public static PriceByOrderSide GetTopPrices(
IEnumerable <Order> myNotFinishedOrders,
ILocalOrderBookSnapshot snapshot)
{
var(asks, bids) = FlattenSnapshot(snapshot);
RemoveOrders(myNotFinishedOrders, asks, bids);
return(FilterByPercentileTopPrices(asks, bids));
}
public static decimal?GetFilteredTopMidPrice(
IEnumerable <Order> myNotFinishedOrders,
ILocalOrderBookSnapshot snapshot)
{
var(asks, bids) = FlattenSnapshot(snapshot);
RemoveOrders(myNotFinishedOrders, asks, bids);
var prices = FilterByPercentileTopPrices(asks, bids);
if (prices.TopAsk == null || prices.TopBid == null)
{
return(null);
}
return((prices.TopAsk.Value + prices.TopBid.Value) / 2);
}
private static (OrderBookSideFlat asks, OrderBookSideFlat bids) FlattenSnapshot(ILocalOrderBookSnapshot snapshot)
{
SortedDictionary <decimal, decimal> asks, bids;
switch (snapshot)
{
case L1LocalOrderBookSnapshot l1:
asks = l1.GetAsks();
bids = l1.GetBids();
break;
case L2LocalOrderBookSnapshot l2:
asks = l2.Asks;
bids = l2.Bids;
break;
default:
throw new ArgumentOutOfRangeException(nameof(snapshot), snapshot, null);
}
return(new OrderBookSideFlat(asks), new OrderBookSideFlat(bids));
}
