public static OrderBookItem ConvertBookItem(RowItem row)
{
return(new OrderBookItem
{
Id = row.Id.ToString(CultureInfo.InvariantCulture),
IsBuy = row.Side == Side.Buy,
Price = row.Price ?? 0,
Symbol = row.Symbol,
Size = row.Size
});
}
public TickPrice QuoteToModel(RowItem row)
{
if (row.AskPrice.HasValue && row.BidPrice.HasValue)
{
var lykkeInstrument = this.ExchangeSymbolToLykkeInstrument(row.Symbol);
return(new TickPrice(lykkeInstrument, row.Timestamp, row.AskPrice.Value, row.BidPrice.Value));
}
else
{
throw new ArgumentException($"Ask/bid price is not specified for a quote. Message: '{JsonConvert.SerializeObject(row)}'", nameof(row));
}
}
public ExecutionReport OrderToTrade(RowItem row)
{
var lykkeInstrument = ExchangeSymbolToLykkeInstrument(row.Symbol);
return(new ExecutionReport(
lykkeInstrument,
row.Timestamp,
row.Price ?? row.AvgPx ?? 0,
row.OrderQty ?? row.CumQty ?? 0,
row.Side.HasValue ? ConvertSideToModel(row.Side.Value) : TradeType.Unknown,
row.OrderID,
ConvertExecutionStatusToModel(row.OrdStatus))
{
ClientOrderId = row.ClOrdID,
Message = row.Text,
Success = true,
OrderType = ConvertOrderType(row.OrdType),
ExecType = ConvertExecType(row.ExecType)
});
}
