public void RunPriceLevelDelete(string pair, OrderBookEntry[] bids, OrderBookEntry[] asks)
{
if (OrderBooks.ContainsKey(pair))
{
OrderBookDictionary dic = OrderBooks[pair];
foreach (OrderBookEntry bid in bids)
{
if (dic.Entries.ContainsKey(bid.id))
{
OrderBookEntry entry = dic.Entries[bid.id];
dic.Entries.Remove(bid.id);
}
//else
// throw new Exception(string.Format("Could not find price level for pair {0} with id {1}", pair, bid.id));
}
foreach (OrderBookEntry ask in asks)
{
if (dic.Entries.ContainsKey(ask.id))
{
OrderBookEntry entry = dic.Entries[ask.id];
dic.Entries.Remove(ask.id);
}
//else
// throw new Exception(string.Format("Could not find price level for pair {0} with id {1}", pair, ask.id));
}
}
else
{
throw new Exception(string.Format("Unknown Error: Order Book not found in memory for pair {0}", pair));
}
}
public void RunPriceLevelCreation(string pair, OrderBookEntry[] bids, OrderBookEntry[] asks)
{
OrderBookDictionary newDic = new OrderBookDictionary();
foreach (OrderBookEntry bid in bids.OrderByDescending(x => x.price).Take(5))
{
newDic.Entries.Add(bid.id, bid);
}
foreach (OrderBookEntry ask in asks.OrderBy(x => x.price).Take(5))
{
newDic.Entries.Add(ask.id, ask);
}
Console.WriteLine();
if (!OrderBooks.ContainsKey(pair))
{
OrderBooks.Add(pair, newDic);
}
else
{
OrderBooks.Remove(pair);
OrderBooks.Add(pair, newDic);
}
}
public void RunPriceLevelUpdate(string pair, OrderBookEntry[] bids, OrderBookEntry[] asks)
{
if (OrderBooks.ContainsKey(pair))
{
OrderBookDictionary dic = OrderBooks[pair];
foreach (OrderBookEntry bid in bids)
{
if (dic.Entries.ContainsKey(bid.id))
{
OrderBookEntry entry = dic.Entries[bid.id];
entry.size = bid.size;
}
//else
// throw new Exception(string.Format("Could not find price level for pair {0} with id {1}", pair, bid.id));
}
foreach (OrderBookEntry ask in asks)
{
if (dic.Entries.ContainsKey(ask.id))
{
OrderBookEntry entry = dic.Entries[ask.id];
Console.WriteLine(string.Format("ASK UPDATE SIZE={0} PRICE={1}", ask.size.ToString("##.##"), entry.price.ToString("##.########")));
entry.size = ask.size;
}
//else
// throw new Exception(string.Format("Could not find price level for pair {0} with id {1}", pair, ask.id));
}
}
else
{
throw new Exception(string.Format("Unknown Error: Order Book not found in memory for pair {0}", pair));
}
}
public void RunPriceLevelNew(string pair, OrderBookEntry[] bids, OrderBookEntry[] asks)
{
if (OrderBooks.ContainsKey(pair))
{
OrderBookDictionary dic = OrderBooks[pair];
foreach (OrderBookEntry bid in bids)
{
if (!dic.Entries.ContainsKey(bid.id))
{
dic.Entries.Add(bid.id, bid);
}
else
{
throw new Exception(string.Format("Invalid new message for existing price level for pair {0} with id {1}", pair, bid.id));
}
}
foreach (OrderBookEntry ask in asks)
{
if (!dic.Entries.ContainsKey(ask.id))
{
Console.WriteLine(string.Format("ASK NEW SIZE={0} PRICE={1}", ask.size.ToString("##.##"), ask.price.ToString("##.########")));
dic.Entries.Add(ask.id, ask);
}
else
{
throw new Exception(string.Format("Invalid new message for existing price level for pair {0} with id {1}", pair, ask.id));
}
}
}
else
{
throw new Exception(string.Format("Unknown Error: Order Book not found in memory for pair {0}", pair));
}
}