private static bool HasIntervalThatIsSubsetOfInterval(
C5.TreeDictionary <ulong, ulong> regions,
ulong regionStart,
ulong regionEnd)
{
// Is there any region in whose [start, end] interval is a sub-interval of
// [regionStart, regionEnd]?
// TryWeakSuccessor gives us the first region whose start is >= regionStart,
// but there could be more regions with start >= regionStart and end <= regionEnd.
// Need to traverse successors until start > regionEnd, making containment impossible.
C5.KeyValuePair <ulong, ulong> range;
if (regions.TryWeakSuccessor(regionStart, out range))
{
if (range.Key >= regionStart && range.Value <= regionEnd)
{
return(true);
}
}
while (regions.TrySuccessor(range.Key, out range))
{
if (range.Key > regionEnd)
{
break;
}
if (range.Key >= regionStart && range.Value <= regionEnd)
{
return(true);
}
}
return(false);
}
public double getAskPrice(double vol)
{
if (_asks.Count > 0)
{
double vtot = 0.0;
bool virgin = true;
double p = -1.0;
//Console.WriteLine ("********************************************");
do
{
if (virgin)
{
p = (double)_asks.FindMin().Key;
virgin = false;
}
else
{
C5.KeyValuePair <double, IList <IOrder_Mutable> > kvp;
if (_asks.TrySuccessor(p, out kvp))
{
double newp = kvp.Key;
if (newp == p)
{
Console.WriteLine("newp = p = " + p);
Console.WriteLine("Orderbook = " + this.ToStringLong());
Environment.Exit(-1);
}
p = newp;
}
else
{
Console.WriteLine("ORDERBOOK ASYMMETRY CONDITION in getAskPrice, searching for AskPrice to capture BidVolume = " + vol);
Console.WriteLine("Orderbook = " + this.ToStringLong());
Environment.Exit(-1);
return(p + PUSH_OUT_FACTOR * (p - getLowestAsk()));
}
}
IList <IOrder_Mutable> orders = _asks[p];
foreach (IOrder_Mutable o in orders)
{
if (!o.isFilled() && !o.isCancelled())
{
vtot += o.getVolume();
if (vtot >= vol)
{
return(p);
}
}
}
//Console.WriteLine ("* xxx p="+p);
}while (true);
}
return(-1.0);
}