public static OrderBookLevel CreateDeleted(LimitOrder order)
{
return(new OrderBookLevel
{
Direction = order.GetOrderDirection(),
Instrument = order.Instrument,
Volume = 0,
Price = order.Price
});
}
public void AddMarketMakerOrder(LimitOrder order)
{
var src = order.GetOrderDirection() == OrderDirection.Buy ? Buy : Sell;
if (!src.ContainsKey(order.Price))
{
src.Add(order.Price, new List <LimitOrder>());
}
var existingOrder = src[order.Price].FirstOrDefault(
item => item.MarketMakerId == order.MarketMakerId);
if (existingOrder != null)
{
existingOrder.Volume = order.Volume;
}
src[order.Price].Add(order);
UpdateBestPrice();
}