public Quote GetQuote(int level)
{
DateTime datetime = DateTime.MinValue;
double bid = 0.0;
double ask = 0.0;
int bidSize = 0;
int askSize = 0;
if (level < this.bidList.Count)
{
OrderBookEntry orderBookEntry = this.bidList[level];
bid = orderBookEntry.Price;
bidSize = orderBookEntry.Size;
if (orderBookEntry.DateTime > datetime)
{
datetime = orderBookEntry.DateTime;
}
}
if (level < this.askList.Count)
{
OrderBookEntry orderBookEntry = this.askList[level];
ask = orderBookEntry.Price;
askSize = orderBookEntry.Size;
if (orderBookEntry.DateTime > datetime)
{
datetime = orderBookEntry.DateTime;
}
}
return(new Quote(datetime, bid, bidSize, ask, askSize));
}
internal void Insert(int index, OrderBookEntry entry)
{
this.entries.Insert(index, entry);
}
public void Add(MarketDepth marketDepth)
{
try
{
OrderBookEntryList orderBookEntryList;
switch (marketDepth.Side)
{
case MDSide.Bid:
orderBookEntryList = this.bidList;
break;
case MDSide.Ask:
orderBookEntryList = this.askList;
break;
default:
throw new ArgumentException("Invalid Side" + marketDepth.Side);
}
switch (marketDepth.Operation)
{
case MDOperation.Insert:
if (marketDepth.Position == -1)
{
int index = -1;
switch (marketDepth.Side)
{
case MDSide.Bid:
index = 0;
while (index < orderBookEntryList.Count && marketDepth.Price <= orderBookEntryList[index].Price)
{
++index;
}
break;
case MDSide.Ask:
index = orderBookEntryList.Count;
while (index > 0 && marketDepth.Price <= orderBookEntryList[index - 1].Price)
{
--index;
}
break;
}
orderBookEntryList.Insert(index, new OrderBookEntry(marketDepth.DateTime, marketDepth.Price, marketDepth.Size));
this.EmitChanged(marketDepth.Side, marketDepth.Operation, index);
break;
}
else
{
orderBookEntryList.Insert(marketDepth.Position, new OrderBookEntry(marketDepth.DateTime, marketDepth.Price, marketDepth.Size));
this.EmitChanged(marketDepth.Side, marketDepth.Operation, marketDepth.Position);
break;
}
case MDOperation.Update:
if (marketDepth.Position == -1 || marketDepth.Position >= orderBookEntryList.Count)
{
break;
}
OrderBookEntry orderBookEntry = orderBookEntryList[marketDepth.Position];
orderBookEntry.DateTime = marketDepth.DateTime;
orderBookEntry.Size = marketDepth.Size;
if (marketDepth.Price > 0.0)
{
orderBookEntry.Price = marketDepth.Price;
}
this.EmitChanged(marketDepth.Side, marketDepth.Operation, marketDepth.Position);
break;
case MDOperation.Delete:
if (marketDepth.Position == -1)
{
break;
}
orderBookEntryList.RemoveAt(marketDepth.Position);
this.EmitChanged(marketDepth.Side, marketDepth.Operation, marketDepth.Position);
break;
case MDOperation.Reset:
orderBookEntryList.Clear();
this.EmitChanged(marketDepth.Side, marketDepth.Operation, marketDepth.Position);
break;
case MDOperation.Undefined:
break;
default:
throw new ArgumentException("MDOperation is unknown: " + marketDepth.Operation.ToString());
}
}
catch (Exception ex)
{
Trace.WriteLine(ex.ToString());
}
}
internal void Insert(int index, OrderBookEntry entry)
{
this.entries.Insert(index, entry);
}