private void OnReceived(RealtimeReceived receivedMessage)
{
var order = new BidAskOrder();
order.Id = receivedMessage.OrderId;
order.Price = receivedMessage.Price;
order.Size = receivedMessage.Size;
lock (_spreadLock)
{
if (receivedMessage.Side == "buy")
{
lock (_bidLock)
{
_buys.Add(order);
Buys = _buys.ToList();
}
}
else if (receivedMessage.Side == "sell")
{
lock (_askLock)
{
_sells.Add(order);
Sells = _sells.ToList();
}
}
}
}
private void OnOpen(object sender, RealtimeOpen open)
{
var order = new BidAskOrder();
order.Id = open.OrderId;
order.Price = open.Price.Value;
order.Size = open.RemainingSize;
AddOrder(order: order, side: open.Side);
}
private async void OnOpen(object sender, RealtimeOpen open)
{
if (await checkSequenceNumber(open.Sequence))
{
System.Windows.Application.Current.Dispatcher.Invoke(
System.Windows.Threading.DispatcherPriority.Background,
new Action(() =>
{ // change to UI thread
var order = new BidAskOrder();
order.Id = open.OrderId;
order.Price = open.Price.Value;
order.Size = open.RemainingSize;
AddOrder(order: order, side: open.Side);
}));
}
}
private void AddOrder(BidAskOrder order, Side side)
{
var list = GetOrderList(side);
lock (list.Item1)
{
list.Item2.TryGetValue(order.Price, out var linkedlist);
if (linkedlist == null)
{
linkedlist = new ObservableLinkedList <BidAskOrder>();
list.Item2.Add(order.Price, linkedlist);
}
linkedlist.AddLast(order);
_ordersByID[order.Id] = order;
}
NotifyPropertyChanged("BestBuy");
NotifyPropertyChanged("BestSell");
NotifyPropertyChanged("Spread");
}
