public override void Write(BinaryWriter writer, object obj)
{
Level2 level = (Level2)obj;
writer.Write(0);
writer.Write(level.dateTime.ToBinary());
writer.Write(level.providerId);
writer.Write(level.instrumentId);
writer.Write(level.price);
writer.Write(level.size);
writer.Write((byte)level.side);
writer.Write((byte)level.action);
writer.Write(level.position);
}
public override object Read(BinaryReader reader)
{
Level2 level = new Level2();
reader.ReadByte();
level.dateTime = DateTime.FromBinary(reader.ReadInt64());
level.providerId = reader.ReadByte();
level.instrumentId = reader.ReadInt32();
level.price = reader.ReadDouble();
level.size = reader.ReadInt32();
level.side = (Level2Side)reader.ReadByte();
level.action = (Level2UpdateAction)reader.ReadByte();
level.position = reader.ReadInt32();
return level;
}
public override void Write(BinaryWriter writer, object obj)
{
Level2Update level2Update = (Level2Update)obj;
writer.Write(0);
writer.Write(level2Update.dateTime.ToBinary());
writer.Write(level2Update.providerId);
writer.Write(level2Update.instrumentId);
writer.Write(level2Update.entries.Length);
Level2[] entries = level2Update.entries;
for (int i = 0; i < entries.Length; i++)
{
Level2 obj2 = entries[i];
this.streamerManager.Serialize(writer, obj2);
}
}
internal void Set(Level2Update update)
{
Level2[] entries = update.entries;
for (int i = 0; i < entries.Length; i++)
{
Level2 level = entries[i];
IList <Tick> list = null;
switch (level.side)
{
case Level2Side.Bid:
list = this.bids;
break;
case Level2Side.Ask:
list = this.asks;
break;
}
switch (level.action)
{
case Level2UpdateAction.New:
list.Insert(level.position, new Tick(level));
break;
case Level2UpdateAction.Change:
list[level.position].size = level.size;
break;
case Level2UpdateAction.Delete:
list.RemoveAt(level.position);
break;
case Level2UpdateAction.Reset:
list.Clear();
break;
}
}
}
public Level2Update(DateTime dateTime, byte providerId, int instrumentId, Level2[] entries) : base(dateTime)
{
this.providerId = providerId;
this.instrumentId = instrumentId;
this.entries = entries;
}
