/// <summary>
/// Returns "Bid OrderBook : Ask OrderBook" where each element contains a tuple of Value:
/// Item1 = Volume, Item2 = Price
/// </summary>
/// <param name="currencyPair"></param>
/// <param name="count"></param>
/// <returns></returns>
public object GetOrderBook(string currencyPair, int count)
{
OrderRepresentationList originalBidBook = this.GetBidBook(currencyPair);
OrderRepresentationList originalAskBook = this.GetAskBook(currencyPair);
if (count > 0)
{
OrderRepresentationList bidBook = new OrderRepresentationList(currencyPair, OrderSide.Buy);
OrderRepresentationList askBook = new OrderRepresentationList(currencyPair, OrderSide.Sell);
for (int i = 0; i < count; i++)
{
if (i < originalBidBook.Count())
{
bidBook.AddRecord(originalBidBook.ToList()[i].Volume, originalBidBook.ToList()[i].Price, originalBidBook.ToList()[i].DateTime);
}
if (i < originalAskBook.Count())
{
askBook.AddRecord(originalAskBook.ToList()[i].Volume, originalAskBook.ToList()[i].Price, originalAskBook.ToList()[i].DateTime);
}
}
return(new OrderBookRepresentation(bidBook, askBook));
}
else
{
return(new OrderBookRepresentation(originalBidBook, originalAskBook));
}
}
/// <summary>
/// Get spread of bid and ask
/// </summary>
/// <param name="currencyPair"></param>
/// <returns></returns>
public object GetSpread(string currencyPair)
{
List <OrderRecord> bidsRecord;
List <OrderRecord> asksRecord;
OrderRepresentationList originalBidBook = this.GetBidBook(currencyPair);
OrderRepresentationList originalAskBook = this.GetAskBook(currencyPair);
asksRecord = originalAskBook.OrderBy(x => x.DateTime).ToList();
bidsRecord = originalBidBook.OrderBy(x => x.DateTime).ToList();
List <Spread> spread;
OrderRecord lastBid = new OrderRecord(0, 0, DateTime.Now);
OrderRecord lastAsk = new OrderRecord(0, 0, DateTime.Now);
if (asksRecord.Count > 0 && bidsRecord.Count > 0)
{
spread = new List <Spread>();
//if (asksRecord[0].DateTime >= bidsRecord[0].DateTime)
//{
// spread.Add(new Spread(asksRecord[0].Price,bidsRecord[0].Price,asksRecord[0].DateTime));
//}
//if (asksRecord[0].DateTime < bidsRecord[0].DateTime)
//{
// spread.Add(new Spread(asksRecord[0].Price, bidsRecord[0].Price, bidsRecord[0].DateTime));
//}
////save first record
//lastAsk = asksRecord[0];
//lastBid = bidsRecord[0];
////delete first record from the list
//bidsRecord.RemoveAt(0);
//asksRecord.RemoveAt(0);
//merge both list
var merge = bidsRecord.Concat(asksRecord);
//sort the list on date time
var sorted = merge.OrderBy(x => x.DateTime).ToList();
if (sorted.Count > 0)
{
foreach (var orderRecord in sorted)
{
OrderRecord bid = GetLastRecord(orderRecord.DateTime, bidsRecord);
OrderRecord ask = GetLastRecord(orderRecord.DateTime, asksRecord);
if (bid != null)
{
lastBid = bid;
}
if (ask != null)
{
lastAsk = ask;
}
if (lastAsk.Price != 0 && lastBid.Price != 0)
{
spread.Add(new Spread(lastAsk.Price, lastBid.Price, orderRecord.DateTime));
}
}
}
return(spread);
}
return(null);
}
/// <summary>
/// Returns the Order Book
/// </summary>
/// <returns></returns>
public object GetOrderBook(string symbol, int count)
{
OrderRepresentationList bidList = new OrderRepresentationList(symbol, OrderSide.Buy);
bidList.UpdateAtIndex(0, 1000, 491.34M, DateTime.Now);
bidList.UpdateAtIndex(1, 900, 491.11M, DateTime.Now);
bidList.UpdateAtIndex(1, 2300, 489.11M, DateTime.Now);
OrderRepresentationList askList = new OrderRepresentationList(symbol, OrderSide.Sell);
askList.UpdateAtIndex(1, 900, 499.11M, DateTime.Now);
askList.UpdateAtIndex(1, 300, 493.11M, DateTime.Now);
askList.UpdateAtIndex(1, 2200, 492.11M, DateTime.Now);
return(new Tuple <OrderRepresentationList, OrderRepresentationList>(bidList, askList));
// ToDo: Remove the below commented out code when this request works perfectly on UI
/*List<object> list = new List<object>();
* list.Add(symbol);
* list.Add("asks");
* list.Add(new object[] { "23", "1000", "204832014" });
* list.Add(new object[] { "32", "1000", "204832014" });
* list.Add(new object[] { "34", "1000", "204832014" });
*
* list.Add("bids");
* list.Add(new object[] { "34", "1000", "204832014" });
* list.Add(new object[] { "23", "1000", "204832014" });
* list.Add(new object[] { "33", "1000", "204832014" });
*
* return list;*/
}
