public void EmitHistoricalTrade(global::OpenQuant.API.HistoricalDataRequest request, DateTime datetime, double price, int size)
{
if (this.NewHistoricalTrade != null)
{
SmartQuant.Data.Trade trade = new SmartQuant.Data.Trade(datetime, price, size);
HistoricalTradeEventArgs args = new HistoricalTradeEventArgs(trade, request.request.RequestId, request.request.Instrument, this, 0);
this.NewHistoricalTrade(this, args);
}
}
public void EmitTrade(string instrument, DateTime time, byte providerId, double price, int size)
{
SmartQuant.Data.Trade trade = new SmartQuant.Data.Trade(time, price, size) {
ProviderId = providerId
};
SmartQuant.Instruments.Instrument inst = SmartQuant.Instruments.InstrumentManager.Instruments[instrument];
EmitNewTradeEvent(inst, trade);
}
public SmartQuant.Data.Trade FilterTrade(SmartQuant.Data.Trade trade, string symbol)
{
Trade trade2 = this.oqFilter.FilterTrade(new Trade(trade), symbol);
if (trade2 == null)
{
return(null);
}
return(trade2.trade);
}
public void EmitTrade(string instrument, DateTime time, byte providerId, double price, int size)
{
SmartQuant.Data.Trade trade = new SmartQuant.Data.Trade(time, price, size)
{
ProviderId = providerId
};
SmartQuant.Instruments.Instrument inst = SmartQuant.Instruments.InstrumentManager.Instruments[instrument];
EmitNewTradeEvent(inst, trade);
}
public void EmitTrade(global::OpenQuant.API.Instrument instrument, DateTime time, byte providerId, double price, int size)
{
SmartQuant.Data.Trade trade = new SmartQuant.Data.Trade(time, price, size);
trade.ProviderId = providerId;
if (this.MarketDataFilter != null)
{
trade = this.MarketDataFilter.FilterTrade(trade, instrument.Symbol);
}
if (trade == null)
{
return;
}
if (this.NewTrade != null)
{
this.NewTrade(this, new TradeEventArgs(trade, instrument.instrument, this));
}
if (this.barFactory != null)
{
this.barFactory.OnNewTrade(instrument.instrument, trade);
}
}
private void EmitNewTradeEvent(IFIXInstrument instrument, SmartQuant.Data.Trade trade)
{
if (trade == null)
{
return;
}
if (instrument == null)
{
throw new ArgumentException("合约不存在,请检查是否创建了合约");
}
var NewTradeDelegate = (MulticastDelegate)NewTradeField.GetValue(marketDataProvider);
foreach (Delegate dlg in NewTradeDelegate.GetInvocationList())
{
dlg.Method.Invoke(dlg.Target, new object[] { marketDataProvider, new TradeEventArgs(trade, instrument, marketDataProvider) });
}
if (factory != null)
{
factory.OnNewTrade(instrument, trade);
}
}
internal Trade(SmartQuant.Data.Trade trade)
{
this.trade = trade;
}
public Trade(DateTime dateTime, double price, int size)
{
this.trade = new SmartQuant.Data.Trade(dateTime, price, size);
}
internal Trade(SmartQuant.Data.Trade trade)
{
this.trade = trade;
}
public Trade(DateTime dateTime, double price, int size)
{
this.trade = new SmartQuant.Data.Trade(dateTime, price, size);
}
public void EmitHistoricalTrade(global::OpenQuant.API.HistoricalDataRequest request, DateTime datetime, double price, int size)
{
if (this.NewHistoricalTrade != null)
{
SmartQuant.Data.Trade trade = new SmartQuant.Data.Trade(datetime, price, size);
HistoricalTradeEventArgs args = new HistoricalTradeEventArgs(trade, request.request.RequestId, request.request.Instrument, this, 0);
this.NewHistoricalTrade(this, args);
}
}
public void EmitTrade(global::OpenQuant.API.Instrument instrument, DateTime time, byte providerId, double price, int size)
{
SmartQuant.Data.Trade trade = new SmartQuant.Data.Trade(time, price, size);
trade.ProviderId = providerId;
if (this.MarketDataFilter != null)
{
trade = this.MarketDataFilter.FilterTrade(trade, instrument.Symbol);
}
if (trade == null)
{
return;
}
if (this.NewTrade != null)
{
this.NewTrade(this, new TradeEventArgs(trade, instrument.instrument, this));
}
if (this.barFactory != null)
{
this.barFactory.OnNewTrade(instrument.instrument, trade);
}
}
public object Convert(SmartQuant.Data.Trade trade)
{
return(new Trade(trade));
}
