public override bool ProcessObject(FuturesLevel2Update obj)
{
if (disposedValue || fullDepth == null)
{
return(false);
}
lock (lockObj)
{
try
{
if (obj.Change.Side == Side.Buy)
{
SequencePieces(obj, fullDepth.Bids);
}
else
{
SequencePieces(obj, fullDepth.Asks);
}
fullDepth.Sequence = obj.Sequence;
}
catch (Exception ex)
{
string e = ex.Message;
}
}
if (updVol)
{
decimal price = (decimal)fullDepth.Bids[0].Price;
if (!Candle.IsTimeInCandle(candle, fullDepth.Timestamp.ToUniversalTime()))
{
candle.ClosePrice = price;
LastCandles.Add(candle);
Candle = new Candle();
Candle.Volume = 0;
Candle.OpenPrice = Candle.ClosePrice = Candle.HighPrice = Candle.LowPrice = price;
KlineTime = Candle.Timestamp = klineType.GetCurrentKlineStartTime();
}
else
{
Candle.ClosePrice = price;
if (price > Candle.HighPrice)
{
Candle.HighPrice = price;
}
else if (price < Candle.LowPrice)
{
Candle.LowPrice = price;
}
}
}
return(true);
}