public DepthLevel FindLevel(Price price, bool isBid, bool shouldCreate)
{
DepthLevel result;
var levels = isBid ? Bids : Asks;
var excessLevels = isBid ? _excessBidLevels : _excessAskLevels;
if (levels.TryGetValue(price, out result))
{
return(result);
}
if (excessLevels.TryGetValue(price, out result))
{
return(result);
}
if (shouldCreate)
{
if (levels.Count < _size)
{
result = new DepthLevel(price, false);
++LastChange;
result.LastChange = LastChange;
levels.Add(price, result);
foreach (KeyValuePair <Price, DepthLevel> depthLevel in levels)
{
if (isBid && price > depthLevel.Value.Price)
{
depthLevel.Value.LastChange = LastChange;
}
if (!isBid && price < depthLevel.Value.Price)
{
depthLevel.Value.LastChange = LastChange;
}
}
return(result);
}
var lastLevelPrice = LastLevel(levels);
if (isBid && price < lastLevelPrice)
{
// add to excess bid levels
var newDepthLevel = new DepthLevel(price, true);
excessLevels.Add(price, newDepthLevel);
result = newDepthLevel;
return(result);
}
if (!isBid && price > lastLevelPrice)
{
// add to excess ask levels
var newDepthLevel = new DepthLevel(price, true);
_excessAskLevels.Add(price, newDepthLevel);
result = newDepthLevel;
return(result);
}
foreach (KeyValuePair <Price, DepthLevel> x in levels)
{
if (isBid && x.Key < price)
{
InsertLevel(price, true);
levels.TryGetValue(price, out result);
break;
}
if (!isBid && x.Key > price)
{
InsertLevel(price, false);
levels.TryGetValue(price, out result);
break;
}
}
}
return(result);
}
