public bool Process(Level1ChangeMessage message)
{
if (HasDepth)
{
return(false);
}
var bidPrice = message.Changes.TryGetValue(Level1Fields.BestBidPrice);
var askPrice = message.Changes.TryGetValue(Level1Fields.BestAskPrice);
if (bidPrice == null && askPrice == null)
{
return(false);
}
var bidVolume = message.Changes.TryGetValue(Level1Fields.BestBidVolume);
var askVolume = message.Changes.TryGetValue(Level1Fields.BestAskVolume);
_bid.Price = bidPrice == null ? 0 : (decimal)bidPrice;
_bid.Volume = bidVolume == null ? 0 : (decimal)bidVolume;
_ask.Price = askPrice == null ? 0 : (decimal)askPrice;
_ask.Volume = askVolume == null ? 0 : (decimal)askVolume;
_localTime = message.LocalTime;
_serverTime = message.ServerTime;
return(true);
}
/// <summary>
/// Get last tick trade price.
/// </summary>
/// <param name="message">Market depth.</param>
/// <returns>The middle of spread. Is <see langword="null" />, if quotes are empty.</returns>
public static decimal?GetLastTradePrice(this Level1ChangeMessage message)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
return((decimal?)message.Changes.TryGetValue(Level1Fields.LastTradePrice));
}
/// <summary>
/// Create a copy of <see cref="Level1ChangeMessage"/>.
/// </summary>
/// <returns>Copy.</returns>
public override Message Clone()
{
var clone = new Level1ChangeMessage
{
SecurityId = SecurityId,
};
CopyTo(clone);
return(clone);
}
/// <summary>
/// Get middle of spread.
/// </summary>
/// <param name="message">Market depth.</param>
/// <returns>The middle of spread. Is <see langword="null" />, if quotes are empty.</returns>
public static decimal?GetSpreadMiddle(this Level1ChangeMessage message)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
var bestBid = (decimal?)message.Changes.TryGetValue(Level1Fields.BestBidPrice);
var bestAsk = (decimal?)message.Changes.TryGetValue(Level1Fields.BestAskPrice);
return(bestBid.GetSpreadMiddle(bestAsk));
}
/// <summary>
/// Create a copy of <see cref="Level1ChangeMessage"/>.
/// </summary>
/// <returns>Copy.</returns>
public override Message Clone()
{
var msg = new Level1ChangeMessage
{
LocalTime = LocalTime,
SecurityId = SecurityId,
ServerTime = ServerTime,
};
msg.Changes.AddRange(Changes);
return(msg);
}
