private void UpdateIfDepthDirty()
{
IEnumerable <MarketDepthPair> top = null;
lock (_lastDepthSync)
{
if (_needToClear)
{
_needToClear = false;
top = Enumerable.Empty <MarketDepthPair>();
}
else if (_lastDepth != null)
{
top = _lastDepth.GetTopPairs(MaxDepth);
}
else if (_lastQuoteMsg != null)
{
top = _lastQuoteMsg.ToMarketDepth(_prevSecurity).GetTopPairs(MaxDepth);
}
_lastDepth = null;
}
if (top == null)
{
return;
}
var index = 0;
foreach (var pair in top)
{
var bid = _quotes[GetQuoteIndex(Sides.Buy, index)];
if (pair.Bid != null)
{
bid.Init(pair.Bid, _ordersRegistry.GetContainer(pair.Bid.Price), _stopOrdersRegistry.GetContainer(pair.Bid.Price) /*, trades.TryGetValue(pair.Bid.Price), myTrades.TryGetValue(pair.Bid.Price)*/);
bid.IsBest = index == 0;
}
else
{
bid.Init();
}
var ask = _quotes[GetQuoteIndex(Sides.Sell, index)];
if (pair.Ask != null)
{
ask.Init(pair.Ask, _ordersRegistry.GetContainer(pair.Ask.Price), _stopOrdersRegistry.GetContainer(pair.Ask.Price) /*, trades.TryGetValue(pair.Ask.Price), myTrades.TryGetValue(pair.Ask.Price)*/);
ask.IsBest = index == 0;
}
else
{
ask.Init();
}
index++;
}
for (var i = 0; i < (MaxDepth - index); i++)
{
_quotes[GetQuoteIndex(Sides.Buy, index + i)].Init();
_quotes[GetQuoteIndex(Sides.Sell, index + i)].Init();
}
}