public EZOrder(ezInstrumentKey instrumentKey, zBuySell buySell, ezQuantity quantity, ezPrice price)
{
InstrumentKey = instrumentKey;
BuySell = buySell;
_quantity = quantity;
_price = price;
Status = EZOrderStatus.None;
}
public override void UpdateProviderFromPropertyValues()
{
selectedMarketQuoteItem = prop["QuoteItem"];
ezInstrumentKey instrumentKey = APIFactory.InstrumentKeyFromString(prop["InstrumentKey"]);
currentInstrument = APIMain.InstrumentFromKey(instrumentKey);
//api.SubscribeToInstrument(instrument.Key);
api.OnInsideMarketUpdate += api_OnInsideMarketUpdate;
api_OnInsideMarketUpdate(currentInstrument);
}
static public EZInstrument MakeInstrument(Market market)
{
ezInstrumentKey iKey = MakeInstrumentKey(market);
var ezi = new EZInstrument(iKey);
ezi.Key = iKey;
ezi.Name = market.Description;
ezi.Description = market.Description;
return(ezi);
}
static public ezInstrumentKey MakeInstrumentKey(Market market)
{
ezInstrumentKey iKey;
string keyString = CreateKeyString(market);
if (keyLookupFromString.ContainsKey(keyString))
{
iKey = keyLookupFromString[keyString];
}
else
{
iKey = new ezInstrumentKey(market.ExchangeID, market.ContractID, market.MarketID, null);
keyLookupFromString[keyString] = iKey;
stringLookupFromKey[iKey] = keyString;
}
return(iKey);
}
public override void UpdateProviderFromPropertyValues()
{
//selectedMarketData = prop["QuoteItem"];
ezInstrumentKey instrumentKey = APIFactory.InstrumentKeyFromString(prop["InstrumentKey"]);
// Get historical data for 1-hour "bars".
EZInstrument instrument = APIMain.InstrumentFromKey(instrumentKey);
zChartInterval interval = zChartInterval.Hour;
int period = 1;
// TODO analyze different time periods (ex: different hours of the trading session) to
// get a better "AverageVolumePerTimePeriod" calculation.
EZChartDataSeries historicalData = api.RequestHistoricalData(instrument, interval, period);
if (historicalData == null)
{
averageVolumePerTimePeriod = prop["AverageVolumePerTimePeriod"] ?? 0;
timePeriodLength = prop["TimePeriodLengthMinutes"] ?? 0.0;
}
else
{
int totalVolume = 0;
int volumeCount = 0;
foreach (ezBarDataPoint dp in historicalData.TradeBars)
{
totalVolume += dp.Volume;
++volumeCount;
}
double averageVolumePerHour = (double)totalVolume / (double)volumeCount;
timePeriodLength = 5.0; // five minutes
averageVolumePerTimePeriod = (int)Math.Round(averageVolumePerHour / 20.0);
}
currentInstrument = APIMain.InstrumentFromKey(instrumentKey);
//api.SubscribeToInstrument(instrument.Key);
api.OnInsideMarketUpdate += api_OnInsideMarketUpdate;
api_OnInsideMarketUpdate(currentInstrument);
}
/// <summary>
/// Construct a TTInstrument object by passing an instrument key
/// </summary>
/// <param name="key">Same InstrumentKey used by the underlying TTAPI</param>
public EZInstrument(ezInstrumentKey key)
{
Key = key;
InstrumentDescriptor = null;
}
static public string StringFromInstrumentKey(ezInstrumentKey ikey)
{
return(stringLookupFromKey[ikey]);
}
