// Given another ZOrderBook, append the Bid and Ask volume to this ZOrderBook
public void AggregateRows(ZOrderBook appendOrderBook)
{
try
{
var bestAsks = appendOrderBook.m_asks.Take(Math.Min(LevelCount, appendOrderBook.m_asks.Count)).ToArray();
var bestBids = appendOrderBook.m_bids.Reverse().Take(Math.Min(LevelCount, appendOrderBook.m_bids.Count)).ToArray();
foreach (var kv in bestBids)
{
if (m_bids.ContainsKey(kv.Key))
{
m_bids[kv.Key] += kv.Value;
}
else
{
m_bids.Add(kv.Key, kv.Value);
}
}
foreach (var kv in bestAsks)
{
if (m_asks.ContainsKey(kv.Key))
{
m_asks[kv.Key] += kv.Value;
}
else
{
m_asks.Add(kv.Key, kv.Value);
}
}
}
catch (Exception ex)
{
dout("EXCEPTION occurred in AggregateRows: {0}", ex.Message);
}
}