/// <summary>
/// Erase the specified level from the Depth Levels
/// </summary>
/// <param name="inboundLevel"> </param>
/// <param name="orderSide"></param>
/// <returns></returns>
public bool EraseLevel(DepthLevel inboundLevel, OrderSide orderSide)
{
// Specifies the last element with a non-null price in the current side Depthlevel array
bool isLastLevel = orderSide == OrderSide.Buy ? (
// If the provided level is the last non-null price level
inboundLevel == FindLastLevel(_bidLevels) &&
// If the last non-null price level is the last slot in the array
FindLastLevel(_bidLevels) == _bidLevels.Last())
:
// If the provided level is the last non-null price level
(inboundLevel == FindLastLevel(_askLevels) &&
// If the last non-null price level is the last slot in the array
FindLastLevel(_askLevels) == _askLevels.Last());
// If the level lies in the excess levels
if (inboundLevel.IsExcess)
{
switch (orderSide)
{
case OrderSide.Buy:
_bidExcessLevels.RemoveLevel(inboundLevel.Price);
return(true);
case OrderSide.Sell:
_askExcessLevels.RemoveLevel(inboundLevel.Price);
return(true);
}
}
// Otherwise, remove the level from the current slot and move all other levels to one slot back
else
{
DepthLevel lastSideLevel = orderSide == OrderSide.Buy ? _bidLevels.Last() : _askLevels.Last();
DepthLevel[] sideLevels = orderSide == OrderSide.Buy ? _bidLevels : _askLevels;
int backEndLevelIndex = Array.FindIndex(sideLevels, depthLevel => depthLevel == lastSideLevel);
int inboundLevelIndex = Array.FindIndex(sideLevels, depthLevel => depthLevel == inboundLevel);
int currentLevelIndex = inboundLevelIndex;
++_lastChangeId;
if (currentLevelIndex >= 0)
{
// Move from the current level to the last
while (currentLevelIndex < backEndLevelIndex)
{
// In the first loop, currentLevelIndex starts from the level which is being removed, inboundLevelIndex
// so we make every value null
if (currentLevelIndex == inboundLevelIndex)
{
sideLevels[currentLevelIndex].UpdatePrice(null);
sideLevels[currentLevelIndex].UpdateVolume(null);
sideLevels[currentLevelIndex].UpdateOrderCount(0);
sideLevels[currentLevelIndex].ChangeExcessStatus(false);
}
sideLevels[currentLevelIndex] = sideLevels[currentLevelIndex + 1];
UpdateLevelIndex(sideLevels, currentLevelIndex, currentLevelIndex + 1);
sideLevels[currentLevelIndex].LastChange(new ChangeId(_lastChangeId));
currentLevelIndex++;
}
// The last element after the loop is done will be the same as the second last one as the slots have been
// shifted back. So we remove this level as this is the duplicate of the level before it
sideLevels[currentLevelIndex] = new DepthLevel(null);
if (isLastLevel || sideLevels.Last().Price == null || sideLevels.Last().Price.Value == 0)
{
if (orderSide == OrderSide.Buy &&
(isLastLevel || sideLevels.Last().Price == null || sideLevels.Last().Price.Value == 0))
{
RemoveLevelFromExcess(_bidExcessLevels, _bidLevels);
}
else if (orderSide == OrderSide.Sell &&
(isLastLevel || sideLevels.Last().Price == null || sideLevels.Last().Price.Value == 0))
{
RemoveLevelFromExcess(_askExcessLevels, _askLevels);
}
else
{
sideLevels[currentLevelIndex].LastChange(new ChangeId(_lastChangeId));
}
}
sideLevels[currentLevelIndex].LastChange(new ChangeId(_lastChangeId));
return(true);
}
}
return(false);
}
/// <summary>
/// Default constructor
/// </summary>
/// <param name="currencypair"></param>
/// <param name="bestBid"></param>
/// <param name="bestAsk"></param>
public BBO(string currencypair, DepthLevel bestBid, DepthLevel bestAsk)
{
_currencyPair = currencypair;
_bestBid = bestBid;
_bestAsk = bestAsk;
}
