WeightedIndexSecurityProcessor
StockSharp.Algo
Index securities processor for WeightedIndexSecurity.
Inherits: IndexSecurityBaseProcessor<WeightedIndexSecurity>
Constructors
WeightedIndexSecurityProcessor
public WeightedIndexSecurityProcessor(Security security)weightedIndexSecurityProcessor = WeightedIndexSecurityProcessor(security)Index securities processor for WeightedIndexSecurity.
- security
- Security.
Methods
GetCandleHigh
protected override decimal GetCandleHigh(CandleMessage candle, int legIndex)result = weightedIndexSecurityProcessor.GetCandleHigh(candle, legIndex)Get a leg price used to build the basket candle high.
GetCandleLow
protected override decimal GetCandleLow(CandleMessage candle, int legIndex)result = weightedIndexSecurityProcessor.GetCandleLow(candle, legIndex)Get a leg price used to build the basket candle low.
GetQuotes
protected override QuoteChange[] GetQuotes(QuoteChangeMessage message, int legIndex, bool isBid)result = weightedIndexSecurityProcessor.GetQuotes(message, legIndex, isBid)Get a leg side used to build one side of the basket book.
- message
- Leg order book.
- legIndex
- Leg index.
- isBid
- Whether the basket bid is being built.
Returns: Quotes used for the basket side.
OnCalculate
protected override decimal OnCalculate(decimal[] values)result = weightedIndexSecurityProcessor.OnCalculate(values)To calculate the basket value.
- values
- Values of basket composite instruments InnerSecurityIds.
Returns: The basket value.