private void ClearOrderBooks(List <int> pertinentContracts)
{
OrderBooks.Clear();
ImpliedOrderBooks.Clear();
ConsolidatedOrderBooks.Clear();
int contractCount = pertinentContracts.Count;
for (int i = 0; i < contractCount; i++)
{
int instrument = pertinentContracts[i];
AddNewOrderBooksFor(instrument);
}
}
private void ReconcileExpiredContracts()
{
for (int i = 0; i < ConsolidatedOrderBooks.Count; i++)
{
bool matchFound = false;
foreach (int pertinentContract in pertinentContracts)
{
if (ConsolidatedOrderBooks[i].InstrumentId == pertinentContract)
{
matchFound = true;
break;
}
}
if (!matchFound)
{
OrderBooks.RemoveAt(i);
ImpliedOrderBooks.RemoveAt(i);
ConsolidatedOrderBooks.RemoveAt(i);
}
}
}
private void AddNewOrderBooksFor(int instrumentId)
{
OrderBooks.Add(new OrderBook(OUTRIGHT_DEPTH, instrumentId));
ImpliedOrderBooks.Add(new OrderBook(IMPLIED_DEPTH, instrumentId));
ConsolidatedOrderBooks.Add(new OrderBook(OUTRIGHT_DEPTH, instrumentId));
}