public bool Remove(DepthInfo di)
{
bool removed = false;
if (MarketMakers.ContainsKey(di.Depth.MarketMaker))
{
DepthInfo tmp = MarketMakers[di.Depth.MarketMaker];
if (tmp == di)
{
int size = tmp.Depth.Size;
m_quantity -= size; // remove affect of market maker
//tmp.Object.Node.List.Remove(tmp.Object.Node); // remove this node from list: already removed
MarketMakers.Remove(di.Depth.MarketMaker); // then remove market maker entry
removed = true;
}
}
return(removed);
}
public void Update(DepthInfo di)
{
MarketDepth md = di.Depth;
// check for market maker, add if not present
// what is best? keep removing and creating lbse's, or leave them there and just set to zero when nothing?
if (0 == md.Size)
{
// remove market maker entry
if (MarketMakers.ContainsKey(md.MarketMaker))
{
DepthInfo tmp = MarketMakers[md.MarketMaker];
int size = tmp.Depth.Size;
m_quantity -= size; // remove affect of market maker
tmp.Object.Node.List.Remove(tmp.Object.Node); // remove this node from list
MarketMakers.Remove(md.MarketMaker); // then remove market maker entry
}
else
{
//Console.WriteLine( "0 size but market maker {0} does not exist at {1:0.00}", md.MarketMaker, md.Price );
}
}
else
{
// add or update the market maker entry
if (MarketMakers.ContainsKey(md.MarketMaker))
{
DepthInfo tmp = MarketMakers[md.MarketMaker];
int size = tmp.Depth.Size;
m_quantity -= size;
tmp.Object.Node.List.Remove(tmp.Object.Node);
MarketMakers[md.MarketMaker] = di; // replace expired entry with new entry
m_quantity += md.Size;
}
else
{
MarketMakers.Add(md.MarketMaker, di);
m_quantity += md.Size;
}
}
}
protected override ObjectAtTime Remove()
{
LimitBookEntry lbe;
int keyindex;
ObjectAtTime oat = base.Remove();
DepthInfo di = (DepthInfo)oat.Object;
if (entries.ContainsKey(di.Level))
{
keyindex = entries.IndexOfKey(di.Level);
lbe = entries.Values[keyindex];
bool removed = lbe.Remove(di);
if (removed)
{
if (null != PriceBookRowChanged)
{
PriceBookRowChanged(this, di.Level, lbe.Price, lbe.Size);
}
// if level has no active depth markers, remove it
if (0 == lbe.Size)
{
entries.RemoveAt(keyindex);
if (0 == keyindex)
{
//LoChanged++;
}
if (entries.Count == keyindex) // matches without the '-1' with the removal
//HiChanged++;
{
}
}
}
}
// handle instance where depth entry has expired
return(oat);
}
public void Update(MarketMakerStats mms, MarketDepth md)
{
int keyindex;
int level;
double price = md.Price;
LimitBookEntry lbe;
int HiChanged = 0;
int LoChanged = 0;
lock (entries) {
level = OneUnified.SmartQuant.Convert.DoublePriceToIntStock(md.Price);
DepthInfo di = new DepthInfo(mms, md, level);
// obtain level at which depth is used
if (entries.ContainsKey(level))
{
keyindex = entries.IndexOfKey(level);
lbe = entries.Values[keyindex];
}
else
{
lbe = new LimitBookEntry(level, md.Price);
entries.Add(level, lbe);
keyindex = entries.IndexOfKey(level);
}
// update the level, and signal change event
//lbe.Update(mms, md);
di.Object = base.Add(md.DateTime, di);
lbe.Update(di);
if (null != PriceBookRowChanged)
{
PriceBookRowChanged(this, level, lbe.Price, lbe.Size);
}
// used for indicating inside quote changed (is this useful due to problems with expiration?)
if (0 == keyindex)
{
LoChanged++;
}
if (entries.Count - 1 == keyindex)
{
HiChanged++;
}
// if level has no active depth markers, remove it
if (0 == lbe.Size)
{
entries.RemoveAt(keyindex);
if (0 == keyindex)
{
LoChanged++;
}
if (entries.Count == keyindex) // matches without the '-1' with the removal
{
HiChanged++;
}
}
// signal event that inside quote has changed (again, not sure if this will actually work properly,
// as we are using quotes to clear this stuff out.
if (entries.Count > 0)
{
if (0 < HiChanged)
{
// highest changed so indicate as such, other code will determine if it is a new inside or not
int ix = entries.Count - 1;
if (null != PriceBookHiEdgeChanged)
{
PriceBookHiEdgeChanged(this, ix, entries.Keys[ix], entries.Values[ix].Price);
}
}
if (0 < LoChanged)
{
// lowest changed so indicate as such, other code will determine if it is a new inside or not
if (null != PriceBookLoEdgeChanged)
{
PriceBookLoEdgeChanged(this, 0, entries.Keys[0], entries.Values[0].Price);
}
}
}
;
}
}