private void LoadOrderbooks(string csvFile)
{
mSymbolToOrderbook.Clear();
using (var reader = new StreamReader(csvFile))
using (var csv = new CsvReader(reader, CultureInfo.InvariantCulture))
{
csv.Configuration.HasHeaderRecord = true;
var records = csv.GetRecords <dynamic>();
foreach (dynamic record in records)
{
MdOrder mdOrder = MdOrder.FromMdLine(record);
if (!mSymbolToOrderbook.ContainsKey(mdOrder.Symbol))
{
mSymbolToOrderbook[mdOrder.Symbol] = new Orderbook();
}
if (mdOrder.Side == 'B')
{
mSymbolToOrderbook[mdOrder.Symbol].AddBid(mdOrder);
}
else if (mdOrder.Side == 'A')
{
mSymbolToOrderbook[mdOrder.Symbol].AddAsk(mdOrder);
}
}
}
}
public static MdOrder FromMdLine(dynamic line)
{
MdOrder order = new MdOrder();
order.Symbol = line.Stock;
order.Side = line.Side[0];
order.Px = double.Parse(line.Px);
order.Qty = int.Parse(line.Qty);
order.PrioritySeq = int.Parse(line.PrioritySeq);
return(order);
}
public void AddAsk(MdOrder o)
{
mAsks.Add(o);
}
public void AddBid(MdOrder o)
{
mBids.Add(o);
}
