/// <summary>
/// Called on each incoming market data tick.
/// </summary>
/// <param name="e"></param>
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType != MarketDataType.Last)
return;
Text = e.Time.ToString(Cbi.Globals.CurrentCulture.DateTimeFormat.LongTimePattern);
}
/// <summary>
/// Called on each incoming market data tick.
/// </summary>
/// <param name="e"></param>
protected override void OnMarketData(MarketDataEventArgs e)
{
double price = 0;
if (position == null)
{
Value = 0;
}
else if (position.Instrument.MasterInstrument.InstrumentType == InstrumentType.Currency || !Cbi.Position.UseLastPrice4PL)
{
if (e.MarketDataType == MarketDataType.Bid && position.MarketPosition == MarketPosition.Long)
{
price = e.Price;
}
else if (e.MarketDataType == MarketDataType.Ask && position.MarketPosition == MarketPosition.Short)
{
price = e.Price;
}
else
{
return;
}
Value = position.GetProfitLoss(price, Strategy.PerformanceUnit.Currency);
}
else if (e.MarketDataType == MarketDataType.Last)
{
Value = position.GetProfitLoss(e.Price, Strategy.PerformanceUnit.Currency);
}
}
/// <summary>
/// Called on each incoming market data tick.
/// </summary>
/// <param name="e"></param>
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType != MarketDataType.Last)
return;
Value = e.Price;
}
public override void calculate_signals(Object sender, MarketDataEventArgs args)
{
try
{
AppEvent appEvent = eventManager.storeEventQueue[stgName].Take();
if (appEvent.Type.Equals(AppEventType.TickerPrice))
{
AppTickPriceEvent tickPriceEvent = (AppTickPriceEvent)appEvent;
updateTick(tickPriceEvent);
}
//else
// return;
//updateTick(tick);
if (!MDManager.isDataReady())
{
return;
}
if (!dataIsReady)
{
log.Info("Data is Ready.");
}
dataIsReady = true;
series1 = MDManager.getTimeBarSeries();
checkOpenOrderCompleted(series1);
checkExitOrderCompleted(series1);
//cutLossTrade(series1 );
exitTradeStrategy(series1);
enterTradeStrategy(series1);
}
catch (InvalidOperationException e)
{
return;
}
}
/// <summary>
/// Called on each incoming market data tick.
/// </summary>
/// <param name="e"></param>
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType != MarketDataType.DailyVolume)
return;
Value = e.Volume;
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if (RealTime == Switch.ON)
{
Price = e.Price;
OrderAction();
}
}
/// <summary>
/// Called on each incoming market data tick.
/// </summary>
/// <param name="e"></param>
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType != MarketDataType.DailyVolume)
{
return;
}
Value = e.Volume;
}
/// <summary>
/// Called on each incoming market data tick.
/// </summary>
/// <param name="e"></param>
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType != MarketDataType.Bid)
{
return;
}
Value = e.Price;
}
/// <summary>
/// Called on each incoming market data tick.
/// </summary>
/// <param name="e"></param>
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType != MarketDataType.Last)
{
return;
}
Text = e.Time.ToString(Cbi.Globals.CurrentCulture.DateTimeFormat.LongTimePattern);
}
protected override void OnMarketData(MarketDataEventArgs e)
{
// Print some data to the Output window
if (e.MarketDataType == MarketDataType.Last)
{
//Print("Last = " + e.Price + " " + e.Volume);
lastTradeVol = e.Volume;
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Last)
{
Values[0][0] = ask = e.Ask;
Values[1][0] = bid = e.Bid;
Values[2][0] = last = e.Price;
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Ask || e.MarketDataType == MarketDataType.Bid)
{
tick.bid = GetCurrentBid(1);
tick.ask = GetCurrentAsk(1);
tickDetector();
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Ask)
{
base.DrawLine("ask", false, 0, e.Price, -3, e.Price, Color.Red, DashStyle.Solid, 1);
}
else if (e.MarketDataType == MarketDataType.Bid)
{
base.DrawLine("bid", false, 0, e.Price, -3, e.Price, Color.Green, DashStyle.Solid, 1);
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType != MarketDataType.Last)
{
return;
}
Values[0][0] = e.Ask;
Values[1][0] = e.Bid;
Values[2][0] = e.Price;
}
protected override void OnMarketData(MarketDataEventArgs e)
{
// Print some data to the Output window
//if (e.MarketDataType == MarketDataType.Last)
// Print("Last=" + e.Price + " " + e.Volume);
//else if (e.MarketDataType == MarketDataType.Ask)
// Print("Ask=" + e.Price + " " + e.Volume);
//else if (e.MarketDataType == MarketDataType.Bid)
// Print("Bid=" + e.Price + " " + e.Volume);
}
protected override void OnMarketData(MarketDataEventArgs e)
{
// Print some data to the Output window
//if (e.MarketDataType == MarketDataType.Last)
// Print("Last=" + e.Price + " " + e.Volume);
//else if (e.MarketDataType == MarketDataType.Ask)
// Print("Ask=" + e.Price + " " + e.Volume);
//else if (e.MarketDataType == MarketDataType.Bid)
// Print("Bid=" + e.Price + " " + e.Volume);
}
/// <summary>
/// Called on each incoming market data tick.
