public override MarketDataFrame Tick()
{
var dataPoint = DataFeed.Tick();
foreach (var order in pendingOrders)
{
switch (order.Type)
{
case OrderType.LimitOrder:
ProcessLimitOrder(order, dataPoint[order.Security]);
break;
default:
throw new Exception($"Unsupported order type: {order.Type}");
}
}
return(dataPoint);
}