private static Type GetDbType(Level1Fields field)
{
switch (field)
{
case Level1Fields.LastTrade:
case Level1Fields.BestBid:
case Level1Fields.BestAsk:
return(null);
case Level1Fields.BidsCount:
case Level1Fields.AsksCount:
case Level1Fields.TradesCount:
case Level1Fields.State:
return(typeof(int));
case Level1Fields.LastTradeId:
return(typeof(long));
case Level1Fields.LastTradeOrigin:
return(typeof(int?));
case Level1Fields.BestBidTime:
case Level1Fields.BestAskTime:
case Level1Fields.LastTradeTime:
return(typeof(DateTimeOffset));
default:
return(typeof(decimal));
}
}
private static void ApplyCellStyle(ExcelWorker worker, Level1Fields field, int column)
{
switch (field)
{
case Level1Fields.LastTrade:
case Level1Fields.BestAsk:
case Level1Fields.BestBid:
break;
case Level1Fields.LastTradeId:
case Level1Fields.BidsCount:
case Level1Fields.AsksCount:
case Level1Fields.TradesCount:
worker.SetStyle(column, typeof(long));
break;
case Level1Fields.LastTradeTime:
case Level1Fields.BestAskTime:
case Level1Fields.BestBidTime:
worker.SetStyle(column, typeof(DateTimeOffset));
break;
default:
worker.SetStyle(column, typeof(decimal));
break;
}
}
private IEnumerable <CandleMessage> ProcessCandlePart(Level1Fields part, CandleMessage message)
{
_transform.Part = part;
_transform.Process(message);
return(_builder.Process(this, _transform));
}
/// <inheritdoc />
public object GetSecurityValue(Security security, Level1Fields field)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
return(SafeGetConnector().GetSecurityValue(security, field));
}
/// <summary>
/// To get market data value for the strategy instrument.
/// </summary>
/// <typeparam name="T">The type of the market data field value.</typeparam>
/// <param name="strategy">Strategy.</param>
/// <param name="field">Market-data field.</param>
/// <returns>The field value. If no data, the <see langword="null" /> will be returned.</returns>
public static T GetSecurityValue <T>(this Strategy strategy, Level1Fields field)
{
if (strategy == null)
{
throw new ArgumentNullException(nameof(strategy));
}
return(strategy.GetSecurityValue <T>(strategy.Security, field));
}
private static void ApplyCellStyle(ExcelWorker worker, Level1Fields field, int column)
{
var type = field.ToType();
if (type != null && !type.IsEnum)
{
worker.SetStyle(column, type);
}
}
/// <inheritdoc />
public object GetSecurityValue(Security security, Level1Fields field)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
return(MarketDataProvider.GetSecurityValue(security, field));
}
object IMarketDataProvider.GetSecurityValue(Security security, Level1Fields field)
{
switch (field)
{
case Level1Fields.ImpliedVolatility:
return(security.ImpliedVolatility);
}
return(null);
}
object IMarketDataProvider.GetSecurityValue(Security security, Level1Fields field)
{
switch (field)
{
case Level1Fields.ImpliedVolatility:
return security.ImpliedVolatility;
}
return null;
}
private IEnumerable <CandleMessage> ProcessCandlePart(Level1Fields part, CandleMessage message)
{
_transform.Part = part;
_transform.Process(message);
foreach (var builtCandle in _builder.Process(_subscription, _currentCandle, _transform))
{
_currentCandle = builtCandle;
yield return(builtCandle);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="QuoteCandleBuilderSourceValue"/>.
