private void InsertNewPriceSorted(MessageFeed.Message message)
{
var newDisplayedPrice = new DisplayedProduct(message.Symbol, message.Price);
this.cachedPriceData[message.GetIDKey()] = newDisplayedPrice;
// Sequential search to find correct location to add
for (int index = 0; index < displayedProducts.Count; index++)
{
if ((newDisplayedPrice.Symbol.CompareTo(this.displayedProducts[index].Symbol) < 0) ||
(newDisplayedPrice.Symbol == this.displayedProducts[index].Symbol && this.displayedProducts[index].Price < newDisplayedPrice.Price))
{
this.displayedProducts.Insert(index, newDisplayedPrice);
return;
}
}
// To get here, it must be sorted after all products
this.displayedProducts.Add(newDisplayedPrice);
}
/// <summary>
/// Used to centralize GUI updates instead of relying on external triggers.
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
/// <remarks>
/// </remarks>
void myTimer_Tick(object sender, EventArgs e)
{
var timeOfUpdate = DateTime.Now;
// dequeue all product updates
MessageFeed.Message message = null;
while (this.myPendingMessages.TryDequeue(out message))
{
if (this.cachedPriceData.ContainsKey(message.GetIDKey()) == false)
{
InsertNewPriceSorted(message);
}
this.cachedPriceData[message.GetIDKey()].UpdateWith(message, timeOfUpdate);
List <Double> additionalPricesToAdd = this.priceWindowTracker.CheckMessage(message);
if (additionalPricesToAdd.Count > 0)
{
foreach (double newPrice in additionalPricesToAdd)
{
var newMessage = new MessageFeed.Message(
MessageFeed.Message.MessageTypeEnum.PRICE,
message.Symbol,
MessageFeed.Message.ActionEnum.ADD,
MessageFeed.Message.BidAskEnum.BID,
newPrice,
0
);
InsertNewPriceSorted(newMessage);
}
}
}
// Loop over all products to reset any data-changed times
// **NOTE** This has O(n) complexity, which if that was undesirable... it could be restructured
// to store all change times, objects, and properties in a queue where it would merely
// process any that have expired and whose color must be changed back. But that is a
// moderately complex solution for an evaluation project...
foreach (var displayedProduct in this.displayedProducts)
{
displayedProduct.ClearChangedTimes(timeOfUpdate);
}
}
private void OnMessageReceived(MessageFeed.Message message)
{
this.myPendingMessages.Enqueue(message);
}
/// <summary>
/// Updates the state of this product with the latest message.
/// </summary>
/// <param name="message"></param>
/// <remarks>
/// I could see this needing to exist as a more formal MarketStatus system
/// that takes messages and holds the whole known market state. For the
/// requirements provided though, this eems sufficient.
/// </remarks>
internal void UpdateWith(MessageFeed.Message message, DateTime timeOfUpdate)
{
if (this.Symbol != message.Symbol || this.Price != message.Price)
{
// this should not happen, but definitely want to crash hard if it ever did
throw new InvalidOperationException("Attempted to update a DisplayedProduct with the wrong Symbol or Price");
}
int newValue = 0;
switch (message.Action)
{
case MessageFeed.Message.ActionEnum.ADD:
newValue = message.Quantity;
break;
case MessageFeed.Message.ActionEnum.MODIFY:
newValue = message.Quantity;
break;
case MessageFeed.Message.ActionEnum.DELETE:
newValue = 0;
break;
}
if (message.MessageType == MessageFeed.Message.MessageTypeEnum.ORDER)
{
if (message.BidAsk == MessageFeed.Message.BidAskEnum.BID)
{
if (this.BidOrders != newValue)
{
this.BidOrders = newValue;
this.BidOrders_ChangedTime = timeOfUpdate;
RaisePropertyChanged("BidOrders");
RaisePropertyChanged("BidOrders_ChangedTime");
}
}
else
{
if (this.AskOrders != newValue)
{
this.AskOrders = newValue;
this.AskOrders_ChangedTime = timeOfUpdate;
RaisePropertyChanged("AskOrders");
RaisePropertyChanged("AskOrders_ChangedTime");
}
}
}
else if (message.MessageType == MessageFeed.Message.MessageTypeEnum.PRICE)
{
if (message.BidAsk == MessageFeed.Message.BidAskEnum.BID)
{
if (this.BidSize != newValue)
{
this.BidSize = newValue;
this.BidSize_ChangedTime = timeOfUpdate;
RaisePropertyChanged("BidSize");
RaisePropertyChanged("BidSize_ChangedTime");
}
}
else
{
if (this.AskSize != newValue)
{
this.AskSize = newValue;
this.AskSize_ChangedTime = timeOfUpdate;
RaisePropertyChanged("AskSize");
RaisePropertyChanged("AskSize_ChangedTime");
}
}
}
}
public List <Double> CheckMessage(MessageFeed.Message message)
{
// Update the internal state of prices that exist for each symbol
if (symbolStates.ContainsKey(message.Symbol) == false)
{
symbolStates[message.Symbol] = new SymbolState();
}
var symbolState = symbolStates[message.Symbol];
if (message.BidAsk == MessageFeed.Message.BidAskEnum.BID && message.Quantity > 0)
{
if (symbolState.bestBidPrice.HasValue == false || message.Price > symbolState.bestBidPrice.Value)
{
symbolState.bestBidPrice = (int)message.Price;
}
}
else if (message.BidAsk == MessageFeed.Message.BidAskEnum.ASK && message.Quantity > 0)
{
if (symbolState.bestAskPrice.HasValue == false || message.Price < symbolState.bestAskPrice.Value)
{
symbolState.bestAskPrice = (int)message.Price;
}
}
if (symbolState.highestPrice.HasValue == false || message.Price > symbolState.highestPrice)
{
symbolState.highestPrice = (int)message.Price;
}
if (symbolState.lowestPrice.HasValue == false || message.Price < symbolState.lowestPrice)
{
symbolState.lowestPrice = (int)message.Price;
}
// Last, see if there should be any prices added due to movement of the bestBid/bestAsk
var newPrices = new List <Double>();
if (symbolState.highestPrice.HasValue == false || symbolState.lowestPrice.HasValue == false)
{
// This should not happen, but if it does, exit the algorithm now.
return(newPrices);
}
int expectedLowest = symbolState.highestPrice.Value;
int expectedHighest = symbolState.highestPrice.Value;
if (symbolState.bestBidPrice.HasValue == true)
{
//expectedHighest = Math.Max(expectedHighest, symbolState.bestBidPrice.Value + PRICE_WINDOW);
expectedLowest = Math.Min(expectedLowest, symbolState.bestBidPrice.Value - PRICE_WINDOW);
}
if (symbolState.bestAskPrice.HasValue == true)
{
expectedHighest = Math.Max(expectedHighest, symbolState.bestAskPrice.Value + PRICE_WINDOW);
//expectedLowest = Math.Min(expectedLowest, symbolState.bestAskPrice.Value - PRICE_WINDOW);
}
expectedLowest = Math.Max(expectedLowest, 0); // Cap at 0; no negative prices.
for (int price = expectedLowest; price <= expectedHighest; price += 1)
{
if (price < symbolState.lowestPrice || price > symbolState.highestPrice)
{
newPrices.Add((double)price);
}
}
symbolState.lowestPrice = expectedLowest;
symbolState.highestPrice = expectedHighest;
return(newPrices);
}