public object Visit(WebSocket.OrderDone msg)
{
Condition.Requires(msg, "msg").IsNotNull();
Condition.Requires(msg.OrderId, "msg.OrderId").IsNotNullOrEmpty();
if (!msg.Price.HasValue)
{
return(null); // Market order.
}
Level level;
if (!_book.TryGetValue(msg.Price.Value, out level))
{
return(null); // Not an open order.
}
Condition.Requires(level.TotalSize).IsGreaterOrEqual(0m);
Condition.Requires(level.OrderIds).IsNotEmpty();
if (!level.OrderIds.Contains(msg.OrderId))
{
return(null); // Not an open order.
}
if (level.OrderIds.Count == 1)
{
if (!msg.RemainingSize.HasValue)
{
throw new ArgumentException("Price level with no orders and non-zero total size: " + msg);
}
Condition.Requires(msg.RemainingSize.Value).IsEqualTo(level.TotalSize);
if (msg.RemainingSize.Value > 0)
{
_delta.Add(new PriceLevel()
{
Price = msg.Price.Value, SizeDelta = -msg.RemainingSize.Value
});
}
Condition.Requires(_book.Remove(msg.Price.Value)); // Can't fail.
return(null);
}
if (msg.RemainingSize.HasValue)
{
Condition.Requires(msg.RemainingSize.Value, "msg.RemainingSize.Value").IsGreaterOrEqual(0m);
if (msg.RemainingSize.Value > level.TotalSize)
{
throw new ArgumentException("OrderDone with the remaining size exceeding total level size: " + msg);
}
if (msg.RemainingSize.Value > 0)
{
level.TotalSize -= msg.RemainingSize.Value;
_delta.Add(new PriceLevel()
{
Price = msg.Price.Value, SizeDelta = -msg.RemainingSize.Value
});
}
}
Condition.Requires(level.OrderIds.Remove(msg.OrderId)); // Can't fail because of the `if` above.
return(null);
}
public IMessageIn Visit(OrderDone msg)
{
msg.OrderId = (string)_data["order_id"];
msg.Price = (decimal?)_data["price"];
msg.RemainingSize = (decimal?)_data["remaining_size"];
msg.Reason = ParseDoneReason((string)_data["reason"]);
msg.OrderType = ParseOrderType((string)_data["order_type"]);
return(msg);
}
public static IMessageIn Parse(string serialized)
{
var data = Json.ParseObject(serialized);
Condition.Requires(data, "data").IsNotNull();
string type = (string)data["type"];
Condition.Requires(type, "type").IsNotNull();
IMessageIn res = null;
switch (type)
{
case "received":
res = new OrderReceived();
break;
case "open":
res = new OrderOpen();
break;
case "done":
res = new OrderDone();
break;
case "match":
res = new OrderMatch();
break;
case "change":
res = new OrderChange();
break;
default:
throw new ArgumentException("Unexpected message type: " + type);
}
var parser = new MessageParser(data);
parser.ParseCommon(res);
return(res.Visit(parser));
}