private static LimitOrder SynthLimitOrder(LimitOrder left, LimitOrder middle, LimitOrder right)
{
var newPrice = left.Price * middle.Price * right.Price;
var middleVolumeInBaseAsset = middle.Volume / left.Price;
var interimBidPrice = left.Price * middle.Price;
var rightVolumeInBaseAsset = right.Volume / interimBidPrice;
var minVolume = Math.Min(Math.Min(left.Volume, middleVolumeInBaseAsset), rightVolumeInBaseAsset);
var result = new LimitOrder(newPrice, minVolume);
return(result);
}
private static WhichOrder[] GetWithMinVolumeInBaseAsset(LimitOrder left, LimitOrder right)
{
var rightVolumeInBaseAsset = right.Volume / left.Price;
var minVolume = Math.Min(left.Volume, rightVolumeInBaseAsset);
var result = new List <WhichOrder>();
if (left.Volume == minVolume)
{
result.Add(WhichOrder.Left);
}
if (rightVolumeInBaseAsset == minVolume)
{
result.Add(WhichOrder.Right);
}
return(result.ToArray());
}