/// <summary>
/// Deep copies the calling PriceLevel to the PriceLevel object specified as a parameter.
/// </summary>
/// <param name="destinationPriceLevel"></param>
public void CopyInto(PriceLevel destinationPriceLevel)
{
destinationPriceLevel.Price = Price;
destinationPriceLevel.Size = Size;
destinationPriceLevel.UpdateTime = UpdateTime;
destinationPriceLevel.NumberOfOrders = NumberOfOrders;
}
private void InitializeOrderBook(int depth)
{
Bid = new PriceLevel[11];
Ask = new PriceLevel[11];
for (int i = 0; i < depth + 1; i++)
{
Bid[i] = PriceLevel.GetDummy();
Ask[i] = PriceLevel.GetDummy();
}
}
private void MergeDepth(PriceLevel impliedDepthLevel, PriceLevel consolidatedDepthLevel)
{
consolidatedDepthLevel.Size += impliedDepthLevel.Size;
consolidatedDepthLevel.ImpliedSize = impliedDepthLevel.Size;
if (impliedDepthLevel.UpdateTime > consolidatedDepthLevel.UpdateTime)
{
consolidatedDepthLevel.UpdateTime = impliedDepthLevel.UpdateTime;
}
consolidatedDepthLevel.HasImpliedSize = true;
}
private void InsertIntoNonNullLevel(PriceLevel[] consolidatedDepth, PriceLevel impliedDepthLevel, int outrightDepth, int insertionPoint)
{
ShiftDepthLevelsDown(consolidatedDepth, from: outrightDepth, to: insertionPoint);
impliedDepthLevel.CopyInto(consolidatedDepth[insertionPoint]);
}
private void InsertIntoNullLevel(PriceLevel impliedDepthLevel, PriceLevel consolidatedDepthLevel)
{
impliedDepthLevel.CopyInto(consolidatedDepthLevel);
}
private void InsertIntoNullLevel(PriceLevel impliedDepthLevel, PriceLevel consolidatedDepthLevel)
{
impliedDepthLevel.CopyInto(consolidatedDepthLevel);
}
private void InsertIntoNonNullLevel(PriceLevel[] consolidatedDepth, PriceLevel impliedDepthLevel, int outrightDepth, int insertionPoint)
{
ShiftDepthLevelsDown(consolidatedDepth, from: outrightDepth, to: insertionPoint);
impliedDepthLevel.CopyInto(consolidatedDepth[insertionPoint]);
}
private void MergeDepth(PriceLevel impliedDepthLevel, PriceLevel consolidatedDepthLevel)
{
consolidatedDepthLevel.Size += impliedDepthLevel.Size;
consolidatedDepthLevel.ImpliedSize = impliedDepthLevel.Size;
if (impliedDepthLevel.UpdateTime > consolidatedDepthLevel.UpdateTime)
consolidatedDepthLevel.UpdateTime = impliedDepthLevel.UpdateTime;
consolidatedDepthLevel.HasImpliedSize = true;
}
private int GetMatchingOutrightLevel(PriceLevel[] consolidatedDepth, int? impliedPrice, int outrightDepth, ref int previousMatch)
{
for (int i = previousMatch; i < outrightDepth + 1; i++)
{
int? outrightPrice = consolidatedDepth[i].Price;
if (outrightPrice == impliedPrice)
{
previousMatch = i;
return i;
}
if (impliedPrice > outrightPrice)
{
break;
}
}
return 0;
}
private void ShiftDepthLevelsDown(PriceLevel[] depth, int from, int to)
{
for (int i = from; i > to; i--)
{
depth[i - 1].CopyInto(depth[i]);
}
}
private void ShiftDepthLevelsUp(PriceLevel[] depth, DateTime updateTime, int from, int to)
{
for (int i = from; i < to; i++)
{
depth[i + 1].CopyInto(depth[i]);
if (i == Depth - 1)
{
depth[Depth].Delete(updateTime);
}
}
}
private void InitializeOrderBook(int depth)
{
Bid = new PriceLevel[11];
Ask = new PriceLevel[11];
for (int i = 0; i < depth + 1; i++)
{
Bid[i] = PriceLevel.GetDummy();
Ask[i] = PriceLevel.GetDummy();
}
}