/// <summary>
/// OHLCFull constructor.
/// </summary>
public OHLCFull(SmallDecimal open, SmallDecimal high, SmallDecimal low, SmallDecimal close, int volume = 0, decimal moneyVolume = 0M, int tradeCount = 0, int openInterest = 0)
{
_ohlcv = new OHLCV(open, high, low, close, volume);
_value = moneyVolume;
_tradeCount = tradeCount;
_openInterest = openInterest;
}
/// <summary>
/// Tick constructor.
/// </summary>
public Tick(DateTime dateTimeUtc, SmallDecimal price, int volume)
{
// TODO (docs) need to document this behavior
if (dateTimeUtc.Kind == DateTimeKind.Local)
{
throw new ArgumentException(@"dateTime kind must be UTC or unspecified", nameof(dateTimeUtc));
}
_dateTimeUtcTicks = dateTimeUtc.Ticks;
_quote = new Quote(price, volume);
}
public MarketDepth2(SmallDecimal largeAskPrice, int largeAskSize, int largeAskOffset,
SmallDecimal smallAskPrice, int smallAskSize, int smallAskOffset,
SmallDecimal smallBidPrice, int smallBidSize, int smallBidOffset,
SmallDecimal largeBidPrice, int largeBidSize, int largeBidOffset)
{
_largeAsk = new Quote(largeAskPrice, largeAskSize, largeAskOffset);
_smallAsk = new Quote(smallAskPrice, smallAskSize, smallAskOffset);
_smallBid = new Quote(smallBidPrice, smallBidSize, smallBidOffset);
_largeBid = new Quote(largeBidPrice, largeBidSize, largeBidOffset);
}
/// <summary>
/// OHLCV constructor.
/// </summary>
public OHLCV(SmallDecimal open, SmallDecimal high, SmallDecimal low, SmallDecimal close, int volume)
{
checked
{
// NB it is probably doable to adjust exponents, but
// providing prices with different precision indicates
// application logic flaw
if (open.Exponent != high.Exponent || open.Exponent != low.Exponent || open.Exponent != close.Exponent)
{
throw new ArgumentException("Precision of all prices must be the same");
}
_close = close;
_open = (int)(open.Mantissa - close.Mantissa);
_high = (int)(high.Mantissa - close.Mantissa);
_low = (int)(low.Mantissa - close.Mantissa);
_volume = volume;
}
}
public MarketDepth(SmallDecimal smallAskPrice, int smallAskSize, int smallAskOffset,
SmallDecimal smallBidPrice, int smallBidSize, int smallBidOffset)
{
_smallAsk = new Quote(smallAskPrice, smallAskSize, smallAskOffset);
_smallBid = new Quote(smallBidPrice, smallBidSize, smallBidOffset);
}
/// <summary>
/// Quote constructor.
/// </summary>
public QuoteDecimal(SmallDecimal price, SmallDecimal volume)
{
_price = price;
_volume = volume;
}
public Quote(SmallDecimal price, int volume, int tag)
{
_price = price;
_volume = volume;
_tag = tag;
}
/// <summary>
/// Quote constructor.
/// </summary>
public Quote(SmallDecimal price, int volume)
{
_price = price;
_volume = volume;
_tag = default;
}
