/// <summary>
/// Updates or inserts a bid price level in the order book
/// </summary>
/// <param name="price">The bid price level to be inserted or updated</param>
/// <param name="size">The new size at the bid price level</param>
public void UpdateBidRow(decimal price, decimal size)
{
lock (_locker)
{
_bids[price] = size;
}
if (BestBidPrice == 0 || price >= BestBidPrice)
{
BestBidPrice = price;
BestBidSize = size;
BestBidAskUpdated?.Invoke(this, new BestBidAskUpdatedEventArgs(_symbol, BestBidPrice, BestBidSize, BestAskPrice, BestAskSize));
}
}
/// <summary>
/// Updates or inserts an ask price level in the order book
/// </summary>
/// <param name="price">The ask price level to be inserted or updated</param>
/// <param name="size">The new size at the ask price level</param>
public void UpdateAskRow(decimal price, decimal size)
{
lock (_locker)
{
Asks[price] = size;
if (_bestAskPrice == 0 || price <= _bestAskPrice)
{
_bestAskPrice = price;
_bestAskSize = size;
BestBidAskUpdated?.Invoke(this, new BestBidAskUpdatedEventArgs(_symbol, _bestBidPrice, _bestBidSize, _bestAskPrice, _bestAskSize));
}
}
}
/// <summary>
/// Removes an ask price level from the order book
/// </summary>
/// <param name="price">The ask price level to be removed</param>
public void RemoveAskRow(decimal price)
{
lock (_locker)
{
Asks.Remove(price);
if (price == _bestAskPrice)
{
var priceLevel = Asks.FirstOrDefault();
_bestAskPrice = priceLevel.Key;
_bestAskSize = priceLevel.Value;
BestBidAskUpdated?.Invoke(this, new BestBidAskUpdatedEventArgs(_symbol, _bestBidPrice, _bestBidSize, _bestAskPrice, _bestAskSize));
}
}
}
/// <summary>
/// Removes an ask price level from the order book
/// </summary>
/// <param name="price">The ask price level to be removed</param>
public void RemoveAskRow(decimal price)
{
lock (_locker)
{
_asks.Remove(price);
}
if (price == BestAskPrice)
{
lock (_locker)
{
BestAskPrice = _asks.Keys.FirstOrDefault();
BestAskSize = BestAskPrice > 0 ? _asks[BestAskPrice] : 0;
}
BestBidAskUpdated?.Invoke(this, new BestBidAskUpdatedEventArgs(_symbol, BestBidPrice, BestBidSize, BestAskPrice, BestAskSize));
}
}