public virtual void Replace(Order order, int deltaSize, double newPrice)
{
++Transaction;
bool matched = false;
bool found = false;
bool priceChanged = newPrice != 0 && newPrice != order.Price;
double price = (newPrice == PriceUnchanged) ? order.Price : newPrice;
if (order.IsBuy)
{
int index = FindBid(order);
if (index != -1)
{
found = true;
if (ValidateReplace(Bids.Values[index], deltaSize, price))
{
OrderTracker tracker = Bids.Values[index];
OnReplaced(order, tracker.Open, deltaSize, price, Transaction);
OnBookUpdated(Transaction);
int newOpen = tracker.Open + deltaSize;
tracker.ChangeQuantity(newOpen);
if (newOpen == 0)
{
OnCanceled(order, 0, Transaction);
Bids.RemoveAt(index);
}
else
{
matched = AddOrder(tracker, price);
Bids.RemoveAt(index);
}
}
}
}
else
{
int index = FindAsk(order);
if (index != -1)
{
found = true;
if (ValidateReplace(Asks.Values[index], deltaSize, price))
{
OrderTracker tracker = Asks.Values[index];
OnReplaced(order, tracker.Open, deltaSize, price, Transaction);
OnBookUpdated(Transaction);
int newOpen = tracker.Open + deltaSize;
tracker.ChangeQuantity(newOpen);
if (newOpen == 0)
{
OnCanceled(order, 0, Transaction);
Asks.RemoveAt(index);
}
else
{
matched = AddOrder(tracker, price);
Asks.RemoveAt(index);
}
}
}
}
if (!found)
{
OnReplaceRejected(order, "Order not found.", Transaction);
}
}