private void deleteLevelSide(
MamdaOrderBookPriceLevel level,
TreeMap bookSide)
{
MamaPrice price = level.getPrice();
if (bookSide.ContainsKey(price))
{
/* We actually need to process this properly because the
* update may not contain all entries, just updated
* ones. */
bookSide.Remove(price);
}
}
private void addLevelSide(
MamdaOrderBookPriceLevel level,
TreeMap bookSide)
{
MamaPrice price = level.getPrice();
if (!bookSide.ContainsKey(price))
{
bookSide.Add(price, level);
}
else
{
bookSide[price] = level; // Overwrite it anyway
}
}
private void updateLevelSide(
MamdaOrderBookPriceLevel level,
TreeMap bookSide)
{
MamaPrice price = level.getPrice();
if (bookSide.ContainsKey(price))
{
MamdaOrderBookPriceLevel fullBookLevel =
bookSide[price] as MamdaOrderBookPriceLevel;
/*Iterate over the entries in the update and apply them to the
* full book level according to action*/
foreach (MamdaOrderBookEntry deltaEntry in level)
{
switch (deltaEntry.getAction())
{
case MamdaOrderBookEntry.Actions.Add:
fullBookLevel.addEntry(deltaEntry);
break;
case MamdaOrderBookEntry.Actions.Update:
fullBookLevel.updateEntry(deltaEntry);
break;
case MamdaOrderBookEntry.Actions.Delete:
fullBookLevel.removeEntry(deltaEntry);
break;
case MamdaOrderBookEntry.Actions.Unknown:
/*Do nothing*/
break;
default:
/*Do nothing*/
break;
}
}
/*Update the details for the level itself*/
fullBookLevel.setDetails(level);
}
else
{
bookSide.Add(price, level); // Add it anyway
}
}
private void dump(TextWriter writer, MamdaOrderBookPriceLevel level, int index)
{
string title = level.getSide() == MamdaOrderBookPriceLevel.Sides.Ask ? "Ask" : "Bid";
writer.WriteLine("{0} {1} | price={2} size={3} action={4} entries={5} time={6}",
title,
index,
level.getPrice(),
level.getSize(),
level.getAction(),
level.getNumEntries(),
level.hasTime() ? level.getTime().ToString() : "null");
foreach (MamdaOrderBookEntry entry in level)
{
writer.WriteLine(" | id={0} size={1} action={2} time={3}",
entry.getId(),
entry.getSize(),
entry.getAction(),
entry.hasTime() ? entry.getTime().ToString() : "null");
}
}
private TreeMap determineDiffs(
TreeMap resultSide,
TreeMap lhs,
TreeMap rhs,
bool ascending)
{
IEnumerator lhsEnum = lhs.Values.GetEnumerator();
IEnumerator rhsEnum = rhs.Values.GetEnumerator();
bool lhsHasNext = lhsEnum.MoveNext();
bool rhsHasNext = rhsEnum.MoveNext();
while (lhsHasNext || rhsHasNext)
{
MamdaOrderBookPriceLevel lhsLevel = null;
MamdaOrderBookPriceLevel rhsLevel = null;
double lhsPrice = double.MinValue;
double rhsPrice = double.MinValue;
long lhsSize = 0;
long rhsSize = 0;
if (lhsHasNext)
{
lhsLevel = (MamdaOrderBookPriceLevel)lhsEnum.Current;
lhsPrice = lhsLevel.getPrice().getValue();
lhsSize = lhsLevel.getSize();
}
if (rhsHasNext)
{
rhsLevel = (MamdaOrderBookPriceLevel)rhsEnum.Current;
rhsPrice = rhsLevel.getPrice().getValue();
rhsSize = rhsLevel.getSize();
}
// Compare two doubles using an epsilon
if ((doubleEquals(lhsPrice, rhsPrice)) && (lhsSize == rhsSize))
{
// Usual scenario: both levels are the same
lhsHasNext = lhsEnum.MoveNext();
rhsHasNext = rhsEnum.MoveNext();
continue;
}
if (doubleEquals(lhsPrice, rhsPrice))
{
// Same price, different size. Need to determine the
// different entries.
