public OpenBookReturn(TransaqOpenBook tq, int position, int type)
{
if (tq.Sell > 0 || tq.Sell == -1)
{
this.Side = BidAsk.Ask;
this.Size = tq.Sell;
}
if (tq.Buy > 0 || tq.Buy == -1)
{
this.Side = BidAsk.Bid;
this.Size = tq.Buy;
}
switch (type)
{
case 1:
this.Action = OrderBookAction.Delete;
break;
case 2:
this.Action = OrderBookAction.Insert;
break;
case 3:
this.Action = OrderBookAction.Update;
break;
default:
this.Action = OrderBookAction.Undefined;
break;
}
this.Price = tq.Price;
this.Position = position;
}
public OpenBookReturn(TransaqOpenBook tq, int position, int type)
{
if (tq.Sell > 0 || tq.Sell == -1)
{
this.Side = BidAsk.Ask;
this.Size = tq.Sell;
}
if (tq.Buy > 0 || tq.Buy == -1)
{
this.Side = BidAsk.Bid;
this.Size = tq.Buy;
}
switch (type)
{
case 1:
this.Action = OrderBookAction.Delete;
break;
case 2:
this.Action = OrderBookAction.Insert;
break;
case 3:
this.Action = OrderBookAction.Update;
break;
default:
this.Action = OrderBookAction.Undefined;
break;
}
this.Price = tq.Price;
this.Position = position;
}
private OpenBookReturn Delete(ref TransaqOpenBook tob, ref List <OpenBookData> openBookData)
{
bool flag = true;
if (openBookData.Count == 0)
{
return(new OpenBookReturn(tob, -1, 0));
}
if (openBookData.Count > 0 && flag)
{
for (int index = 0; index < openBookData.Count; ++index)
{
if (openBookData[index].Price == tob.Price)
{
openBookData.RemoveAt(index);
return(new OpenBookReturn(tob, index, 1));
}
}
flag = false;
}
if (openBookData.Count > 0 && !flag)
{
return(new OpenBookReturn(tob, -1, 0));
}
else
{
return(new OpenBookReturn(tob, -1, 0));
}
}
public OpenBookReturn UpdateOpenBook(TransaqOpenBook tob)
{
if (tob.Sell == -1)
return this.Delete(ref tob, ref this.openBookAsk);
if (tob.Buy == -1)
return this.Delete(ref tob, ref this.openBookBid);
if (tob.Sell > 0)
return this.UpdateOrInsert(ref tob, ref this.openBookAsk, "ASK");
if (tob.Buy > 0)
return this.UpdateOrInsert(ref tob, ref this.openBookBid, "DESC");
else
return new OpenBookReturn(tob, -1, 0);
}
private OpenBookReturn Delete(ref TransaqOpenBook tob, ref List<OpenBookData> openBookData)
{
bool flag = true;
if (openBookData.Count == 0)
return new OpenBookReturn(tob, -1, 0);
if (openBookData.Count > 0 && flag)
{
for (int index = 0; index < openBookData.Count; ++index)
{
if (openBookData[index].Price == tob.Price)
{
openBookData.RemoveAt(index);
return new OpenBookReturn(tob, index, 1);
}
}
flag = false;
}
if (openBookData.Count > 0 && !flag)
return new OpenBookReturn(tob, -1, 0);
else
return new OpenBookReturn(tob, -1, 0);
}
public OpenBookReturn UpdateOpenBook(TransaqOpenBook tob)
{
if (tob.Sell == -1)
{
return(this.Delete(ref tob, ref this.openBookAsk));
}
if (tob.Buy == -1)
{
return(this.Delete(ref tob, ref this.openBookBid));
}
if (tob.Sell > 0)
{
return(this.UpdateOrInsert(ref tob, ref this.openBookAsk, "ASK"));
}
if (tob.Buy > 0)
{
return(this.UpdateOrInsert(ref tob, ref this.openBookBid, "DESC"));
}
else
{
return(new OpenBookReturn(tob, -1, 0));
}
}
private OpenBookReturn UpdateOrInsert(ref TransaqOpenBook tob, ref List<OpenBookData> openBookData, string sortType)
{
for (int index = 0; index < openBookData.Count; ++index)
{
if (openBookData[index].Price == tob.Price)
{
openBookData.RemoveAt(index);
openBookData.Insert(index, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
return new OpenBookReturn(tob, index, 3);
}
}
if (openBookData.Count == 0)
{
openBookData.Insert(0, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
return new OpenBookReturn(tob, 0, 2);
}
else
{
if (openBookData.Count > 0 && sortType == "ASK")
{
if (tob.Price < Enumerable.First<OpenBookData>((IEnumerable<OpenBookData>) openBookData).Price)
{
openBookData.Insert(0, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
return new OpenBookReturn(tob, 0, 2);
}
else if (tob.Price > Enumerable.Last<OpenBookData>((IEnumerable<OpenBookData>) openBookData).Price)
{
openBookData.Add(new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
return new OpenBookReturn(tob, openBookData.Count - 1, 2);
}
else
{
for (int index = 0; index < openBookData.Count - 1; ++index)
{
if (openBookData[index].Price < tob.Price && tob.Price < openBookData[index + 1].Price)
