public static TickImpl NewTrade(string sym, int date, int time, decimal trade, int size, string ex)
{
TickImpl t = new TickImpl(sym)
{
Date = date,
Time = time,
Trade = trade,
Size = size,
Exchange = ex.Trim(),
Bid = 0
};
return(t);
}
public static Tick Deserialize(string msg)
{
string[] r = msg.Split(',');
TickImpl t = new TickImpl();
decimal d;
int i;
t.Symbol = r[(int)TickField.Symbol];
if (decimal.TryParse(r[(int)TickField.Trade], NumberStyles.Any, CultureInfo.InvariantCulture, out d))
{
t.Trade = d;
}
if (decimal.TryParse(r[(int)TickField.Bid], NumberStyles.Any, CultureInfo.InvariantCulture, out d))
{
t.Bid = d;
}
if (decimal.TryParse(r[(int)TickField.Ask], NumberStyles.Any, CultureInfo.InvariantCulture, out d))
{
t.Ask = d;
}
if (int.TryParse(r[(int)TickField.Tsize], out i))
{
t.Size = i;
}
if (int.TryParse(r[(int)TickField.Asksize], out i))
{
t.OfferSize = i;
}
if (int.TryParse(r[(int)TickField.Bidsize], out i))
{
t.BidSize = i;
}
if (int.TryParse(r[(int)TickField.Time], out i))
{
t.Time = i;
}
if (int.TryParse(r[(int)TickField.Date], out i))
{
t.Date = i;
}
if (int.TryParse(r[(int)TickField.Tdepth], out i))
{
t.Depth = i;
}
t.Exchange = r[(int)TickField.Tex];
t.BidExchange = r[(int)TickField.Bidex];
t.AskExchange = r[(int)TickField.Askex];
t.Datetime = t.Date * 1000000 + t.Time;
return(t);
}
public static TickImpl NewQuote(string sym, int date, int time, decimal bid, decimal ask, int bidsize, int asksize, string be, string oe, int depth)
{
TickImpl q = new TickImpl(sym)
{
Date = date,
Time = time,
Bid = bid,
Ask = ask,
BidExchange = be.Trim(),
AskExchange = oe.Trim(),
AskSize = asksize,
BidSize = bidsize,
Trade = 0,
Size = 0,
Depth = depth
};
return(q);
}
// normalized to bs/os
public static TickImpl Copy(Tick c)
{
TickImpl k = new TickImpl();
if (c.Symbol != "")
{
k._sym = c.Symbol;
}
k._time = c.Time;
k._date = c.Date;
k._datetime = c.Datetime;
k._size = c.Size;
k._depth = c.Depth;
k.Trade = c.Trade;
k.Bid = c.Bid;
k.Ask = c.Ask;
k._bs = c.BidSize;
k._os = c.AskSize;
k._be = c.BidExchange;
k._oe = c.AskExchange;
k._ex = c.Exchange;
k._symidx = c.Symidx;
return(k);
}
/// <summary>
/// this constructor creates a new tick by combining two ticks this is to handle tick
/// updates that only provide bid/ask changes.
/// </summary>
/// <param name="a">old tick</param>
/// <param name="b">new tick or update</param>
public static Tick Copy(TickImpl a, TickImpl b)
{
TickImpl k = new TickImpl();
if (b.Symbol != a.Symbol)
{
return(k); // don't combine different symbols
}
if (b.Time < a.Time)
{
return(k); // don't process old updates
}
k.Time = b.Time;
k.Date = b.Date;
k.Datetime = b.Datetime;
k.Symbol = b.Symbol;
k.Depth = b.Depth;
k.Symidx = b.Symidx;
if (b.IsTrade)
{
k.Trade = b.Trade;
k.Size = b.Size;
k.Exchange = b.Exchange;
//
k.Bid = a.Bid;
k.Ask = a.Ask;
k.OfferSize = a.OfferSize;
k.BidSize = a.BidSize;
k.BidExchange = a.BidExchange;
k.AskExchange = a.AskExchange;
}
if (b.HasAsk && b.HasBid)
{
k.Bid = b.Bid;
k.Ask = b.Ask;
k.BidSize = b.BidSize;
k.OfferSize = b.OfferSize;
k.BidExchange = b.BidExchange;
k.AskExchange = b.AskExchange;
//
k.Trade = a.Trade;
k.Size = a.Size;
k.Exchange = a.Exchange;
}
else if (b.HasAsk)
{
k.Ask = b.Ask;
k.OfferSize = b.OfferSize;
k.AskExchange = b.AskExchange;
//
k.Bid = a.Bid;
k.BidSize = a.BidSize;
k.BidExchange = a.BidExchange;
k.Trade = a.Trade;
k.Size = a.Size;
k.Exchange = a.Exchange;
}
else if (b.HasBid)
{
k.Bid = b.Bid;
k.BidSize = b.BidSize;
k.BidExchange = b.BidExchange;
//
k.Ask = a.Ask;
k.OfferSize = a.OfferSize;
k.AskExchange = a.AskExchange;
k.Trade = a.Trade;
k.Size = a.Size;
k.Exchange = a.Exchange;
}
return(k);
}
