private MarketDepth CreateNew(Depth quotes)
{
var newDepth = new MarketDepth();
newDepth.Time = DateTime.UtcNow;
newDepth.SecurityNameCode = quotes.Symbol;
var needDepth = _allDepths.Find(d => d.SecurityNameCode == newDepth.SecurityNameCode);
if (needDepth != null)
{
_allDepths.Remove(needDepth);
}
var bids = quotes.Data.Bids;
var asks = quotes.Data.Asks;
foreach (var bid in bids)
{
newDepth.Bids.Add(new MarketDepthLevel()
{
Price = bid[0].ToDecimal(),
Bid = bid[1].ToDecimal(),
});
}
foreach (var ask in asks)
{
newDepth.Asks.Add(new MarketDepthLevel()
{
Price = ask[0].ToDecimal(),
Ask = ask[1].ToDecimal(),
});
}
_allDepths.Add(newDepth);
return(newDepth.GetCopy());
}
/// <summary>
/// updated market depth
/// обновился стакан котировок
/// </summary>
/// <param name="bitMaxDepth"></param>
private void ClientUpdateMarketDepth(Depth bitMaxDepth)
{
try
{
lock (_depthLocker)
{
if (_depths == null)
{
_depths = new List <MarketDepth>();
}
if (bitMaxDepth.asks == null ||
bitMaxDepth.bids == null)
{
return;
}
var needDepth = _depths.Find(depth =>
depth.SecurityNameCode == bitMaxDepth.s.Replace('/', '-'));
if (needDepth == null)
{
needDepth = new MarketDepth();
needDepth.SecurityNameCode = bitMaxDepth.s.Replace('/', '-');
_depths.Add(needDepth);
}
for (int i = 0; i < bitMaxDepth.asks.Count; i++)
{
var needPrice =
bitMaxDepth.asks[i][0].ToDecimal();
var needLevel = needDepth.Asks.Find(l => l.Price == needPrice);
var qty =
bitMaxDepth.asks[i][1].ToDecimal();
if (needLevel != null)
{
if (qty == 0)
{
needDepth.Asks.Remove(needLevel);
needLevel = needDepth.Bids.Find(l => l.Price == needPrice);
if (needLevel != null)
{
needDepth.Bids.Remove(needLevel);
}
}
else
{
needLevel.Ask = qty;
}
}
else
{
if (qty == 0)
{
continue;
}
needDepth.Asks.Add(new MarketDepthLevel()
{
Ask = qty,
Price = needPrice,
});
_needSortAsks = true;
}
}
for (int i = 0; i < bitMaxDepth.bids.Count; i++)
{
var needPrice =
bitMaxDepth.bids[i][0].ToDecimal();
var needLevel = needDepth.Bids.Find(l => l.Price == needPrice);
var qty =
bitMaxDepth.bids[i][1].ToDecimal();
if (needLevel != null)
{
if (qty == 0)
{
needDepth.Bids.Remove(needLevel);
needLevel = needDepth.Asks.Find(l => l.Price == needPrice);
if (needLevel != null)
{
needDepth.Asks.Remove(needLevel);
}
}
else
{
needLevel.Bid = qty;
}
}
else
{
if (qty == 0)
{
continue;
}
needDepth.Bids.Add(new MarketDepthLevel()
{
Bid = qty,
Price = needPrice,
});
_needSortBids = true;
}
}
if (_needSortAsks)
{
needDepth.Asks.Sort((a, b) =>
{
if (a.Price > b.Price)
{
return(1);
}
else if (a.Price < b.Price)
{
return(-1);
}
else
{
return(0);
}
});
_needSortAsks = false;
}
if (_needSortBids)
{
needDepth.Bids.Sort((a, b) =>
{
if (a.Price > b.Price)
{
return(-1);
}
else if (a.Price < b.Price)
{
return(1);
}
else
{
return(0);
}
});
_needSortBids = false;
}
if (needDepth.Asks.Count > 20)
{
needDepth.Asks.RemoveRange(20, needDepth.Asks.Count - 20);
}
if (needDepth.Bids.Count > 20)
{
needDepth.Bids.RemoveRange(20, needDepth.Bids.Count - 20);
}
needDepth.Time = ServerTime;
if (needDepth.Time == DateTime.MinValue)
{
return;
}
if (MarketDepthEvent != null)
{
MarketDepthEvent(needDepth.GetCopy());
}
}
}
catch (Exception error)
{
SendLogMessage(error.ToString(), LogMessageType.Error);
}
}