/// </summary>
/// <param name="message">Messages containing quotes.</param>
/// <param name="type">Type of candle depth based data.</param>
public QuoteCandleBuilderSourceValue(QuoteChangeMessage message, Level1Fields type)
{
QuoteChange = message;
Type = type;
switch (Type)
{
case Level1Fields.BestBidPrice:
{
var bid = message.GetBestBid();
if (bid != null)
{
_price = bid.Price;
_volume = bid.Volume;
}
break;
}
case Level1Fields.BestAskPrice:
{
var ask = message.GetBestAsk();
if (ask != null)
{
_price = ask.Price;
_volume = ask.Volume;
}
break;
}
case Level1Fields.SpreadMiddle:
{
var bid = message.GetBestBid();
var ask = message.GetBestAsk();
if (bid != null && ask != null)
{
_price = (ask.Price + bid.Price) / 2;
//_volume = pair.Bid.Volume;
}
break;
}
default:
throw new ArgumentOutOfRangeException();
}
}
/// <summary>
/// Is the specified <see cref="Level1Fields"/> was obsolete.
/// </summary>
/// <param name="field"><see cref="Level1Fields"/> value.</param>
/// <returns><see langword="true" />, if obsolete, otherwise, not obsolete.</returns>
public static bool IsObsolete(this Level1Fields field)
{
switch (field)
{
case Level1Fields.LastTrade:
case Level1Fields.BestBid:
case Level1Fields.BestAsk:
case Level1Fields.ExtensionInfo:
return(true);
}
return(false);
}
private static Type GetDbType(Level1Fields field)
{
var type = field.ToType();
if (type == null)
{
return(null);
}
if (type.IsEnum)
{
type = type.GetEnumUnderlyingType();
}
return(type.IsClass ? type : typeof(Nullable <>).Make(type));
}
public static TriggerType ToOec(this Level1Fields type)
{
switch (type)
{
case Level1Fields.LastTradePrice:
return(TriggerType.Last);
case Level1Fields.BestBidPrice:
return(TriggerType.Bid);
case Level1Fields.BestAskPrice:
return(TriggerType.Ask);
default:
throw new ArgumentOutOfRangeException("type");
}
}
/// <summary>
/// Initializes a new instance of the <see cref="Level1ChangeCandleBuilderSourceValue"/>.
/// </summary>
/// <param name="message">The message containing the level1 market data.</param>
/// <param name="field">Level one market-data field, which is used as an candle value.</param>
public Level1ChangeCandleBuilderSourceValue(Level1ChangeMessage message, Level1Fields field)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
Level1Change = message;
Field = field;
_volume = null;
switch (field)
{
case Level1Fields.BestBidPrice:
case Level1Fields.BestAskPrice:
{
var price = GetValue(message, field);
if (price != null)
{
_price = price.Value;
}
break;
}
case Level1Fields.SpreadMiddle:
{
var bid = GetValue(message, Level1Fields.BestBidPrice);
var ask = GetValue(message, Level1Fields.BestAskPrice);
if (bid != null && ask != null)
{
_price = (ask.Value + bid.Value) / 2;
}
break;
}
default:
throw new ArgumentOutOfRangeException();
}
}
public static IBSocket SendLevel1Field(this IBSocket socket, Level1Fields field)
{
switch (field)
{
case CandleDataTypes.Trades:
return(socket.Send("TRADES"));
case CandleDataTypes.Midpoint:
return(socket.Send("MIDPOINT"));
case CandleDataTypes.Bid:
return(socket.Send("BID"));
case CandleDataTypes.Ask:
return(socket.Send("ASK"));
case CandleDataTypes.BidAsk:
return(socket.Send("BID_ASK"));
case CandleDataTypes.HistoricalVolatility:
return(socket.Send("HISTORICAL_VOLATILITY"));
case CandleDataTypes.ImpliedVolatility:
return(socket.Send("OPTION_IMPLIED_VOLATILITY"));
