public bool Merge(IOrderbook update)
{
if (this.Sequence < update.Sequence)
{
this.Sequence = update.Sequence;
this.Timestamp = update.Timestamp;
if (OfficialAsks.Count() != 0 && OfficialBids.Count() != 0)
{
PreviousLowestAsk = OfficialAsks.Keys.Min();
PreviousHighestBid = OfficialBids.Keys.Max();
}
else
{
PreviousLowestAsk = 0;
PreviousHighestBid = decimal.MaxValue;
}
//Loop through update.asks and update.bids in parallel and either add them to this.asks and this.bids or update the value thats currently there.
update.OfficialAsks.AsParallel().ForAll(UpdateAskLayer);
update.OfficialBids.AsParallel().ForAll(UpdateBidLayer);
var significantChange = SignificantChange(update);
Exchange.OrderbookUpdateQueue.Enqueue(significantChange);
return(significantChange.Item1);
}
return(false);
}
public bool Merge(IOrderbook update)
{
if (this.Sequence < update.Sequence)
{
this.Sequence = update.Sequence;
this.Timestamp = update.Timestamp;
if (OfficialAsks.Count() != 0 && OfficialBids.Count() != 0)
{
PreviousLowestAsk = OfficialAsks.Keys.Min();
PreviousHighestBid = OfficialBids.Keys.Max();
}
else
{
PreviousLowestAsk = 0;
PreviousHighestBid = decimal.MaxValue;
}
OfficialAsks = update.OfficialAsks;
OfficialBids = update.OfficialBids;
var significantChange = SignificantChange(update);
Exchange.OrderbookUpdateQueue.Enqueue(significantChange);
return(significantChange.Item1);
}
return(false);
}
public void UpdateAskLayer(KeyValuePair <decimal, decimal> layer)
{
if (layer.Value > 0)
{
OfficialAsks.AddOrUpdate(layer.Key, layer.Value, (key, oldValue) => oldValue = layer.Value);
}
else
{
OfficialAsks.TryRemove(layer.Key, out var _);
}
}