protected virtual DataObject OnData(DataObject obj)
{
if (obj.TypeId == DataObjectType.Bar)
{
var bar = (Bar)obj;
if (EmitBarOpen)
Emit(new Bar(bar.OpenDateTime, bar.OpenDateTime, bar.InstrumentId, bar.Type, bar.Size, bar.Open, 0, 0, 0, 0, 0));
if (EmitBarOpenTrade)
Emit(new Trade(bar.DateTime, 0, bar.InstrumentId, bar.Open, (int)(bar.Volume / 4)));
if (EmitBarHighTrade && EmitBarLowTrade)
{
if (bar.Close > bar.Open)
{
Emit(new Trade(new DateTime(bar.DateTime.Ticks + (bar.CloseDateTime.Ticks - bar.DateTime.Ticks) / 3), 0, bar.InstrumentId, bar.Low, (int)(bar.Volume / 4)));
Emit(new Trade(new DateTime(bar.DateTime.Ticks + (bar.CloseDateTime.Ticks - bar.DateTime.Ticks) * 2 / 3), 0, bar.InstrumentId, bar.High, (int)(bar.Volume / 4)));
}
else
{
Emit(new Trade(new DateTime(bar.DateTime.Ticks + (bar.CloseDateTime.Ticks - bar.DateTime.Ticks) / 3), 0, bar.InstrumentId, bar.High, (int)(bar.Volume / 4L)));
Emit(new Trade(new DateTime(bar.DateTime.Ticks + (bar.CloseDateTime.Ticks - bar.DateTime.Ticks) * 2 / 3), 0, bar.InstrumentId, bar.Low, (int)(bar.Volume / 4)));
}
}
else
{
if (EmitBarHighTrade)
Emit(new Trade(new DateTime(bar.DateTime.Ticks + (bar.CloseDateTime.Ticks - bar.DateTime.Ticks) / 2), 0, bar.InstrumentId, bar.High, (int)(bar.Volume / 4)));
if (EmitBarLowTrade)
Emit(new Trade(new DateTime(bar.DateTime.Ticks + (bar.CloseDateTime.Ticks - bar.DateTime.Ticks) / 2), 0, bar.InstrumentId, bar.Low, (int)(bar.Volume / 4)));
}
if (EmitBarCloseTrade)
Emit(new Trade(bar.CloseDateTime, 0, bar.InstrumentId, bar.Close, (int)(bar.Volume / 4)));
if (!EmitBar)
return null;
}
return obj;
}