case CandleDataTypes.YieldAsk:
return(socket.Send("YIELD_ASK"));
case CandleDataTypes.YieldBid:
return(socket.Send("YIELD_BID"));
case CandleDataTypes.YieldBidAsk:
return(socket.Send("YIELD_BID_ASK"));
case CandleDataTypes.YieldLast:
return(socket.Send("YIELD_LAST"));
default:
throw new ArgumentOutOfRangeException(nameof(field));
}
}
private void SessionHolderOnLevel1(string symbol, string exchange, Level1Fields field, decimal value, DateTimeOffset time)
{
try
{
SendOutMessage(
new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = symbol,
BoardCode = exchange,
},
ServerTime = time
}
.TryAdd(field, value));
}
catch (Exception ex)
{
SendOutError(ex);
}
}
object IMarketDataProvider.GetSecurityValue(Security security, Level1Fields field)
{
switch (field)
{
case Level1Fields.OpenInterest:
return security.OpenInterest;
case Level1Fields.ImpliedVolatility:
return security.ImpliedVolatility;
case Level1Fields.HistoricalVolatility:
return security.HistoricalVolatility;
case Level1Fields.Volume:
return security.Volume;
case Level1Fields.LastTradePrice:
return security.LastTrade == null ? (decimal?)null : security.LastTrade.Price;
case Level1Fields.LastTradeVolume:
return security.LastTrade == null ? (decimal?)null : security.LastTrade.Volume;
case Level1Fields.BestBidPrice:
return security.BestBid == null ? (decimal?)null : security.BestBid.Price;
case Level1Fields.BestBidVolume:
return security.BestBid == null ? (decimal?)null : security.BestBid.Volume;
case Level1Fields.BestAskPrice:
return security.BestAsk == null ? (decimal?)null : security.BestAsk.Price;
case Level1Fields.BestAskVolume:
return security.BestAsk == null ? (decimal?)null : security.BestAsk.Volume;
}
return null;
}
object IMarketDataProvider.GetSecurityValue(Security security, Level1Fields field)
{
switch (field)
{
case Level1Fields.OpenInterest:
return(security.OpenInterest);
case Level1Fields.ImpliedVolatility:
return(security.ImpliedVolatility);
case Level1Fields.HistoricalVolatility:
return(security.HistoricalVolatility);
case Level1Fields.Volume:
return(security.Volume);
case Level1Fields.LastTradePrice:
return(security.LastTrade?.Price);
case Level1Fields.LastTradeVolume:
return(security.LastTrade?.Volume);
case Level1Fields.BestBidPrice:
return(security.BestBid?.Price);
case Level1Fields.BestBidVolume:
return(security.BestBid?.Volume);
case Level1Fields.BestAskPrice:
return(security.BestAsk?.Price);
case Level1Fields.BestAskVolume:
return(security.BestAsk?.Volume);
}
return(null);
}
object IMarketDataProvider.GetSecurityValue(Security security, Level1Fields field) => null;
/// <summary>
/// To create candles from the order books collection.
/// </summary>
/// <param name="depths">Market depths.</param>
/// <param name="series">Candles series.</param>
/// <param name="type">Type of candle depth based data.</param>
/// <param name="onlyFormed">Process only formed candles.</param>
/// <returns>Candles.</returns>
public static IEnumerable <Candle> ToCandles(this IEnumerable <MarketDepth> depths, CandleSeries series, Level1Fields type = Level1Fields.SpreadMiddle, bool onlyFormed = true)
{
return(depths
.ToMessages <MarketDepth, QuoteChangeMessage>()
.ToCandles(series, type, onlyFormed)
.ToCandles <Candle>(series.Security, series.CandleType));
}
/// <summary>
/// To create candles from the order books collection.
