public MarketDataUpdateItem(MarketDataViewRow row, Quote quote, Trade trade, Bar bar)
{
this.Row = row;
this.Quote = quote;
this.Trade = trade;
this.Bar = bar;
}
protected void CreateNewBar(BarType barType, DateTime beginTime, DateTime endTime, double price)
{
if (barType == BarType.Time && this.barSize == 86400)
this.bar = new Daily(beginTime, price, price, price, price, 0);
else
this.bar = new Bar(barType, this.barSize, beginTime, endTime, price, price, price, price, 0, 0);
}
public void SetNewBarOpen(FreeQuant.Instruments.Instrument instrument, FreeQuant.Data.Bar bar)
{
try
{
if (this.stops.Count != 0)
{
List <ATSStop> list = (List <ATSStop>)null;
if (this.activeStops.TryGetValue(instrument, out list))
{
foreach (ATSStop atsStop in new ArrayList((ICollection)list))
{
if (atsStop.Connected)
{
atsStop.OnNewBarOpen(bar);
}
}
}
}
Strategy strategy = (Strategy)null;
if (!this.strategies.TryGetValue(instrument, out strategy))
{
return;
}
strategy.OnBarOpen((OpenQuant.API.Bar) this.objectConverter.Convert(bar));
}
catch (Exception ex)
{
this.EmitError(ex);
}
}
private void EmitBar(IFIXInstrument instrument, FreeQuant.Data.Bar bar)
{
if (this.NewBar == null)
{
return;
}
this.NewBar((object)this, new BarEventArgs(bar, instrument, (IMarketDataProvider)this));
}
internal void Add(Instrument instrument, Bar bar)
{
BarSlice barSlice = null;
if (!this.data.TryGetValue(bar.Size, out barSlice))
{
barSlice = new BarSlice(this.InstrumentsCount);
this.data.Add(bar.Size, barSlice);
}
barSlice.Add(instrument, bar);
}
public void TestCase()
{
Bar bar = new Bar();
ba.Add(bar);
Assert.AreEqual(1, ba.Count);
Assert.AreSame(ba[0], bar);
Assert.AreEqual(ba[0].GetType(), typeof(Bar));
ba.Remove(bar);
Assert.AreEqual(0, ba.Count);
}
protected override void OnUpdateBar(Bar bar)
{
this.Cells[1].Value = !(bar is Daily) ? (!(bar.BeginTime != DateTime.MinValue) ? "" : string.Format("{0:T} - {1:T}", bar.BeginTime, bar.EndTime)) : bar.DateTime.ToShortDateString();
this.Cells[2].Value = (object)bar.Open;
this.Cells[3].Value = (object)bar.High;
this.Cells[4].Value = (object)bar.Low;
this.Cells[5].Value = (object)bar.Close;
this.Cells[6].Value = (object)bar.Volume;
this.Cells[7].Value = (object)new BarSizeInfo(bar.BarType, bar.Size);
}
public void Update(Quote quote, Trade trade, Bar bar)
{
if (!this.enabled)
return;
if (quote != null)
this.OnUpdateQuote(quote);
if (trade != null)
this.OnUpdateTrade(trade);
if (bar == null)
return;
this.OnUpdateBar(bar);
}
public void EmitBar(Instrument instrument, BarType barType, long barSize, DateTime beginDateTime, DateTime endDateTime, double open, double high, double low, double close, long volume)
{
FreeQuant.Data.Bar bar = new FreeQuant.Data.Bar(EnumConverter.Convert(barType), barSize, beginDateTime, endDateTime, open, high, low, close, volume, 0L);
if (this.MarketDataFilter != null)
{
bar = this.MarketDataFilter.FilterBar(bar, instrument.Symbol);
}
if (bar == null)
{
return;
}
this.EmitBar((IFIXInstrument)instrument.instrument, bar);
}
public void SetNewBar(FreeQuant.Instruments.Instrument instrument, FreeQuant.Data.Bar bar)
{
try
{
if (bar.BarType == FreeQuant.Data.BarType.Time)
{
this.barSliceManager.AddBar(instrument, bar);
}
else
{
this.OnNewBar(instrument, bar);
}
}
catch (Exception ex)
{
this.EmitError(ex);
}
}
public void TestCase()
{
Bar bar1 = new Bar();
Bar bar2 = new Bar();
bs.Add(bar1);
bs.Add(bar2);
Assert.AreEqual(1, bs.RealCount);
Assert.AreSame(bar2, bs[0]);
bs.Clear();
Assert.AreEqual(0, bs.RealCount);
DateTime dt1 = new DateTime(2014,1,1,12,12,12);
