public Trade(Tick tick) : base(tick)
{
}
// TODO: rewrite it using goto statement!!!
internal void OnData(DataObject obj)
{
/*
var tick = (Tick)obj;
var items = ItemLists[tick.InstrumentId];
if (items == null)
return;
int i = 0;
while (i < items.Count)
{
var item = items[i];
switch (item.barInput)
{
case BarInput.Trade:
if (tick.TypeId == DataObjectType.Trade)
{
item.Process(tick);
i++;
continue;
}
break;
case BarInput.Bid:
if (tick.TypeId == DataObjectType.Bid)
{
item.Process(tick);
i++;
continue;
}
break;
case BarInput.Ask:
if (tick.TypeId == DataObjectType.Ask)
{
item.Process(tick);
i++;
continue;
}
break;
case BarInput.Middle:
switch (tick.TypeId)
{
case DataObjectType.Bid:
{
var ask = this.framework.DataManager.GetAsk(tick.InstrumentId);
if (ask == null)
{
i++;
continue;
}
tick = new Tick(obj.DateTime, tick.ProviderId, tick.InstrumentId, (ask.Price + tick.Price) / 2.0, (ask.Size + tick.Size) / 2);
break;
}
case DataObjectType.Ask:
{
Bid bid = this.framework.DataManager.GetBid(tick.InstrumentId);
if (bid == null)
{
i++;
continue;
}
tick = new Tick(obj.dateTime, tick.ProviderId, tick.InstrumentId, (bid.Price + tick.Price) / 2.0, (bid.Size + tick.Size) / 2);
break;
}
case DataObjectType.Trade:
i++;
continue;
}
if (obj.TypeId != DataObjectType.Ask)
{
item.Process(tick);
i++;
continue;
}
break;
case BarInput.Tick:
{
item.Process(tick);
i++;
continue;
}
case BarInput.BidAsk:
if (tick.TypeId != DataObjectType.Trade)
{
item.Process(tick);
i++;
continue;
}
break;
default:
Console.WriteLine($"BarFactory::OnData BarInput is not supported : {item.barInput}");
break;
}
i++;
}
*/
var tick = (Tick) obj;
var items = ItemLists[tick.InstrumentId];
if (items != null)
{
int i = 0;
while (i < items.Count)
{
var item = items[i];
switch (item.barInput)
{
case BarInput.Trade:
if (tick.TypeId == DataObjectType.Trade)
{
goto IL_19C;
}
break;
case BarInput.Bid:
if (tick.TypeId == DataObjectType.Bid)
{
goto IL_19C;
}
break;
case BarInput.Ask:
if (tick.TypeId == DataObjectType.Ask)
{
goto IL_19C;
}
break;
case BarInput.Middle:
switch (tick.TypeId)
{
case DataObjectType.Bid:
{
var ask = this.framework.DataManager.GetAsk(tick.InstrumentId);
if (ask == null)
{
goto IL_1A3;
}
tick = new Tick(obj.dateTime, tick.ProviderId, tick.InstrumentId,
(ask.Price + tick.Price)/2.0, (ask.Size + tick.Size)/2);
break;
}
case DataObjectType.Ask:
{
var bid = this.framework.DataManager.GetBid(tick.InstrumentId);
if (bid == null)
{
goto IL_1A3;
}
tick = new Tick(obj.dateTime, tick.ProviderId, tick.InstrumentId,
(bid.Price + tick.Price)/2.0, (bid.Size + tick.Size)/2);
break;
}
case DataObjectType.Trade:
goto IL_1A3;
}
if (obj.TypeId != DataObjectType.Ask)
{
goto IL_19C;
}
break;
case BarInput.Tick:
goto IL_19C;
case BarInput.BidAsk:
if (tick.TypeId != DataObjectType.Trade)
{
goto IL_19C;
}
break;
default:
Console.WriteLine($"BarFactory::OnData BarInput is not supported : {item.barInput}");
break;
}
IL_1A3:
i++;
continue;
IL_19C:
item.Process(tick);
goto IL_1A3;
}
}
}
public void Save(Tick tick, SaveMode option = SaveMode.Add) => Save(tick.InstrumentId, tick, option);
public Bid(Tick tick) : base(tick)
{
}
public void Save(Tick tick, SaveMode option = SaveMode.Add) => Save(tick.InstrumentId, tick, option);
protected internal void EmitTickWithProviderId(Tick tick, byte providerId)
{
// create a new instance?
