internal void OnFill(SDepthData data, TType priceType, double newPrice, int newVolume)
{
int volume = data.Volume;
TType fillType = data.FillType;
if (fillType == TType.Unknown || fillType == TType.Fill)
{
fillType = priceType;
}
if (fillType == TType.Bid)
{
volume = -volume;
}
if (_oPrice == 0.0)
{
_oPrice = data.Price;
}
if (Listener == null)
{
return;
}
double firstPrice = 0;
double lastPrice = 0;
data.GetPrices(out firstPrice, out lastPrice);
Listener.OnFill(firstPrice, lastPrice, volume, data.FillTime);
}
public GBigPrintData(string instr, DateTime expiryDate, double tick)
{
_depth = new SDepthData(1024);
_tickSz = tick;
_digits = GetDigits(tick);
_instrument = instr;
_expiry = expiryDate;
if (tryToLoad())
{
return;
}
_timeStampList = new List <DateTime>(16);
_priceList = new List <short>(128);
_volumeList = new List <ushort>(128);
_secondsDeltaList = new List <ushort>(128);
}