private void RemoveEmptyPriceLevel(QuantityTrackingPriceLevel priceLevel, SortedDictionary <Price, QuantityTrackingPriceLevel> side, bool isBuy)
{
if (priceLevel.OrderCount == 0)
{
side.Remove(priceLevel.Price);
if (isBuy && _bestBidPriceLevel.Price == priceLevel.Price)
{
_bestBidPriceLevel = null;
if (side.Count > 0)
{
var keyval = side.FirstOrDefault();
_bestBidPriceLevel = keyval.Value;
}
}
else if (!isBuy && _bestAskPriceLevel.Price == priceLevel.Price)
{
_bestAskPriceLevel = null;
if (side.Count > 0)
{
var keyval = side.FirstOrDefault();
_bestAskPriceLevel = keyval.Value;
}
}
}
}
private static QuantityTrackingPriceLevel GetPriceLevel(Price price, SortedDictionary <Price, QuantityTrackingPriceLevel> side)
{
if (!side.TryGetValue(price, out QuantityTrackingPriceLevel priceLevel))
{
priceLevel = new QuantityTrackingPriceLevel(price);
side.Add(price, priceLevel);
}
return(priceLevel);
}
public bool FillOrder(Order order, Quantity quantity)
{
SortedDictionary <Price, QuantityTrackingPriceLevel> side = order.IsBuy ? _bidSide : _askSide;
QuantityTrackingPriceLevel priceLevel = side[order.Price];
bool orderFilled = priceLevel.Fill(order, quantity);
RemoveEmptyPriceLevel(priceLevel, side, order.IsBuy);
return(orderFilled);
}
public Order GetBestBuyOrderToMatch(bool isBuy)
{
QuantityTrackingPriceLevel bestPriceLevel = isBuy ? _bestBidPriceLevel : _bestAskPriceLevel;
if (bestPriceLevel != null)
{
return(bestPriceLevel.First);
}
return(null);
}
public void AddOrderOpenBook(Order order)
{
order.Sequnce = ++_sequence;
if (order.IsBuy)
{
QuantityTrackingPriceLevel priceLevel = GetPriceLevel(order.Price, _bidSide);
priceLevel.AddOrder(order);
if (_bestBidPriceLevel == null || order.Price > _bestBidPriceLevel.Price)
{
_bestBidPriceLevel = priceLevel;
}
}
else
{
QuantityTrackingPriceLevel priceLevel = GetPriceLevel(order.Price, _askSide);
priceLevel.AddOrder(order);
if (_bestAskPriceLevel == null || order.Price < _bestAskPriceLevel.Price)
{
_bestAskPriceLevel = priceLevel;
}
}
}