tick.ProviderId = providerId;
this.framework.EventManager.OnEvent(tick);
}
public Ask(Tick tick) : base(tick)
{
}
public Tick(Tick tick)
: this(tick.DateTime, tick.ExchangeDateTime, tick.ProviderId, tick.InstrumentId, tick.Price, tick.Size)
{
}
private void SyncExchangeClockWithTick(Tick tick, string funcName)
{
if (tick.ExchangeDateTime > this.framework.ExchangeClock.DateTime)
{
this.framework.ExchangeClock.DateTime = tick.ExchangeDateTime;
}
else if (tick.ExchangeDateTime > this.framework.ExchangeClock.DateTime)
{
Console.WriteLine($"{nameof(EventManager)}::{funcName} Exchange datetime is out of synch : {tick.GetType().Name.ToLower()} datetime = {tick.ExchangeDateTime} clock datetime = {this.framework.ExchangeClock.DateTime}");
}
}
public Tick(Tick tick)
: this(tick.DateTime, tick.ExchangeDateTime, tick.ProviderId, tick.InstrumentId, tick.Price, tick.Size)
{
}
private void method_3()
{
SortedList<double, Tick> sortedList = new SortedList<double, Tick>(new PriceComparer(PriceSortOrder.Descending));
SortedList<double, Tick> sortedList2 = new SortedList<double, Tick>(new PriceComparer(PriceSortOrder.Ascending));
this.dateTime_0 = default(DateTime);
foreach (Tuple<DateTime, List<Tick>, List<Tick>> current in this.GonEpGhAb.Values)
{
if (current.Item1 > this.dateTime_0)
{
this.dateTime_0 = current.Item1;
}
}
List<Tuple<DateTime, List<Tick>, List<Tick>>> list = new List<Tuple<DateTime, List<Tick>, List<Tick>>>();
foreach (Tuple<DateTime, List<Tick>, List<Tick>> current2 in this.GonEpGhAb.Values)
{
if (current2.Item1 + this.Timeout >= this.dateTime_0)
{
list.Add(current2);
}
}
foreach (Tuple<DateTime, List<Tick>, List<Tick>> current3 in list)
{
foreach (Tick current4 in current3.Item2)
{
if (!sortedList.ContainsKey(current4.Price))
{
Tick tick = new Tick(current4);
if (Mode == AggregationMode.TotalValue)
{
tick.ProviderId = 0;
}
sortedList.Add(current4.Price, tick);
}
else if (Mode == AggregationMode.TotalValue)
{
sortedList[current4.Price].Size += current4.Size;
}
else if (Mode == AggregationMode.MaxValue && current4.Size > sortedList[current4.Price].Size)
{
sortedList[current4.Price] = new Tick(current4);
}
}
foreach (Tick current5 in current3.Item3)
{
if (!sortedList2.ContainsKey(current5.Price))
{
Tick tick2 = new Tick(current5);
if (this.Mode == AggregationMode.TotalValue)
{
tick2.ProviderId = 0;
}
sortedList2.Add(current5.Price, tick2);
}
else if (this.Mode == AggregationMode.TotalValue)
{
sortedList2[current5.Price].Size += current5.Size;
}
else if (this.Mode == AggregationMode.MaxValue && current5.Size > sortedList2[current5.Price].Size)
{
sortedList2[current5.Price] = new Tick(current5);
}
}
}
this.bids = new List<Tick>(sortedList.Values);
this.asks = new List<Tick>(sortedList2.Values);
this.bool_0 = true;
}
public Ask(Tick tick) : base(tick)
{
}
public Trade(Tick tick) : base(tick)
{
}
// TODO: rewrite it using goto statement!!!
