/// <summary>
/// LimitOrderBook constructor
/// </summary>
/// <param name="symbol">Security symbol</param>
/// <param name="exchange">Security exchange</param>
public LimitOrderBook(string symbol, string exchange)
{
Symbol = symbol;
Exchange = exchange;
Bid = new LimitOrderList(symbol, MarketSide.Bid);
Ask = new LimitOrderList(symbol, MarketSide.Ask);
}
/// <summary>
/// Submit Spark.Event depth update event (thread-safe)
/// </summary>
/// <param name="eventItem">Spark event</param>
public void SubmitEvent(Spark.Event eventItem)
{
LimitOrderList list = (ApiFunctions.GetMarketSide(eventItem.Flags) == MarketSide.Bid) ? Bid : Ask;
lock (_lock)
{
list.SubmitEvent(eventItem);
}
}
/// <summary>
/// Returns a discrete clone of limit order list
/// </summary>
public LimitOrderList Clone()
{
LimitOrderList result = new LimitOrderList(Symbol, Side);
foreach (LimitOrder orderItem in this)
{
result.Add(orderItem.Clone());
}
return(result);
}
