public void OnUpdate <TB, TE>(TB buf)
where TB : IDxEventBuf <TE>
where TE : IDxOrder
{
var count = 0;
int u = 0, a = 0, r = 0;
using (var e = buf.GetEnumerator()) {
if (!e.MoveNext())
{
Console.WriteLine($"ERROR: Update for \"{buf.Symbol}#???\" without orders");
return;
}
var sym = $"{buf.Symbol}#{e.Current?.Source}";
if (!state.ContainsKey(sym))
{
Console.WriteLine($"ERROR: Update for \"{sym}\" without snapshot");
return;
}
var s = state[sym];
foreach (var o in buf)
{
if (o.Size == 0)
{
if (s.ContainsKey(o.Index))
{
Console.WriteLine($"\"{sym}\" removal of {o.Index}");
s.Remove(o.Index);
r++;
}
}
else if (s.ContainsKey(o.Index))
{
var so = new SimpleOrder(o);
Console.WriteLine($"\"{sym}\" replace {s[o.Index]} with {so}");
s[o.Index] = so;
u++;
}
else
{
s[o.Index] = new SimpleOrder(o);
Console.WriteLine($"\"{sym}\" add {s[o.Index]}");
a++;
}
count++;
}
Console.WriteLine($"\"{sym}\" update with {count} orders, A/U/R:{a}/{u}/{r}");
CheckBidAsk(sym, s);
}
}
private static void CheckBidAsk(string sym, Dictionary <long, SimpleOrder> s)
{
SimpleOrder ask = null;
SimpleOrder bid = null;
foreach (var o in s.Values)
{
if (o.side == Side.Buy && (bid == null || bid.price < o.price))
{
bid = o;
}
if (o.side == Side.Sell && (ask == null || ask.price > o.price))
{
ask = o;
}
}
if (bid != null && ask != null && bid.price >= ask.price)
{
Console.WriteLine($"ERROR: \"{sym}\": Cross: Bid {bid} vs Ask {ask}");
}
}
