/// <summary>
/// Gets the level1 quote from the current input lines.
/// </summary>
/// <param name="ticker">The ticker.</param>
/// <param name="data">The data.</param>
/// <returns></returns>
private DataPoint GetLevel1Quote(string ticker, List <InputLine> data, DateTime date)
{
//Creaate new orderbook
OrderBook orderbook = new OrderBook(ticker);
//Get lines
foreach (var line in data)
{
//Get data
var input = line.Line.Split(',');
bool isBid = input[1] == "b";
double price = double.Parse(input[2], NumberStyles.Any, new CultureInfo("en-US"));
double size = double.Parse(input[3], NumberStyles.Any, new CultureInfo("en-US"));
//Add to book
orderbook.AddQuote(isBid, price, size);
}
//Return current quote
return(new Tick(DataFeed.GetQuantlerTicker(ticker), DataFeed.DataSource)
{
AskSize = Convert.ToDecimal(orderbook.AskSize),
AskPrice = Convert.ToDecimal(orderbook.BestAsk),
BidPrice = Convert.ToDecimal(orderbook.BestBid),
BidSize = Convert.ToDecimal(orderbook.BidSize),
Depth = 0,
Occured = date,
TimeZone = TimeZone.Utc
});
}
