public static BarCompressor GetCompressor(global::OpenQuant.API.BarType barType, long oldBarSize, long newBarSize)
{
BarCompressor barCompressor;
switch (barType)
{
case global::OpenQuant.API.BarType.Time:
barCompressor = new TimeBarCompressor();
break;
case global::OpenQuant.API.BarType.Tick:
barCompressor = new TickBarCompressor();
break;
case global::OpenQuant.API.BarType.Volume:
barCompressor = new VolumeBarCompressor();
break;
case global::OpenQuant.API.BarType.Range:
barCompressor = new RangeBarCompressor();
break;
default:
throw new ArgumentException(string.Format("Unknown bar type - {0}", barType));
}
barCompressor.oldBarSize = oldBarSize;
barCompressor.newBarSize = newBarSize;
return(barCompressor);
}
protected void CreateNewBar(global::OpenQuant.API.BarType barType, DateTime beginTime, DateTime endTime, double price)
{
if (barType == global::OpenQuant.API.BarType.Time && this.newBarSize == 86400L)
{
this.bar = new global::OpenQuant.API.Bar(new Daily(beginTime, price, price, price, price, 0L));
return;
}
this.bar = new global::OpenQuant.API.Bar(new SmartQuant.Data.Bar(EnumConverter.Convert(barType), this.newBarSize, beginTime, endTime, price, price, price, price, 0L, 0L));
}
public void EmitBar(global::OpenQuant.API.Instrument instrument, global::OpenQuant.API.BarType barType, long barSize, DateTime beginDateTime, DateTime endDateTime, double open, double high, double low, double close, long volume)
{
SmartQuant.Data.Bar bar = new SmartQuant.Data.Bar(global::OpenQuant.API.EnumConverter.Convert(barType), barSize, beginDateTime, endDateTime, open, high, low, close, volume, 0L);
if (this.MarketDataFilter != null)
{
bar = this.MarketDataFilter.FilterBar(bar, instrument.Symbol);
}
if (bar != null)
{
this.EmitBar(instrument.instrument, bar);
}
}
