public IMessageIn Visit(OrderOpen msg)
{
msg.OrderId = (string)_data["order_id"];
msg.Price = (decimal)_data["price"];
msg.RemainingSize = (decimal)_data["remaining_size"];
return(msg);
}
public object Visit(WebSocket.OrderOpen msg)
{
Condition.Requires(msg, "msg").IsNotNull();
Condition.Requires(msg.OrderId, "msg.OrderId").IsNotNullOrEmpty();
Condition.Requires(msg.Price, "msg.Price").IsGreaterThan(0m);
Condition.Requires(msg.RemainingSize, "msg.RemainingSize").IsGreaterThan(0m);
Level level;
if (_book.TryGetValue(msg.Price, out level))
{
Condition.Requires(level.TotalSize).IsGreaterOrEqual(0m);
Condition.Requires(level.OrderIds).IsNotEmpty();
}
else
{
level = new Level();
_book.Add(msg.Price, level);
}
if (!level.OrderIds.Add(msg.OrderId))
{
throw new ArgumentException("Duplicate order ID: " + msg);
}
level.TotalSize += msg.RemainingSize;
_delta.Add(new PriceLevel()
{
Price = msg.Price, SizeDelta = msg.RemainingSize
});
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));
}