Bar bar3 = new Bar(dt1,10,10,10,10,100,100);
bs.Add(bar3);
Assert.AreSame(bar3, bs[dt1]);
bs.Clear();
bs.Add(bar3);
Assert.AreSame(bar3, bs[dt1, EIndexOption.Next]);
}
public override void Add(CompressorDataItem data)
{
if (data.Items.Count != 1)
throw new ArgumentException(string.Format("Cannot make range bars from {0}", (object)this.dataSource.Input));
double price = data.Items[0].Price;
if (this.bar == null)
{
this.CreateNewBar((BarType)4, data.DateTime, data.DateTime, price);
}
else
{
this.AddDataToBar(data.Items);
this.bar.EndTime = data.DateTime;
bool flag = false;
while (!flag)
{
if (10000.0 * (this.bar.High - this.bar.Low) >= (double)this.barSize)
{
Bar bar = new Bar(BarType.Range, this.barSize, data.DateTime, data.DateTime, price, price, price, price, 0, 0);
if (this.bar.High == price)
{
this.bar.High = this.bar.Low + (double)this.barSize / 10000.0;
this.bar.Close = this.bar.High;
bar.Low = this.bar.High;
}
if (this.bar.Low == price)
{
this.bar.Low = this.bar.High - (double)this.barSize / 10000.0;
this.bar.Close = this.bar.Low;
bar.High = this.bar.Low;
}
this.EmitNewCompressedBar();
this.bar = bar;
flag = 10000.0 * (this.bar.High - this.bar.Low) < (double)this.barSize;
}
else
flag = true;
}
}
}
protected override IDataObject Process()
{
DateTime dateTime = this.GetDateTime();
double doubleValue1 = this.GetDoubleValue(ColumnType.High);
double doubleValue2 = this.GetDoubleValue(ColumnType.Low);
double doubleValue3 = this.GetDoubleValue(ColumnType.Open);
double doubleValue4 = this.GetDoubleValue(ColumnType.Close);
long int64Value1 = this.GetInt64Value(ColumnType.Volume);
long int64Value2 = this.GetInt64Value(ColumnType.OpenInt);
IDataObject idataObject;
if (this.makeDaily)
{
idataObject = (IDataObject)new Daily(dateTime, doubleValue3, doubleValue1, doubleValue2, doubleValue4, int64Value1, int64Value2);
}
else
{
if (this.template.DataOptions.BarDateTime == BarDateTime.EndTime)
dateTime = dateTime.AddSeconds((double)-this.template.DataOptions.BarSize);
Bar bar = new Bar(dateTime, doubleValue3, doubleValue1, doubleValue2, doubleValue4, int64Value1, this.template.DataOptions.BarSize);
bar.OpenInt = int64Value2;
idataObject = (IDataObject)bar;
}
return idataObject;
}
public void Add(Bar bar)
{
DataManager.Add(this, bar);
}
protected override void OnNewBar(Instrument instrument, Bar bar)
{
foreach (ATSStop atsStop in new ArrayList((ICollection) this.activeStops[instrument]))
{
if (atsStop.Connected)
atsStop.OnNewBar(bar);
}
this.marketManager.OnBar(instrument, bar);
this.klBiFcxZsD.OnBar(instrument, bar);
this.csNiLdTRqH[instrument].OnBar(bar);
}
public object Convert(FreeQuant.Data.Bar bar)
{
return(new Bar(bar));
}
internal void t2b63VoTkG(Bar obj0)
{
if (!this.fTraceOnBar || this.fFilterBarSize >= 0L && (this.fFilterBarSize != obj0.Size || this.fFilterBarType != BarType.Time))
return;
this.fTrailPrice = obj0.Close;
switch (this.fSide)
{
case PositionSide.Long:
this.fCurrPrice = obj0.Low;
this.fFillPrice = obj0.Low;
if (this.fTrailOnHighLow)
{
this.fTrailPrice = obj0.High;
break;
}
else
break;
case PositionSide.Short:
this.fCurrPrice = obj0.High;
this.fFillPrice = obj0.High;
if (this.fTrailOnHighLow)
{
this.fTrailPrice = obj0.Low;
break;
}
else
break;
}
switch (this.fFillMode)
{
case StopFillMode.Close:
this.fFillPrice = obj0.Close;
break;
case StopFillMode.Stop:
this.fFillPrice = this.fStopPrice;
break;
}
this.XqY6FAU6Mj();
}
internal void M2g6st8BRD(Bar obj0)
{
if (!this.fTraceOnBar || !this.fTraceOnBarOpen || this.fFilterBarSize >= 0L && (this.fFilterBarSize != obj0.Size || this.fFilterBarType != BarType.Time))
