private void SessionOnStil2Update(ref structSTIL2Update structL2Update)
{
var depth = _depths[structL2Update.bstrSymbol];
var quote = new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal)structL2Update.fPrice, structL2Update.nQty);
var quotes = quote.Side == Sides.Sell ? depth.Item1 : depth.Item2;
switch (structL2Update.bstrAction)
{
case "A": // add
{
quotes.Add(quote);
break;
}
case "C": // change
{
quotes.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
quotes.Add(quote);
break;
}
case "D": // delete
{
quotes.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
var board = structL2Update.bstrMaker;
if (board.IsEmpty())
{
board = AssociatedBoardCode;
}
var message = new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structL2Update.bstrSymbol,
BoardCode = board,
},
Asks = depth.Item1.ToArray(),
Bids = depth.Item2.ToArray(),
ServerTime = structL2Update.bstrTime.StrToTime(),
};
SendOutMessage(message);
}
private void SessionOnStil2Update(ref structSTIL2Update structL2Update)
{
var asksUpdate = _depths[structL2Update.bstrSymbol].Item1;
var bidsUpdate = _depths[structL2Update.bstrSymbol].Item2;
var quote = new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal)structL2Update.fPrice, structL2Update.nQty)
{
BoardCode = structL2Update.bstrMaker
};
switch (structL2Update.bstrSide.ToSide())
{
case Sides.Buy:
{
switch (structL2Update.bstrAction)
{
case "A": // add
{
bidsUpdate.Add(quote);
break;
}
case "C": // change
{
bidsUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
bidsUpdate.Add(quote);
break;
}
case "D": // delete
{
bidsUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
break;
}
case Sides.Sell:
{
switch (structL2Update.bstrAction)
{
case "A": // add
{
asksUpdate.Add(quote);
break;
}
case "C": // change
{
asksUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
asksUpdate.Add(quote);
break;
}
case "D": // delete
{
asksUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
break;
}
}
var message = new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structL2Update.bstrSymbol,
BoardCode = "All",
},
Asks = asksUpdate,
Bids = bidsUpdate,
ServerTime = structL2Update.bstrTime.StrToTime(),
};
SendOutMessage(message);
}
private void SessionOnStil2Update(ref structSTIL2Update structL2Update)
{
var depth = _depths[structL2Update.bstrSymbol];
var quote = new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal)structL2Update.fPrice, structL2Update.nQty);
var quotes = quote.Side == Sides.Sell ? depth.Item1 : depth.Item2;
switch (structL2Update.bstrAction)
{
case "A": // add
{
quotes.Add(quote);
break;
}
case "C": // change
{
quotes.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
quotes.Add(quote);
break;
}
case "D": // delete
{
quotes.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
var board = structL2Update.bstrMaker;
if (board.IsEmpty())
board = AssociatedBoardCode;
var message = new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structL2Update.bstrSymbol,
BoardCode = board,
},
Asks = depth.Item1.ToArray(),
Bids = depth.Item2.ToArray(),
ServerTime = structL2Update.bstrTime.StrToTime(),
};
SendOutMessage(message);
}
private void SessionOnStil2Update(ref structSTIL2Update structL2Update)
{
var asksUpdate = _depths[structL2Update.bstrSymbol].Item1;
var bidsUpdate = _depths[structL2Update.bstrSymbol].Item2;
var quote = new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal) structL2Update.fPrice, structL2Update.nQty) {BoardCode = structL2Update.bstrMaker};
switch (structL2Update.bstrSide.ToSide())
{
case Sides.Buy:
{
switch (structL2Update.bstrAction)
{
case "A": // add
{
bidsUpdate.Add(quote);
break;
}
case "C": // change
{
bidsUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
bidsUpdate.Add(quote);
break;
}
case "D": // delete
{
bidsUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
break;
}
case Sides.Sell:
{
switch (structL2Update.bstrAction)
{
case "A": // add
{
asksUpdate.Add(quote);
break;
}
case "C": // change
{
asksUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
asksUpdate.Add(quote);
break;
}
case "D": // delete
{
asksUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
break;
}
}
var message = new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structL2Update.bstrSymbol,
BoardCode = "All",
},
Asks = asksUpdate,
Bids = bidsUpdate,
ServerTime = structL2Update.bstrTime.StrToTime(),
};
SendOutMessage(message);
}