/// </summary>
/// <param name="e"></param>
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType != MarketDataType.Last || e.MarketData.LastClose == null)
return;
switch (Unit)
{
case Strategy.PerformanceUnit.Currency: Value = (e.Price - e.MarketData.LastClose.Price) * Instrument.MasterInstrument.PointValue; break;
case Strategy.PerformanceUnit.Points: Value = (e.Price - e.MarketData.LastClose.Price); break;
default: Value = (e.Price - e.MarketData.LastClose.Price) / e.MarketData.LastClose.Price; break;
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Last)
{
if (e.Price >= e.Ask)
{
buys += e.Volume;
}
else if (e.Price <= e.Bid)
{
sells += e.Volume;
}
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Last)
{
if (e.Price >= e.Ask)
{
buys += (Instrument.MasterInstrument.InstrumentType == Cbi.InstrumentType.CryptoCurrency ? Core.Globals.ToCryptocurrencyVolume(e.Volume) : e.Volume);
}
else if (e.Price <= e.Bid)
{
sells += (Instrument.MasterInstrument.InstrumentType == Cbi.InstrumentType.CryptoCurrency ? Core.Globals.ToCryptocurrencyVolume(e.Volume) : e.Volume);
}
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Last)
{
if (e.Price >= e.Ask)
{
myProfile.AddAskVolume(e.Price, e.Volume);
}
else if (e.Price <= e.Bid)
{
myProfile.AddBidVolume(e.Price, e.Volume);
}
}
}
protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{
// Workaround for market replay backfilling all of replay sessions data(as historical data)
// Replay should only backfill history up to replay time, so make sure any historical ticks
// are before the current replay time.
if ((Connection.PlaybackConnection != null) &&
(State == State.Historical) &&
(marketDataUpdate.Time >= Connection.PlaybackConnection.Now))
{
if (PrintDebug)
{
Print("Filter Hit - MarketDataEvent Time :" + marketDataUpdate.Time.ToString() +
" Playback Time: " + Connection.PlaybackConnection.Now.ToString() +
" Event Type: " + marketDataUpdate.MarketDataType +
" State: " + State);
}
return;
}
// Reset for every session
if (sessionIterator.IsNewSession(marketDataUpdate.Time, false))
{
if (PrintDebug)
{
Print("NewSession: " + marketDataUpdate.Time.ToString());
}
totalShares = 0;
totalDollars = 0;
sessionIterator.GetNextSession(marketDataUpdate.Time, false);
}
// Check session time
if (!sessionIterator.IsInSession(marketDataUpdate.Time, false, true))
{
return;
}
// Is this a trade(not bid or ask)
if (marketDataUpdate.MarketDataType == MarketDataType.Last)
{
totalShares += marketDataUpdate.Volume;
totalDollars += marketDataUpdate.Volume * marketDataUpdate.Price;
Vwap[0] = totalDollars / totalShares;
if (PrintDebug)
{
Print(marketDataUpdate.Time.ToString() + " Session total shares: " + totalShares.ToString() + " " + State);
}
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Last)
{
if (e.Price == e.MarketData.Ask.Price)
{
askLast = askLast + e.Volume;
if (cummLastTrade.ContainsKey(e.Price))
{
LastTrade updateAskTrade = new LastTrade()
{
CumulativeAsk = cummLastTrade[e.Price].CumulativeAsk + e.Volume,
CumulativeBid = cummLastTrade[e.Price].CumulativeBid
};
cummLastTrade[e.Price] = updateAskTrade;
}
else
{
LastTrade insertAskTrade = new LastTrade()
{
CumulativeAsk = e.Volume,
};
cummLastTrade[e.Price] = insertAskTrade;
}
}
if (e.Price == e.MarketData.Bid.Price)
{
if (cummLastTrade.ContainsKey(e.Price))
{
bidLast = bidLast + e.Volume;
LastTrade updateBidTrade = new LastTrade()
{
CumulativeBid = cummLastTrade[e.Price].CumulativeBid + e.Volume,
CumulativeAsk = cummLastTrade[e.Price].CumulativeAsk
};
cummLastTrade[e.Price] = updateBidTrade;
}
else
{
LastTrade insertBidTrade = new LastTrade()
{
CumulativeBid = e.Volume,
};
cummLastTrade[e.Price] = insertBidTrade;
}
}
}
}
/// <summary>
/// Called on each incoming market data tick.
