protected Quote ConvertAndFlushQuote(SpiderQuote originalQuote)
{
DataManager.Add(this.Instrument,
originalQuote.DateTime,
originalQuote.Bid,
originalQuote.BidSize,
originalQuote.Ask,
originalQuote.AskSize);
DataManager.Flush();
var convertedAndAddedQuote = DataManager.GetHistoricalQuotes(this.Instrument,
originalQuote.DateTime.AddMinutes(-20 * ExecutionTimePeriod),
originalQuote.DateTime).Last;
return convertedAndAddedQuote;
}
private bool ValidateQuote(SpiderQuote quote)
{
return (quote.Bid > 0 &&
quote.Ask > 0 &&
quote.AskSize > 0 &&
quote.BidSize > 0);
}
private SpiderQuote ConvertQuote(OpenQuant.API.Quote originalQuote)
{
SpiderQuote spiderQuote = new SpiderQuote()
{
DateTime = originalQuote.DateTime,
Ask = originalQuote.Ask,
Bid = originalQuote.Bid,
AskSize = originalQuote.AskSize,
BidSize = originalQuote.BidSize
};
return spiderQuote;
}