public void HandleAddLimitOrder(ILimitOrder limitOrder)
{
string symbol = limitOrder.Symbol;
if (!OrderBooks.ContainsKey(symbol))
{
var bookMatchingLimitAlgo = new LimitOrderMatchingAlgorithm(dateService);
bookMatchingLimitAlgo.AddExecutionsHandler(outgoingQueue.EnqueueClientExecution);
var bookMatchingMarketAlgo = new MarketOrderMatchingAlgorithm(dateService);
bookMatchingMarketAlgo.AddExecutionsHandler(outgoingQueue.EnqueueClientExecution);
var level1 = new OrderBookBestBidAsk(symbol);
level1.RegisterUpdateHandler(outgoingQueue.EnqueueLevel1Update);
var book = new OrderBook(symbol, bookMatchingLimitAlgo, bookMatchingMarketAlgo, level1);
OrderBooks.Add(symbol, book);
}
outgoingQueue.EnqueueAddedLimitOrder(limitOrder);
limitOrder.RegisterDeleteNotificationHandler(OrderBooks[symbol].RemoveLimitOrder);
limitOrder.RegisterFilledNotification(OrderBooks[symbol].RemoveLimitOrder);
limitOrder.RegisterModifyNotificationHandler(OrderBooks[symbol].HandleLimitOrderModify);
OrderBooks[symbol].AddLimitOrder(limitOrder);
}
public void HandleAddLimitOrder(ILimitOrder limitOrder)
{
string symbol = limitOrder.Symbol;
if (!OrderBooks.ContainsKey(symbol))
{
var bookMatchingLimitAlgo = new LimitOrderMatchingAlgorithm(dateService);
bookMatchingLimitAlgo.AddExecutionsHandler(outgoingQueue.EnqueueClientExecution);
var bookMatchingMarketAlgo = new MarketOrderMatchingAlgorithm(dateService);
bookMatchingMarketAlgo.AddExecutionsHandler(outgoingQueue.EnqueueClientExecution);
var level1 = new OrderBookBestBidAsk(symbol);
level1.RegisterUpdateHandler(outgoingQueue.EnqueueLevel1Update);
var book = new OrderBook(symbol, bookMatchingLimitAlgo, bookMatchingMarketAlgo, level1);
OrderBooks.Add(symbol, book);
}
outgoingQueue.EnqueueAddedLimitOrder(limitOrder);
limitOrder.RegisterDeleteNotificationHandler(OrderBooks[symbol].RemoveLimitOrder);
limitOrder.RegisterFilledNotification(OrderBooks[symbol].RemoveLimitOrder);
limitOrder.RegisterModifyNotificationHandler(OrderBooks[symbol].HandleLimitOrderModify);
OrderBooks[symbol].AddLimitOrder(limitOrder);
}
public void AddOrder(ILimitOrder order)
{
if (order.Price != Price)
return;
switch (order.Way)
{
case WayEnum.Buy:
BuyOrders.Add(order);
break;
case WayEnum.Sell:
SellOrders.Add(order);
break;
}
order.RegisterDeleteNotificationHandler(HandleDeleteOrFilled);
order.RegisterFilledNotification(HandleDeleteOrFilled);
}
public void AddOrder(ILimitOrder order)
{
if (order.Price != Price)
{
return;
}
switch (order.Way)
{
case WayEnum.Buy:
BuyOrders.Add(order);
break;
case WayEnum.Sell:
SellOrders.Add(order);
break;
}
order.RegisterDeleteNotificationHandler(HandleDeleteOrFilled);
order.RegisterFilledNotification(HandleDeleteOrFilled);
}
