private List <Level2Quote> CreateLevel2Quotes(HitOrderBookData hitOrderBookData)
{
var quotes = new List <Level2Quote>();
string symbol = hitOrderBookData.Symbol;
var utcNow = Core.Instance.TimeUtils.DateTimeUtcNow;
quotes.AddRange(this.CreateLevel2Quotes(QuotePriceType.Bid, hitOrderBookData.Bids, symbol, utcNow));
quotes.AddRange(this.CreateLevel2Quotes(QuotePriceType.Ask, hitOrderBookData.Asks, symbol, utcNow));
return(quotes);
}
private DOMQuote CreateDOMQuote(HitOrderBookData hitOrderBookData)
{
string symbol = hitOrderBookData.Symbol;
var utcNow = Core.Instance.TimeUtils.DateTimeUtcNow;
var dom = new DOMQuote(symbol, utcNow);
dom.Bids.AddRange(this.CreateLevel2Quotes(QuotePriceType.Bid, hitOrderBookData.Bids, symbol, utcNow));
dom.Asks.AddRange(this.CreateLevel2Quotes(QuotePriceType.Ask, hitOrderBookData.Asks, symbol, utcNow));
return(dom);
}
