protected static string OrderPair2String(MarketSimulation.OrderPair op, int columnSize)
{
string res = "" + op.price + ":" + op.size + " ";
res = OutputUtils.FormatField(res, columnSize);
return(res);
}
protected static string OrderBook2String(MarketSimulation.OrderPair[] book, int columnSize)
{
string res = "";
for (int i = 0; i < book.Length; i++)
{
MarketSimulation.OrderPair op = book[i];
res = res + OrderPair2String(op, columnSize);
}
return(res);
}
/// <summary>
/// Returns order book
/// </summary>
public MarketSimulation.OrderPair[] GetBookAsk()
{
MarketSimulation.OrderPair[] res = new MarketSimulation.OrderPair[0];
if (exists)
{
// i have three best bids (three best buy orders)
res = new MarketSimulation.OrderPair[3];
res[0] = new MarketSimulation.OrderPair(
JQuant.Convert.StrToInt(md.LMT_SL1, 0), JQuant.Convert.StrToInt(md.LMY_SL1_NV, 0));
res[1] = new MarketSimulation.OrderPair(
JQuant.Convert.StrToInt(md.LMT_SL2, 0), JQuant.Convert.StrToInt(md.LMY_SL2_NV, 0));
res[2] = new MarketSimulation.OrderPair(
JQuant.Convert.StrToInt(md.LMT_SL3, 0), JQuant.Convert.StrToInt(md.LMY_SL3_NV, 0));
}
return(res);
}
