private ImmutableArray <OrderbookPosition> Aggregate(AggregateOrderbookSettings settings,
ImmutableArray <OrderbookPosition> positions)
{
if (settings.AsIsLevelsCount >= positions.Length)
{
return(positions);
}
var r = _system.GetRandom();
var aggregatedLevels = new Stack <decimal>(settings.CumulativeVolumeLevels.Reverse()
.Select(n => n * (1 + ((decimal)r.NextDouble() - 0.5m) * settings.RandomFraction)));
var result = ImmutableArray.CreateBuilder <OrderbookPosition>(settings.AsIsLevelsCount
+ aggregatedLevels.Count);
result.AddRange(positions.Take(settings.AsIsLevelsCount));
var prevLevelCumulativeVolume = result.Sum(p => p.Volume);
if (!TryGetNewLimit(aggregatedLevels, prevLevelCumulativeVolume, out var currentLimit))
{
return(result.ToImmutable());
}
var currentVolume = 0m;
var cumulativeVolume = prevLevelCumulativeVolume;
foreach (var position in positions.Skip(settings.AsIsLevelsCount))
{
cumulativeVolume += position.Volume;
currentVolume += position.Volume;
if (cumulativeVolume >= currentLimit)
{
result.Add(new OrderbookPosition(position.Price, currentVolume));
prevLevelCumulativeVolume = cumulativeVolume;
currentVolume = 0;
if (!TryGetNewLimit(aggregatedLevels, prevLevelCumulativeVolume, out currentLimit))
{
break;
}
}
}
return(result.ToImmutable());
}
private void Validate(AggregateOrderbookSettings aggregateOrderbookSettings)
{
aggregateOrderbookSettings.RequiredNotNull("aggregateOrderbookSettings for pair " + _assetPairId);
aggregateOrderbookSettings.AsIsLevelsCount.RequiredNotLessThan(0,
"aggregateOrderbookSettings.AsIsLevelsCount for pair " + _assetPairId);
var assetPairId = _assetPairId;
aggregateOrderbookSettings.CumulativeVolumeLevels.RequiredAll(v =>
v.RequiredGreaterThan(0,
"aggregateOrderbookSettings.CumulativeVolumeLevels for pair " + assetPairId));
aggregateOrderbookSettings.RandomFraction.RequiredBetween(0, 0.5m,
"aggregateOrderbookSettings.RandomFraction for pair " + _assetPairId);
if (aggregateOrderbookSettings.AsIsLevelsCount == 0 &&
aggregateOrderbookSettings.CumulativeVolumeLevels.IsEmpty)
{
throw new ArgumentException("Either AsIsLevelsCount or CumulativeVolumeLevels should be filled",
"aggregateOrderbookSettings for pair " + _assetPairId);
}
}