/// </summary>
/// <param name="depths">Market depths.</param>
/// <param name="series">Candles series.</param>
/// <param name="type">Type of candle depth based data.</param>
/// <param name="onlyFormed">Process only formed candles.</param>
/// <returns>Candles.</returns>
public static IEnumerable <CandleMessage> ToCandles(this IEnumerable <QuoteChangeMessage> depths, CandleSeries series, Level1Fields type = Level1Fields.SpreadMiddle, bool onlyFormed = true)
{
return(new CandleMessageEnumerable(series.ToMarketDataMessage(true), onlyFormed, depths, type));
}
private decimal? GetSecurityValue(Level1Fields field)
{
return (decimal?)MarketDataProvider.GetSecurityValue(Security, field);
}
public CandleMessageEnumerable(MarketDataMessage mdMsg, bool onlyFormed, IEnumerable <QuoteChangeMessage> depths, Level1Fields type)
: base(() => new CandleMessageEnumerator(mdMsg, onlyFormed, depths, new QuoteCandleBuilderValueTransform { Type = type }))
{
if (mdMsg == null)
{
throw new ArgumentNullException(nameof(mdMsg));
}
if (depths == null)
{
throw new ArgumentNullException(nameof(depths));
}
}
private decimal?GetSecurityValue(Level1Fields field)
{
return((decimal?)MarketDataProvider.GetSecurityValue(Security, field));
}
private static string GetChangesField(Level1Fields field)
{
return($"{nameof(Level1ChangeMessage.Changes)}[{field}]");
}
private void SessionHolderOnLevel1(string symbol, string exchange, Level1Fields field, decimal value, DateTimeOffset time)
{
try
{
SendOutMessage(
new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = symbol,
BoardCode = exchange,
},
ServerTime = time
}
.TryAdd(field, value));
}
catch (Exception ex)
{
SendOutError(ex);
}
}
public object GetSecurityValue(Security security, Level1Fields field)
{
return new { };
}
private static void ApplyCellStyle(ExcelWorker worker, Level1Fields field, int column)
{
switch (field)
{
case Level1Fields.LastTrade:
case Level1Fields.BestAsk:
case Level1Fields.BestBid:
break;
case Level1Fields.LastTradeId:
case Level1Fields.BidsCount:
case Level1Fields.AsksCount:
case Level1Fields.TradesCount:
worker.SetStyle(column, typeof(long));
break;
case Level1Fields.LastTradeTime:
case Level1Fields.BestAskTime:
case Level1Fields.BestBidTime:
worker.SetStyle(column, typeof(DateTimeOffset));
break;
default:
worker.SetStyle(column, typeof(decimal));
break;
}
}
/// <summary> /// Is the specified <see cref="Level1Fields"/> is related to best bid. /// </summary> /// <param name="field">Field.</param> /// <returns>Check result.</returns> public static bool IsBestBidField(this Level1Fields field) => field == Level1Fields.BestBidPrice || field == Level1Fields.BestBidTime || field == Level1Fields.BestBidVolume;
public static IBSocket SendLevel1Field(this IBSocket socket, Level1Fields field)
{
switch (field)
{
case CandleDataTypes.Trades:
return socket.Send("TRADES");
case CandleDataTypes.Midpoint:
return socket.Send("MIDPOINT");
case CandleDataTypes.Bid:
return socket.Send("BID");
case CandleDataTypes.Ask:
return socket.Send("ASK");
case CandleDataTypes.BidAsk:
return socket.Send("BID_ASK");
case CandleDataTypes.HistoricalVolatility:
return socket.Send("HISTORICAL_VOLATILITY");
case CandleDataTypes.ImpliedVolatility:
return socket.Send("OPTION_IMPLIED_VOLATILITY");
case CandleDataTypes.YieldAsk:
return socket.Send("YIELD_ASK");
case CandleDataTypes.YieldBid:
return socket.Send("YIELD_BID");
case CandleDataTypes.YieldBidAsk:
return socket.Send("YIELD_BID_ASK");
case CandleDataTypes.YieldLast:
return socket.Send("YIELD_LAST");
default:
throw new ArgumentOutOfRangeException("field");
}
}
private void ProcessBestQuote(string symbol, string exchange, double price, int size, int numOfOrders, UpdateType updateType, int ssboe, int usecs, Level1Fields priceField, Level1Fields volumeField)
{
var secId = new SecurityId
{
SecurityCode = symbol,
BoardCode = exchange
};
var time = RithmicUtils.ToTime(ssboe, usecs);
SendOutMessage(new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = time,
}
.TryAdd(priceField, price.ToDecimal())
.TryAdd(volumeField, (decimal)size));
switch (updateType)
{
// [gene.sato] For best bid/ask the update type does not apply.
