/// <summary>
/// Creates a new quote.
/// The constructor doesn't copy quote entries, instead of it keeps them by reference.
/// </summary>
/// <param name="symbol">A symbol of the quote; can not be null.</param>
/// <param name="creatingTime">A creating time of the quote.</param>
/// <param name="bids">Bids should be sorted by price and can not be null.</param>
/// <param name="asks">Asks should be sorted by price and can not be null.</param>
/// <exception cref="System.ArgumentNullException">If symbol, bids or asks is null.</exception>
public Quote(string symbol, DateTime creatingTime, QuoteEntry[] bids, QuoteEntry[] asks)
{
if (symbol == null)
throw new ArgumentNullException(nameof(symbol), "Symbol can not be null.");
if (bids == null)
throw new ArgumentNullException(nameof(bids), "Bids can not be null.");
if (asks == null)
throw new ArgumentNullException(nameof(asks), "Asks can not be null.");
this.Symbol = symbol;
this.CreatingTime = creatingTime;
this.Bids = bids;
this.Asks = asks;
}
static Level2Entry[] Level2EntriesFromQuoteEntries(QuoteEntry[] entries, double lot)
{
return entries.Select(o => new Level2Entry(o, lot))
.ToArray();
}
public Level2Entry(QuoteEntry entry, double lot)
: this()
{
this.Price = entry.Price;
this.Volume = entry.Volume / lot;
}
static bool Equals(QuoteEntry[] first, QuoteEntry[] second)
{
if(ReferenceEquals(first,second))
{
return true;
}
var count = first.Length;
if (count != second.Length)
return false;
for (var index = 0; index < count; ++index)
{
var f = first[index];
var s = second[index];
if (f.Price != s.Price)
return false;
if (f.Volume != s.Volume)
return false;
}
return true;
}
static Quote Parse(string text)
{
var stream = new TextStream();
stream.Initialize(text);
var lrpQuote = stream.ReadQuote("quote");
var bids = new QuoteEntry[lrpQuote.Bids.Length];
var asks = new QuoteEntry[lrpQuote.Asks.Length];
for (int index = 0; index < lrpQuote.Bids.Length; ++index)
{
bids[index] = new QuoteEntry(lrpQuote.Bids[index].Price, lrpQuote.Bids[index].Volume);
}
for (int index = 0; index < lrpQuote.Asks.Length; ++index)
{
asks[index] = new QuoteEntry(lrpQuote.Asks[index].Price, lrpQuote.Asks[index].Volume);
}
var result = new Quote(lrpQuote.Symbol, lrpQuote.CreatingTime, bids, asks);
return result;
}