public void OnNewQuote(IFIXInstrument instrument, Quote quote)
{
if (!this.Enabled)
{
return;
}
double price;
int size;
switch (this.Input)
{
case BarFactoryInput.Bid:
price = quote.Bid;
size = quote.BidSize;
break;
case BarFactoryInput.Ask:
price = quote.Ask;
size = quote.AskSize;
break;
case BarFactoryInput.BidAsk:
this.AddTrade(instrument, DateTime.Now, quote.Bid, quote.BidSize);
this.AddTrade(instrument, DateTime.Now, quote.Ask, quote.AskSize);
return;
case BarFactoryInput.Middle:
this.AddTrade(instrument, DateTime.Now, (quote.Ask + quote.Bid) / 2.0, (quote.AskSize + quote.BidSize) / 2);
return;
case BarFactoryInput.Spread:
price = quote.Ask - quote.Bid;
size = 0;
break;
default:
return;
}
BarFactory.mU5OEr88NSmCpsBxeD u5Oer88NsmCpsBxeD = this.cqyLFWMOvs[instrument] as BarFactory.mU5OEr88NSmCpsBxeD;
if (u5Oer88NsmCpsBxeD == null)
{
u5Oer88NsmCpsBxeD = new BarFactory.mU5OEr88NSmCpsBxeD();
this.cqyLFWMOvs.Add(instrument, u5Oer88NsmCpsBxeD);
}
if (price == u5Oer88NsmCpsBxeD.price && size == u5Oer88NsmCpsBxeD.size)
{
return;
}
this.AddTrade(instrument, DateTime.Now, price, size);
u5Oer88NsmCpsBxeD.price = price;
u5Oer88NsmCpsBxeD.size = size;
}
public void OnNewQuote(IFIXInstrument instrument, Quote quote)
{
if (!this.Enabled)
return;
double price;
int size;
switch (this.Input)
{
case BarFactoryInput.Bid:
price = quote.Bid;
size = quote.BidSize;
break;
case BarFactoryInput.Ask:
price = quote.Ask;
size = quote.AskSize;
break;
case BarFactoryInput.BidAsk:
this.AddTrade(instrument, DateTime.Now, quote.Bid, quote.BidSize);
this.AddTrade(instrument, DateTime.Now, quote.Ask, quote.AskSize);
return;
case BarFactoryInput.Middle:
this.AddTrade(instrument, DateTime.Now, (quote.Ask + quote.Bid) / 2.0, (quote.AskSize + quote.BidSize) / 2);
return;
case BarFactoryInput.Spread:
price = quote.Ask - quote.Bid;
size = 0;
break;
default:
return;
}
BarFactory.mU5OEr88NSmCpsBxeD u5Oer88NsmCpsBxeD = this.cqyLFWMOvs[instrument] as BarFactory.mU5OEr88NSmCpsBxeD;
if (u5Oer88NsmCpsBxeD == null)
{
u5Oer88NsmCpsBxeD = new BarFactory.mU5OEr88NSmCpsBxeD();
this.cqyLFWMOvs.Add(instrument, u5Oer88NsmCpsBxeD);
}
if (price == u5Oer88NsmCpsBxeD.price && size == u5Oer88NsmCpsBxeD.size)
return;
this.AddTrade(instrument, DateTime.Now, price, size);
u5Oer88NsmCpsBxeD.price = price;
u5Oer88NsmCpsBxeD.size = size;
}