/// </summary>
/// <param name="e"></param>
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType != MarketDataType.Last || e.MarketData.LastClose == null)
{
return;
}
switch (Unit)
{
case Strategy.PerformanceUnit.Currency: Value = (e.Price - e.MarketData.LastClose.Price) * Instrument.MasterInstrument.PointValue; break;
case Strategy.PerformanceUnit.Points: Value = (e.Price - e.MarketData.LastClose.Price); break;
default: Value = (e.Price - e.MarketData.LastClose.Price) / e.MarketData.LastClose.Price; break;
}
}
/// <summary>
/// Called on each incoming real time market data event
/// </summary>
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType != MarketDataType.Last || e.MarketData.Ask == null || e.MarketData.Bid == null)
{
return;
}
if (e.Price >= e.MarketData.Ask.Price)
{
buys += e.Volume;
}
else if (e.Price <= e.MarketData.Bid.Price)
{
sells += e.Volume;
}
}
protected override sealed void OnMarketData(MarketDataEventArgs e)
{
DateTime t;
if (useMillisec)
{
ComputeTimeOffset(e.Time);
t = DateTime.Now.AddMilliseconds(timeoffset);
}
else
{
t = e.Time;
}
if (!initBidAsk)
{
initBidAsk = (ask > bid);
}
if ((e.MarketDataType == MarketDataType.Last))
{
GMktDataTimeTicks = e.Time.Ticks;
if (writeData && writeOK && writable && initBidAsk)
{
writeOK = fm.RecordTick(t, bid, ask, e.Price, (int)e.Volume);
firstRec = true;
}
UpdateBeginEndTime();
if (disableTime || ((GMktDataTimeTicks >= BeginTimeTicks) && (GMktDataTimeTicks < EndTimeTicks)))
{
tickQueue.Enqueue(new Gom.MarketDataType(t, Gom.Utils.GetIntTickType(bid, ask, e.Price), e.Price, (int)e.Volume));
}
}
else if (e.MarketDataType == MarketDataType.Ask)
{
ask = e.Price;
}
else if (e.MarketDataType == MarketDataType.Bid)
{
bid = e.Price;
}
}
protected override sealed void OnMarketData(MarketDataEventArgs e)
{
DateTime t;
if (useMillisec)
{
_ComputeTimeOffset(e.Time);
t = DateTime.Now.AddMilliseconds(_timeOffset);
}
else
{
t = e.Time;
}
if (!_initBidAsk)
{
_initBidAsk = (_ask > _bid);
}
if ((e.MarketDataType == MarketDataType.Last))
{
_mktDataTimeTicks = e.Time.Ticks;
if (_writeData && _writeOK && _writable && _initBidAsk)
{
_writeOK = _fm.RecordTick(t, _bid, _ask, e.Price, (int)e.Volume);
_firstRec = true;
}
_UpdateBeginEndTime();
if (_disableTime || ((_mktDataTimeTicks >= _beginTimeTicks) && (_mktDataTimeTicks < _endTimeTicks)))
{
_tickQueue.Enqueue(new GMarketDataType(t, GUtils.GetIntTickType(_bid, _ask, e.Price), e.Price, (int)e.Volume));
}
}
else if (e.MarketDataType == MarketDataType.Ask)
{
_ask = e.Price;
}
else if (e.MarketDataType == MarketDataType.Bid)
{
_bid = e.Price;
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Ask)
{
askPrice = e.Price;
return;
}
if (e.MarketDataType == MarketDataType.Bid)
{
bidPrice = e.Price;