// The update type is for market depth/level 2 updates.
case UpdateType.Undefined:
// break;
case UpdateType.Solo:
{
//SendOutMessage(new Level1ChangeMessage
//{
// SecurityId = secId,
// ServerTime = time,
//}
//.TryAdd(priceField, price.ToDecimal())
//.TryAdd(volumeField, (decimal)size));
break;
}
case UpdateType.Begin:
case UpdateType.Middle:
case UpdateType.Aggregated:
{
var pair = _quotes
.SafeAdd(secId)
.SafeAdd(time, key => new RefPair <BidInfo, AskInfo>());
pair.Second = new AskInfo
{
Price = price,
NumOrders = numOfOrders,
Size = size,
};
break;
}
case UpdateType.End:
FlushQuotes(secId);
break;
case UpdateType.Clear:
break;
default:
throw new ArgumentOutOfRangeException();
}
}
/// <inheritdoc />
public override void Load(SettingsStorage settings)
{
base.Load(settings);
Field = settings.GetValue <Level1Fields>(nameof(Field));
}
/// <summary>
/// Подписаться на получение исторических значений инструмента с заданной периодичностью.
/// </summary>
/// <param name="message">Сообщение о подписке или отписки на маркет-данные.</param>
/// <param name="field">Поле маркет-данных. Поддерживаются следующие значения:
/// <list type="number">
/// <item>
/// <description><see cref="CandleDataTypes.Trades"/>.</description>
/// </item>
/// <item>
/// <description><see cref="CandleDataTypes.Bid"/>.</description>
/// </item>
/// <item>
/// <description><see cref="CandleDataTypes.Ask"/>.</description>
/// </item>
/// <item>
/// <description><see cref="CandleDataTypes.Midpoint"/>.</description>
/// </item>
/// <item>
/// <description><see cref="CandleDataTypes.BidAsk"/>.</description>
/// </item>
/// <item>
/// <description><see cref="CandleDataTypes.ImpliedVolatility"/>.</description>
/// </item>
/// <item>
/// <description><see cref="CandleDataTypes.HistoricalVolatility"/>.</description>
/// </item>
/// </list></param>
/// <param name="useRth">Получать данные только по торговому времени. По-умолчанию используется торговое время.</param>
private void SubscribeHistoricalCandles(MarketDataMessage message, Level1Fields field, bool useRth = true)
{
if (message == null)
throw new ArgumentNullException("message");
//if (message.CandleType != typeof(TimeFrameCandle))
// throw new ArgumentException("Interactive Brokers не поддерживает свечи типа {0}.".Put(series.CandleType), "series");
if (!(message.Arg is TimeSpan))
throw new ArgumentException(LocalizedStrings.WrongCandleArg.Put(message.Arg), "message");
var timeFrame = (TimeSpan)message.Arg;
//var security = SessionHolder.Securities[message.SecurityId];
ProcessRequest(RequestMessages.SubscribeHistoricalData, ServerVersions.V16, ServerVersions.V6,
socket =>
{
socket
.Send(message.TransactionId)
.SendIf(ServerVersions.V68, s => socket.SendContractId(message.SecurityId))
.SendSecurity(message)
.SendIf(ServerVersions.V68, s => socket.Send(message.Class))
.SendIncludeExpired(message.ExpiryDate)
.SendEndDate(message.To ?? DateTimeOffset.MaxValue)
.SendTimeFrame(timeFrame)
