public void Ask_Heap_Latency()
{
const int size = 1024 * 1024;
var arr1 = new Quote[128 * 1024];
Populate(arr1);
var arr2 = new Quote[(1024 - 129) * 1024 - 1];
Populate(arr2);
var arr3 = new Quote[1025];
Populate(arr3);
var quote1 = new Quote(0.5m, 1, Guid.NewGuid().ToString(), 1, null, 1);
var quote2 = new Quote(0.6m, 1, Guid.NewGuid().ToString(), 1, null, 1);
var quote3 = new Quote(0.7m, 1, Guid.NewGuid().ToString(), 1, null, 1);
var fullArray = new Quote[size + 3];
Array.Copy(arr1, 0, fullArray, 0, arr1.Length);
Array.Copy(arr2, 0, fullArray, arr1.Length, arr2.Length);
Array.Copy(arr3, 0, fullArray, arr1.Length + arr2.Length, arr3.Length);
fullArray[fullArray.Length - 3] = quote1;
fullArray[fullArray.Length - 2] = quote2;
fullArray[fullArray.Length - 1] = quote3;
fullArray = fullArray.OrderBy(x => x.QuotePrice).ToArray();
var heaps = new[]
{
CreateMinHeap(arr1, 0),
CreateMinHeap(arr2, 1),
CreateMinHeap(arr3, 2)
};
var askHeap = new AskHeap(heaps);
heaps[0].InsertVal(quote1);
heaps[1].InsertVal(quote2);
heaps[2].InsertVal(quote3);
var position = new BuyPosition(fullArray.Sum(x => x.QuotePrice));
var sw = Stopwatch.StartNew();
Parallel.For(0, 1, i =>
{
var cnt = 0;
do
{
position.LastSize = 0;
askHeap.FindSizeAndPrice(position);
Assert.True(fullArray[cnt].QuotePrice.Equals(position.LastPrice));
} while (++cnt < fullArray.Length);
position.LastSize = 0;
askHeap.FindSizeAndPrice(position);
Assert.True(position.LastSize.Equals(0));
});
sw.Stop();
Console.Out.WriteLine($"AskHeap Extract Time:{sw.Elapsed.TotalMilliseconds}");
}
public TraderGroup(CryptoCurrency currency, IExchange[] xchgs)
{
_askHeap = new AskHeap(xchgs.Select(x => x.AskHeap(currency)).ToList());
_bidHeap = new BidHeap(xchgs.Select(x => x.BidHeap(currency)).ToList());
}
