public void UpdateDelta(BfBoard orders)
{
MidPrice = orders.MidPrice;
foreach (var bid in orders.Bids)
{
if (bid.Size == decimal.Zero)
{
_bids.Remove(bid.Price);
}
else
{
_bids[bid.Price] = bid.Size;
}
}
if (_bids.Count() == 0)
{
_bestBid = DefaultElement;
TotalBidDepth = 0;
}
else
{
_bestBid = _bids.Last();
TotalBidDepth = _bids.Values.Sum();
}
foreach (var ask in orders.Asks)
{
if (ask.Size == decimal.Zero)
{
_asks.Remove(ask.Price);
}
else
{
_asks[ask.Price] = ask.Size;
}
}
if (_asks.Count() == 0)
{
_bestAsk = DefaultElement;
TotalAskDepth = 0;
}
else
{
_bestAsk = _asks.First();
TotalAskDepth = _asks.Values.Sum();
}
}
public void Reset(BfBoard orders)
{
MidPrice = orders.MidPrice;
TotalBidDepth = 0;
_bids.Clear(); orders.Bids.ForEach(e =>
{
_bids.Add(e.Price, e.Size);
TotalBidDepth += e.Size;
});
_bestBid = _bids.Last();
TotalAskDepth = 0;
_asks.Clear(); orders.Asks.ForEach(e =>
{
_asks.Add(e.Price, e.Size);
TotalAskDepth += e.Size;
});
_bestAsk = _asks.First();
}
