static OrderBookAllocator()
{
if (!OrderBook.AllowOrderBookHistory)
{
return;
}
pool = new List <List <OrderBookEntry> >(100000);
for (int i = 0; i < 100000; i++)
{
List <OrderBookEntry> list = new List <OrderBookEntry>(OrderBook.Depth);
for (int j = 0; j < OrderBook.Depth; j++)
{
list[j] = new OrderBookEntry();
}
pool.Add(list);
}
}
void CalcVolume(List <OrderBookEntry> list, out double volume, out double exp, out double disp, int depth)
{
int count = Math.Min(depth, list.Count);
int index = 0;
volume = 0;
exp = 0;
disp = 0;
for (int i = 0; i < list.Count; i++)
{
OrderBookEntry e = list[i];
volume += e.Amount;
exp += e.Amount * e.Value;
index++;
if (index == count)
{
break;
}
}
exp /= list.Count;
if (volume == 0)
{
exp = 0;
disp = 0;
return;
}
index = 0;
double invVolume = 1.0 / volume;
double qexp = exp * exp;
for (int i = 0; i < list.Count; i++)
{
OrderBookEntry e = list[i];
disp += (e.Value * e.Value) * e.Amount * invVolume - qexp;
index++;
if (index == count)
{
break;
}
}
}
protected void ApplyIncrementalUpdate(string rateString, string amountString, List <OrderBookEntry> list, bool ascending)
{
double value = FastValueConverter.Convert(rateString);
double amount = FastValueConverter.Convert(amountString);
int index = 0;
if (amount == 0)
{
for (int i = 0; i < list.Count; i++)
{
OrderBookEntry e = list[i];
if (IsEqual(e.Value, value))
{
list.Remove(e);
return;
}
}
if (EnableValidationOnRemove)
{
IsDirty = true;
}
return;
}
if (ascending)
{
for (int i = 0; i < list.Count; i++)
{
OrderBookEntry e = list[i];
if (IsEqual(e.Value, value))
{
e.AmountString = amountString;
return;
}
if (e.Value > value)
{
OrderBookEntry ee = new OrderBookEntry()
{
ValueString = rateString, AmountString = amountString
};
list.Insert(index, ee);
return;
}
index++;
}
}
else
{
for (int i = 0; i < list.Count; i++)
{
OrderBookEntry e = list[i];
if (IsEqual(e.Value, value))
{
e.AmountString = amountString;
return;
}
if (e.Value < value)
{
OrderBookEntry ee = new OrderBookEntry()
{
ValueString = rateString, AmountString = amountString
};
list.Insert(index, ee);
return;
}
index++;
}
}
OrderBookEntry addE = new OrderBookEntry()
{
ValueString = rateString, AmountString = amountString
};
list.Add(addE);
}
protected void ApplyIncrementalUpdate(long id, OrderBookUpdateType type, string rateString, string amountString, List <OrderBookEntry> list, bool ascending)
{
int index = 0;
if (type == OrderBookUpdateType.Remove)
{
for (int i = 0; i < list.Count; i++)
{
OrderBookEntry e = list[i];
if (e.Id == id)
{
list.Remove(e);
return;
}
}
if (EnableValidationOnRemove)
{
IsDirty = true;
}
return;
}
double amount = FastValueConverter.Convert(amountString);
if (type == OrderBookUpdateType.Modify)
{
for (int i = 0; i < list.Count; i++)
{
OrderBookEntry e = list[i];
if (e.Id == id)
{
e.Amount = amount;
return;
}
}
if (EnableValidationOnRemove)
{
IsDirty = true;
}
return;
}
double value = FastValueConverter.Convert(rateString);
if (ascending)
{
for (int i = 0; i < list.Count; i++)
{
OrderBookEntry e = list[i];
if (e.Value > value)
{
OrderBookEntry ee = new OrderBookEntry()
{
ValueString = rateString, AmountString = amountString, Id = id
};
list.Insert(index, ee);
return;
}
index++;
}
}
else
{
for (int i = 0; i < list.Count; i++)
{
OrderBookEntry e = list[i];
if (e.Value < value)
{
OrderBookEntry ee = new OrderBookEntry()
{
ValueString = rateString, AmountString = amountString, Id = id
};
list.Insert(index, ee);
return;
}
index++;
}
}
OrderBookEntry addE = new OrderBookEntry()
{
ValueString = rateString, AmountString = amountString, Id = id
};
list.Add(addE);
}
public void UpdateEntries()
{
LastUpdateTime = DateTime.Now;
if (Bids.Count == 0 || Asks.Count == 0)
{
return;
}
HighestBid = Bids[0].Value;
LowestAsk = Asks[0].Value;
if (UpdateEntriesCount == 0)
{
return;
}
if (!AllowAdditionalCalculations)
{
return;
}
double MaxVolume = 0;
double vt = 0;
for (int i = 0; i < Bids.Count; i++)
{
OrderBookEntry e = Bids[i];
e.Volume = e.Value * e.Amount;
vt += e.Volume;
e.VolumeTotal = vt;
MaxVolume = Math.Max(MaxVolume, e.Volume);
}
vt = 0;
for (int i = 0; i < Asks.Count; i++)
{
OrderBookEntry e = Asks[i];
e.Volume = e.Value * e.Amount;
vt += e.Volume;
e.VolumeTotal = vt;
MaxVolume = Math.Max(MaxVolume, e.Volume);
}
double mv = Asks.Count == 0 ? 0 : Asks.Last().VolumeTotal;
vt = 0;
if (AllowInvertedAsks)
{
for (int i = 0; i < AsksInverted.Count; i++)
{
OrderBookEntry e = AsksInverted[i];
e.Volume = e.Value * e.Amount;
vt += e.Volume;
e.VolumeTotal = mv - vt;
}
}
if (MaxVolume == 0)
{
return;
}
MaxVolume = 1 / MaxVolume;
for (int i = 0; i < Bids.Count; i++)
{
OrderBookEntry e = Bids[i];
e.VolumePercent = e.Volume * MaxVolume;
}
for (int i = 0; i < Asks.Count; i++)
{
OrderBookEntry e = Asks[i];
e.VolumePercent = e.Volume * MaxVolume;
}
if (AllowInvertedAsks)
{
for (int i = 0; i < AsksInverted.Count; i++)
{
OrderBookEntry e = AsksInverted[i];
e.VolumePercent = e.Volume * MaxVolume;
}
}
}
