/// <summary>
/// removes the level from the specified side's excess level
/// </summary>
/// <returns></returns>
private bool RemoveLevelFromExcess(DepthLevelMap depthLevelMap, DepthLevel[] sideLevels)
{
if (depthLevelMap.Any())
{
sideLevels.Last().UpdatePrice(depthLevelMap.First().Value.Price);
sideLevels.Last().UpdateVolume(depthLevelMap.First().Value.AggregatedVolume);
sideLevels.Last().UpdateOrderCount(depthLevelMap.First().Value.OrderCount);
sideLevels.Last().ChangeExcessStatus(false);
depthLevelMap.RemoveLevel(depthLevelMap.First().Value.Price);
return(true);
}
return(false);
}
/// <summary>
/// Default constructor
/// </summary>
public Depth(string currencyPair, int size)
{
_currencyPair = currencyPair;
_size = size;
_bidLevels = new DepthLevel[size];
_askLevels = new DepthLevel[size];
for (int i = 0; i < _bidLevels.Length; i++)
{
_bidLevels[i] = new DepthLevel(null);
_askLevels[i] = new DepthLevel(null);
}
_bestBid = _bidLevels[0];
_bestAsk = _askLevels[0];
_lastBid = _bidLevels.Last();
_lastAsk = _askLevels.Last();
_bidExcessLevels = new DepthLevelMap(currencyPair, OrderSide.Buy);
_askExcessLevels = new DepthLevelMap(currencyPair, OrderSide.Sell);
}