/// <summary>
/// Initializes the new instance internal market stream reference.
/// </summary>
/// <param name="marketName">Market name.</param>
/// <param name="exchangeState">Exchange initial states.</param>
/// <param name="exchangeDelta">Exchange delta stream identifier.</param>
/// <param name="marketDelta">Market delta stream identifier.</param>
public MarketStream(string marketName, ExchangeStateProvider exchangeState, int exchangeDelta, int marketDelta)
{
Name = marketName;
UpdateExchangeDelta(exchangeState);
ExchangeDeltaStream = exchangeDelta;
MarketDeltaStream = marketDelta;
}
/// <summary>
/// Updates the received changes in exchange data.
/// </summary>
/// <param name="exchangeDelta">Exchange delta stream data.</param>
public void UpdateExchangeDelta(ExchangeStateProvider exchangeDelta)
{
if (exchangeDelta != null && Name == exchangeDelta.MarketName)
{
_lock.EnterWriteLock();
try
{
if (exchangeDelta.Bids is IList <MarketOrderEntry> bids)
{
foreach (var bid in bids)
{
switch (bid.Frame)
{
case OrderBookFrame.Create:
_bidsReferentTotal += bid.Quantity * bid.Rate;
_bidsCurrencyTotal += bid.Quantity;
_bids.Add(bid);
break;
case OrderBookFrame.Update:
if (_bids.FindIndex(x => x.Rate == bid.Rate) is var update && update >= 0)
{
var delta = bid.Quantity - _bids[update].Quantity;
_bidsReferentTotal += delta * bid.Rate;
_bidsCurrencyTotal += delta;
_bids[update] = bid;
}
break;
case OrderBookFrame.Remove:
if (_bids.FindIndex(x => x.Rate == bid.Rate) is var remove && remove >= 0)
{
var delta = bid.Quantity - _bids[remove].Quantity;
_bidsReferentTotal += delta * bid.Rate;
_bidsCurrencyTotal += delta;
_bids.RemoveAt(remove);
}
break;
}
}
}
if (exchangeDelta.Asks is IList <MarketOrderEntry> asks)
{
foreach (var ask in asks)
{
switch (ask.Frame)
{
case OrderBookFrame.Create:
_asksReferentTotal += ask.Quantity * ask.Rate;
_asksCurrencyTotal += ask.Quantity;
_asks.Add(ask);
break;
case OrderBookFrame.Update:
if (_asks.FindIndex(x => x.Rate == ask.Rate) is var update && update >= 0)
{
var delta = ask.Quantity - _asks[update].Quantity;
_asksReferentTotal += delta * ask.Rate;
_asksCurrencyTotal += delta;
_asks[update] = ask;
}
break;
case OrderBookFrame.Remove:
if (_asks.FindIndex(x => x.Rate == ask.Rate) is var remove && remove >= 0)
{
var delta = ask.Quantity - _asks[remove].Quantity;
_asksReferentTotal += delta * ask.Rate;
_asksCurrencyTotal += delta;
_asks.RemoveAt(remove);
}
break;
}
}
}
Console.WriteLine($"Market Depth {Name}: BID={_bidsCurrencyTotal} / ASK={_asksCurrencyTotal} - [Base: BID={_bidsReferentTotal} / ASK={_asksReferentTotal}]");
}
finally
{ _lock.ExitWriteLock(); }
}
}
