public unsafe void ReBuild(ref MarketSnapshotLevel3 marketSnapshot)
{
lock (_syncRoot)
{
_bids.Clear();
_asks.Clear();
for (int i = 0; i < MarketSnapshotLevel3.MaxDepth; i++)
{
var bidPrice = marketSnapshot.BidPrices[i];
var bidVolume = marketSnapshot.BidVolumes[i];
if (bidPrice > 0 && bidVolume > 0)
{
_bids.Add(new PriceVolumePair(bidPrice, bidVolume));
}
var askPrice = marketSnapshot.AskPrices[i];
var askVolume = marketSnapshot.AskVolumes[i];
if (askPrice > 0 && askVolume > 0)
{
_asks.Add(new PriceVolumePair(askPrice, askVolume));
}
}
}
}
private unsafe void OnMarketSnapshotHandler(MarketDepthSocket socket, ref MarketSnapshotLevel3 marketSnapshot)
{
_marketSnapshotBuilder.ReBuild(ref marketSnapshot);
if (AddMessageToFileLog != null)
{
StringBuilder log = new StringBuilder($"----- IN MS - {DateTime.Now.ToString("hh:mm:ss.fff")}{Environment.NewLine}");
for (int i = 0; i < MarketSnapshotLevel3.MaxDepth; i++)
{
log.AppendLine($" BP={marketSnapshot.BidPrices[i].ToString("F11")} BV={marketSnapshot.BidVolumes[i].ToString("F11")}");
log.AppendLine($" SP={marketSnapshot.AskPrices[i].ToString("F11")} SV={marketSnapshot.AskVolumes[i].ToString("F11")}{Environment.NewLine}");
}
log.AppendLine($"----- OUT MS");
AddMessageToFileLog?.Invoke(log.ToString());
}
}
