public MatchingEngine(ITradeListener tradeListener, ITimeProvider timeProvider, IFeeProvider feeProvider, Quantity stepSize, int quoteCurrencyDecimalPlaces = 0)
{
if (quoteCurrencyDecimalPlaces < 0)
{
throw new NotSupportedException($"Invalid value of {nameof(quoteCurrencyDecimalPlaces)}");
}
if (stepSize < 0)
{
throw new NotSupportedException($"Invalid value of {nameof(stepSize)}");
}
_book = new Book();
_currentOrders = new Dictionary <OrderId, Order>();
_currentIcebergOrders = new Dictionary <OrderId, Iceberg>();
_orderAmount = new Dictionary <OrderId, Quantity>();
_goodTillDateOrders = new SortedDictionary <int, HashSet <OrderId> >();
_acceptedOrders = new HashSet <OrderId>();
_tradeListener = tradeListener;
_timeProvider = timeProvider;
_feeProvider = feeProvider;
_quoteCurrencyDecimalPlaces = quoteCurrencyDecimalPlaces;
_power = (decimal)Math.Pow(10, _quoteCurrencyDecimalPlaces);
_stepSize = stepSize;
}
public void Update(ITradeListener tradeListener,
IOrderListener orderListener, IDepthListener depthListener, IBBOListener bboListener)
{
this.TradeListener = tradeListener;
this.OrderListener = orderListener;
this.DepthListener = depthListener;
this.BBOListener = bboListener;
}
/// <summary>
/// Default Constructor
/// </summary>
/// <param name="limitOrderBook"></param>
/// <param name="depthOrderBook"></param>
/// <param name="tradeListener"></param>
/// <param name="orderListener"></param>
/// <param name="depthListener"></param>
/// <param name="bboListener"></param>
public ExchangeEssentials(LimitOrderBook limitOrderBook, DepthOrderBook depthOrderBook, ITradeListener tradeListener,
IOrderListener orderListener, IDepthListener depthListener, IBBOListener bboListener)
{
this.LimitOrderBook = limitOrderBook;
this.DepthOrderBook = depthOrderBook;
this.TradeListener = tradeListener;
this.OrderListener = orderListener;
this.DepthListener = depthListener;
this.BBOListener = bboListener;
}