private static PriceByOrderSide FilterByPercentileTopPrices(OrderBookSideFlat asks, OrderBookSideFlat bids)
{
const decimal percentileRate = 0.1m;
var topAsk = FilterByAmountPercentileAndGetTop(asks, percentileRate);
var topBid = FilterByAmountPercentileAndGetTop(bids, percentileRate);
return(new PriceByOrderSide(topBid, topAsk));
}
private static void RemoveOrders(
IEnumerable <Order> notFinishedOrders,
OrderBookSideFlat asks,
OrderBookSideFlat bids)
{
foreach (var order in notFinishedOrders)
{
if (!order.Price.HasValue)
{
continue;
}
var bookSide = order.Side == OrderSide.Buy ? bids : asks;
var index = Array.BinarySearch(bookSide.Prices, order.Price.Value, bookSide.Comparer);
if (index >= 0)
{
bookSide.Amounts[index] -= order.Amount - order.FilledAmount;
}
}
}
private static (OrderBookSideFlat asks, OrderBookSideFlat bids) FlattenSnapshot(ILocalOrderBookSnapshot snapshot)
{
SortedDictionary <decimal, decimal> asks, bids;
switch (snapshot)
{
case L1LocalOrderBookSnapshot l1:
asks = l1.GetAsks();
bids = l1.GetBids();
break;
case L2LocalOrderBookSnapshot l2:
asks = l2.Asks;
bids = l2.Bids;
break;
default:
throw new ArgumentOutOfRangeException(nameof(snapshot), snapshot, null);
}
return(new OrderBookSideFlat(asks), new OrderBookSideFlat(bids));
}
private static decimal?FilterByAmountPercentileAndGetTop(OrderBookSideFlat bookSide, decimal percentileRate)
{
if (bookSide.Size == 0)
{
return(null);
}
var percentileAmount = bookSide.Size >= 5
? GetPercentileAmount(bookSide.Amounts, percentileRate)
: 0m; // it is not necessary to filter side if there are not enough levels
// prices are sorted, so we can go from top (because we want to remove top positions only)
for (int i = 0; i < bookSide.Size; i++)
{
if (bookSide.Amounts[i] > percentileAmount)
{
return(bookSide.Prices[i]);
}
}
return(null);
}