private static PriceLevel GetPriceLevel(Price price, SortedDictionary <Price, PriceLevel> side)
{
if (!side.TryGetValue(price, out PriceLevel priceLevel))
{
priceLevel = new PriceLevel(price);
side.Add(price, priceLevel);
}
return(priceLevel);
}
public void AddStopOrder(Order order)
{
order.Sequnce = ++_sequence;
if (order.IsBuy)
{
PriceLevel priceLevel = GetPriceLevel(order.StopPrice, _stopBid);
priceLevel.AddOrder(order);
if (_bestStopBidPriceLevel == null || order.StopPrice < _bestStopBidPriceLevel.Price)
{
_bestStopBidPriceLevel = priceLevel;
}
}
else
{
PriceLevel priceLevel = GetPriceLevel(order.StopPrice, _stopAsk);
priceLevel.AddOrder(order);
if (_bestStopAskPriceLevel == null || order.StopPrice > _bestStopAskPriceLevel.Price)
{
_bestStopAskPriceLevel = priceLevel;
}
}
}
public void AddStopOrder(Order order, Price stopPrice)
{
order.Sequnce = ++_sequence;
_stopDictionary.Add(order.OrderId, stopPrice);
if (order.IsBuy)
{
PriceLevel priceLevel = GetPriceLevel(stopPrice, _stopBid);
priceLevel.AddOrder(order);
if (_bestStopBidPriceLevel == null || stopPrice < _bestStopBidPriceLevel.Price)
{
_bestStopBidPriceLevel = priceLevel;
}
}
else
{
PriceLevel priceLevel = GetPriceLevel(stopPrice, _stopAsk);
priceLevel.AddOrder(order);
if (_bestStopAskPriceLevel == null || stopPrice > _bestStopAskPriceLevel.Price)
{
_bestStopAskPriceLevel = priceLevel;
}
}
}