public Simulator(ILimitOrderBook limitOrderBook, IDataFeed dataCommunicationsModule, ITradeInterface orderCommunicationsModule)
{
_limitOrderBook = limitOrderBook;
_dataCommunicationsModule = dataCommunicationsModule;
_orderCommunicationsModule = orderCommunicationsModule;
_orderCommunicationsModule.OnOrder += _orderCommunicationsModule_OnOrder;
_orderCommunicationsModule.OnOrderCancellation += _orderCommunicationsModule_OnOrderCancellation;
}
public bool PushUpdate(ILimitOrderBook limitOrderBook)
{
var orderBookSnapshot = new LimitOrderBookSnapshot();
orderBookSnapshot.BestAskPrice = limitOrderBook.BestAsk != null ? (double?)limitOrderBook.BestAsk.Price : null;
orderBookSnapshot.BestAskQuantity = limitOrderBook.BestAsk != null ? (double?)limitOrderBook.BestAsk.Quantity : null;
orderBookSnapshot.BestBidPrice = limitOrderBook.BestBid != null ? (double?)limitOrderBook.BestBid.Price : null;
orderBookSnapshot.BestBidQuantity = limitOrderBook.BestBid != null ? (double?)limitOrderBook.BestBid.Quantity : null;
var dataConnections = ConnectionIDs.Where(c => DataListeners.Contains(c.Key)).Select(c => c.Value);
foreach (var connID in dataConnections)
{
_clientsInstance.Value.Client(connID).Update(orderBookSnapshot);
}
return true;
}