return;
}
if (e.MarketDataType != MarketDataType.Last || ChartControl == null || askPrice == 0 || bidPrice == 0)
{
return;
}
if (Bars != null && !Bars.Session.InSession(DateTime.Now, Bars.Period, true, Bars.BarsType))
{
return;
}
double price = e.Price;
long volume = e.Volume;
if (!volumeInfo.ContainsKey(price))
{
volumeInfo.Add(price, new VolumeInfoItem());
}
VolumeInfoItem volumeInfoItem = volumeInfo[price];
if (price >= askPrice)
{
volumeInfoItem.up += volume;
}
else
if (price <= bidPrice)
{
volumeInfoItem.down += volume;
}
else
{
volumeInfoItem.neutral += volume;
}
}
public override void calculate_signals_impl(Object sender, MarketDataEventArgs args)
{
AppEvent appEvent = eventManager.storeEventQueue[stgName].Take();
var watch = Stopwatch.StartNew();
if (appEvent.Type.Equals(AppEventType.TickerPrice))
{
AppTickPriceEvent tickPriceEvent = (AppTickPriceEvent)appEvent;
updateTick(tickPriceEvent);
}
else if (appEvent.Type.Equals(AppEventType.DailyReset))
{
stgDailyReset();
return;
}
else
{
return;
}
if (!MDManager.isDataReady())
{
return;
}
if (!dataIsReady)
{
log.Info("Data is Ready.");
}
dataIsReady = true;
Series <DateTime, MarketDataElement> seriesSelected = MDManager.getTimeBarSeries();
cacluateRanges();
calculateCurrentMax(seriesSelected);
checkStgExitOrderCompleted(seriesSelected);
checkStgEnterOrderCompleted(seriesSelected);
exitTradeStrategy(seriesSelected);
dayEndCloseTrade(seriesSelected);
enterTradeStrategy(seriesSelected);
watch.Stop();
double ticks = watch.ElapsedTicks;
log.Info("[Strategy] calculate_signals_impl running for = " + watch.ElapsedTicks * 1000000 / Stopwatch.Frequency + " micro second");
}
public override void calculate_signals_impl(Object sender, MarketDataEventArgs args)
{
try
{
AppEvent appEvent = eventManager.storeEventQueue[stgName].Take();
var watch = Stopwatch.StartNew();
if (appEvent.Type.Equals(AppEventType.TickerPrice))
{
AppTickPriceEvent tickPriceEvent = (AppTickPriceEvent)appEvent;
updateTick(tickPriceEvent);
}
else
{
return;
}
//updateTick(tick);
if (!MDManager.isDataReady())
{
return;
}
if (!dataIsReady)
{
log.Info("Data is Ready.");
}
dataIsReady = true;
series1 = MDManager.getTimeBarSeries();
checkStgEnterOrderCompleted(series1);
checkStgExitOrderCompleted(series1);
cutLossTrade(series1);
exitTradeStrategy(series1);
enterTradeStrategy(series1);
// log.Info("[Strategy] day end close running for = " + watch.ElapsedMilliseconds + " millsecond");
watch.Stop();
double ticks = watch.ElapsedTicks;
log.Info("[Strategy] calculate_signals_impl running for = " + watch.ElapsedTicks * 1000000 / Stopwatch.Frequency + " micro second");
}
catch (InvalidOperationException e)
{
return;
}
}
/// <summary>
/// Called on each incoming market data tick.