.Send(ConvertPeriodtoIb(message.From ?? DateTimeOffset.MinValue, message.To ?? DateTimeOffset.MaxValue))
.Send(useRth)
.SendLevel1Field(field);
if (socket.ServerVersion > ServerVersions.V16)
{
//Send date times as seconds since 1970
socket.Send(2);
}
// TODO
WeightedIndexSecurity indexSecurity = null;//security as WeightedIndexSecurity;
if (indexSecurity != null)
socket.SendCombo(indexSecurity);
if (socket.ServerVersion >= ServerVersions.V70)
{
//StringBuilder chartOptionsStr = new StringBuilder();
//int chartOptionsCount = chartOptions == null ? 0 : chartOptions.size();
//if (chartOptionsCount > 0)
//{
// for (int i = 0; i < chartOptionsCount; ++i)
// {
// TagValue tagValue = (TagValue)chartOptions.get(i);
// chartOptionsStr.append(tagValue.m_tag);
// chartOptionsStr.append("=");
// chartOptionsStr.append(tagValue.m_value);
// chartOptionsStr.append(";");
// }
//}
//send(chartOptionsStr.toString());
socket.Send(string.Empty);
}
});
}
/// <summary>
/// Подписаться на получение свечек реального времени.
/// </summary>
/// <param name="message"></param>
/// <param name="field">Поля маркет-данных, на основе которых будут строяться свечи. Поддерживаются следующие значения:
/// <list type="number">
/// <item>
/// <description><see cref="CandleDataTypes.Trades"/>.</description>
/// </item>
/// <item>
/// <description><see cref="CandleDataTypes.Bid"/>.</description>
/// </item>
/// <item>
/// <description><see cref="CandleDataTypes.Ask"/>.</description>
/// </item>
/// <item>
/// <description><see cref="CandleDataTypes.Midpoint"/>.</description>
/// </item>
/// </list>
/// </param>
/// <param name="useRth">Строить свечи только по торговому времени. По-умолчанию используется торговое время.</param>
private void SubscribeRealTimeCandles(MarketDataMessage message, Level1Fields field = CandleDataTypes.Trades, bool useRth = true)
{
if (message == null)
throw new ArgumentNullException("message");
//var security = SessionHolder.Securities[message.SecurityId];
ProcessRequest(RequestMessages.SubscribeRealTimeCandles, ServerVersions.V34, ServerVersions.V3,
socket =>
socket
.Send(message.TransactionId)
.SendIf(ServerVersions.V68, s => socket.SendContractId(message.SecurityId))
.SendSecurity(message)
.SendIf(ServerVersions.V68, s => socket.Send(message.Class))
.Send(5) // Поддерживается только 5 секундный тайм-фрейм.
.SendLevel1Field(field)
.Send(useRth)
.SendIf(ServerVersions.V70, s =>
{
//StringBuilder realTimeBarsOptionsStr = new StringBuilder();
//int realTimeBarsOptionsCount = realTimeBarsOptions == null ? 0 : realTimeBarsOptions.size();
//if (realTimeBarsOptionsCount > 0)
//{
// for (int i = 0; i < realTimeBarsOptionsCount; ++i)
// {
// TagValue tagValue = (TagValue)realTimeBarsOptions.get(i);
// realTimeBarsOptionsStr.append(tagValue.m_tag);
// realTimeBarsOptionsStr.append("=");
// realTimeBarsOptionsStr.append(tagValue.m_value);
// realTimeBarsOptionsStr.append(";");
// }
//}
//send(realTimeBarsOptionsStr.toString());
socket.Send(string.Empty);
}));
}
/// <summary>
/// Загрузить настройки.
