internal void OnLevel2Snapshot(Level2Snapshot snapshot)
{
OrderBook orderBook = this.book[snapshot.instrumentId];
if (orderBook == null)
{
orderBook = new OrderBook();
this.book[snapshot.instrumentId] = orderBook;
}
orderBook.Set(snapshot);
}
internal void OnLevel2Update(Level2Update update)
{
OrderBook orderBook = this.book[update.instrumentId];
if (orderBook == null)
{
orderBook = new OrderBook();
this.book[update.instrumentId] = orderBook;
}
orderBook.Set(update);
}
private void Process(Order order, OrderBook curOrderBook)
{
if (!order.isQueueCalculated)
{
this.SetQueueSizeByOrderBook(order);
}
if (order.type == OrderType.Limit)
{
if (curOrderBook.bids.Count == 0 || curOrderBook.asks.Count == 0)
{
return;
}
if (order.isOutPrice)
{
double queueSize = order.queueSize;
this.SetQueueSizeByOrderBook(order);
if (order.isOutPrice)
{
order.queueSize = queueSize;
}
}
if (order.side == OrderSide.Buy)
{
if (curOrderBook.bids[0].price < order.price)
{
order.queueSize = 0.0;
this.Fill(order, curOrderBook.bids[0].price, (int)order.leavesQty);
return;
}
Tick tick = null;
for (int i = 0; i < curOrderBook.bids.Count; i++)
{
tick = curOrderBook.bids[i];
if (tick.Price == order.price)
{
break;
}
}
if (tick != null && order.queueSize > (double)tick.size + order.qty)
{
order.queueSize = (double)tick.size + order.qty;
return;
}
}
else
{
if (order.side == OrderSide.Sell)
{
if (curOrderBook.asks[0].price > order.price)
{
order.queueSize = 0.0;
this.Fill(order, curOrderBook.asks[0].price, (int)order.leavesQty);
return;
}
Tick tick2 = null;
for (int j = 0; j < curOrderBook.asks.Count; j++)
{
tick2 = curOrderBook.asks[j];
if (tick2.price == order.price)
{
break;
}
}
if (tick2 != null && order.queueSize > (double)tick2.size + order.qty)
{
order.queueSize = (double)tick2.size + order.qty;
return;
}
}
}
}
else
{
if (order.side == OrderSide.Buy && curOrderBook.asks.Count > 0)
{
Tick tick3 = null;
for (int k = 0; k < curOrderBook.asks.Count; k++)
{
tick3 = curOrderBook.asks[k];
if ((double)tick3.size >= order.leavesQty)
{
this.Fill(order, tick3.price, (int)order.leavesQty);
break;
}
this.Fill(order, tick3.price, tick3.size);
}
if (tick3 != null && order.leavesQty > 0.0)
{
double num = tick3.price + order.instrument.tickSize;
double num2 = Math.Ceiling(order.leavesQty / (double)tick3.size);
if (num2 >= 1.0)
{
int num3 = 0;
while ((double)num3 < num2)
{
if (order.leavesQty >= (double)tick3.size)
{
this.Fill(order, num + (double)num3 * order.instrument.tickSize, tick3.size);
}
else
{
if (order.leavesQty < (double)tick3.size)
{
this.Fill(order, num + (double)num3 * order.instrument.tickSize, (int)order.leavesQty);
return;
}
}
num3++;
}
return;
}
this.Fill(order, num, (int)order.leavesQty);
return;
}
}
else
{
if (order.side == OrderSide.Sell && curOrderBook.bids.Count > 0)
{
Tick tick4 = null;
for (int l = 0; l < curOrderBook.bids.Count; l++)
{
tick4 = curOrderBook.bids[l];
if ((double)tick4.Size >= order.leavesQty)
{
this.Fill(order, tick4.price, (int)order.leavesQty);
break;
}
this.Fill(order, tick4.price, tick4.size);
}
if (tick4 != null && order.leavesQty > 0.0)
{
double num4 = tick4.price - order.instrument.tickSize;
double num5 = Math.Ceiling(order.leavesQty / (double)tick4.size);
if (num5 >= 1.0)
{
int num6 = 0;
while ((double)num6 < num5)
{
if (order.leavesQty >= (double)tick4.size)
{
this.Fill(order, num4 - (double)num6 * order.instrument.tickSize, tick4.size);
}
else
{
if (order.leavesQty < (double)tick4.size)
{
this.Fill(order, num4 - (double)num6 * order.instrument.tickSize, (int)order.leavesQty);
return;
}
}
num6++;
}
return;
}
this.Fill(order, num4, (int)order.leavesQty);
}
}
}
}
}