/// </summary>
/// <param name="e"></param>
protected override void OnMarketData(MarketDataEventArgs e)
{
double price = 0;
if (position == null)
Value = 0;
else if (position.Instrument.MasterInstrument.InstrumentType == InstrumentType.Currency || !Cbi.Position.UseLastPrice4PL)
{
if (e.MarketDataType == MarketDataType.Bid && position.MarketPosition == MarketPosition.Long)
price = e.Price;
else if (e.MarketDataType == MarketDataType.Ask && position.MarketPosition == MarketPosition.Short)
price = e.Price;
else
return;
Value = position.GetProfitLoss(price, Strategy.PerformanceUnit.Currency);
}
else if (e.MarketDataType == MarketDataType.Last)
Value = position.GetProfitLoss(e.Price, Strategy.PerformanceUnit.Currency);
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Bid)
{
if (e.Price > lastBid)
{
lastBid = e.Price;
lastAsk = e.Price + myTickSize;
}
}
else if (e.MarketDataType == MarketDataType.Ask)
{
if (e.Price < lastAsk)
{
lastAsk = e.Price;
lastBid = e.Price - myTickSize;
}
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Bid)
{
double quoteDrift = 0;
if ((_LastBidPrice != e.Price) && (_LastTradePrice > 0))
{
quoteDrift = (_LastAskPrice - _LastTradePrice) + (e.Price -
_LastTradePrice);
AddQuoteData(e.Price,quoteDrift, quote.drift, CurrentBar);
}
AddQuoteData(e.Price, e.Volume, quote.bid, CurrentBar);
_LastBidPrice = e.Price;
}
if (e.MarketDataType == MarketDataType.Ask)
{
double quoteDrift = 0;
if ((_LastAskPrice != e.Price) && (_LastTradePrice > 0))
{
quoteDrift = (e.Price - _LastTradePrice) + (_LastBidPrice -
_LastTradePrice);
AddQuoteData(e.Price,quoteDrift, quote.drift, CurrentBar);
}
AddQuoteData(e.Price, e.Volume, quote.ask, CurrentBar);
_LastAskPrice = e.Price;
}
if (e.MarketDataType == MarketDataType.Last)
{
AddQuoteData(e.Price, e.Volume, quote.last, CurrentBar);
_LastTradePrice = e.Price;
if (e.Price <= _LastBidPrice)
AddQuoteData(e.Price, e.Volume, quote.lastAtBid, CurrentBar);
if (e.Price >= _LastAskPrice)
AddQuoteData(e.Price, e.Volume, quote.lastAtAsk, CurrentBar);
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Bid)
{
double quoteDrift = 0;
if ((_LastBidPrice != e.Price) && (_LastTradePrice > 0))
{
quoteDrift = (_LastAskPrice - _LastTradePrice) + (e.Price -
_LastTradePrice);
AddQuoteData(e.Price,quoteDrift, quote.drift, CurrentBar);
}
AddQuoteData(e.Price, e.Volume, quote.bid, CurrentBar);
_LastBidPrice = e.Price;
}
if (e.MarketDataType == MarketDataType.Ask)
{
double quoteDrift = 0;
if ((_LastAskPrice != e.Price) && (_LastTradePrice > 0))
{
quoteDrift = (e.Price - _LastTradePrice) + (_LastBidPrice -
_LastTradePrice);
AddQuoteData(e.Price,quoteDrift, quote.drift, CurrentBar);
}
AddQuoteData(e.Price, e.Volume, quote.ask, CurrentBar);
_LastAskPrice = e.Price;
}
if (e.MarketDataType == MarketDataType.Last)
{
AddQuoteData(e.Price, e.Volume, quote.last, CurrentBar);
_LastTradePrice = e.Price;
if (e.Price <= _LastBidPrice)
AddQuoteData(e.Price, e.Volume, quote.lastAtBid, CurrentBar);
if (e.Price >= _LastAskPrice)
AddQuoteData(e.Price, e.Volume, quote.lastAtAsk, CurrentBar);
}
}
public override void calculate_signals_impl(Object sender, MarketDataEventArgs args)
{
AppEvent appEvent = eventManager.storeEventQueue[stgName].Take();
if (appEvent.Type.Equals(AppEventType.TickerPrice))
{
AppTickPriceEvent tickPriceEvent = (AppTickPriceEvent)appEvent;
updateTick(tickPriceEvent);
}
else if (appEvent.Type.Equals(AppEventType.DailyReset))
{
stgDailyReset();
return;
}
else
{
return;
}
if (!MDManager.isDataReady())
{
return;
}
if (!dataIsReady)
{
log.Info("Data is Ready.");
}
dataIsReady = true;
Series <DateTime, MarketDataElement> seriesSelected = MDManager.getTimeBarSeries();
calculateExtreme(seriesSelected);
cancelInvalidSignalOrder();
cacluateRanges();
calculateCurrentMax(seriesSelected);
checkStgExitOrderCompleted(seriesSelected);
checkStgEnterOrderCompleted(seriesSelected);
exitTradeStrategy(seriesSelected);
dayEndCloseTrade(seriesSelected);
enterTradeStrategy(seriesSelected);
}
private void FireInstrumentChanged(object sender, MarketDataEventArgs e)
{
Instrument instrument = (Instrument)e.Data;
//
// Find all account positions that have this instrument and fire
// position changed.
