public void AddQuote(ref QuoteBookStruct quote)
{
if (_quoteFeedBuffers.ContainsKey(quote.InstrumentName))
{
_quoteFeedBuffers[quote.InstrumentName].Add(ref quote);
}
else
{
return;
}
}
private QuoteBookStruct mergeQuoteBooks()
{
QuoteBookStruct _mergedQuoteBook = new QuoteBookStruct();
if (_quoteBookReceived && !_impliedBookReceived)
{
lock (_lastQuoteBook)
{
_mergedQuoteBook = new QuoteBookStruct(_lastQuoteBook);
}
}
else if (!_quoteBookReceived && _impliedBookReceived)
{
lock (_impliedQuoteBook)
{
_mergedQuoteBook = new QuoteBookStruct(_impliedQuoteBook);
}
}
else if (_quoteBookReceived && _impliedBookReceived)
{
QuoteBookStruct lastQuoteStruct;
QuoteBookStruct lastImpliedStruct;
lock (_lastQuoteBook)
{
lastQuoteStruct = new QuoteBookStruct(_lastQuoteBook);
}
lock (_impliedQuoteBook)
{
lastImpliedStruct = new QuoteBookStruct(_impliedQuoteBook);
}
_mergedQuoteBook = new QuoteBookStruct();
_mergedQuoteBook.Instr = lastQuoteStruct.Instr;
_mergedQuoteBook.TS = lastQuoteStruct.TS;
_mergedQuoteBook.PartID = lastQuoteStruct.PartID;
_mergedQuoteBook.Mod = lastQuoteStruct.Mod;
if (lastImpliedStruct.NumBid > 0)
{
_mergedQuoteBook.BidExch = lastQuoteStruct.BidExch == null ? lastImpliedStruct.BidExch : lastQuoteStruct.BidExch.Concat(lastImpliedStruct.BidExch).ToArray();
_mergedQuoteBook.BidBk = lastQuoteStruct.BidBk == null ? lastImpliedStruct.BidBk : lastQuoteStruct.BidBk.Concat(lastImpliedStruct.BidBk).ToArray();
_mergedQuoteBook.NumBid = (byte)(lastQuoteStruct.NumBid + lastImpliedStruct.NumBid);
}
if (lastImpliedStruct.NumAsk > 0)
{
_mergedQuoteBook.AskExch = lastQuoteStruct.AskExch == null ? lastImpliedStruct.AskExch : lastQuoteStruct.AskExch.Concat(lastImpliedStruct.AskExch).ToArray();
_mergedQuoteBook.AskBk = lastQuoteStruct.AskBk == null ? lastImpliedStruct.AskBk : lastQuoteStruct.AskBk.Concat(lastImpliedStruct.AskBk).ToArray();
_mergedQuoteBook.NumAsk = (byte)(lastQuoteStruct.NumAsk + lastImpliedStruct.NumAsk);
}
}
return(_mergedQuoteBook);
}
private List <OrderBook> ConvertQuoteBookToOrders(QuoteBookStruct book)
{
List <OrderBook> bookList = new List <OrderBook>();
int bookLength = _buy ? book.NumBid : book.NumAsk;
for (int i = 0; i < bookLength; i++)
{
OrderBook ob = new OrderBook();
ob._exch = _buy ? book.BidExch[i] : book.AskExch[i];
ob._instr = (InstrInfo[])book.Instr.Clone();
ob._ordID = book.PartID;
ob._ordprc = _buy ? book.BidBk[i].prc : book.AskBk[i].prc;
ob._ordsz = _buy ? book.BidBk[i].sz : book.AskBk[i].sz;
bookList.Add(ob);
}
return(bookList);
}
public void AddQuote(ref QuoteBookStruct quote)
{
_quoteFeed.AddQuote(ref quote);
}
private void RepopulateGrid()
{
QuoteBookStruct book = mergeQuoteBooks();
//if the book is empty, remove all exchange quotes (can't just clear list or our orders will be removes as well)
if ((_buy && book.NumBid == 0 || (!_buy && book.NumAsk == 0)))
{
foreach (byte key in _exchBookDict.Keys)
{
Lvl2TableObj obj;
_exchBookDict.TryRemove(key, out obj);
lock (_bindingList)
{
_bindingList.Remove(obj);
}
}
}
else
{
//if any exchange has a quote in our dictionary, but not the latest quotebook, it doesn't exist anymore, so remove it
foreach (byte key in _exchBookDict.Keys)
{
if ((_buy && !book.BidExch.Contains(key)) ||
(!_buy && !book.AskExch.Contains(key)))
{
Lvl2TableObj obj;
_exchBookDict.TryRemove(key, out obj);
lock (_bindingList)
{
_bindingList.Remove(obj);
}
}
}
}
if (_perfEnabled)
{
PerfAnalyzer.startTime(_perfLabel + "_SetAllOrdersTime");
}
_priceLevels.Clear();
List <OrderBook> books = ConvertQuoteBookToOrders(book);
foreach (OrderBook b in books)
{
_priceLevels.Add(b._ordprc);
if (_exchBookDict.ContainsKey(b._exch))
{
_exchBookDict[b._exch].UpdateQuote(b);
}
else
{
Lvl2TableObj obj = new Lvl2TableObj(b);
_exchBookDict.TryAdd(b._exch, obj);
lock (_bindingList)
{
_bindingList.Add(obj);
}
}
}
_sortedPriceLvls = _buy ? _priceLevels.Reverse().ToArray() : _priceLevels.ToArray();
if (_perfEnabled)
{
PerfAnalyzer.endTime(_perfLabel + "_SetAllOrdersTime");
}
}
