/// <summary>
/// Deep copies the calling OrderBook to the OrderBook object specified as a parameter.
/// </summary>
/// <returns></returns>
public void CopyInto(OrderBook destinationOrderBook)
{
for (int i = 1; i < Depth + 1; i++)
{
Ask[i].CopyInto(destinationOrderBook.Ask[i]);
Bid[i].CopyInto(destinationOrderBook.Bid[i]);
}
destinationOrderBook.LastTradedPrice = LastTradedPrice;
destinationOrderBook.UpdateTime = UpdateTime;
destinationOrderBook.InstrumentId = InstrumentId;
}
private void MergeAllDepth(OrderBook impliedOrderBook, int outrightDepth, int impliedDepth)
{
MergeBids(impliedOrderBook, outrightDepth, impliedDepth);
MergeAsks(impliedOrderBook, outrightDepth, impliedDepth);
}
private void CopyAllDepth(OrderBook outrightOrderBook, int outrightDepth)
{
for (int i = 1; i < outrightDepth + 1; i++)
{
outrightOrderBook.Bid[i].CopyInto(Bid[i]);
outrightOrderBook.Ask[i].CopyInto(Ask[i]);
}
}
private void MergeAsks(OrderBook impliedOrderBook, int outrightDepth, int impliedDepth)
{
int previousMatch = 1;
for (int i = 1; i < impliedDepth + 1; i++)
{
int? impliedPrice = impliedOrderBook.Ask[i].Price;
if (impliedPrice == null)
continue;
int match = GetMatchingOutrightLevel(Ask, impliedPrice, outrightDepth, ref previousMatch);
if (match != NOT_FOUND)
{
MergeDepth(impliedOrderBook.Ask[i], Ask[i]);
}
else
{
int insertionPoint = FindImpliedAskInsertionPoint(impliedPrice, outrightDepth);
if (insertionPoint == NOT_FOUND)
continue;
if (Ask[insertionPoint].Price == null)
{
InsertIntoNullLevel(impliedOrderBook.Ask[i], Ask[insertionPoint]);
continue;
}
InsertIntoNonNullLevel(Ask, impliedOrderBook.Ask[i], outrightDepth, insertionPoint);
}
}
}
/// <summary>
/// Consolidates the implied book and the outright book into a single limit order book.
/// </summary>
/// <param name="outrightOrderBook"></param>
/// <param name="impliedOrderBook"></param>
public void Consolidate(OrderBook outrightOrderBook, OrderBook impliedOrderBook)
{
int outrightDepth = outrightOrderBook.Depth;
int impliedDepth = impliedOrderBook.Depth;
CopyAllDepth(outrightOrderBook, outrightDepth);
MergeAllDepth(impliedOrderBook, outrightDepth, impliedDepth);
outrightOrderBook.LastTradedPrice.CopyInto(LastTradedPrice);
UpdateTime = (outrightOrderBook.UpdateTime > impliedOrderBook.UpdateTime ? outrightOrderBook.UpdateTime : impliedOrderBook.UpdateTime);
}
