public AggregateBook(int depth, IEnumerable <AggregateBookLevel> bids, IEnumerable <AggregateBookLevel> asks)
{
Depth = depth;
Bids = new AggregateBookLevel[depth];
Asks = new AggregateBookLevel[depth];
var b = bids.ToArray();
var a = asks.ToArray();
for (int i = 0; i < 10; i++)
{
if (i < b.Length)
{
Bids[i] = b[i];
}
if (i < a.Length)
{
Asks[i] = a[i];
}
}
}
public AggregateBook(int depth)
{
Depth = depth;
Bids = new AggregateBookLevel[depth];
Asks = new AggregateBookLevel[depth];
}