public double MinimumPriceTick = 1.0; // smallest price between two adjacent tick prices for orders.
#endregion// members
#region Constructors
// *****************************************************************
// **** Constructors ****
// *****************************************************************
public OrderBook(OrderHub parentOrderHub, InstrumentName instrumentName)
{
this.m_InstrumentName = instrumentName; // store required vars
this.m_ParentHub = parentOrderHub;
// Create Order tag format
DateTime dt = DateTime.Now;
string s1 = string.Format("{0:yy}{1}{2}{3}{4}{5}_", dt, QTMath.GetMonthCode(dt), QTMath.GetBaseSixtyCode(dt.Day),
QTMath.GetBaseSixtyCode(dt.Hour), QTMath.GetBaseSixtyCode(dt.Minute), QTMath.GetBaseSixtyCode(dt.Second));
m_TagFormat = s1 + "{0}"; // Make certain this is unique.
// Create books.
m_ByPrice = new SortedDictionary <int, List <string> > [2]; // TODO: I think, for speed, use List<Order>?
for (int side = 0; side < m_ByPrice.Length; ++side)
{
m_ByPrice[side] = new SortedDictionary <int, List <string> >();
}
}//constructor
//
//
//
#endregion// members
#region Constructors
// *****************************************************************
// **** Constructors ****
// *****************************************************************
public OrderBookEventArgs(OrderHub parentOrderHub, InstrumentName instrumentName, EventTypes orderBookEventType)
{
ParentOrderHub = parentOrderHub;
Instrument = instrumentName;
this.EventType = orderBookEventType;
}
