private void SetQuote(Quote quote, bool isAggregate)
{
CheckQuote(quote);
Quote outOfDepthQuote = null;
lock (_syncRoot)
{
var quotes = GetQuotes(quote.OrderDirection);
var index = GetQuoteIndex(quotes, quote.Price);
if (index != -1)
{
if (isAggregate)
{
var existedQuote = quotes[index];
if (UseAggregatedQuotes)
{
var aggQuote = existedQuote as AggregatedQuote;
if (aggQuote == null)
{
aggQuote = new AggregatedQuote
{
Price = quote.Price,
Security = quote.Security,
OrderDirection = quote.OrderDirection
};
aggQuote.InnerQuotes.Add(existedQuote);
quotes[index] = aggQuote;
}
aggQuote.InnerQuotes.Add(quote);
}
else
{
existedQuote.Volume += quote.Volume;
}
}
else
{
quotes[index] = quote;
}
}
else
{
for (index = 0; index < quotes.Length; index++)
{
var currentPrice = quotes[index].Price;
if (quote.OrderDirection == Sides.Buy)
{
if (quote.Price > currentPrice)
{
break;
}
}
else
{
if (quote.Price < currentPrice)
{
break;
}
}
}
Array.Resize(ref quotes, quotes.Length + 1);
if (index < (quotes.Length - 1))
{
Array.Copy(quotes, index, quotes, index + 1, quotes.Length - 1 - index);
}
quotes[index] = quote;
if (quotes.Length > MaxDepth)
{
outOfDepthQuote = quotes[quotes.Length - 1];
quotes = RemoveAt(quotes, quotes.Length - 1);
}
if (quote.OrderDirection == Sides.Buy)
{
Bids = quotes;
}
else
{
Asks = quotes;
}
}
UpdateDepthAndTime();
if (quotes.Length > MaxDepth)
{
throw new InvalidOperationException(LocalizedStrings.Str486Params.Put(MaxDepth, quotes.Length));
}
}
RaiseQuotesChanged();
if (outOfDepthQuote != null)
{
QuoteOutOfDepth.SafeInvoke(outOfDepthQuote);
}
}
/// <summary>
/// To refresh the quote. If a quote with the same price is already in the order book, it is updated as passed. Otherwise, it automatically rebuilds the order book.
/// </summary>
/// <param name="quote">The new quote.</param>
public void UpdateQuote(Quote quote)
{
SetQuote(quote, false);
}
/// <summary>
/// To add the quote. If a quote with the same price is already in the order book, they are combined into the <see cref="AggregatedQuote"/>.
/// </summary>
/// <param name="quote">The new quote.</param>
public void AddQuote(Quote quote)
{
SetQuote(quote, true);
}
public static QuoteChange ToQuoteChange(this Quote quote)
{
return(new QuoteChange(quote.Price, quote.Volume, quote.OrdersCount, quote.Condition));
}