protected override void OnSubscribe(InstrumentList instruments)
{
// Get size of bar.
barSize = (long)Global[barSizeCode];
// Get roll info.
rollInfo = (List <RollInfo>)Global[rollInfoCode];
// Get root instrument.
rootInstrument = instruments.GetByIndex(0);
// Get current futures contract.
currentFuturesContract = rootInstrument.Legs[legIndex].Instrument;
// Add current futures contract to bar factory.
BarFactory.Add(currentFuturesContract, BarType.Time, barSize);
// Add current futures contract to strategy.
AddInstrument(currentFuturesContract);
// Add reminder to maturity date and roll time.
AddReminder(rollInfo[legIndex].Maturity.Date + TimeOfRoll);
AddGroups();
}
public void Subscribe(IDataProvider provider, InstrumentList instruments)
{
if (provider.Status != ProviderStatus.Connected)
{
provider.Connect();
}
InstrumentList instrumentList = new InstrumentList();
for (int i = 0; i < instruments.Count; i++)
{
Instrument byIndex = instruments.GetByIndex(i);
if (!this.subscriptions.ContainsKey((int)provider.Id))
{
this.subscriptions[(int)provider.Id] = new Dictionary<Instrument, int>();
}
if (!this.subscriptions[(int)provider.Id].ContainsKey(byIndex) || this.subscriptions[(int)provider.Id][byIndex] == 0)
{
this.subscriptions[(int)provider.Id][byIndex] = 0;
instrumentList.Add(byIndex);
}
Dictionary<Instrument, int> dictionary;
Instrument key;
(dictionary = this.subscriptions[(int)provider.Id])[key = byIndex] = dictionary[key] + 1;
}
if (instrumentList.Count > 0)
{
provider.Subscribe(instrumentList);
}
}
public void Unsubscribe(IDataProvider provider, InstrumentList instruments)
{
InstrumentList instrumentList = new InstrumentList();
for (int i = 0; i < instruments.Count; i++)
{
Instrument byIndex = instruments.GetByIndex(i);
Dictionary<Instrument, int> dictionary;
Instrument key;
(dictionary = this.subscriptions[(int)provider.Id])[key = byIndex] = dictionary[key] - 1;
if (this.subscriptions[(int)provider.Id][byIndex] == 0)
{
instrumentList.Add(byIndex);
}
}
provider.Unsubscribe(instrumentList);
}
protected override void OnSubscribe(InstrumentList instruments)
{
// Get size of bar.
barSize = (long)Global[barSizeCode];
// Get roll info.
rollInfo = (List<RollInfo>)Global[rollInfoCode];
// Get root instrument.
rootInstrument = instruments.GetByIndex(0);
// Get current futures contract.
currentFuturesContract = rootInstrument.Legs[legIndex].Instrument;
// Add current futures contract to bar factory.
BarFactory.Add(currentFuturesContract, BarType.Time, barSize);
// Add current futures contract to strategy.
AddInstrument(currentFuturesContract);
// Add reminder to maturity date and roll time.
AddReminder(rollInfo[legIndex].Maturity.Date + TimeOfRoll);
AddGroups();
}