/// </summary>
/// <param name="settings">Хранилище настроек.</param>
public override void Load(SettingsStorage settings)
{
base.Load(settings);
Field = settings.GetValue<Level1Fields>("Field");
}
/// <summary>
/// Получить значение маркет-данных для инструмента.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <param name="field">Поле маркет-данных.</param>
/// <returns>Значение поля. Если данных нет, то будет возвращено <see langword="null"/>.</returns>
public object GetSecurityValue(Security security, Level1Fields field)
{
return(Connector.GetSecurityValue(security, field));
}
/// <summary> /// Is the specified <see cref="Level1Fields"/> is related to last trade. /// </summary> /// <param name="field">Field.</param> /// <returns>Check result.</returns> public static bool IsLastTradeField(this Level1Fields field) => field == Level1Fields.LastTradeId || field == Level1Fields.LastTradeTime || field == Level1Fields.LastTradeOrigin || field == Level1Fields.LastTradePrice || field == Level1Fields.LastTradeUpDown || field == Level1Fields.LastTradeVolume;
private static SecurityChangedRule CreateSecurityCondition(Security security, IMarketDataProvider provider, Level1Fields field, Unit offset, bool isLess)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
if (offset == null)
{
throw new ArgumentNullException(nameof(offset));
}
if (offset.Value == 0)
{
throw new ArgumentException(LocalizedStrings.Str1051, nameof(offset));
}
if (offset.Value < 0)
{
throw new ArgumentException(LocalizedStrings.Str1052, nameof(offset));
}
var price = (decimal?)provider.GetSecurityValue(security, field);
if (price == null && offset.Type != UnitTypes.Limit)
{
throw new InvalidOperationException(LocalizedStrings.Str1053);
}
if (isLess)
{
var finishPrice = (decimal)(offset.Type == UnitTypes.Limit ? offset : price - offset);
return(new SecurityChangedRule(security, provider, s =>
{
var quote = (decimal?)provider.GetSecurityValue(s, field);
return quote != null && quote < finishPrice;
}));
}
else
{
var finishPrice = (decimal)(offset.Type == UnitTypes.Limit ? offset : price + offset);
return(new SecurityChangedRule(security, provider, s =>
{
var quote = (decimal?)provider.GetSecurityValue(s, field);
return quote != null && quote > finishPrice;
}));
}
}
/// <summary> /// Is the specified <see cref="Level1Fields"/> is related to best ask. /// </summary> /// <param name="field">Field.</param> /// <returns>Check result.</returns> public static bool IsBestAskField(this Level1Fields field) => field == Level1Fields.BestAskPrice || field == Level1Fields.BestAskTime || field == Level1Fields.BestAskVolume;
private void ProcessBestQuote(string symbol, string exchange, double price, int size, int numOfOrders, UpdateType updateType, int ssboe, int usecs, Level1Fields priceField, Level1Fields volumeField)
{
var secId = new SecurityId
{
SecurityCode = symbol,
BoardCode = exchange
};
var time = RithmicUtils.ToTime(ssboe, usecs);
SendOutMessage(new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = time,
}
.TryAdd(priceField, price.ToDecimal())
.TryAdd(volumeField, (decimal)size));
switch (updateType)
{
// [gene.sato] For best bid/ask the update type does not apply.
// The update type is for market depth/level 2 updates.
case UpdateType.Undefined:
// break;
case UpdateType.Solo:
{
//SendOutMessage(new Level1ChangeMessage
//{
// SecurityId = secId,
// ServerTime = time,
//}
//.TryAdd(priceField, price.ToDecimal())
//.TryAdd(volumeField, (decimal)size));
break;
}
case UpdateType.Begin:
case UpdateType.Middle:
case UpdateType.Aggregated:
{
var pair = _quotes
.SafeAdd(secId)
.SafeAdd(time, key => new RefPair<BidInfo, AskInfo>());
pair.Second = new AskInfo
{
Price = price,
NumOrders = numOfOrders,
Size = size,
};
break;
}
case UpdateType.End:
FlushQuotes(secId);
break;
case UpdateType.Clear:
break;
default:
throw new ArgumentOutOfRangeException();
}
}