public MockOrderBook(int exchangeID)
{
ExchangeID = exchangeID;
Orders = ImmutableDictionary <int, ExchangeOrder> .Empty;
Bids = ImmutableSortedSet.Create(comparer: OrderComparer.DescBidComparer());
Asks = ImmutableSortedSet.Create(comparer: OrderComparer.DescAskComparer());
}
public MockOrderBook CancelOrder(ExchangeOrder order)
{
if (order == null)
{
throw new ArgumentNullException("order");
}
var orders = this.Orders;
var bids = this.Bids;
var asks = this.Asks;
#region remove order from bids or asks
if (order.OSide == OrderSide.Buy)
{
var bidsBuilder = bids.ToBuilder();
var orderToRemove = bidsBuilder.SingleOrDefault(o => o.ID == order.ID);
if (orderToRemove != null)
{
bidsBuilder.Remove(orderToRemove);
}
bids = bidsBuilder.ToImmutableSortedSet(comparer: OrderComparer.DescBidComparer());
}
else
{
var asksBuilder = asks.ToBuilder();
var orderToRemove = asksBuilder.SingleOrDefault(o => o.ID == order.ID);
if (orderToRemove != null)
{
asksBuilder.Remove(orderToRemove);
}
asks = asksBuilder.ToImmutableSortedSet(comparer: OrderComparer.DescAskComparer());
}
#endregion
#region update the status of the order in the dictionnary containing all the orders
var ordersBuilder = orders.ToBuilder();
ExchangeOrder changingOrder = null;
ordersBuilder.TryGetValue(order.ID, out changingOrder);
if (changingOrder != null)
{
changingOrder = changingOrder.WithUpdatedStatus(ExchangeOrderStatus.Canceled);
}
ordersBuilder[changingOrder.ID] = changingOrder;
orders = ordersBuilder.ToImmutableDictionary();
#endregion
MockOrderBook result = new MockOrderBook(this.ExchangeID, orders, bids, asks);
return(result);
}
public AggregatedOrderBook()
{
Bids = ImmutableSortedSet.Create(comparer: OrderComparer.DescBidComparer());
Asks = ImmutableSortedSet.Create(comparer: OrderComparer.DescAskComparer());
}
public MockOrderBook PlaceOrder(ExchangeOrder pendingOrder)
{
if (pendingOrder == null)
{
throw new ArgumentNullException("pendingOrder");
}
if (pendingOrder.Status != ExchangeOrderStatus.Pending)
{
throw new Exception(string.Format("Cannot insert order with '{0}' status in the OrderBook", pendingOrder.Status));
}
//Now the order is opened
var openOrder = pendingOrder.WithUpdatedStatus(ExchangeOrderStatus.Open);
var orders = this.Orders;
var bids = this.Bids;
var asks = this.Asks;
ImmutableSortedSet <ExchangeOrder> oppositeSideOrders = null;
ImmutableSortedSet <ExchangeOrder> sameSideOrders = null;
if (openOrder.OSide == OrderSide.Buy)
{
oppositeSideOrders = asks;
sameSideOrders = bids;
}
else
{
oppositeSideOrders = bids;
sameSideOrders = asks;
}
var matchOuput = MatchOrder(Tuple.Create(openOrder, oppositeSideOrders));
ExchangeOrder resultingOrder = matchOuput.Item1;
ImmutableSortedSet <ExchangeOrder> resultingSameSideOrders = null;
if (resultingOrder.RemainingVolume > 0)
{
resultingSameSideOrders = sameSideOrders.Add(resultingOrder);
}
else
{
resultingSameSideOrders = sameSideOrders;
}
ImmutableSortedSet <ExchangeOrder> resultingOppositeSideOrders = matchOuput.Item2;
#region update orders
var ordersBuilder = orders.ToBuilder();
ordersBuilder[resultingOrder.ID] = resultingOrder;
var oppositeSideOrdersDiff = resultingOppositeSideOrders.SymmetricExcept(oppositeSideOrders). //contains all the elements which are NOT PRESENT IN BOTH sets. for updated orders, both the old and new one will be returned
GroupBy(o => o.ID, (_, g) => g.OrderBy(o => o.RemainingVolume).FirstOrDefault()). //for changed orders, take only the latest one
ToList();
foreach (var item in oppositeSideOrdersDiff)
{
//add or update the value in dictionary
ordersBuilder[item.ID] = item;
}
#endregion
#region reconstruct bids and asks
ImmutableSortedSet <ExchangeOrder> resultingBids = null;
ImmutableSortedSet <ExchangeOrder> resultingAsks = null;
if (openOrder.OSide == OrderSide.Buy)
{
resultingBids = resultingSameSideOrders;
resultingAsks = resultingOppositeSideOrders;
}
else
{
resultingBids = resultingOppositeSideOrders;
resultingAsks = resultingSameSideOrders;
}
resultingBids = resultingBids.Where(o => o.Status == ExchangeOrderStatus.Open).ToImmutableSortedSet(OrderComparer.DescBidComparer());
resultingAsks = resultingAsks.Where(o => o.Status == ExchangeOrderStatus.Open).ToImmutableSortedSet(OrderComparer.DescAskComparer());
#endregion
//return all orders + bids and asks from which completed orders are removed
return(new MockOrderBook(this.ExchangeID,
ordersBuilder.ToImmutable(),
resultingBids,
resultingAsks));
}
public OrderBook(int exchnangeID, IEnumerable <ExchangeOrder> bids, IEnumerable <ExchangeOrder> asks)
{
ExchangeID = exchnangeID;
Bids = bids.ToImmutableSortedSet(comparer: OrderComparer.DescBidComparer());
Asks = asks.ToImmutableSortedSet(comparer: OrderComparer.DescAskComparer());
}
