public MarketMakerBidAsk(string MMID)
{
this.MMID = MMID;
this.Bid = 0;
this.BidSize = 0;
this.Ask = 0;
this.AskSize = 0;
this.LastStamp = new DateTime(0);
BidKey = new LimitBookKey(MMID);
AskKey = new LimitBookKey(MMID);
UpdateLimitBookKeys();
}
public MarketMakerBidAsk(
string MMID, int Bid, int BidSize, int Ask, int AskSize, DateTime LastStamp)
{
this.MMID = MMID;
this.Bid = Bid;
this.BidSize = BidSize;
this.Ask = Ask;
this.AskSize = AskSize;
this.LastStamp = LastStamp;
BidKey = new LimitBookKey(MMID);
AskKey = new LimitBookKey(MMID);
UpdateLimitBookKeys();
}
public void Update(MarketDepth md)
{
int ix = 0;
MarketMakerBidAsk mmba = null;
MarketMakerBidAsk mmbaInside = null;
LimitBookKey lbk = null;
int quan;
int price = OneUnified.SmartQuant.Convert.DoublePriceToIntStock(md.Price);
try {
bInsideQuoteChanged = false;
if (!htMMInfo.ContainsKey(md.MarketMaker))
{
// simply add a new entry
mmba = new MarketMakerBidAsk(md.MarketMaker);
htMMInfo.Add(md.MarketMaker, mmba);
}
else
{
// update existing entry after removing from sorted lists
mmba = (MarketMakerBidAsk)htMMInfo[md.MarketMaker];
// remove key from sorted arrays
switch (md.Side)
{
case MDSide.Bid:
if (mmba.BidSize > 0)
{
lbk = mmba.BidKey;
ix = slBid.IndexOfKey(lbk);
slBid.RemoveAt(ix);
ActiveBidRows--;
if (0 < slBid.Count)
{
// get new inside bid if records remaining in order book
if (0 == ix)
{
mmbaInside = ( MarketMakerBidAsk )slBid.GetByIndex(0);
}
}
// update price table
ix = slBidPrice.IndexOfKey(mmba.Bid);
quan = ( int )slBidPrice.GetByIndex(ix);
if (quan == mmba.BidSize)
{
quan = 0;
slBidPrice.RemoveAt(ix);
}
else
{
quan -= mmba.BidSize;
slBidPrice.SetByIndex(ix, quan);
}
if (null != BidPriceBookRowChanged)
{
BidPriceBookRowChanged(this, mmba.Bid, quan);
}
}
else
{
Console.WriteLine("ob bid remove problem bs:{0}, bid:{1}, price:{2}, MM:{3}", mmba.BidSize, mmba.Bid, price, md.MarketMaker);
}
break;
case MDSide.Ask:
if (mmba.AskSize > 0)
{
lbk = mmba.AskKey;
ix = slAsk.IndexOfKey(lbk);
slAsk.RemoveAt(ix);
ActiveAskRows--;
if (0 < slAsk.Count)
{
// get new inside ask if records remaining in order book
if (0 == ix)
{
mmbaInside = ( MarketMakerBidAsk )slAsk.GetByIndex(0);
}
}
// update price table
ix = slAskPrice.IndexOfKey(mmba.Ask);
quan = ( int )slAskPrice.GetByIndex(ix);
if (quan == mmba.AskSize)
{
quan = 0;
slAskPrice.RemoveAt(ix);
}
else
{
quan -= mmba.AskSize;
slAskPrice.SetByIndex(ix, quan);
}
if (null != AskPriceBookRowChanged)
{
AskPriceBookRowChanged(this, mmba.Ask, quan);
}
}
else
{
Console.WriteLine("ob ask remove problem as:{0}, ask:{1}, price:{2}, MM:{3}", mmba.AskSize, mmba.Ask, price, md.MarketMaker);
}
break;
}
}
switch (md.Side)
{
case MDSide.Bid:
mmba.UpdateBid(md.DateTime, price, md.Size);
if (md.Size > 0)
{
lbk = mmba.BidKey;
slBid.Add(lbk, mmba);
ActiveBidRows++;
mmba.BidActivity++;
MarketMakerBidAsk mmbaTmp = (MarketMakerBidAsk)slBid.GetByIndex(0);
if (mmba.MMID == mmbaTmp.MMID)
{
mmbaInside = mmbaTmp;
}
// update price table
if (slBidPrice.ContainsKey(price))
{
ix = slBidPrice.IndexOfKey(price);
quan = (int)slBidPrice.GetByIndex(ix);
quan += md.Size;
slBidPrice.SetByIndex(ix, quan);
}
else
{
quan = md.Size;
slBidPrice.Add(price, quan);
}
if (null != BidPriceBookRowChanged)
{
BidPriceBookRowChanged(this, price, quan);
}
}
if (null != mmbaInside)
{
mmbaInside.BidInside++;
bInsideQuoteChanged = true;
}
break;
case MDSide.Ask:
mmba.UpdateAsk(md.DateTime, price, md.Size);
if (md.Size > 0)
{
lbk = mmba.AskKey;
slAsk.Add(lbk, mmba);
ActiveAskRows++;
mmba.AskActivity++;
MarketMakerBidAsk mmbaTmp = (MarketMakerBidAsk)slAsk.GetByIndex(0);
if (mmba.MMID == mmbaTmp.MMID)
{
mmbaInside = mmbaTmp;
}
// update price table
if (slAskPrice.ContainsKey(price))
{
ix = slAskPrice.IndexOfKey(price);
quan = (int)slAskPrice.GetByIndex(ix);
quan += md.Size;
slAskPrice.SetByIndex(ix, quan);
}
else
{
quan = md.Size;
slAskPrice.Add(price, quan);
}
if (null != AskPriceBookRowChanged)
{
AskPriceBookRowChanged(this, price, quan);
}
}
if (null != mmbaInside)
{
mmbaInside.AskInside++;
bInsideQuoteChanged = true;
}
break;
}
if (bInsideQuoteChanged)
{
if (null != InsideQuoteChangedEventHandler)
{
InsideQuoteChangedEventHandler(this, EventArgs.Empty);
}
}
}
catch (Exception e) {
Console.WriteLine("UpdateDataStructures problem {0}", e);
}
finally {
}
}