protected override PriceCalculationRow[] GetMaximumVolumeRows(PriceCalculationRow[] table)
{
decimal maxVolume = 0;
foreach (PriceCalculationRow row in table)
{
row.TradeableQuantity = Math.Min(row.AggregateBuyQuantity, row.AggregateSellQuantity);
if (row.TradeableVolume > maxVolume)
maxVolume = row.TradeableVolume;
}
return table.Where(r => r.TradeableVolume == maxVolume).ToArray();
}
protected override PriceCalculationRow[] GetMinimumOrderImbalanceRows(PriceCalculationRow[] table)
{
decimal minImbalance = decimal.MaxValue;
foreach (PriceCalculationRow row in table)
{
row.NormalOrderImbalance = Math.Abs(row.AggregateBuyQuantity - row.AggregateSellQuantity) * row.Price;
if (row.NormalOrderImbalance < minImbalance)
minImbalance = row.NormalOrderImbalance;
}
return table.Where(r => r.NormalOrderImbalance == minImbalance).ToArray();
}
protected override PriceCalculationRow[] GetMaximumQuantityRows(PriceCalculationRow[] table)
{
int maxQuantity = 0;
foreach (PriceCalculationRow row in table)
{
row.TradeableQuantity = Math.Min(row.AggregateBuyQuantity, row.AggregateSellQuantity);
if (row.TradeableQuantity > maxQuantity)
maxQuantity = row.TradeableQuantity;
}
return table.Where(r => r.TradeableQuantity == maxQuantity).ToArray();
}