internal void OnData(DataObject obj)
{
/*
* var tick = (Tick)obj;
* var items = ItemLists[tick.InstrumentId];
* if (items == null)
* return;
*
* int i = 0;
* while (i < items.Count)
* {
* var item = items[i];
* switch (item.barInput)
* {
* case BarInput.Trade:
* if (tick.TypeId == DataObjectType.Trade)
* {
* item.Process(tick);
* i++;
* continue;
* }
* break;
* case BarInput.Bid:
* if (tick.TypeId == DataObjectType.Bid)
* {
* item.Process(tick);
* i++;
* continue;
* }
* break;
* case BarInput.Ask:
* if (tick.TypeId == DataObjectType.Ask)
* {
* item.Process(tick);
* i++;
* continue;
* }
* break;
* case BarInput.Middle:
* switch (tick.TypeId)
* {
* case DataObjectType.Bid:
* {
* var ask = this.framework.DataManager.GetAsk(tick.InstrumentId);
* if (ask == null)
* {
* i++;
* continue;
* }
* tick = new Tick(obj.DateTime, tick.ProviderId, tick.InstrumentId, (ask.Price + tick.Price) / 2.0, (ask.Size + tick.Size) / 2);
* break;
* }
* case DataObjectType.Ask:
* {
* Bid bid = this.framework.DataManager.GetBid(tick.InstrumentId);
* if (bid == null)
* {
* i++;
* continue;
* }
* tick = new Tick(obj.dateTime, tick.ProviderId, tick.InstrumentId, (bid.Price + tick.Price) / 2.0, (bid.Size + tick.Size) / 2);
* break;
* }
* case DataObjectType.Trade:
* i++;
* continue;
* }
* if (obj.TypeId != DataObjectType.Ask)
* {
* item.Process(tick);
* i++;
* continue;
* }
* break;
* case BarInput.Tick:
* {
* item.Process(tick);
* i++;
* continue;
* }
* case BarInput.BidAsk:
* if (tick.TypeId != DataObjectType.Trade)
* {
* item.Process(tick);
* i++;
* continue;
* }
* break;
* default:
* Console.WriteLine($"BarFactory::OnData BarInput is not supported : {item.barInput}");
* break;
* }
* i++;
* }
*/
var tick = (Tick)obj;
var items = ItemLists[tick.InstrumentId];
if (items != null)
{
int i = 0;
while (i < items.Count)
{
var item = items[i];
switch (item.barInput)
{
case BarInput.Trade:
if (tick.TypeId == DataObjectType.Trade)
{
goto IL_19C;
}
break;
case BarInput.Bid:
if (tick.TypeId == DataObjectType.Bid)
{
goto IL_19C;
}
break;
case BarInput.Ask:
if (tick.TypeId == DataObjectType.Ask)
{
goto IL_19C;
}
break;
case BarInput.Middle:
switch (tick.TypeId)
{
case DataObjectType.Bid:
{
var ask = this.framework.DataManager.GetAsk(tick.InstrumentId);
if (ask == null)
{
goto IL_1A3;
}
tick = new Tick(obj.dateTime, tick.ProviderId, tick.InstrumentId,
(ask.Price + tick.Price) / 2.0, (ask.Size + tick.Size) / 2);
break;
}
case DataObjectType.Ask:
{
var bid = this.framework.DataManager.GetBid(tick.InstrumentId);
if (bid == null)
{
goto IL_1A3;
}
tick = new Tick(obj.dateTime, tick.ProviderId, tick.InstrumentId,
(bid.Price + tick.Price) / 2.0, (bid.Size + tick.Size) / 2);
break;
}
case DataObjectType.Trade:
goto IL_1A3;
}
if (obj.TypeId != DataObjectType.Ask)
{
goto IL_19C;
}
break;
case BarInput.Tick:
goto IL_19C;
case BarInput.BidAsk:
if (tick.TypeId != DataObjectType.Trade)
{
goto IL_19C;
}
break;
default:
Console.WriteLine($"BarFactory::OnData BarInput is not supported : {item.barInput}");
break;
}
IL_1A3:
i++;
continue;
IL_19C:
item.Process(tick);
goto IL_1A3;
}
}
}
public Bid(Tick tick) : base(tick)
{
}
