public OrderBook UpdateOrder(Order mmsOrder)
{
if (mmsOrder.MarketSide == MarketSide.Ask)
{
if (Asks.All(askOrder => askOrder.MMSId != mmsOrder.MMSId))
{
throw new ApplicationException("Ask Order changed received, but no existing order found: {0}".FormatAs(mmsOrder));
}
// remove
var newAsks = Asks.Where(o => o.MMSId != mmsOrder.MMSId).ToList();
// add
newAsks.Add(mmsOrder);
return(new OrderBook(Bids, newAsks, Exchange, Pair, Time));
}
else
{
if (Bids.All(bidOrder => bidOrder.MMSId != mmsOrder.MMSId))
{
throw new ApplicationException("Bid Order changed received, but no existing order found: {0}".FormatAs(mmsOrder));
}
// remove
var newBids = Bids.Where(o => o.MMSId != mmsOrder.MMSId).ToList();
// add
newBids.Add(mmsOrder);
return(new OrderBook(newBids, Asks, Exchange, Pair, Time));
}
}
