public void OnBookMessage(L2PackageDto l2Book, BookType bookType)
{
if (l2Book.Type != L2PackageType.SNAPSHOT_FULL_REFRESH)
{
return;
}
AlgoDictionary[bookType] = l2Book;
OnMessageHandler bookHandler = bookType == BookType.QUOTE ? QuoteMessageHandler :
bookType == BookType.SOURCE ? SourceMessageHandler :
bookType == BookType.TARGET ? TargetMessageHandler : HedgeMessageHandler;
bookHandler?.Invoke(this);
}
public void CompareBooks(L2PackageDto sourceBook, L2PackageDto targetBook)
{
Debug.WriteLine("Number Source: {0}, Target: {1}", sourceBook.SequenceNumber, targetBook.SequenceNumber);
Debug.WriteLine("Count of levels. Source {0}, Target: {1}", sourceBook.Entries.Count, targetBook.Entries.Count);
CompareTestValues(sourceBook.Entries.Count, targetBook.Entries.Count,
String.Format("Count of levels is not equal. Source {0}, Quotes: {1}", sourceBook.Entries.Count, targetBook.Entries.Count));
foreach (var level in sourceBook.Entries)
{
var targetLevel = targetBook.Entries.FirstOrDefault(l => l.Side == level.Side && l.Level == level.Level);
CompareTestValues(true, targetLevel != null, String.Format("Level {0} doesn't exist for {1}", level.Level, level.Side));
Debug.WriteLine("Side {3} Level {0}. Source {1}; Target: {2}", level.Level, level.Quantity, targetLevel.Quantity, targetLevel.Side);
CompareTestValues(true, Util.CompareDouble(targetLevel.Quantity, level.Quantity),
String.Format("Qty is not the same at level {0} for {1}. Source {2}; Target: {3}",
level.Level, level.Side, level.Quantity, targetLevel.Quantity));
}
}
public void OnHedgeMessage(L2PackageDto l2Book)
{
OnBookMessage(l2Book, BookType.HEDGE);
}
public void OnTargetMessage(L2PackageDto l2Book)
{
OnBookMessage(l2Book, BookType.TARGET);
}
public void OnSourceMessage(L2PackageDto l2Book)
{
OnBookMessage(l2Book, BookType.SOURCE);
}
public void OnQuoteMessage(L2PackageDto l2Book)
{
OnBookMessage(l2Book, BookType.QUOTE);
}
public static void PrintSpread(L2PackageDto l2Book)
{
Console.WriteLine("spread = {0}", AlgorithmInfo.CalculateSpread(l2Book.Entries));
}
