tob, index + 1, 2);
           }
         }
       }
     }
     return new OpenBookReturn(tob, -1, 0);
   }
 }
Exemple #8
0
 private void AddQuote(string data)
 {
   TransaqOpenBook tob = new TransaqOpenBook(data);
   if (this.selectedSecurity == SecuritySelector.seccode)
   {
     OpenBookReturn openBookReturn = this.openBookBySecId[tob.SecId].UpdateOpenBook(tob);
     if (!this.instrumentBySymbol.ContainsKey(tob.SecCode))
       return;
     this.EmitNewOrderBookUpdate(this.instrumentBySymbol[tob.SecCode], Clock.Now, openBookReturn.Side, openBookReturn.Action, openBookReturn.Price, openBookReturn.Size, openBookReturn.Position);
   }
   else
   {
     if (this.selectedSecurity != SecuritySelector.seccode_board)
       return;
     OpenBookReturn openBookReturn = this.openBookBySCB[tob.SecCodeBoard].UpdateOpenBook(tob);
     if (!this.instrumentBySymbol.ContainsKey(tob.SecCodeBoard))
       return;
     this.EmitNewOrderBookUpdate(this.instrumentBySymbol[tob.SecCodeBoard], Clock.Now, openBookReturn.Side, openBookReturn.Action, openBookReturn.Price, openBookReturn.Size, openBookReturn.Position);
   }
 }
Exemple #9
0
 private OpenBookReturn UpdateOrInsert(ref TransaqOpenBook tob, ref List <OpenBookData> openBookData, string sortType)
 {
     for (int index = 0; index < openBookData.Count; ++index)
     {
         if (openBookData[index].Price == tob.Price)
         {
             openBookData.RemoveAt(index);
             openBookData.Insert(index, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
             return(new OpenBookReturn(tob, index, 3));
         }
     }
     if (openBookData.Count == 0)
     {
         openBookData.Insert(0, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
         return(new OpenBookReturn(tob, 0, 2));
     }
     else
     {
         if (openBookData.Count > 0 && sortType == "ASK")
         {
             if (tob.Price < Enumerable.First <OpenBookData>((IEnumerable <OpenBookData>)openBookData).Price)
             {
                 openBookData.Insert(0, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
                 return(new OpenBookReturn(tob, 0, 2));
             }
             else if (tob.Price > Enumerable.Last <OpenBookData>((IEnumerable <OpenBookData>)openBookData).Price)
             {
                 openBookData.Add(new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
                 return(new OpenBookReturn(tob, openBookData.Count - 1, 2));
             }
             else
             {
                 for (int index = 0; index < openBookData.Count - 1; ++index)
                 {
                     if (openBookData[index].Price < tob.Price && tob.Price < openBookData[index + 1].Price)
                     {
                         openBookData.Insert(index + 1, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
                         return(new OpenBookReturn(tob, index + 1, 2));
                     }
                 }
             }
         }
         if (openBookData.Count > 0 && sortType == "DESC")
         {
             if (tob.Price > Enumerable.First <OpenBookData>((IEnumerable <OpenBookData>)openBookData).Price)
             {
                 openBookData.Insert(0, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
                 return(new OpenBookReturn(tob, 0, 2));
             }
             else if (tob.Price < Enumerable.Last <OpenBookData>((IEnumerable <OpenBookData>)openBookData).Price)
             {
                 openBookData.Add(new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
                 return(new OpenBookReturn(tob, openBookData.Count - 1, 2));
             }
             else
             {
                 for (int index = 0; index < openBookData.Count - 1; ++index)
                 {
                     if (openBookData[index].Price > tob.Price && tob.Price > openBookData[index + 1].Price)
                     {
                         openBookData.Insert(index + 1, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
                         return(new OpenBookReturn(tob, index + 1, 2));
                     }
                 }
             }
         }
         return(new OpenBookReturn(tob, -1, 0));
     }
 }