public static decimal CalculateSpread(OrderExecutionOrderBook message, decimal volume)
{
decimal SpreadWeight(IReadOnlyList <VolumePrice> orderbook)
{
var weight = 0M;
var currentLevel = 0;
var qtyLeft = Math.Abs(volume);
while (qtyLeft > 0 && currentLevel < message.OrderBook.Asks.Count)
{
var currentLevelVolume = currentLevel != orderbook.Count - 1
? orderbook[currentLevel].Volume
: decimal.MaxValue;
weight += (qtyLeft - currentLevelVolume > 0 ? currentLevelVolume : qtyLeft)
* orderbook[currentLevel].Price;
qtyLeft -= currentLevelVolume;
currentLevel++;
}
return(weight);
}
var askSpreadWeight = SpreadWeight(message.OrderBook.Asks);
var bidSpreadWeight = SpreadWeight(message.OrderBook.Bids);
return(askSpreadWeight - bidSpreadWeight);
}
public static OrderExecutionOrderBook ToDomain(this OrderExecutionOrderBookContract contract)
{
var orderBook = new OrderExecutionOrderBook
{
OrderId = contract.OrderId,
ExternalOrderId = contract.ExternalOrderId,
OrderBook = new ExternalOrderBook
{
ExchangeName = contract.OrderBook.ExchangeName,
AssetPairId = contract.OrderBook.AssetPairId,
Timestamp = contract.OrderBook.Timestamp,
Asks = contract.OrderBook.Asks.Select(x => new VolumePrice {
Volume = x.Volume, Price = x.Price
}).ToList(),
Bids = contract.OrderBook.Bids.Select(x => new VolumePrice {
Volume = x.Volume, Price = x.Price
}).ToList(),
},
};
orderBook.Spread = SpreadCalculator.CalculateSpread(orderBook, contract.Volume);
return(orderBook);
}
public decimal Spread_Calculation_Success(OrderExecutionOrderBook orderExecutionOrderBook, decimal volume)
{
return(SpreadCalculator.CalculateSpread(orderExecutionOrderBook, volume));
}
