private static void Symbol_NewLevel2(Symbol symbol, Level2Quote level2, DOMQuote dom)
{
// Snapshot level2 update
if (dom != null)
{
List <Level2Quote> bids = dom.Bids;
List <Level2Quote> asks = dom.Asks;
}
// Incremental level2 update
if (level2 != null)
{
QuotePriceType priceType = level2.PriceType; // Bid or Ask
double price = level2.Price;
double size = level2.Size;
if (level2.Closed)
{
// If level is closed and should be deleted
}
}
// Get market depth info from symbol
var depthOfMarket = symbol.DepthOfMarket.GetDepthOfMarketAggregatedCollections();
}
private DOMQuote CreateDOMQuote(List <BitfinexBookItem> bitfinexBook)
{
DateTime utcNow = Core.Instance.TimeUtils.DateTimeUtcNow;
string symbol = bitfinexBook.First().Pair;
var bids = bitfinexBook.Where(b => b.Amount > 0).OrderBy(b => b.Price);
var asks = bitfinexBook.Where(b => b.Amount < 0).OrderBy(b => b.Price);
var dom = new DOMQuote(symbol, utcNow);
foreach (var bid in bids)
{
string id = $"MMID_{bid.Price}";
double price = (double)bid.Price;
double size = bid.Count == 0 ? 0 : Math.Abs((double)bid.Amount);
dom.Bids.Add(new Level2Quote(QuotePriceType.Bid, symbol, id, price, size, utcNow));
}
foreach (var ask in asks)
{
string id = $"MMID_{ask.Price}";
double price = (double)ask.Price;
double size = ask.Count == 0 ? 0 : Math.Abs((double)ask.Amount);
dom.Asks.Add(new Level2Quote(QuotePriceType.Ask, symbol, id, price, size, utcNow));
}
return(dom);
}
private DOMQuote CreateDOMQuote(HitOrderBookData hitOrderBookData)
{
string symbol = hitOrderBookData.Symbol;
var utcNow = Core.Instance.TimeUtils.DateTimeUtcNow;
var dom = new DOMQuote(symbol, utcNow);
dom.Bids.AddRange(this.CreateLevel2Quotes(QuotePriceType.Bid, hitOrderBookData.Bids, symbol, utcNow));
dom.Asks.AddRange(this.CreateLevel2Quotes(QuotePriceType.Ask, hitOrderBookData.Asks, symbol, utcNow));
return(dom);
}
