/// <summary>
/// Default Constructor
/// </summary>
public OrderBookMemoryImage()
{
_bidBookRepresentations = new OrderRepresentationBookList();
_askBookRepresentations = new OrderRepresentationBookList();
InitializeCurrencyPairs();
InitializeOrderBooksRepresentations();
LimitOrderBookEvent.LimitOrderBookChanged += OnOrderBookChanged;
}
/// <summary>
/// Updates the OrderBookRepresentation. Used by both bid and aask representations
/// </summary>
private OrderRepresentationList GetOrderRepresentationList(OrderRepresentationBookList orderBookRepresentations, OrderList orderList)
{
foreach (OrderRepresentationList orderRepresentationList in orderBookRepresentations)
{
if (orderRepresentationList.CurrencyPair == orderList.CurrencyPair)
{
return(orderRepresentationList);
}
}
return(null);
}
/// <summary>
/// Updates the OrderRepresentationlist with new values
/// </summary>
/// <returns></returns>
private void UpdateOrderRepresentationList(OrderRepresentationBookList orderRepresentationBook, OrderRepresentationList orderRepresentationList, OrderList orderList)
{
// If the orderRepresentationLst for this currencyPair is already present, remove it
if (orderRepresentationList != null)
{
orderRepresentationBook.Remove(orderRepresentationList.CurrencyPair);
}
// Initialize the Orderlist for this currencyPair
orderRepresentationList = new OrderRepresentationList(orderList.CurrencyPair, orderList.OrderSide);
// Add each order(Bid or Ask) in the correponding order list (Bids list or Asks list)
foreach (Order order in orderList)
{
orderRepresentationList.AddRecord(order.OpenQuantity.Value, order.Price.Value, order.DateTime);
Log.Debug("Order Representation added to Currency Pair : " + order.CurrencyPair +
". OpenQuantity: " + order.OpenQuantity.Value + " | Price: " + order.Price.Value);
}
// Add the new orderList (order book for bids or asks) to the OrderBooksList of this memory image
orderRepresentationBook.AddRecord(orderRepresentationList);
}