bool IOrderLogMarketDepthBuilder.Update(ExecutionMessage item)
{
if (item == null)
{
throw new ArgumentNullException(nameof(item));
}
if (item.ExecutionType != ExecutionTypes.OrderLog)
{
throw new ArgumentException(nameof(item));
}
if (item.OrderPrice == 0)
{
return(false);
}
var changed = false;
var quotes = item.Side == Sides.Buy ? _bids : _asks;
try
{
if (item.IsOrderLogRegistered())
{
if (item.OrderId != null)
{
var quote = quotes.SafeAdd(item.OrderPrice, key => new QuoteChange(item.Side, key, 0));
var id = item.OrderId.Value;
if (item.OrderVolume != null)
{
var volume = item.OrderVolume.Value;
if (_orders.TryGetValue(id, out var prevVolume))
{
quote.Volume += (volume - prevVolume);
_orders[id] = volume;
}
else
{
quote.Volume += volume;
_orders.Add(id, volume);
}
changed = true;
}
}
}
else if (item.IsOrderLogMatched())
{
if (item.OrderId != null)
{
var id = item.OrderId.Value;
var volume = item.TradeVolume ?? item.OrderVolume;
if (volume != null)
{
if (_orders.TryGetValue(id, out var prevVolume))
{
var quote = quotes.TryGetValue(item.OrderPrice);
if (quote != null)
{
quote.Volume -= volume.Value;
if (quote.Volume <= 0)
{
quotes.Remove(item.OrderPrice);
}
}
_orders[id] = prevVolume - volume.Value;
changed = true;
}
}
}
}
else if (item.IsOrderLogCanceled())
{
if (item.OrderId != null)
{
var id = item.OrderId.Value;
if (_orders.TryGetValue(id, out var prevVolume))
{
var quote = quotes.TryGetValue(item.OrderPrice);
if (quote != null)
{
quote.Volume -= prevVolume;
if (quote.Volume <= 0)
{
quotes.Remove(item.OrderPrice);
}
}
_orders.Remove(id);
changed = true;
}
}
}
}
finally
{
if (changed)
{
_depth.ServerTime = item.ServerTime;
_depth.LocalTime = item.LocalTime;
_depth.Bids = _bids.Values.ToArray();
_depth.Asks = _asks.Values.ToArray();
}
}
return(changed);
}
QuoteChangeMessage IOrderLogMarketDepthBuilder.Update(ExecutionMessage item)
{
if (item == null)
{
throw new ArgumentNullException(nameof(item));
}
if (item.ExecutionType != ExecutionTypes.OrderLog)
{
throw new ArgumentException(nameof(item));
}
if (item.OrderPrice == 0)
{
return(null);
}
_depth.ServerTime = item.ServerTime;
_depth.LocalTime = item.LocalTime;
QuoteChange?changedQuote = null;
var quotes = item.Side == Sides.Buy ? _bids : _asks;
if (item.IsOrderLogRegistered())
{
if (item.OrderVolume != null)
{
QuoteChange ProcessRegister <T>(T id, Dictionary <T, decimal> orders)
{
var quote = quotes.SafeAdd(item.OrderPrice, key => new QuoteChange(key, 0));
var volume = item.OrderVolume.Value;
if (orders.TryGetValue(id, out var prevVolume))
{
quote.Volume += (volume - prevVolume);
orders[id] = volume;
}
else
{
quote.Volume += volume;
orders.Add(id, volume);
}
quotes[item.OrderPrice] = quote;
return(quote);
}
if (item.OrderId != null)
{
changedQuote = ProcessRegister(item.OrderId.Value, _ordersByNum);
}
else if (!item.OrderStringId.IsEmpty())
{
changedQuote = ProcessRegister(item.OrderStringId, _ordersByString);
}
}
}
else if (item.IsOrderLogMatched())
{
var volume = item.TradeVolume ?? item.OrderVolume;
if (volume != null)
{
QuoteChange?ProcessMatched <T>(T id, Dictionary <T, decimal> orders)
{
if (orders.TryGetValue(id, out var prevVolume))
{
orders[id] = prevVolume - volume.Value;
if (quotes.TryGetValue(item.OrderPrice, out var quote))
{
quote.Volume -= volume.Value;
if (quote.Volume <= 0)
{
quotes.Remove(item.OrderPrice);
}
quotes[item.OrderPrice] = quote;
return(quote);
}
}
return(null);
}
if (item.OrderId != null)
{
changedQuote = ProcessMatched(item.OrderId.Value, _ordersByNum);
}
else if (!item.OrderStringId.IsEmpty())
{
changedQuote = ProcessMatched(item.OrderStringId, _ordersByString);
}
}
}
else if (item.IsOrderLogCanceled())
{
QuoteChange?ProcessCanceled <T>(T id, Dictionary <T, decimal> orders)
{
if (orders.TryGetAndRemove(id, out var prevVolume))
{
if (quotes.TryGetValue(item.OrderPrice, out var quote))
{
quote.Volume -= prevVolume;
if (quote.Volume <= 0)
{
quotes.Remove(item.OrderPrice);
}
quotes[item.OrderPrice] = quote;
return(quote);
}
}
return(null);
}
if (item.OrderId != null)
{
changedQuote = ProcessCanceled(item.OrderId.Value, _ordersByNum);
}
else if (!item.OrderStringId.IsEmpty())
{
changedQuote = ProcessCanceled(item.OrderStringId, _ordersByString);
}
}
if (changedQuote == null)
{
return(null);
}
var increment = new QuoteChangeMessage
{
ServerTime = item.ServerTime,
LocalTime = item.LocalTime,
SecurityId = _depth.SecurityId,
State = QuoteChangeStates.Increment,
};
var q = changedQuote.Value;
if (item.Side == Sides.Buy)
{
increment.Bids = new[] { q }
}
;
else
{
increment.Asks = new[] { q }
};
return(increment);
}
}