public OriginQuotation(Instrument instrument, CollectorQuotation cq)
{
this.modifyState = ModifyState.Added;
this.instrument = instrument;
this.timestamp = cq.Timestamp;
this.ask = Price.CreateInstance(cq.Ask, instrument.NumeratorUnit, instrument.Denominator);
this.bid = Price.CreateInstance(cq.Bid, instrument.NumeratorUnit, instrument.Denominator);
this.high = Price.CreateInstance(cq.High, instrument.NumeratorUnit, instrument.Denominator);
this.low = Price.CreateInstance(cq.Low, instrument.NumeratorUnit, instrument.Denominator);
this.volume = cq.Volume;
this.totalVolume = cq.TotalVolume;
this.origin = instrument.CalculateOrigin(this.ask, this.bid, instrument.OriginQReceived != null);
//Special handle, it's not so strict
//NOTE: Has problem for session clear !
if (this.origin == null && instrument.OriginQReceived != null)
{
if (this.ask == null) this.ask = this.instrument.OriginQReceived.ask;
if (this.bid == null) this.bid = this.instrument.OriginQReceived.bid;
this.origin = instrument.CalculateOrigin(this.ask, this.bid, false);
}
this.FilterErrorHighLow(instrument, false);
}
public CollectorQuotation ConvertQuotation(CollectorQuotation collectorQuotation1, CollectorQuotation collectorQuotation2)
{
if (collectorQuotation1 == null || collectorQuotation2 == null) return null;
string bid = null, ask = null, high = null, low = null;
switch (this.priceConvertFomulaType)
{
case PriceConvertFomulaType.Multiply:
bid = OriginInstrument.Multiply(collectorQuotation1.Bid, collectorQuotation2.Bid, this.priceConvertFactor);
ask = OriginInstrument.Multiply(collectorQuotation1.Ask, collectorQuotation2.Ask, this.priceConvertFactor);
high = OriginInstrument.Multiply(collectorQuotation1.High, collectorQuotation2.High, this.priceConvertFactor);
low = OriginInstrument.Multiply(collectorQuotation1.Low, collectorQuotation2.Low, this.priceConvertFactor);
break;
case PriceConvertFomulaType.Divide:
bid = OriginInstrument.Divide(collectorQuotation1.Bid, collectorQuotation2.Ask, this.priceConvertFactor);
ask = OriginInstrument.Divide(collectorQuotation1.Ask, collectorQuotation2.Bid, this.priceConvertFactor);
high = OriginInstrument.Divide(collectorQuotation1.High, collectorQuotation2.Low, this.priceConvertFactor);
low = OriginInstrument.Divide(collectorQuotation1.Low, collectorQuotation2.High, this.priceConvertFactor);
break;
}
if (bid == null && ask == null && high == null && low == null)
{
return null;
}
else
{
DateTime timestamp = collectorQuotation1.Timestamp > collectorQuotation2.Timestamp ? collectorQuotation1.Timestamp : collectorQuotation2.Timestamp;
return new CollectorQuotation(this.originCode, timestamp, ask, bid, high, low);
}
}
public static CollectorQuotation CreateInstance(GeneralQuotation quotation)
{
CollectorQuotation cq = null;
try
{
cq = new CollectorQuotation(quotation);
}
catch (Exception e)
{
AppDebug.LogEvent("CollectorQuotation", string.Format("CreateInstance'{0}',{1}", quotation, e.ToString()), EventLogEntryType.Error);
}
return cq;
}
