public static void ProcessOrder(ExchangeAMd message)
{
if(message.Sequence <= LastHighestSequenceNumber)
return;
if(message.Sequence > LastHighestSequenceNumber + 1)
//Inconsistent state (Message lost)
LastHighestSequenceNumber = message.Sequence;
LimitBook book;
lock (Books)
{
book = Books.Find(b => b.Contract.Equals(message.Contract));
if (book == null)
{
var newBook = new LimitBook(message.Contract);
Books.Add(newBook);
book = newBook;
}
}
if (message.Type == MessageType.NewLevel)
{
book.ProcessNewOrder(message);
}
if (message.Type == MessageType.UpdateLevel)
{
book.ProcessModifyOrder(message);
}
if (message.Type == MessageType.DeleteLevel)
{
book.ProcessDeleteOrder(message);
}
}
public void ProcessNewOrder(ExchangeAMd message)
{
if (message.Side == LimitOrderSide.Sell)
{
ProcessSellAddOrder(message.Level, message.Price, message.Quantity);
}
if (message.Side == LimitOrderSide.Buy)
{
ProcessBuyAddOrder(message.Level, message.Price, message.Quantity);
}
}
public void ProcessDeleteOrder(ExchangeAMd message)
{
if(message.Side == LimitOrderSide.Sell)
{
ProcessSellDeleteOrder(message.Level);
}
if(message.Side == LimitOrderSide.Buy)
{
ProcessBuyDeleteOrder(message.Level);
}
}
public void GenerateData()
{
var contract = new List<string>() {"APPLE","IBM","GOOGLE","MICROSOFT","AMAZON","FACEBOOK"};
bool sideFlag = false;
var random = new Random();
var sequence = 1;
//UDPClient clientOne = new UDPClient(EP1);
//UDPClient clientTwo = new UDPClient(EP2);
for (int i = 0; i < 5; i++)
{
for (int j = 1; j < 6; j++)
{
var side = sideFlag ? LimitOrderSide.Sell : LimitOrderSide.Buy;
sideFlag = sideFlag != true;
var message = new ExchangeAMd(sequence++, contract[i], j, random.Next(500), random.Next(500), side,
MessageType.NewLevel);
var randomNum = random.Next(100);
string data = JsonHelper.JsonSerializer(message);
if (randomNum <= 100*ProbabilityParameter)
{
Client.Client.ProcessOrder(message);
Client.Client.ProcessOrder(message);
//clientOne.Send(data);
//clientTwo.Send(data);
}
else
{
Client.Client.ProcessOrder(message);
Client.Client.ProcessOrder(message);
//clientTwo.Send(data);
//clientOne.Send(data);
}
}
}
}