public Level2Snapshot GetLevel2Snapshot(List <byte> providers = null)
{
Level2Snapshot result;
lock (this.lck)
{
if (!this.bool_0)
{
this.method_7(providers);
}
List <Bid> list = new List <Bid>();
List <Ask> list2 = new List <Ask>();
foreach (Tick current in this.bids)
{
if (current is Bid)
{
list.Add(current as Bid);
}
}
foreach (Tick current2 in this.asks)
{
if (current2 is Ask)
{
list2.Add(current2 as Ask);
}
}
result = new Level2Snapshot(this.dateTime_0, 0, this.instrumentId, list.ToArray(), list2.ToArray());
}
return(result);
}
public virtual void EmitLevel2Snapshot(Level2Snapshot snapshot)
{
this.framework.EventManager.OnEvent(new Level2Snapshot(snapshot)
{
ProviderId = (byte)Id
});
}
internal void OnLevel2(Level2Snapshot l2s)
{
if (Strategy?.Status == StrategyStatus.Running)
{
Strategy.EmitLevel2(l2s);
}
}
internal void OnLevel2(Level2Snapshot l2s)
{
Bids.Clear();
Asks.Clear();
foreach (var b in l2s.Bids)
Bids.Add(new Tick(b));
foreach (var a in l2s.Asks)
Asks.Add(new Tick(a));
}
internal void OnLevel2(Level2Snapshot l2s)
{
lock (this.lck)
{
this.bids.Clear();
this.asks.Clear();
this.bool_0 = false;
this.GonEpGhAb[l2s.ProviderId] = new Tuple <DateTime, List <Tick>, List <Tick> >(l2s.DateTime, new List <Tick>(l2s.Bids), new List <Tick>(l2s.Asks));
}
}
internal void OnLevel2(Level2Snapshot l2s)
{
Bids.Clear();
Asks.Clear();
foreach (var b in l2s.Bids)
{
Bids.Add(new Tick(b));
}
foreach (var a in l2s.Asks)
{
Asks.Add(new Tick(a));
}
}
internal void OnLevel2(Level2Snapshot l2s)
{
var pId = l2s.ProviderId + 1;
var iId = l2s.InstrumentId;
this.idArray_10[pId] = this.idArray_10[pId] ?? new IdArray <OrderBook>(10240);
var orderBook = this.idArray_10[pId][iId] = this.idArray_10[pId][iId] ?? new OrderBook();
orderBook.OnLevel2(l2s);
var orderBookAggr = this.idArray_4[iId] = this.idArray_4[iId] ?? new OrderBookAggr(iId);
orderBookAggr.OnLevel2(l2s);
}
public override object Read(BinaryReader reader, byte version)
{
var l2s = new Level2Snapshot
{
DateTime = new DateTime(reader.ReadInt64()),
ProviderId = reader.ReadByte(),
InstrumentId = reader.ReadInt32()
};
int count;
count = reader.ReadInt32();
l2s.Bids = new Bid[count];
for (var i = 0; i < count; i++)
{
l2s.Bids[i] = (Bid)this.streamerManager.Deserialize(reader);
}
count = reader.ReadInt32();
l2s.Asks = new Ask[count];
for (var i = 0; i < count; i++)
{
l2s.Asks[i] = (Ask)this.streamerManager.Deserialize(reader);
}
return(l2s);
}
public void OnLevel2(Level2Snapshot snapshot)
{
// noop
}
public Level2Snapshot(Level2Snapshot snapshot)
: this(snapshot.dateTime, snapshot.ProviderId, snapshot.InstrumentId, snapshot.Bids, snapshot.Asks)
{
ExchangeDateTime = snapshot.ExchangeDateTime;
}
public void OnLevel2(Level2Snapshot snapshot)
{
throw new NotImplementedException();
}
public Level2Snapshot(Level2Snapshot snapshot)
: this(snapshot.dateTime, snapshot.ProviderId, snapshot.InstrumentId, snapshot.Bids, snapshot.Asks)
{
ExchangeDateTime = snapshot.ExchangeDateTime;
}
public override object Read(BinaryReader reader, byte version)
{
var l2s = new Level2Snapshot
{
DateTime = new DateTime(reader.ReadInt64()),
ProviderId = reader.ReadByte(),
InstrumentId = reader.ReadInt32()
};
int count;
count = reader.ReadInt32();
l2s.Bids = new Bid[count];
for (var i = 0; i < count; i++)
l2s.Bids[i] = (Bid)this.streamerManager.Deserialize(reader);
count = reader.ReadInt32();
l2s.Asks = new Ask[count];
for (var i = 0; i < count; i++)
l2s.Asks[i] = (Ask)this.streamerManager.Deserialize(reader);
return l2s;
}
protected virtual void OnLevel2(Level2Snapshot snapshot)
{
}
internal void OnLevel2(Level2Snapshot l2s)
{
var pId = l2s.ProviderId + 1;
var iId = l2s.InstrumentId;
this.idArray_10[pId] = this.idArray_10[pId] ?? new IdArray<OrderBook>(10240);
var orderBook = this.idArray_10[pId][iId] = this.idArray_10[pId][iId] ?? new OrderBook();
orderBook.OnLevel2(l2s);
var orderBookAggr = this.idArray_4[iId] = this.idArray_4[iId] ?? new OrderBookAggr(iId);
orderBookAggr.OnLevel2(l2s);
}
public void OnLevel2(Level2Snapshot snapshot)
{
// noop
}
internal virtual void vmethod_13(Level2Snapshot snapshot)
{
if (this.IsInstance)
{
this.OnLevel2(snapshot);
}
}
internal void OnLevel2(Level2Snapshot l2s)
{
lock (this.lck)
{
this.bids.Clear();
this.asks.Clear();
this.bool_0 = false;
this.GonEpGhAb[l2s.ProviderId] = new Tuple<DateTime, List<Tick>, List<Tick>>(l2s.DateTime, new List<Tick>(l2s.Bids), new List<Tick>(l2s.Asks));
}
}
public Level2Snapshot GetLevel2Snapshot(List<byte> providers = null)
{
Level2Snapshot result;
lock (this.lck)
{
if (!this.bool_0)
{
this.method_7(providers);
}
List<Bid> list = new List<Bid>();
List<Ask> list2 = new List<Ask>();
foreach (Tick current in this.bids)
{
if (current is Bid)
{
list.Add(current as Bid);
}
}
foreach (Tick current2 in this.asks)
{
if (current2 is Ask)
{
list2.Add(current2 as Ask);
}
}
result = new Level2Snapshot(this.dateTime_0, 0, this.instrumentId, list.ToArray(), list2.ToArray());
}
return result;
}
internal void OnLevel2(Level2Snapshot l2s)
{
if (Strategy?.Status == StrategyStatus.Running)
Strategy.EmitLevel2(l2s);
}
public void Save(Level2Snapshot level2, SaveMode option = SaveMode.Add) => Save(level2.InstrumentId, level2, option);
public virtual void EmitLevel2Snapshot(Level2Snapshot snapshot)
{
EventManager.OnEvent(new Level2Snapshot(snapshot){ProviderId = (byte)Id});
}
public void OnLevel2(Level2Snapshot snapshot)
{
throw new NotImplementedException();
}
public void Save(Level2Snapshot level2, SaveMode option = SaveMode.Add) => Save(level2.InstrumentId, level2, option);