/// <summary>
/// Get price depth if a certain volume is traded on one side
/// i.e. What would be the worst price if the desired volume is traded on the given side
/// </summary>
/// <param name="vol">Volume traded</param>
/// <param name="side">Side of the trade</param>
/// <returns>Most extreme price traded</returns>
/// <remarks>This function does not return the best bid/offer after the trade but the price of the last trade. This is significant in cases where the last trade exhausts all volume at a certain price level and best bid/offer falls to the next price level</remarks>
public double PriceDepth(double vol, char side)
{
double cumulativeVol = 0;
BookOrder Start = GetBook(side);
double prevPrice = side.Equals(MDEntryType.BID) ? BestBid.Price : BestOffer.Price;
for (var current = Start; current != null; current = current.Next)
{
cumulativeVol += current.Volume;
prevPrice = current.Price;
if (cumulativeVol >= vol)
{
break;
}
}
return(prevPrice);
}
/// <summary>
/// Add volume to the order book at the given price level
/// </summary>
/// <param name="price">Price level</param>
/// <param name="vol">Volume at given price level</param>
/// <param name="side">Side of price level</param>
/// <remarks>No verification is made to check if the price and side are possible</remarks>
public void AddOrder(double price, double vol, char side)
{
if (side.Equals(MDEntryType.BID))
{
BidLock.WaitOne();
NumBids += 1;
if (BestBid == null)
{
BestBid = new BookOrder(price, vol);
}
else
{
if (price > BestBid.Price)
{
BookOrder newBestBid = new BookOrder(price, vol, BestBid);
BestBid = newBestBid;
}
else
{
BookOrder current;
BookOrder prev = BestBid;
for (current = BestBid; current != null && current.Price > price; prev = current, current = current.Next)
{
;
}
BookOrder newOrder = new BookOrder(price, vol, prev.Next);
prev.Next = newOrder;
}
}
if (WorstBidPrice == 0 || WorstBidPrice > price)
{
WorstBidPrice = price;
}
BidLock.ReleaseMutex();
}
else if (side.Equals(MDEntryType.OFFER))
{
OfferLock.WaitOne();
NumOffers += 1;
if (BestOffer == null)
{
BestOffer = new BookOrder(price, vol);
}
else
{
if (price < BestOffer.Price)
{
BookOrder newBestOffer = new BookOrder(price, vol, BestOffer);
BestOffer = newBestOffer;
}
else
{
BookOrder current;
BookOrder prev = BestOffer;
for (current = BestOffer; current != null && current.Price < price; prev = current, current = current.Next)
{
;
}
BookOrder newOrder = new BookOrder(price, vol, prev.Next);
prev.Next = newOrder;
}
}
OfferLock.ReleaseMutex();
if (WorstOfferPrice == 0 || WorstOfferPrice < price)
{
WorstOfferPrice = price;
}
}
else
{
Log.Write($"Unknown MDEntryType: {side}", 0);
return;
}
}
public BookOrder(double price, double vol, BookOrder next = null)
{
Price = price;
Volume = vol;
Next = next;
}
/// <summary>
/// Remove all volume from the order book at a given price level
/// </summary>
/// <param name="price">Price level</param>
/// <param name="side">Side of the price level</param>
public void RemoveOrder(double price, char side)
{
if (side.Equals(MDEntryType.BID))
{
BidLock.WaitOne();
if (BestBid.Price == price) // remove first
{
BestBid = BestBid.Next;
}
else if (price < WorstBidPrice)
{
Log.Write("Not removing price outside orderbook", 3);
BidLock.ReleaseMutex();
return;
}
else // if not first
{
BookOrder current;
BookOrder prev = BestBid;
for (current = BestBid; current != null && current.Price > price; prev = current, current = current.Next)
{
;
}
if (current == null || current.Price != price)
{
Log.Write("Error: Trying to remove inexistant book order", 3);
BidLock.ReleaseMutex();
return;
}
prev.Next = current.Next;
current = null;
}
NumBids -= 1;
BidLock.ReleaseMutex();
}
else if (side.Equals(MDEntryType.OFFER))
{
OfferLock.WaitOne();
if (BestOffer.Price == price) // remove first
{
BestOffer = BestOffer.Next;
}
else if (price > WorstOfferPrice)
{
Log.Write("Not removing price outside orderbook", 3);
OfferLock.ReleaseMutex();
return;
}
else // if not first
{
BookOrder current;
BookOrder prev = BestOffer;
for (current = BestOffer; current != null && current.Price < price; prev = current, current = current.Next)
{
;
}
if (current == null || current.Price != price)
{
Log.Write("Error: Trying to remove inexistant book order", 3);
OfferLock.ReleaseMutex();
return;
}
prev.Next = current.Next;
current = null;
}
NumOffers -= 1;
OfferLock.ReleaseMutex();
}
else
{
Log.Write($"Unknown MDEntryType: {side}", 0);
return;
}
}