public Orderbook GetOrderbookUpdates(Orderbook oldOrderbook, Orderbook newOrderbook)
{
var result = JsonConvert.DeserializeObject <Orderbook>(newOrderbook.ToJson());
var asks = MergeLevels(oldOrderbook.Asks.Select(x =>
new VolumePriceModel {
Volume = Convert.ToDecimal(x.V), Price = Convert.ToDecimal(x.P)
}).ToList(),
newOrderbook.Asks.Select(x =>
new VolumePriceModel {
Volume = Convert.ToDecimal(x.V), Price = Convert.ToDecimal(x.P)
}).ToList()).OrderBy(x => x.Price).ToList();
var bids = MergeLevels(oldOrderbook.Bids.Select(x =>
new VolumePriceModel {
Volume = Convert.ToDecimal(x.V), Price = Convert.ToDecimal(x.P)
}).ToList(),
newOrderbook.Bids.Select(x =>
new VolumePriceModel {
Volume = Convert.ToDecimal(x.V), Price = Convert.ToDecimal(x.P)
}).ToList()).OrderByDescending(x => x.Price).ToList();
result.Asks.Clear();
result.Bids.Clear();
result.Asks.AddRange(asks.Select(x => new Orderbook.Types.PriceVolume {
P = x.Price.ToString(CultureInfo.InvariantCulture), V = x.Volume.ToString(CultureInfo.InvariantCulture)
}));
result.Bids.AddRange(bids.Select(x => new Orderbook.Types.PriceVolume {
P = x.Price.ToString(CultureInfo.InvariantCulture), V = x.Volume.ToString(CultureInfo.InvariantCulture)
}));
return(result);
}
public Orderbook GetOrderbookUpdates(Orderbook oldOrderbook, Orderbook newOrderbook)
{
var result = JsonConvert.DeserializeObject <Orderbook>(newOrderbook.ToJson());
result.Asks = MergeLevels(oldOrderbook.Asks.ToList(), newOrderbook.Asks.ToList()).OrderBy(x => x.Price).ToList();
result.Bids = MergeLevels(oldOrderbook.Bids.ToList(), newOrderbook.Bids.ToList()).OrderByDescending(x => x.Price).ToList();
return(result);
}