private decimal Calculate(decimal[] values, bool isPrice)
{
var value = OnCalculate(values);
if (isPrice)
{
var step = BasketSecurity.PriceStep;
if (step != null)
{
value = BasketSecurity.ShrinkPrice(value);
}
}
else
{
var step = BasketSecurity.VolumeStep;
if (step != null)
{
value = MathHelper.Round(value, step.Value, step.Value.GetCachedDecimals());
}
}
return(value);
}
public BasketSecurityMarketDepthChangedRule(BasketSecurity security, IMarketDataProvider provider)
: base(security, provider)
{
Name = LocalizedStrings.Str1050 + " " + security;
#pragma warning disable CS0618 // Type or member is obsolete
Provider.MarketDepthChanged += OnMarketDepthChanged;
#pragma warning restore CS0618 // Type or member is obsolete
}
/// <summary>
/// Initializes a new instance of the <see cref="BasketSecurityBaseProcessor{TSecurity}"/>.
/// </summary>
/// <param name="basketSecurity">Instruments basket.</param>
protected BasketSecurityBaseProcessor(TSecurity basketSecurity)
{
BasketSecurity = basketSecurity ?? throw new ArgumentNullException(nameof(basketSecurity));
BasketLegs = BasketSecurity.InnerSecurityIds.ToArray();
SecurityId = BasketSecurity.ToSecurityId();
if (BasketLegs.IsEmpty())
{
throw new ArgumentException(LocalizedStrings.SecurityDoNotContainsLegs.Put(basketSecurity.Id), nameof(basketSecurity));
}
}
/// <summary>
/// To create a rule for the event of order book change by instruments basket.
/// </summary>
/// <param name="security">Instruments basket to be traced for the event of order books change by internal instruments.</param>
/// <param name="provider">The market data provider.</param>
/// <returns>Rule.</returns>
public static MarketRule <Security, MarketDepth> WhenMarketDepthChanged(this BasketSecurity security, IMarketDataProvider provider)
{
return(new BasketSecurityMarketDepthChangedRule(security, provider));
}