{
openBookData.Insert(index + 1, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
return new OpenBookReturn(tob, index + 1, 2);
}
}
}
}
if (openBookData.Count > 0 && sortType == "DESC")
{
if (tob.Price > Enumerable.First<OpenBookData>((IEnumerable<OpenBookData>) openBookData).Price)
{
openBookData.Insert(0, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
return new OpenBookReturn(tob, 0, 2);
}
else if (tob.Price < Enumerable.Last<OpenBookData>((IEnumerable<OpenBookData>) openBookData).Price)
{
openBookData.Add(new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
return new OpenBookReturn(tob, openBookData.Count - 1, 2);
}
else
{
for (int index = 0; index < openBookData.Count - 1; ++index)
{
if (openBookData[index].Price > tob.Price && tob.Price > openBookData[index + 1].Price)
{
openBookData.Insert(index + 1, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
return new OpenBookReturn(tob, index + 1, 2);
}
}
}
}
return new OpenBookReturn(tob, -1, 0);
}
}
private void AddQuote(string data)
{
TransaqOpenBook tob = new TransaqOpenBook(data);
if (this.selectedSecurity == SecuritySelector.seccode)
{
OpenBookReturn openBookReturn = this.openBookBySecId[tob.SecId].UpdateOpenBook(tob);
if (!this.instrumentBySymbol.ContainsKey(tob.SecCode))
return;
this.EmitNewOrderBookUpdate(this.instrumentBySymbol[tob.SecCode], Clock.Now, openBookReturn.Side, openBookReturn.Action, openBookReturn.Price, openBookReturn.Size, openBookReturn.Position);
}
else
{
if (this.selectedSecurity != SecuritySelector.seccode_board)
return;
OpenBookReturn openBookReturn = this.openBookBySCB[tob.SecCodeBoard].UpdateOpenBook(tob);
if (!this.instrumentBySymbol.ContainsKey(tob.SecCodeBoard))
return;
this.EmitNewOrderBookUpdate(this.instrumentBySymbol[tob.SecCodeBoard], Clock.Now, openBookReturn.Side, openBookReturn.Action, openBookReturn.Price, openBookReturn.Size, openBookReturn.Position);
}
}
private OpenBookReturn UpdateOrInsert(ref TransaqOpenBook tob, ref List <OpenBookData> openBookData, string sortType)
{
for (int index = 0; index < openBookData.Count; ++index)
{
if (openBookData[index].Price == tob.Price)
{
openBookData.RemoveAt(index);
openBookData.Insert(index, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
return(new OpenBookReturn(tob, index, 3));
}
}
if (openBookData.Count == 0)
{
openBookData.Insert(0, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
return(new OpenBookReturn(tob, 0, 2));
}
else
{
if (openBookData.Count > 0 && sortType == "ASK")
{
if (tob.Price < Enumerable.First <OpenBookData>((IEnumerable <OpenBookData>)openBookData).Price)
{
openBookData.Insert(0, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
return(new OpenBookReturn(tob, 0, 2));
}
else if (tob.Price > Enumerable.Last <OpenBookData>((IEnumerable <OpenBookData>)openBookData).Price)
{
openBookData.Add(new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
return(new OpenBookReturn(tob, openBookData.Count - 1, 2));
}
else
{
for (int index = 0; index < openBookData.Count - 1; ++index)
{
if (openBookData[index].Price < tob.Price && tob.Price < openBookData[index + 1].Price)
{
openBookData.Insert(index + 1, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
return(new OpenBookReturn(tob, index + 1, 2));
}
}
}
}
if (openBookData.Count > 0 && sortType == "DESC")
{
if (tob.Price > Enumerable.First <OpenBookData>((IEnumerable <OpenBookData>)openBookData).Price)
{
openBookData.Insert(0, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
return(new OpenBookReturn(tob, 0, 2));
}
else if (tob.Price < Enumerable.Last <OpenBookData>((IEnumerable <OpenBookData>)openBookData).Price)
{
openBookData.Add(new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
return(new OpenBookReturn(tob, openBookData.Count - 1, 2));
}
else
{
for (int index = 0; index < openBookData.Count - 1; ++index)
{
if (openBookData[index].Price > tob.Price && tob.Price > openBookData[index + 1].Price)
{
openBookData.Insert(index + 1, new OpenBookData(tob.Price, tob.Buy == 0 ? tob.Sell : tob.Buy));
return(new OpenBookReturn(tob, index + 1, 2));
}
}
}
}
return(new OpenBookReturn(tob, -1, 0));
}
}