public OrderBook(int instrument, BuyOrders buyOrders, SellOrders sellOrders, Trades trades,
OrderProcessor orderProcessingStrategy)
{
if (instrument == null)
{
throw new ArgumentNullException("instrument");
}
if (buyOrders == null)
{
throw new ArgumentNullException("buyOrders");
}
if (sellOrders == null)
{
throw new ArgumentNullException("sellOrders");
}
if (trades == null)
{
throw new ArgumentNullException("trades");
}
if (orderProcessingStrategy == null)
{
throw new ArgumentNullException("orderProcessingStrategy");
}
if (!(instrument == buyOrders.Instrument && instrument == sellOrders.Instrument))
{
throw new ArgumentException("instrument does not match buyOrders and sellOrders instrument");
}
Instrument = instrument;
BuyOrders = buyOrders;
SellOrders = sellOrders;
Trades = trades;
OrderProcessingStrategy = orderProcessingStrategy;
Statistics = new Statistics();
}
public override uint CreateInstrument(uint iid, string symbol)
{
instruments[iid] = new ZInstrument(iid, symbol);
_instruments[iid] = new OME.Instrument(symbol);
var instrument = _instruments[iid];
_buyOrderBook[iid] = new OME.BuyOrders(instrument);
_sellOrderBook[iid] = new OME.SellOrders(instrument);
_trades[iid] = new OME.Trades(instrument);
//_tradeProcessor = _trades.TradeProcessingStrategy as Trades.InMemoryTradeProcessor;
return(iid);
}
public OrderBook(int instrument, BuyOrders buyOrders, SellOrders sellOrders, Trades trades)
: this(
instrument, buyOrders, sellOrders, trades, new SynchronousOrderProcessor(buyOrders, sellOrders, trades))
{
}