return;
this.fCurrPrice = obj0.Open;
this.fFillPrice = obj0.Open;
if (this.fTrailOnOpen)
this.fTrailPrice = obj0.Open;
this.XqY6FAU6Mj();
}
public void OnNewBarOpen(Bar bar)
{
if (!this.fTraceOnBar || !this.fTraceOnBarOpen || this.fFilterBarSize >= 0L && (this.fFilterBarSize != bar.Size || this.fFilterBarType != BarType.Time))
return;
this.fCurrPrice = bar.Open;
this.fFillPrice = bar.Open;
if (this.fTrailOnOpen)
this.fTrailPrice = bar.Open;
this.oEtiRP16ys();
}
public void SetUp()
{
double open = 1.0;
bar = new Bar();
}
private void Y18FFPmDy5(Quote obj0, Trade obj1, Bar obj2)
{
SingleOrder singleOrder = this.PYBF7sahqY as SingleOrder;
if (singleOrder.OrdStatus != OrdStatus.New && singleOrder.OrdStatus != OrdStatus.PendingNew && (singleOrder.OrdStatus != OrdStatus.PartiallyFilled && singleOrder.OrdStatus != OrdStatus.Replaced))
return;
double num1 = this.CcXFPEywDQ(obj0, obj1, obj2);
double num2 = this.VirF0ddUxQ(singleOrder, obj0, obj1, obj2);
if (num1 == 0.0 || num2 == 0.0)
return;
if (singleOrder.OrdType == OrdType.Market || singleOrder.OrdType == OrdType.TrailingStop && singleOrder.IsStopLimitReady)
this.D35FmNWSPm(num1, num2);
else
this.wYBFLwFB4S(num1, num2);
}
public void OnNewBar(Bar bar)
{
if (this.fTraceOnBar && (this.fFilterBarSize < 0L || this.fFilterBarSize == bar.Size && this.fFilterBarType == BarType.Time))
{
this.fTrailPrice = bar.Close;
switch (this.fSide)
{
case PositionSide.Long:
this.fCurrPrice = bar.Low;
this.fFillPrice = bar.Low;
if (this.fTrailOnHighLow)
{
this.fTrailPrice = bar.High;
break;
}
else
break;
case PositionSide.Short:
this.fCurrPrice = bar.High;
this.fFillPrice = bar.High;
if (this.fTrailOnHighLow)
{
this.fTrailPrice = bar.Low;
break;
}
else
break;
}
switch (this.fFillMode)
{
case StopFillMode.Close:
this.fFillPrice = bar.Close;
break;
case StopFillMode.Stop:
this.fFillPrice = this.fStopPrice;
break;
}
this.oEtiRP16ys();
}
if (this.fType != StopType.Trailing)
return;
this.series.Add(bar.DateTime, this.fStopPrice);
}
public void Add(string series, Bar bar)
{
DataManager.Add(this, series, bar);
}
public static void Add(Instrument instrument, string suffix, Bar bar)
{
DataManager.Add(instrument.Symbol + SERIES_SEPARATOR + suffix, bar);
}
public bool CrossesAbove(TimeSeries series, Bar bar)
{
return this.Crosses(series, bar.DateTime) == ECross.Above;
}
public ECross Crosses(TimeSeries series, Bar bar)
{
return this.Crosses(series, bar.DateTime);
}
public ECross Crosses(TimeSeries series, Bar bar, int row)
{
return this.Crosses(series, bar.DateTime, row);
}
public ECross Crosses(TimeSeries series, Bar bar, BarData barData)
{
return this.Crosses(series, bar.DateTime, barData);
}
protected override void OnNewBar(Instrument instrument, Bar bar)
{
foreach (Stop stop in new ArrayList((ICollection) this.activeStops[instrument]))
{
if (stop.Connected)
stop.t2b63VoTkG(bar);
}
this.A6MpF2380O.OnBar(instrument, bar);
this.HeHpDewVKD.OnBar(instrument, bar);
this.marketManager.OnBar(instrument, bar);
this.exits[instrument].OnBar(bar);
this.entries[instrument].OnBar(bar);
this.moneyManagers[instrument].OnBar(bar);
this.riskManagers[instrument].OnBar(bar);
}
public bool CrossesBelow(TimeSeries series, Bar bar)
{
return this.Crosses(series, bar.DateTime) == ECross.Below;
}
public EntryEventArgs(Instrument instrument, char side, Bar bar) : base()
{
this.Instrument = instrument;
this.Side = side;
this.Bar = bar;
}
public static void Add(string series, Bar bar)
{
DataManager.server.Update(series, bar);
}
private double VirF0ddUxQ(SingleOrder obj0, Quote obj1, Trade obj2, Bar obj3)
