public MarketInfo(DateTime objTime, Ticker ticker, MarketDepth depth, List <Trade> trades, bool deepCopy)
{
Id = "";
Label = "";
PrimaryName = "";
PrimaryCode = "";
SecondaryCode = "";
SecondaryName = "";
Time = objTime;
if (ticker != null)
{
if (deepCopy)
{
Ticker = new Ticker(ticker);
}
else
{
Ticker = ticker;
}
}
else
{
Ticker = new Ticker();
}
MarketDepth = new MarketDepth(depth, deepCopy);
if (trades != null)
{
if (deepCopy)
{
RecentTrades = new List <Trade>(trades);
}
else
{
RecentTrades = trades;
}
}
else
{
RecentTrades = new List <Trade>();
}
}
public MarketDepth(MarketDepth cloneDepth, bool deepCopy)
{
if (cloneDepth != null)
{
if (deepCopy)
{
BidOrders = new List <Order>(cloneDepth.BidOrders);
AskOrders = new List <Order>(cloneDepth.AskOrders);
}
else
{
BidOrders = cloneDepth.BidOrders;
AskOrders = cloneDepth.AskOrders;
}
}
else
{
Init();
}
}
public MarketInfo(DateTime objTime, Ticker ticker, MarketDepth depth, List <Trade> trades)
: this(objTime, ticker, depth, trades, false)
{
}
public MarketInfo(Ticker ticker, MarketDepth depth)
: this(DateAndTime.Now, ticker, depth, null, false)
{
}
public MarketDepth(MarketDepth cloneDepth) : this(cloneDepth, false)
{
}
/// <summary>
/// Emulates the Market data at a given time, given the historical trades
/// In order to optimise performances, it keeps previous emulated market and only performs updates
/// It implies that the method is called sequentially at increasing timings.
/// Note that the marketDepth is only broadly approximated from future trades found in history
/// </summary>
/// <param name="time">the time at which the market should be emulated</param>
/// <returns>a MarketInfo object with emulated ticker, RecentTrades, and Marketdepth</returns>
public MarketInfo GetMarket(DateTime time)
{
_currentMarket.Time = time;
// First we move the current trade cursor according to the new time and update the ticker and recent trades accordingly
Trade currentTrade;
do
{
currentTrade = Trades[_currentTradeIdx];
_currentMarket.RecentTrades.Add(currentTrade);
_currentMarket.Ticker.Volume += currentTrade.Amount;
if (currentTrade.Price > _currentMarket.Ticker.High)
{
_currentMarket.Ticker.High = currentTrade.Price;
}
if (_currentMarket.Ticker.Low == 0m || currentTrade.Price < _currentMarket.Ticker.Low)
{
_currentMarket.Ticker.Low = currentTrade.Price;
}
_currentTradeIdx += 1;
} while (currentTrade.Time <= time);
_currentMarket.Ticker.Last = currentTrade.Price;
// Then we move the previous 24h trades cursor and update the Ticker accordingly
var last24hTime = time.AddHours(-24d);
var last24HTrade = Trades[_currentLast24HTradeIdx];
while (last24HTrade.Time < last24hTime)
{
_currentMarket.Ticker.Volume -= last24HTrade.Amount;
if (last24HTrade.Price == _currentMarket.Ticker.High)
{
_currentMarket.Ticker.High = 0m;
}
if (last24HTrade.Price == _currentMarket.Ticker.Low)
{
_currentMarket.Ticker.Low = 0m;
}
_currentLast24HTradeIdx += 1;
last24HTrade = Trades[_currentLast24HTradeIdx];
}
// if the ticker low or high were reset, recompute them
if (_currentMarket.Ticker.Low == 0m || _currentMarket.Ticker.High == 0m)
{
for (int i = _currentLast24HTradeIdx; i < _currentTradeIdx; i++)
{
var tempTrade = Trades[i];
if (_currentMarket.Ticker.Low == 0m || tempTrade.Price < _currentMarket.Ticker.Low)
{
_currentMarket.Ticker.Low = tempTrade.Price;
}
if (tempTrade.Price > _currentMarket.Ticker.High)
{
_currentMarket.Ticker.High = tempTrade.Price;
}
}
}
// Finally, compute MarketDepth
//Identifying executed orders segments to be removed from existing MarketDepth
var newMinAskIdx = 0;
var existingMinAsk = decimal.MaxValue;
var newMaxBidIdx = 0;
var existingMaxBid = 0m;
if (_currentMarket.MarketDepth.AskOrders.Count > 0)
{
while (newMinAskIdx < _currentMarket.MarketDepth.AskOrders.Count && _currentMarket.MarketDepth.AskOrders[newMinAskIdx].Time < time)
{
newMinAskIdx++;
}
existingMinAsk = _currentMarket.MarketDepth.AskOrders[newMinAskIdx].Price;
}
if (_currentMarket.MarketDepth.BidOrders.Count > 0)
{
while (newMaxBidIdx < _currentMarket.MarketDepth.BidOrders.Count && _currentMarket.MarketDepth.BidOrders[newMaxBidIdx].Time < time)
{
newMaxBidIdx++;
}
existingMaxBid = _currentMarket.MarketDepth.BidOrders[newMaxBidIdx].Price;
}
//Computing new depth segments
var exitAskCondition = false;
var exitBidCondition = false;
var newDepth = new MarketDepth();
for (int depthIdx = _currentTradeIdx + 1; depthIdx < Trades.Count && !(exitAskCondition && exitBidCondition); depthIdx++)
{
var depthTrade = Trades[depthIdx];
if (!exitAskCondition && (newDepth.AskOrders.Count > 0 &&
depthTrade.Price > newDepth.AskOrders.Last().Price) ||
(newDepth.AskOrders.Count == 0 && depthTrade.Price > currentTrade.Price))
{
if (depthTrade.Price < existingMinAsk)
{
newDepth.AskOrders.Add(depthTrade.ToOrder(OrderType.Sell));
}
else
{
exitAskCondition = true;
}
}
else if (!exitBidCondition && (newDepth.BidOrders.Count > 0 &&
depthTrade.Price < newDepth.BidOrders.Last().Price)
||
(newDepth.BidOrders.Count == 0 && depthTrade.Price < currentTrade.Price))
{
if (depthTrade.Price > existingMaxBid)
{
newDepth.BidOrders.Add(depthTrade.ToOrder(OrderType.Buy));
}
else
{
exitBidCondition = true;
}
}
}
//joining former and new marketdepth segments
newDepth.AskOrders.AddRange(_currentMarket.MarketDepth.AskOrders.Skip(newMinAskIdx));
newDepth.BidOrders.AddRange(_currentMarket.MarketDepth.BidOrders.Skip(newMaxBidIdx));
_currentMarket.MarketDepth = newDepth;
return(_currentMarket);
}
