internal static MDOperation Convert(OrderBookAction action)
{
switch (action)
{
case OrderBookAction.Insert:
return(MDOperation.Insert);
case OrderBookAction.Update:
return(MDOperation.Update);
case OrderBookAction.Delete:
return(MDOperation.Delete);
case OrderBookAction.Reset:
return(MDOperation.Reset);
case OrderBookAction.Undefined:
return(MDOperation.Undefined);
default:
throw new NotSupportedException(string.Format("OrderBookAction is not supported - {0}", action));
}
}
internal static MDOperation Convert(OrderBookAction action)
{
switch (action)
{
case OrderBookAction.Insert:
return MDOperation.Insert;
case OrderBookAction.Update:
return MDOperation.Update;
case OrderBookAction.Delete:
return MDOperation.Delete;
case OrderBookAction.Reset:
return MDOperation.Reset;
case OrderBookAction.Undefined:
return MDOperation.Undefined;
default:
throw new NotSupportedException(string.Format("OrderBookAction is not supported - {0}", action));
}
}
public static void Add(Instrument instrument, DateTime datetime, BidAsk side, OrderBookAction action, int position, double price, int size)
{
DataManager.Add(instrument, new OrderBookUpdate(new MarketDepth(datetime, string.Empty, position, EnumConverter.Convert(action), EnumConverter.Convert(side), price, size)));
}
/// <inheritdoc />
public OrderBookLevelBulk(OrderBookAction action, OrderBookLevel[] levels, CryptoOrderBookType orderBookType)
{
Action = action;
OrderBookType = orderBookType;
Levels = levels ?? new OrderBookLevel[0];
}
public static void Add(Instrument instrument, DateTime datetime, BidAsk side, OrderBookAction action, int position, double price, int size)
{
DataManager.Add(instrument, new OrderBookUpdate(new MarketDepth(datetime, string.Empty, position, EnumConverter.Convert(action), EnumConverter.Convert(side), price, size)));
}
protected void EmitNewOrderBookUpdate(Instrument instrument, DateTime time, BidAsk side, OrderBookAction action, double price, int size, int position)
{
this.provider.EmitMarketDepth(instrument, time, side, action, price, size, position);
}
public void EmitMarketDepth(global::OpenQuant.API.Instrument instrument, DateTime time, BidAsk side, OrderBookAction action, double price, int size, int position)
{
MarketDepth marketDepth = new MarketDepth(time, string.Empty, position, global::OpenQuant.API.EnumConverter.Convert(action), global::OpenQuant.API.EnumConverter.Convert(side), price, size);
if (this.NewMarketDepth != null)
{
this.NewMarketDepth(this, new MarketDepthEventArgs(marketDepth, instrument.instrument, this));
}
}
protected void EmitNewOrderBookUpdate(Instrument instrument, DateTime time, BidAsk side, OrderBookAction action, double price, int size, int position)
{
this.provider.EmitMarketDepth(instrument, time, side, action, price, size, position);
}
public void EmitMarketDepth(global::OpenQuant.API.Instrument instrument, DateTime time, BidAsk side, OrderBookAction action, double price, int size, int position)
{
MarketDepth marketDepth = new MarketDepth(time, string.Empty, position, global::OpenQuant.API.EnumConverter.Convert(action), global::OpenQuant.API.EnumConverter.Convert(side), price, size);
if (this.NewMarketDepth != null)
{
this.NewMarketDepth(this, new MarketDepthEventArgs(marketDepth, instrument.instrument, this));
}
}
public void EmitMarketDepth(Instrument instrument, DateTime time, BidAsk side, OrderBookAction action, double price, int size, int position)
{
MarketDepth marketDepth = new MarketDepth(time, string.Empty, position, EnumConverter.Convert(action), EnumConverter.Convert(side), price, size);
if (this.NewMarketDepth == null)
{
return;
}
this.NewMarketDepth((object)this, new MarketDepthEventArgs(marketDepth, (IFIXInstrument)instrument.instrument, (IMarketDataProvider)this));
}
public void EmitMarketDepth(Instrument instrument, DateTime time, BidAsk side, OrderBookAction action, double price, int size, int position)
{
MarketDepth marketDepth = new MarketDepth(time, string.Empty, position, EnumConverter.Convert(action), EnumConverter.Convert(side), price, size);
if (this.NewMarketDepth == null)
return;
this.NewMarketDepth((object) this, new MarketDepthEventArgs(marketDepth, (IFIXInstrument) instrument.instrument, (IMarketDataProvider) this));
}
