internal QuoteSample(SecDBFileReader file, QuoteSample ps, DateTime ts, Stream stream) : base(ts)
{
var bt = SecDBPrimitives.ReadByte(stream);
BidCount = bt & 0xf;
AskCount = (bt & 0xf0) >> 4;
var cnt = BidCount + AskCount;
if (cnt == 0)
{
throw new FinancialException(StringConsts.SECDB_FILE_HEADER_ERROR + "QuoteSample: no px levels");
}
PriceLevels = new PxLevel[cnt];
var pxStep = file.SystemHeader.PriceStep;
var currentPrice = 0L;
for (var i = 0; i < cnt; i++)
{
var price = SecDBPrimitives.ReadSLEB128(stream);
if (i == 0)
{
if (ps == null)
{
currentPrice = price;
}
else
{
currentPrice = ps.PriceLevels[0].PriceStep;
currentPrice += price;
}
}
else
{
currentPrice += price;
}
var qty = SecDBPrimitives.ReadSLEB128(stream);
var pl = new PxLevel {
PriceStep = currentPrice, Price = currentPrice * pxStep, Quantity = qty
};
PriceLevels[i] = pl;
}
}
internal QuoteSample(SecDBFileReader file, QuoteSample ps, DateTime ts, Stream stream) : base(ts)
{
var bt = SecDBPrimitives.ReadByte(stream);
BidCount = bt & 0xf;
AskCount = (bt & 0xf0) >> 4;
var cnt = BidCount + AskCount;
if (cnt==0)
throw new FinancialException(StringConsts.SECDB_FILE_HEADER_ERROR + "QuoteSample: no px levels");
PriceLevels = new PxLevel[ cnt ];
var pxStep = file.SystemHeader.PriceStep;
var currentPrice = 0L;
for(var i=0; i<cnt; i++)
{
var price = SecDBPrimitives.ReadSLEB128(stream);
if (i==0)
{
if (ps==null)
currentPrice = price;
else
{
currentPrice = ps.PriceLevels[0].PriceStep;
currentPrice += price;
}
}
else
currentPrice += price;
var qty = SecDBPrimitives.ReadSLEB128(stream);
var pl = new PxLevel{ PriceStep = currentPrice, Price = currentPrice * pxStep, Quantity = qty };
PriceLevels[i] = pl;
}
}
