public IMessageIn Visit(OrderChange msg)
{
msg.OrderId = (string)_data["order_id"];
msg.Price = (decimal?)_data["price"];
msg.NewSize = (decimal?)_data["new_size"];
msg.OldSize = (decimal?)_data["old_size"];
msg.NewFunds = (decimal?)_data["new_funds"];
msg.OldFunds = (decimal?)_data["old_funds"];
return(msg);
}
public object Visit(WebSocket.OrderChange msg)
{
Condition.Requires(msg, "msg").IsNotNull();
Condition.Requires(msg.OrderId, "msg.OrderId").IsNotNullOrEmpty();
if (!msg.Price.HasValue)
{
return(null); // Market order.
}
Condition.Requires(msg.OldSize.HasValue, "msg.OldSize.HasValue");
Condition.Requires(msg.NewSize.HasValue, "msg.NewSize.HasValue");
decimal sizeDelta = msg.NewSize.Value - msg.OldSize.Value;
if (sizeDelta == 0m)
{
return(null);
}
Level level;
if (!_book.TryGetValue(msg.Price.Value, out level))
{
return(null); // Not an open order.
}
Condition.Requires(level.TotalSize).IsGreaterOrEqual(0m);
Condition.Requires(level.OrderIds).IsNotEmpty();
if (!level.OrderIds.Contains(msg.OrderId))
{
return(null); // Not an open order.
}
if (-sizeDelta > level.TotalSize)
{
throw new ArgumentException("OrderChange with the delta size exceeding total level size: " + msg);
}
level.TotalSize += sizeDelta;
_delta.Add(new PriceLevel()
{
Price = msg.Price.Value, SizeDelta = sizeDelta
});
return(null);
}
public static IMessageIn Parse(string serialized)
{
var data = Json.ParseObject(serialized);
Condition.Requires(data, "data").IsNotNull();
string type = (string)data["type"];
Condition.Requires(type, "type").IsNotNull();
IMessageIn res = null;
switch (type)
{
case "received":
res = new OrderReceived();
break;
case "open":
res = new OrderOpen();
break;
case "done":
res = new OrderDone();
break;
case "match":
res = new OrderMatch();
break;
case "change":
res = new OrderChange();
break;
default:
throw new ArgumentException("Unexpected message type: " + type);
}
var parser = new MessageParser(data);
parser.ParseCommon(res);
return(res.Visit(parser));
}