public Level2Snapshot GetLevel2Snapshot(List <byte> providers = null) { Level2Snapshot result; lock (this.lck) { if (!this.bool_0) { this.method_7(providers); } List <Bid> list = new List <Bid>(); List <Ask> list2 = new List <Ask>(); foreach (Tick current in this.bids) { if (current is Bid) { list.Add(current as Bid); } } foreach (Tick current2 in this.asks) { if (current2 is Ask) { list2.Add(current2 as Ask); } } result = new Level2Snapshot(this.dateTime_0, 0, this.instrumentId, list.ToArray(), list2.ToArray()); } return(result); }
public virtual void EmitLevel2Snapshot(Level2Snapshot snapshot) { this.framework.EventManager.OnEvent(new Level2Snapshot(snapshot) { ProviderId = (byte)Id }); }
internal void OnLevel2(Level2Snapshot l2s) { if (Strategy?.Status == StrategyStatus.Running) { Strategy.EmitLevel2(l2s); } }
internal void OnLevel2(Level2Snapshot l2s) { Bids.Clear(); Asks.Clear(); foreach (var b in l2s.Bids) Bids.Add(new Tick(b)); foreach (var a in l2s.Asks) Asks.Add(new Tick(a)); }
internal void OnLevel2(Level2Snapshot l2s) { lock (this.lck) { this.bids.Clear(); this.asks.Clear(); this.bool_0 = false; this.GonEpGhAb[l2s.ProviderId] = new Tuple <DateTime, List <Tick>, List <Tick> >(l2s.DateTime, new List <Tick>(l2s.Bids), new List <Tick>(l2s.Asks)); } }
internal void OnLevel2(Level2Snapshot l2s) { Bids.Clear(); Asks.Clear(); foreach (var b in l2s.Bids) { Bids.Add(new Tick(b)); } foreach (var a in l2s.Asks) { Asks.Add(new Tick(a)); } }
internal void OnLevel2(Level2Snapshot l2s) { var pId = l2s.ProviderId + 1; var iId = l2s.InstrumentId; this.idArray_10[pId] = this.idArray_10[pId] ?? new IdArray <OrderBook>(10240); var orderBook = this.idArray_10[pId][iId] = this.idArray_10[pId][iId] ?? new OrderBook(); orderBook.OnLevel2(l2s); var orderBookAggr = this.idArray_4[iId] = this.idArray_4[iId] ?? new OrderBookAggr(iId); orderBookAggr.OnLevel2(l2s); }
public override object Read(BinaryReader reader, byte version) { var l2s = new Level2Snapshot { DateTime = new DateTime(reader.ReadInt64()), ProviderId = reader.ReadByte(), InstrumentId = reader.ReadInt32() }; int count; count = reader.ReadInt32(); l2s.Bids = new Bid[count]; for (var i = 0; i < count; i++) { l2s.Bids[i] = (Bid)this.streamerManager.Deserialize(reader); } count = reader.ReadInt32(); l2s.Asks = new Ask[count]; for (var i = 0; i < count; i++) { l2s.Asks[i] = (Ask)this.streamerManager.Deserialize(reader); } return(l2s); }
public void OnLevel2(Level2Snapshot snapshot) { // noop }
public Level2Snapshot(Level2Snapshot snapshot) : this(snapshot.dateTime, snapshot.ProviderId, snapshot.InstrumentId, snapshot.Bids, snapshot.Asks) { ExchangeDateTime = snapshot.ExchangeDateTime; }
public void OnLevel2(Level2Snapshot snapshot) { throw new NotImplementedException(); }
public override object Read(BinaryReader reader, byte version) { var l2s = new Level2Snapshot { DateTime = new DateTime(reader.ReadInt64()), ProviderId = reader.ReadByte(), InstrumentId = reader.ReadInt32() }; int count; count = reader.ReadInt32(); l2s.Bids = new Bid[count]; for (var i = 0; i < count; i++) l2s.Bids[i] = (Bid)this.streamerManager.Deserialize(reader); count = reader.ReadInt32(); l2s.Asks = new Ask[count]; for (var i = 0; i < count; i++) l2s.Asks[i] = (Ask)this.streamerManager.Deserialize(reader); return l2s; }
protected virtual void OnLevel2(Level2Snapshot snapshot) { }
internal void OnLevel2(Level2Snapshot l2s) { var pId = l2s.ProviderId + 1; var iId = l2s.InstrumentId; this.idArray_10[pId] = this.idArray_10[pId] ?? new IdArray<OrderBook>(10240); var orderBook = this.idArray_10[pId][iId] = this.idArray_10[pId][iId] ?? new OrderBook(); orderBook.OnLevel2(l2s); var orderBookAggr = this.idArray_4[iId] = this.idArray_4[iId] ?? new OrderBookAggr(iId); orderBookAggr.OnLevel2(l2s); }
internal virtual void vmethod_13(Level2Snapshot snapshot) { if (this.IsInstance) { this.OnLevel2(snapshot); } }
internal void OnLevel2(Level2Snapshot l2s) { lock (this.lck) { this.bids.Clear(); this.asks.Clear(); this.bool_0 = false; this.GonEpGhAb[l2s.ProviderId] = new Tuple<DateTime, List<Tick>, List<Tick>>(l2s.DateTime, new List<Tick>(l2s.Bids), new List<Tick>(l2s.Asks)); } }
public Level2Snapshot GetLevel2Snapshot(List<byte> providers = null) { Level2Snapshot result; lock (this.lck) { if (!this.bool_0) { this.method_7(providers); } List<Bid> list = new List<Bid>(); List<Ask> list2 = new List<Ask>(); foreach (Tick current in this.bids) { if (current is Bid) { list.Add(current as Bid); } } foreach (Tick current2 in this.asks) { if (current2 is Ask) { list2.Add(current2 as Ask); } } result = new Level2Snapshot(this.dateTime_0, 0, this.instrumentId, list.ToArray(), list2.ToArray()); } return result; }
internal void OnLevel2(Level2Snapshot l2s) { if (Strategy?.Status == StrategyStatus.Running) Strategy.EmitLevel2(l2s); }
public void Save(Level2Snapshot level2, SaveMode option = SaveMode.Add) => Save(level2.InstrumentId, level2, option);
public virtual void EmitLevel2Snapshot(Level2Snapshot snapshot) { EventManager.OnEvent(new Level2Snapshot(snapshot){ProviderId = (byte)Id}); }