private OrderBook BuildOrderBook(ProExchange.JSON.API.Notifications.OrderBook response)
{
var orderbook = new OrderBook { Version = response.Version };
foreach (var data in response.List)
{
orderbook.Sides[(int)data.Side.SimplifyOrderSide()].Add(data.Price, new OrderBookDetail(data.Price) { Quantity = data.Size });
}
return orderbook;
}
public void Update(ProExchange.JSON.API.Notifications.OrderBook response)
{
lock (this)
{
OrderBook orderbook;
var isNew = orderbooks.TryGetValue(response.Symbol, out orderbook);
switch (response.Type)
{
case OrderBookType.FULL:
orderbook = new OrderBook();
orderbooks[response.Symbol] = orderbook;
break;
case OrderBookType.INCREMENTAL:
var next = NextVersion(orderbook);
if (next != response.Version)
RequestFullOrderBook(response.Symbol);
break;
default:
return;
}
foreach (var data in response.List)
{
var side = orderbook.Sides[(int)data.Side.SimplifyOrderSide()];
OrderBookDetail detail;
if (!side.TryGetValue(data.Price, out detail))
{
detail = new OrderBookDetail(data.Price);
side.Add(detail.Price, detail);
}
detail.Quantity += data.Size;
if (detail.Quantity == 0) side.Remove(detail.Price);
}
orderbook.Version = response.Version;
}
}