/// <summary>
/// Change quantity of an order
/// </summary>
/// <param name="price"></param>
/// <param name="quantity"></param>
/// <param name="orderSide"></param>
public void ChangeOrderQuantity(Price price, decimal quantity, OrderSide orderSide)
{
DepthLevel depthLevel = FindLevel(price, orderSide, orderSide == OrderSide.Buy ? _bidLevels : _askLevels);
if (depthLevel != null && quantity != 0)
{
// If volume is positive, increase quantity(used when order is replaced)
if (quantity > 0)
{
depthLevel.IncreaseVolume(new Volume(quantity));
}
// If volume is negative, decrease the quantity(used when orders fill or get replaced)
else
{
// If after decreasing the volume, the volume becomes 0, then we will need to remove this level from depth
if (depthLevel.AggregatedVolume.Value - (-quantity) == 0)
{
EraseLevel(depthLevel, orderSide);
}
else
{
// We will convert the negative quantity into positive as Volume does not instantiate with a negative
// quantity, and also we are already decreasing the volume from the depth level so negative value is
// not required
depthLevel.DecreaseVolume(new Volume(-quantity));
}
}
depthLevel.LastChange(new ChangeId(++_lastChangeId));
}
}
/// <summary>
/// Add Order to the Depth
/// </summary>
/// <returns></returns>
public void AddOrder(Price price, Volume volume, OrderSide orderSide)
{
int lastChangeIdCopy = _lastChangeId;
DepthLevel depthLevel = null;
switch (orderSide)
{
case OrderSide.Buy:
depthLevel = FindLevel(price, orderSide, _bidLevels);
break;
case OrderSide.Sell:
depthLevel = FindLevel(price, orderSide, _askLevels);
break;
}
if (depthLevel != null)
{
depthLevel.AddOrder(volume);
// Note: As there are no excess levels, we will mark change in every depth with a change Id. We won't mark
// a change if it is not a visible level,but in our case we don't have any excess levels so every level
// is as visible level
_lastChangeId = lastChangeIdCopy + 1;
depthLevel.LastChange(new ChangeId(lastChangeIdCopy + 1));
}
}
/// <summary>
/// Cancel or fill an order
/// </summary>
/// <param name="price"></param>
/// <param name="volume"></param>
/// <param name="orderSide"> </param>
/// <returns></returns>
public bool CloseOrder(Price price, Volume volume, OrderSide orderSide)
{
DepthLevel level = FindLevel(price, orderSide, orderSide == OrderSide.Sell ? _askLevels : _bidLevels);
if (level != null)
{
// If no levels remain
if (level.CloseOrder(volume))
{
EraseLevel(level, orderSide);
}
// Else, mark the level as changed
else
{
level.LastChange(new ChangeId(++_lastChangeId));
}
}
return(false);
}