{
bool flag = !obj0.IsStopLimitReady && (obj0.OrdType == OrdType.TrailingStop || obj0.OrdType == OrdType.TrailingStopLimit || obj0.OrdType == OrdType.StopLimit);
if (obj1 != null && this.A8bFJItyyx.PartialFills && (this.A8bFJItyyx.FillOnQuote && !flag || this.A8bFJItyyx.TriggerOnQuote && flag))
{
if (!this.A8bFJItyyx.FillAtWorstQuoteRate || obj1.Bid <= obj1.Ask)
{
switch (obj0.Side)
{
case Side.Buy:
if (obj1.AskSize > 0)
return (double) obj1.AskSize;
else
break;
case Side.Sell:
case Side.SellShort:
if (obj1.BidSize > 0)
return (double) obj1.BidSize;
else
break;
default:
return obj0.OrderQty;
}
}
else
{
switch (obj0.Side)
{
case Side.Buy:
if (obj1.BidSize > 0)
return (double) obj1.BidSize;
else
break;
case Side.Sell:
case Side.SellShort:
if (obj1.Ask > 0.0)
return (double) obj1.AskSize;
else
break;
default:
return obj0.OrderQty;
}
}
}
if ((this.A8bFJItyyx.FillOnTrade && !flag || this.A8bFJItyyx.TriggerOnTrade && flag) && obj2 != null)
{
if ((obj0.OrdType == OrdType.Limit || (obj0.OrdType == OrdType.StopLimit || obj0.OrdType == OrdType.TrailingStopLimit) && obj0.IsStopLimitReady) && (obj0.CumQty == 0.0 && Math.Abs(obj2.Price - obj0.Price) < 0.001 && (obj0.TradeVolumeDelay != 0 && !this.gxTF8gufMx)))
{
this.w02FZf7vnP += obj2.Size;
if (this.w02FZf7vnP <= obj0.TradeVolumeDelay)
return 0.0;
this.gxTF8gufMx = true;
if (this.A8bFJItyyx.PartialFills)
return (double) (this.w02FZf7vnP - obj0.TradeVolumeDelay);
else
return obj0.OrderQty;
}
else if (this.A8bFJItyyx.PartialFills)
return (double) obj2.Size;
}
return obj0.OrderQty;
}
public static void Add(Instrument instrument, Bar bar)
{
string suffix = SUFFIX_BAR + SERIES_SEPARATOR + bar.BarType.ToString() + SERIES_SEPARATOR + bar.Size.ToString();
DataManager.Add(instrument, suffix, bar);
}
private double CcXFPEywDQ(Quote obj0, Trade obj1, Bar obj2)
{
SingleOrder singleOrder = this.PYBF7sahqY as SingleOrder;
if (singleOrder.ContainsField(11103) && singleOrder.StrategyFill)
return singleOrder.StrategyPrice;
bool flag = !singleOrder.IsStopLimitReady && (singleOrder.OrdType == OrdType.TrailingStop || singleOrder.OrdType == OrdType.TrailingStopLimit || singleOrder.OrdType == OrdType.StopLimit);
if (obj0 != null && (this.A8bFJItyyx.FillOnQuote && !flag || this.A8bFJItyyx.TriggerOnQuote && flag))
{
if (!this.A8bFJItyyx.FillAtWorstQuoteRate || obj0.Bid <= obj0.Ask)
{
switch (singleOrder.Side)
{
case Side.Buy:
case Side.BuyMinus:
if (obj0.Ask != 0.0)
return obj0.Ask;
else
break;
case Side.Sell:
case Side.SellShort:
if (obj0.Bid != 0.0)
return obj0.Bid;
else
break;
default:
throw new NotSupportedException("" + ((object) singleOrder.Side).ToString());
}
}
else
{
switch (singleOrder.Side)
{
case Side.Buy:
case Side.BuyMinus:
if (obj0.Bid != 0.0)
return obj0.Bid;
else
break;
case Side.Sell:
case Side.SellShort:
if (obj0.Ask != 0.0)
return obj0.Ask;
else
break;
default:
throw new NotSupportedException("" + ((object) singleOrder.Side).ToString());
}
}
}
if (obj1 != null && (this.A8bFJItyyx.FillOnTrade && !flag || this.A8bFJItyyx.TriggerOnTrade && flag) && obj1.Price != 0.0)
return obj1.Price;
if (obj2 != null && (this.A8bFJItyyx.FillOnBar && !flag || this.A8bFJItyyx.TriggerOnBar && flag))
{
if (singleOrder.StrategyComponent == "which")
return singleOrder.StrategyPrice;
if (singleOrder.ForceMarketOrder)
{
if (obj2.Close != 0.0)
return obj2.Close;
if (obj2.Open != 0.0)
return obj2.Open;
}
switch (this.kUyFaL3cQu)
{
case FillOnBarMode.LastBarClose:
case FillOnBarMode.NextBarClose:
return obj2.Close;
case FillOnBarMode.NextBarOpen:
return obj2.Open;
}
}
return 0.0;
}