public bool EqualOrInverted(AssetPair other)
{
Debug.Assert(IsValid());
Debug.Assert(other.IsValid());
return(Equals(other) || IsInverted(other));
}
public bool IsInverted(AssetPair other)
{
Debug.Assert(IsValid());
Debug.Assert(other.IsValid());
return(Base.Id == other.Quote.Id && Quote.Id == other.Base.Id);
}
public static IEnumerable <LimitOrder> GetAsks(OrderBook orderBook, AssetPair target)
{
Debug.Assert(orderBook != null);
Debug.Assert(target != null && target.IsValid());
Debug.Assert(target.EqualOrInverted(orderBook.AssetPair));
var bids = orderBook.Bids;
var asks = orderBook.Asks;
// Streight
if (orderBook.AssetPair.Base.Id == target.Base.Id &&
orderBook.AssetPair.Quote.Id == target.Quote.Id)
{
foreach (var ask in asks)
{
yield return(ask);
}
}
// Inverted
if (orderBook.AssetPair.Base.Id == target.Quote.Id &&
orderBook.AssetPair.Quote.Id == target.Base.Id)
{
foreach (var bid in bids)
{
var ask = bid.Reciprocal();
yield return(ask);
}
}
}
public static IReadOnlyList <AssetPair> GetChained(IReadOnlyCollection <OrderBook> orderBooks, AssetPair target)
{
Debug.Assert(orderBooks != null);
Debug.Assert(orderBooks.Any());
Debug.Assert(target != null);
Debug.Assert(target.IsValid());
var result = new List <AssetPair>();
var @base = target.Base;
var quote = target.Quote;
var first = orderBooks.Single(x => x.AssetPair.ContainsAsset(@base.Id)).AssetPair;
if (first.Quote.Id == @base.Id)
{
first = first.Invert();
}
result.Add(first);
if (orderBooks.Count == 1)
{
Debug.Assert(first.Quote.Id == quote.Id);
return(result);
}
var nextAssetId = first.GetOtherAssetId(@base.Id);
var second = orderBooks.Single(x => x.AssetPair.ContainsAsset(nextAssetId) && !x.AssetPair.EqualOrInverted(first)).AssetPair;
if (second.Quote.Id == nextAssetId)
{
second = second.Invert();
}
result.Add(second);
if (orderBooks.Count == 2)
{
Debug.Assert(second.Quote.Id == quote.Id);
return(result);
}
nextAssetId = second.GetOtherAssetId(nextAssetId);
var third = orderBooks.Single(x => x.AssetPair.ContainsAsset(nextAssetId) && x.AssetPair.ContainsAsset(quote.Id)).AssetPair;
if (third.Quote.Id == nextAssetId)
{
third = third.Invert();
}
result.Add(third);
Debug.Assert(third.Quote.Id == quote.Id);
return(result);
}
public static SynthOrderBook FromOrderBook(OrderBook orderBook, AssetPair target)
{
Debug.Assert(orderBook != null);
Debug.Assert(target != null && target.IsValid());
Debug.Assert(target.EqualOrInverted(orderBook.AssetPair));
var result = new SynthOrderBook(target, new List <OrderBook> {
orderBook
});
return(result);
}
public static SynthOrderBook FromOrderBooks(OrderBook first, OrderBook second, AssetPair target)
{
Debug.Assert(first != null);
Debug.Assert(first.AssetPair != null && first.AssetPair.IsValid());
Debug.Assert(second != null);
Debug.Assert(second.AssetPair != null && second.AssetPair.IsValid());
Debug.Assert(target != null && target.IsValid());
var result = new SynthOrderBook(target, GetOrdered(new List <OrderBook> {
first, second
}, target));
return(result);
}