/// <summary>
/// Get middle of spread.
/// </summary>
/// <param name="message">Market depth.</param>
/// <returns>The middle of spread. Is <see langword="null" />, if quotes are empty.</returns>
public static decimal?GetSpreadMiddle(this QuoteChangeMessage message)
{
var bestBid = message.GetBestBid();
var bestAsk = message.GetBestAsk();
return((bestBid?.Price).GetSpreadMiddle(bestAsk?.Price));
}
/// <summary>
/// To convert quotes.
/// </summary>
/// <param name="message">Quotes.</param>
/// <returns>Stream <see cref="ExecutionMessage"/>.</returns>
public IEnumerable<ExecutionMessage> ToExecutionLog(QuoteChangeMessage message)
{
if (message == null)
throw new ArgumentNullException(nameof(message));
if (!_priceStepUpdated || !_volumeStepUpdated)
{
var quote = message.GetBestBid() ?? message.GetBestAsk();
if (quote != null)
{
_securityDefinition.PriceStep = quote.Price.GetDecimalInfo().EffectiveScale.GetPriceStep();
_securityDefinition.VolumeStep = quote.Volume.GetDecimalInfo().EffectiveScale.GetPriceStep();
_priceStepUpdated = true;
_volumeStepUpdated = true;
}
}
_lastDepthDate = message.LocalTime.Date;
// чтобы склонировать внутренние котировки
//message = (QuoteChangeMessage)message.Clone();
// TODO для ускорения идет shallow copy котировок
var newBids = message.IsSorted ? message.Bids : message.Bids.OrderByDescending(q => q.Price);
var newAsks = message.IsSorted ? message.Asks : message.Asks.OrderBy(q => q.Price);
return ProcessQuoteChange(message.LocalTime, message.ServerTime, newBids.ToArray(), newAsks.ToArray());
}
/// <summary>
/// To process the message, containing data on order book.
/// </summary>
/// <param name="quoteMsg">The message, containing data on order book.</param>
public void ProcessQuotes(QuoteChangeMessage quoteMsg)
{
var ask = quoteMsg.GetBestAsk();
AskPrice = ask != null ? ask.Price : 0;
var bid = quoteMsg.GetBestBid();
BidPrice = bid != null ? bid.Price : 0;
_unrealizedPnL = null;
}
