internal void Merge(OverridedQ overridedQuotation)
{
if (this.High.IsEmpty || decimal.Parse(overridedQuotation.Bid) >= decimal.Parse(this.High.OverridedQuotation.Bid))
{
if (!this.High.IsEmpty && this.Low.IsEmpty)
{
this.Low = new QuotationPair(this.High);
}
this.High = new QuotationPair(overridedQuotation);
if (!this.Last.IsEmpty && overridedQuotation.Timestamp >= this.Last.OverridedQuotation.Timestamp)
{
this.Last = QuotationPair.Empty;
}
}
else if (this.Low.IsEmpty || decimal.Parse(overridedQuotation.Bid) <= decimal.Parse(this.Low.OverridedQuotation.Bid))
{
this.Low = new QuotationPair(overridedQuotation);
if (!this.Last.IsEmpty && overridedQuotation.Timestamp >= this.Last.OverridedQuotation.Timestamp)
{
this.Last = QuotationPair.Empty;
}
}
else if (this.Last.IsEmpty || overridedQuotation.Timestamp >= this.Last.OverridedQuotation.Timestamp)
{
this.Last = new QuotationPair(overridedQuotation);
}
}
internal QuotationPair Fetch()
{
QuotationPair result = QuotationPair.Empty;
if (!this.High.IsEmpty)
{
if (this.Low.IsEmpty || this.High.OverridedQuotation.Timestamp < this.Low.OverridedQuotation.Timestamp)
{
result = this.High;
this.High = QuotationPair.Empty;
}
else
{
result = this.Low;
this.Low = QuotationPair.Empty;
}
}
else if (!this.Low.IsEmpty)
{
result = this.Low;
this.Low = QuotationPair.Empty;
}
else if (!this.Last.IsEmpty)
{
result = this.Last;
this.Last = QuotationPair.Empty;
}
return(result);
}
internal OverridedQ[] MergeAndGetQuotationToBroadcast(Queue <OverridedQ[]> pendingQuotations)
{
if (pendingQuotations.Count > 0)
{
foreach (OverridedQ[] pendingQuotation in pendingQuotations)
{
if (pendingQuotation == null)
{
continue;
}
foreach (OverridedQ overridedQuotation in pendingQuotation)
{
if (string.IsNullOrEmpty(overridedQuotation.Ask) || string.IsNullOrEmpty(overridedQuotation.Bid))
{
continue;
}
InstrumentQuotePolicyKey mergedQuotationKey = new InstrumentQuotePolicyKey(overridedQuotation.InstrumentID, overridedQuotation.QuotePolicyID);
MergedQuotation mergedQuotation = null;
if (!this.mergedQuotaions.TryGetValue(mergedQuotationKey, out mergedQuotation))
{
mergedQuotation = new MergedQuotation(overridedQuotation.InstrumentID, overridedQuotation.QuotePolicyID);
this.mergedQuotaions.Add(mergedQuotationKey, mergedQuotation);
}
mergedQuotation.Merge(overridedQuotation);
}
}
}
List <OverridedQ> overridedQuotations = null;
foreach (MergedQuotation mergedQuotation in this.mergedQuotaions.Values)
{
QuotationPair pair = mergedQuotation.Fetch();
if (!pair.IsEmpty)
{
if (overridedQuotations == null)
{
overridedQuotations = new List <OverridedQ>();
}
overridedQuotations.Add(pair.OverridedQuotation);
}
}
return(overridedQuotations.ToArray());
}
internal QuotationPair(QuotationPair pair)
{
_quotation = pair.OverridedQuotation;
}