public BidAskEvent(Product product, char bidAsk, int date, int time, int millSec = 0, int priceDepth = 1)
: base(product, date, time, millSec)
{
this.bidAsk = bidAsk;
if (priceDepth == 0)
return;
if (bidAsk == BidAsk.BID || bidAsk == BidAsk.BOTH)
bids = new PriceQty[priceDepth];
if (bidAsk == BidAsk.ASK || bidAsk == BidAsk.BOTH)
asks = new PriceQty[priceDepth];
}
public BidAskEvent(Product product, char bidAsk, int date, int time, int millSec, float queuePrice, int queueQty)
: base(product, date, time, millSec)
{
this.bidAsk = bidAsk;
PriceQty[] arr = new PriceQty[1];
arr[0] = new PriceQty(queuePrice, queueQty);
if (bidAsk == BidAsk.BID)
bids = arr;
if (bidAsk == BidAsk.ASK || bidAsk == BidAsk.BOTH)
asks = arr;
}
public TradeEvent(Product product, int date, int time, float tradeQty, float tradePrice, short tradeType)
: base(product, date, time)
{
this.tradePrice = tradePrice;
this.tradeQty = tradeQty;
this.tradeType = tradeType;
}
public ProductEvent(Product product, int date, int time, int millSec)
: base(date, time, millSec)
{
this.product = product;
}
public ProductEvent(Product product, int date, int time)
: base(date, time)
{
this.product = product;
}
public static float calcNextPrice(Product prod, float price, bool isUp)
{
if (prod is DevProduct){
DevProduct dProd = prod as DevProduct;
if (dProd.series.FileSuffix == "01"){
if(dProd.CLASS_CODE == "VHS")
return isUp ? (price + 0.05F) : (price - 0.05F);
else
return isUp ? price + 1 : price - 1;
}
else if (dProd.series.FileSuffix == "02")
return isUp ? (price + 0.01F) : (price - 0.01F);
else
return isUp ? price + 1 : price - 1;
}
else
return (float)calPriceFromSpreadTable(price, isUp);
}
public double getPnL(Product product)
{
if (product is DevProduct)
{
DevProduct devProduct = (DevProduct)product;
return devProduct.MULTIPLIER * (sumShort - sumLong + (product.CurrentPrice - beginPrice) * beginPosition + (longQty - shortQty) * product.CurrentPrice);
}
else
return (sumShort - sumLong + (product.CurrentPrice - beginPrice) * beginPosition + (longQty - shortQty) * product.CurrentPrice);
}