public void StoreTradeVolume(ezQuantity quantity)
{
var vdp = new VolumeDataPoint(DateTime.Now, quantity.ToInt());
// Insert the newest data points at the "top" of the list.
VolumeDataPoints.Insert(0, vdp);
}
public EZFill(DateTime fillTime, EZInstrument instrument, zBuySell buySell, ezQuantity quantity, ezPrice price, zFillType fillType)
{
TimeZoneInfo cst = TimeZoneInfo.FindSystemTimeZoneById("Central Standard Time");
DateTime localTime = TimeZoneInfo.ConvertTimeFromUtc(fillTime, cst);
DateTime time = localTime;
string timeStr = time.ToString("H:mm:ss.fff");
string shortTimeStr = time.ToString("hh:mm:ss tt");
Time = timeStr;
ShortTime = shortTimeStr;
Identifiers = ""; // GetFillIdenifiers(fill);
Instrument = instrument;
BuySell = buySell;
InstrumentName = ""; // ParseInstrumentKey(fill.InstrumentKey.ToString());
Quantity = quantity;
Price = price;
FFT2 = ""; // fill.FFT2;
FFT3 = ""; // fill.FFT3;
FillType = fillType;
//_fill = fill;
Originator = FillOriginator.TRADER;
Action = FillAction.ADD;
ReplacementForFill = null;
}
public EZOrder(ezInstrumentKey instrumentKey, zBuySell buySell, ezQuantity quantity, ezPrice price)
{
InstrumentKey = instrumentKey;
BuySell = buySell;
_quantity = quantity;
_price = price;
Status = EZOrderStatus.None;
}
void api_OnInsideMarketUpdate(EZInstrument instrument)
{
if (instrument == null || currentInstrument == null || instrument.Key != currentInstrument.Key)
{
return;
}
/*if (selectedMarketData.Equals("Bid Price"))
* UpdateDataValue(instrument.Bid.ToString());
* else if (selectedMarketData.Equals("Bid Quantity"))
* UpdateDataValue(instrument.BidQty.ToString());
* else if (selectedMarketData.Equals("Offer Price"))
* UpdateDataValue(instrument.Ask.ToString());
* else if (selectedMarketData.Equals("Offer Quantity"))
* UpdateDataValue(instrument.AskQty.ToString());*/
ezPrice price = instrument.Last;
ezQuantity qty = instrument.LastQty;
// Check if the price has moved.
if (price != lastPrint)
{
Spy.Print("{0} : {1}", price, lastPrint);
//StoreLastPrice(price);
lastPrint = price;
timeFrames.StoreTradeVolume(qty);
UpdateDataValue(timeFrames.VolumeInTimePeriod(TimeSpan.FromMinutes(5)));
lastPrintTotalVolume = instrument.LastTotalVolume;
}
else // last price is the same - check to see if another trade occurred at the same price
{
if (instrument.LastTotalVolume > lastPrintTotalVolume)
{
timeFrames.StoreTradeVolume(qty);
UpdateDataValue(timeFrames.VolumeInTimePeriod(TimeSpan.FromMinutes(5)));
lastPrintTotalVolume = instrument.LastTotalVolume;
}
}
//UpdateDataValue(instrument.LastQty.ToString());
/*this.Invoke((MethodInvoker)delegate
* {
* lblBid1.Text = instrument.Bid.ToString();
* lblBidVol1.Text = instrument.BidQty.ToString();
* lblOffer1.Text = instrument.Ask.ToString();
* lblOfferVol1.Text = instrument.AskQty.ToString();
* lblLast1.Text = instrument.Last.ToString();
* lblLastVol1.Text = instrument.LastQty.ToString();
* lblTotalVol1.Text = instrument.Volume.ToString();
* lblNet1.Text = instrument.NetPos.ToString();
* lblBuys1.Text = instrument.NetBuys.ToString();
* lblSells1.Text = instrument.NetSells.ToString();
* });*/
}
/// <summary>
/// Construct a TTOrder object from a TTAPI Order object
/// </summary>
/// <param name="order">TTAPI Order object</param>
public EZOrder(ezOrder order)
{
_order = order;
InstrumentKey = order.InstrumentKey;
BuySell = order.BuySell;
_quantity = order.OrderQuantity;
_price = order.LimitPrice;
Status = EZOrderStatus.None;
}
/// <summary>
/// Set the market depth at a specified level by specifying bid/ask price/quantity
/// </summary>
/// <param name="level">market depth level to change</param>
/// <param name="bid">bid price</param>
/// <param name="bidQty">bid quantity</param>
/// <param name="ask">ask price</param>
/// <param name="askQty">ask quantity</param>
public void SetDepth(int level, ezPrice bid, ezQuantity bidQty, ezPrice ask, ezQuantity askQty)
{
if (_marketDepth[level] == null)
{
_marketDepth[level] = new EZMarketDepthLevel();
}
_marketDepth[level].Bid = bid;
_marketDepth[level].BidQty = bidQty;
_marketDepth[level].Ask = ask;
_marketDepth[level].AskQty = askQty;
}
public DataProviderMomentum() : base()
{
// For the momentum indicator, we will start off assuming we are in the
// "collecting data" state (which will change to "READY" when the DataProvider
// has enough data that it can begin returning calculations.
//dataProviderState = DataProviderState.COLLECTING_DATA;
// Start off with ZERO momentum. As the indicator changes, POSITIVE values means market moving UP with
// momentum. NEGATIVE values means market moving DOWN with momentum.
momentum = 0.0;
uiControl = null;
uiModifyControl = null;
DataUpdate += DataProviderMarketData_DataUpdate;
lastPrint = null;
lastPrintQty = null;
lastPrintTotalVolume = 0;
timeFrames = new VolumeTimeFrames();
api = APIMain.Instance;
}
