public object Visit(WebSocket.OrderMatch msg)
{
Condition.Requires(msg, "msg").IsNotNull();
Condition.Requires(msg.MakerOrderId, "msg.MakerOrderId").IsNotNullOrEmpty();
Condition.Requires(msg.Price, "msg.Price").IsGreaterThan(0m);
Condition.Requires(msg.Size, "msg.Size").IsGreaterThan(0m);
Level level;
if (!_book.TryGetValue(msg.Price, out level))
{
throw new ArgumentException("OrderMatch with price on empty level: " + msg);
}
Condition.Requires(level.TotalSize).IsGreaterOrEqual(0m);
Condition.Requires(level.OrderIds).IsNotEmpty();
if (!level.OrderIds.Contains(msg.MakerOrderId))
{
throw new ArgumentException("OrderMatch for an order with unknown id: " + msg);
}
if (msg.Size > level.TotalSize)
{
throw new ArgumentException("OrderMatch with the size exceeding total level size: " + msg);
}
level.TotalSize -= msg.Size;
_delta.Add(new PriceLevel()
{
Price = msg.Price, SizeDelta = -msg.Size
});
_trade.Price = msg.Price;
_trade.Size = msg.Size;
return(null);
}
public IMessageIn Visit(OrderMatch msg)
{
msg.TradeId = (long)_data["trade_id"];
msg.MakerOrderId = (string)_data["maker_order_id"];
msg.TakerOrderId = (string)_data["taker_order_id"];
msg.Price = (decimal)_data["price"];
msg.Size = (decimal)_data["size"];
return(msg);
}
public static IMessageIn Parse(string serialized)
{
var data = Json.ParseObject(serialized);
Condition.Requires(data, "data").IsNotNull();
string type = (string)data["type"];
Condition.Requires(type, "type").IsNotNull();
IMessageIn res = null;
switch (type)
{
case "received":
res = new OrderReceived();
break;
case "open":
res = new OrderOpen();
break;
case "done":
res = new OrderDone();
break;
case "match":
res = new OrderMatch();
break;
case "change":
res = new OrderChange();
break;
default:
throw new ArgumentException("Unexpected message type: " + type);
}
var parser = new MessageParser(data);
parser.ParseCommon(res);
return(res.Visit(parser));
}