internal void Update(int row, int nrows, double bid, double bidsize, double ask, double asksize)
{
if (row == 0)
{
_asks = new Quote[depth];
_bids = new Quote[depth];
}
_asks[row] = new Quote((decimal)ask, (decimal)asksize, eSide.Sell);
_bids[row] = new Quote((decimal)bid, (decimal)bidsize, eSide.Buy);
if (row == Depth -1 || row == nrows -1)
{
Object lck = new Object();
lock(lck)
{
Asks = _asks;
Bids = _bids;
}
Time = DateTime.Now;
_asks = null;
_bids = null;
IsUpdate = true;
}
}
public MarketDepth(int depth)
{
this.depth = depth;
Asks = new Quote[depth];
Bids = new Quote[depth];
}