public DbExecution(IBfExecution exec)
{
ExecutionId = exec.ExecutionId;
ExecutedTime = exec.ExecutedTime;
Side = exec.Side;
Price = exec.Price;
Size = exec.Size;
}
public void Update(IBfExecution exec)
{
StartExecutionId = Math.Min(exec.ExecutionId, StartExecutionId);
StartExecutedTime = (exec.ExecutedTime < StartExecutedTime) ? exec.ExecutedTime : StartExecutedTime;
EndExecutionId = Math.Max(exec.ExecutionId, EndExecutionId);
EndExecutedTime = (exec.ExecutedTime > EndExecutedTime) ? exec.ExecutedTime : EndExecutedTime;
LastUpdatedTime = DateTime.UtcNow;
ExecutionCount++;
}
public void Add(IBfExecution exec)
{
if (_manageRec == null)
{
_manageRec = new DbManageRecord();
}
_dbctx.Add(new DbExecution(exec));
_manageRec.Update(exec);
if (_manageRec.ExecutionCount >= CommitCount)
{
SaveChanges();
_dbctx.ClearCache();
}
}
public RealtimeOhlc Update(IBfExecution exec)
{
ExecutionCount++;
if (exec.ExecutedTime < Start)
{
Start = exec.ExecutedTime;
Open = exec.Price;
}
if (exec.ExecutedTime > End)
{
End = exec.ExecutedTime;
Close = exec.Price;
}
High = Math.Max(High, exec.Price);
Low = Math.Min(Low, exec.Price);
switch (exec.Side)
{
case BfTradeSide.Buy:
BuyVolume += unchecked ((double)exec.Size);
break;
case BfTradeSide.Sell:
SellVolume += unchecked ((double)exec.Size);
break;
default:
ExecutedVolume += unchecked ((double)exec.Size);
break;
}
_amount += exec.Price * exec.Size;
try
{
VWAP = unchecked ((double)(_amount / unchecked ((decimal)Volume)));
}
catch (DivideByZeroException)
{
VWAP = 0;
}
UpdateEvent?.Invoke(this);
return(this);
}
public void UpdateMarker(IBfExecution exec)
{
if (_lastExec == null)
{
_lastExec = exec;
return;
}
var lastMarkTime = _lastExec.ExecutedTime.Round(MarkerSpan);
var currentMarkTime = exec.ExecutedTime.Round(MarkerSpan);
if (lastMarkTime != currentMarkTime)
{
// Marked time changed
if (_marker != null)
{
if (!_ctx.Marker.Any(e => e.MarkedTime == _marker.MarkedTime))
{
_marker.StartExecutionId = _lastExec.ExecutionId;
_ctx.Marker.Add(_marker);
}
}
_marker = new DbMinuteMarker
{
MarkedTime = currentMarkTime,
EndExecutionId = exec.ExecutionId
};
}
if (_marker != null)
{
_marker.ExecutionCount++;
}
_lastExec = exec;
}
public void AddExecution(IBfExecution exec)
{
_ctxExec.Instance.Add(exec as DbExecution);
}
public RealtimeOhlc(IBfExecution exec)
{
Update(exec);
}
public void AddExecution(IBfExecution exec)
{
_ctx.GetExecutions().Add(exec as DbExecution);
}
