/// <summary>
/// Process incoming quotes
/// </summary>
/// <param name="input"></param>
protected void OnInputQuote(InputPointModel input)
{
var dateAsk = input.AskDate;
var dateBid = input.BidDate;
var currentAsk = input.Ask;
var currentBid = input.Bid;
var previousAsk = _point?.Ask ?? currentAsk;
var previousBid = _point?.Bid ?? currentBid;
var symbol = input.Symbol;
var point = new PointModel
{
Ask = currentAsk,
Bid = currentBid,
Bar = new PointBarModel(),
Instrument = Account.Instruments[symbol],
AskSize = input.AskSize,
BidSize = input.BidSize,
Time = DateTimeOffset.FromUnixTimeMilliseconds(Math.Max(dateAsk.Value, dateBid.Value)).DateTime,
Last = ConversionManager.Compare(currentBid, previousBid) ? currentAsk : currentBid
};
_point = point;
UpdatePointProps(point);
}
/// <summary>
/// Process incoming quotes
/// </summary>
/// <param name="input"></param>
protected void OnInputData(InputPointModel input)
{
var currentAsk = input.Ask;
var currentBid = input.Bid;
var previousAsk = _point?.Ask ?? currentAsk;
var previousBid = _point?.Bid ?? currentBid;
var instrument = $"{ input.Instrument }";
var point = new PointModel
{
Ask = currentAsk,
Bid = currentBid,
Time = input.Time,
Bar = new PointBarModel(),
Instrument = Account.Instruments[instrument],
Last = ConversionManager.Compare(currentBid, previousBid) ? currentAsk : currentBid
};
if (input.Asks.Any())
{
var edge = input.Asks.Min(o => new { o.Price, o.Size });
point.Ask = Math.Min(point.Ask.Value, edge.Price.Value);
point.AskSize = edge.Size;
}
if (input.Bids.Any())
{
var edge = input.Bids.Max(o => new { o.Price, o.Size });
point.Bid = Math.Max(point.Bid.Value, edge.Price.Value);
point.BidSize = edge.Size;
}
_point = point;
UpdatePointProps(point);
}