/// <summary>
/// Initialize lists that will contain the OrderBook representations for all currency pairs
/// </summary>
private void InitializeOrderBooksRepresentations()
{
foreach (var currencyPair in _currencyPairs)
{
OrderRepresentationList bidRepresentationList = new OrderRepresentationList(currencyPair, OrderSide.Buy);
OrderRepresentationList askRepresentationList = new OrderRepresentationList(currencyPair, OrderSide.Sell);
_bidBookRepresentations.AddRecord(bidRepresentationList);
_askBookRepresentations.AddRecord(askRepresentationList);
}
}
/// <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);
}
/// <summary>
/// default constructor
/// </summary>
/// <param name="asks"></param>
/// <param name="bids"></param>
public OrderBookRepresentation(OrderRepresentationList bids, OrderRepresentationList asks)
{
Asks = asks;
Bids = bids;
}
