Exemple #1
0
 public DepthInfo(MarketMakerStats mms, MarketDepth md, int level)
 {
     this.mms   = mms;
     this.md    = md;
     this.level = level;
 }
Exemple #2
0
        public void Update(MarketMakerStats mms, MarketDepth md)
        {
            int            keyindex;
            int            level;
            double         price = md.Price;
            LimitBookEntry lbe;
            int            HiChanged = 0;
            int            LoChanged = 0;

            lock (entries) {
                level = OneUnified.SmartQuant.Convert.DoublePriceToIntStock(md.Price);

                DepthInfo di = new DepthInfo(mms, md, level);

                // obtain level at which depth is used
                if (entries.ContainsKey(level))
                {
                    keyindex = entries.IndexOfKey(level);
                    lbe      = entries.Values[keyindex];
                }
                else
                {
                    lbe = new LimitBookEntry(level, md.Price);
                    entries.Add(level, lbe);
                    keyindex = entries.IndexOfKey(level);
                }

                // update the level, and signal change event
                //lbe.Update(mms, md);
                di.Object = base.Add(md.DateTime, di);
                lbe.Update(di);
                if (null != PriceBookRowChanged)
                {
                    PriceBookRowChanged(this, level, lbe.Price, lbe.Size);
                }

                // used for indicating inside quote changed (is this useful due to problems with expiration?)
                if (0 == keyindex)
                {
                    LoChanged++;
                }
                if (entries.Count - 1 == keyindex)
                {
                    HiChanged++;
                }

                // if level has no active depth markers, remove it
                if (0 == lbe.Size)
                {
                    entries.RemoveAt(keyindex);
                    if (0 == keyindex)
                    {
                        LoChanged++;
                    }
                    if (entries.Count == keyindex) // matches without the '-1' with the removal
                    {
                        HiChanged++;
                    }
                }

                // signal event that inside quote has changed (again, not sure if this will actually work properly,
                //   as we are using quotes to clear this stuff out.
                if (entries.Count > 0)
                {
                    if (0 < HiChanged)
                    {
                        // highest changed so indicate as such, other code will determine if it is a new inside or not
                        int ix = entries.Count - 1;
                        if (null != PriceBookHiEdgeChanged)
                        {
                            PriceBookHiEdgeChanged(this, ix, entries.Keys[ix], entries.Values[ix].Price);
                        }
                    }
                    if (0 < LoChanged)
                    {
                        // lowest changed so indicate as such, other code will determine if it is a new inside or not
                        if (null != PriceBookLoEdgeChanged)
                        {
                            PriceBookLoEdgeChanged(this, 0, entries.Keys[0], entries.Values[0].Price);
                        }
                    }
                }
                ;
            }
        }