//
foreach (AccountPosition account_position in AccountPositions)
{
foreach (InstrumentPosition instrument_position in account_position.InstrumentPositions)
{
if (instrument_position.InstrumentId.Equals(instrument.Id))
{
dispatcher.PositionChangedCallback(
new PositionEventArgs(account_position));
break;
}
}
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if(!active)
return;
if(e.MarketDataType == MarketDataType.Ask||e.MarketDataType == MarketDataType.Bid){
processTick(GetCurrentAsk(1),GetCurrentBid(1),GetCurrentAsk(2),GetCurrentBid(2));
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Ask)
{
askPrice = e.Price;
return;
}
if (e.MarketDataType == MarketDataType.Bid)
{
bidPrice = e.Price;
return;
}
if (e.MarketDataType != MarketDataType.Last || ChartControl == null || askPrice == 0 || bidPrice == 0)
return;
if (Bars != null && !Bars.Session.InSession(DateTime.Now, Bars.Period, true, Bars.BarsType))
return;
double price = e.Price;
long volume = e.Volume;
if (!volumeInfo.ContainsKey(price))
volumeInfo.Add(price, new VolumeInfoItem());
VolumeInfoItem volumeInfoItem = volumeInfo[price];
if (price >= askPrice)
volumeInfoItem.up += volume;
else
if (price <= bidPrice)
volumeInfoItem.down += volume;
else
volumeInfoItem.neutral += volume;
}
/// <summary>
/// Called on each incoming real time market data event
/// </summary>
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType != MarketDataType.Last || e.MarketData.Ask == null || e.MarketData.Bid == null)
return;
if (e.Price >= e.MarketData.Ask.Price)
buys += e.Volume;
else if (e.Price <= e.MarketData.Bid.Price)
sells += e.Volume;
}
protected override sealed void OnMarketData(MarketDataEventArgs e)
{
DateTime t;
if (useMillisec)
{
ComputeTimeOffset(e.Time);
t = DateTime.Now.AddMilliseconds(timeoffset);
}
else
t = e.Time;
if (!initBidAsk)
initBidAsk = (ask > bid);
if ((e.MarketDataType == MarketDataType.Last))
{
GMktDataTimeTicks = e.Time.Ticks;
if (writeData && writeOK && writable && initBidAsk)
{
writeOK = fm.RecordTick(t, bid, ask, e.Price, (int)e.Volume);
firstRec=true;
}
UpdateBeginEndTime();
if (disableTime || ((GMktDataTimeTicks >= BeginTimeTicks) && (GMktDataTimeTicks < EndTimeTicks)))
tickQueue.Enqueue(new Gom.MarketDataType(t, Gom.Utils.GetIntTickType(bid, ask, e.Price), e.Price, (int)e.Volume));
}
else if (e.MarketDataType == MarketDataType.Ask)
ask = e.Price;
else if (e.MarketDataType == MarketDataType.Bid)
bid = e.Price;
}
protected override void OnMarketData(MarketDataEventArgs e){
//extra chance for stops - on bid and ask updates
if(virgin)
return;
if(e.MarketDataType == MarketDataType.Ask||e.MarketDataType == MarketDataType.Bid){
tick.bid=GetCurrentBid(1);
tick.ask=GetCurrentAsk(1);
tickDetector();
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
// Print some data to the Output window
if (e.MarketDataType == MarketDataType.Last){
//Print("Last = " + e.Price + " " + e.Volume);
lastTradeVol = e.Volume;
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
UpdateRiskData();
}
protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{
if (marketDataUpdate.MarketDataType == MarketDataType.Last)
{
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if(e.MarketDataType == MarketDataType.Ask||e.MarketDataType == MarketDataType.Bid){
tick.bid=GetCurrentBid(1);
tick.ask=GetCurrentAsk(1);
tickDetector();
}
}
