static QuoteLevel2Data[] BuildQuoteMultiLevelData(Quote[] quotesData, int depth)
{
var itemsToAdd = new List <QuoteLevel2Data>(capacity: quotesData.Length * depth);
var prevTime = new DateTime(1970, 1, 1);
var indexOrder = 0;
foreach (var quote in quotesData)
{
if (prevTime == quote.CreatingTime)
{
indexOrder++;
}
else
{
indexOrder = 0;
prevTime = quote.CreatingTime;
}
var timeSpan = quote.CreatingTime.Subtract(prevTime).TotalMilliseconds;
var maxLength = Math.Max(quote.Asks.Length, quote.Bids.Length);
for (var index = 0; index < depth; index++)
{
var quoteEntryAsk = index < maxLength && index < quote.Asks.Length ? quote.Asks[index] : NullQuote;
var quoteEntryBid = index < maxLength && index < quote.Bids.Length ? quote.Bids[index] : NullQuote;
if (quoteEntryAsk.Price.Equals(NullQuote.Price) && quoteEntryBid.Price.Equals(NullQuote.Price))
{
continue;
}
var newQuoteL2Data = new QuoteLevel2Data()
{
AskVolume = quoteEntryAsk.Volume,
AsksPrice = quoteEntryAsk.Price,
BidVolume = quoteEntryBid.Volume,
BidPrice = quoteEntryBid.Price,
CreateTime = quote.CreatingTime,
IndexOrder = timeSpan + indexOrder / 100.0,
Level = index + 1
};
itemsToAdd.Add(newQuoteL2Data);
}
}
QuoteLevel2Data[] quoteLevel2Data = itemsToAdd.ToArray();
return(quoteLevel2Data);
}
static QuoteLevel2Data[] BuildQuoteMultiLevelData(Quote[] quotesData, int depth)
{
var itemsToAdd = new List<QuoteLevel2Data>(capacity: quotesData.Length*depth);
var prevTime = new DateTime(1970, 1, 1);
var indexOrder = 0;
foreach (var quote in quotesData)
{
if (prevTime == quote.CreatingTime)
{
indexOrder++;
} else
{
indexOrder = 0;
}
var timeSpan = quote.CreatingTime.Subtract(prevTime).TotalMilliseconds;
var maxLength = Math.Max(quote.Asks.Length, quote.Bids.Length);
for (var index = 0; index < depth; index++) {
var quoteEntryAsk = index < maxLength && index<quote.Asks.Length ? quote.Asks[index] : NullQuote;
var quoteEntryBid = index < maxLength && index < quote.Bids.Length ? quote.Bids[index] : NullQuote;
if (quoteEntryAsk.Price.Equals(NullQuote.Price) && quoteEntryBid.Price.Equals(NullQuote.Price))
continue;
var newQuoteL2Data = new QuoteLevel2Data() {
AskVolume = quoteEntryAsk.Volume,
AsksPrice = quoteEntryAsk.Price,
BidVolume = quoteEntryBid.Volume,
BidPrice = quoteEntryBid.Price,
CreateTime = quote.CreatingTime,
IndexOrder = timeSpan + indexOrder / 100.0,
Level = index+1
};
itemsToAdd.Add(newQuoteL2Data);
}
}
QuoteLevel2Data[] quoteLevel2Data = itemsToAdd.ToArray();
return quoteLevel2Data;
}