MamdaOrderBookPriceLevel diffLevel = new MamdaOrderBookPriceLevel();
diffLevel.setAsDifference(lhsLevel, rhsLevel);
resultSide.Add(lhsLevel.getPrice(), diffLevel);
lhsHasNext = lhsEnum.MoveNext();
rhsHasNext = rhsEnum.MoveNext();
continue;
}
if (ascending)
{
if (((lhsPrice > rhsPrice) && (rhsPrice != double.MinValue)) || (lhsPrice == double.MinValue))
{
// RHS has an additional price level
MamdaOrderBookPriceLevel diffLevel = new MamdaOrderBookPriceLevel(rhsLevel);
resultSide.Add(rhsLevel.getPrice(), diffLevel);
rhsHasNext = rhsEnum.MoveNext();
continue;
}
else
{
// RHS does not have a price level that is on the LHS.
// Copy the LHS level and mark all as deleted.
MamdaOrderBookPriceLevel diffLevel = new MamdaOrderBookPriceLevel(lhsLevel);
resultSide.Add(lhsLevel.getPrice(), diffLevel);
lhsHasNext = lhsEnum.MoveNext();
continue;
}
}
else
{
if (((lhsPrice > rhsPrice) && (lhsPrice != double.MinValue)) || (rhsPrice == double.MinValue))
{
// LHS has an additional price level
MamdaOrderBookPriceLevel diffLevel = new MamdaOrderBookPriceLevel(lhsLevel);
resultSide.Add(lhsLevel.getPrice(), diffLevel); // CHECK: use indexer?
lhsHasNext = lhsEnum.MoveNext();
continue;
}
else
{
// LHS does not have a price level that is on the RHS.
// Copy the RHS level and mark all as deleted.
MamdaOrderBookPriceLevel diffLevel = new MamdaOrderBookPriceLevel(rhsLevel);
resultSide.Add(rhsLevel.getPrice(), diffLevel); // CHECK: use indexer?
rhsHasNext = rhsEnum.MoveNext();
continue;
}
}
}
return(resultSide);
}
/// <summary>
/// </summary>
/// <param name="lhs"></param>
/// <param name="rhs"></param>
public void setAsDifference(
MamdaOrderBookPriceLevel lhs,
MamdaOrderBookPriceLevel rhs)
{
int lhsBookSize = lhs.mEntries.Count;
int rhsBookSize = rhs.mEntries.Count;
int lhsIndex = 0;
int rhsIndex = 0;
while ((lhsIndex < lhsBookSize) && (rhsIndex < rhsBookSize))
{
string lhsId = null;
string rhsId = null;
long lhsSize = 0;
long rhsSize = 0;
MamdaOrderBookEntry lhsEntry = null;
MamdaOrderBookEntry rhsEntry = null;
if (lhsIndex < lhsBookSize)
{
lhsEntry = (MamdaOrderBookEntry)lhs.mEntries[lhsIndex];
lhsId = lhsEntry.getId();
lhsSize = lhsEntry.getSize();
}
if (rhsIndex < rhsBookSize)
{
rhsEntry = (MamdaOrderBookEntry)rhs.mEntries[rhsIndex];
rhsId = rhsEntry.getId();
rhsSize = rhsEntry.getSize();
}
if ((lhsId != null) && (rhsId != null))
{
if (lhsId == rhsId)
{
// Same ID, maybe different size.
if (lhsSize != rhsSize)
{
MamdaOrderBookEntry updateEntry = new MamdaOrderBookEntry(rhsEntry);
updateEntry.setAction(MamdaOrderBookEntry.Actions.Update);
addEntry(updateEntry);
}
lhsIndex++;
rhsIndex++;
continue;
}
else
{
// Different ID (either something exists on the LHS
// and not on RHS or vice versa).
int rhsFound = findEntryAfter(rhs.mEntries, rhsIndex, lhsId);
if (rhsFound != rhsSize)
{
// The ID from the LHS was found on the RHS, so
// there must have been additional entries on the
// RHS, which we now need to add.
do
{
addEntry((MamdaOrderBookEntry)rhs.mEntries[rhsIndex]);
rhsIndex++;
}
while (rhsIndex < rhsFound);
}
else
{
// The ID from the LHS was not present on the RHS,
// so add the LHS entry. Note: it would probably
// be faster to iterate over the LHS side rather
// than begin the loop again.
addEntry((MamdaOrderBookEntry)lhs.mEntries[lhsIndex]);
lhsIndex++;
}
}
}
}
if (mPrice != null && rhs.getPrice() != null)
{
mPrice.destroy();
}
mPrice = rhs.getPrice();
setSizeChange(rhs.getSize() - lhs.getSize());
setSize(rhs.getSize());
setNumEntries(rhs.getNumEntries());
setAction(Actions.Update);
mTime = rhs.getTime();
setSide(rhs.getSide());
}
private void updateLevelSide(
MamdaOrderBookPriceLevel level,
TreeMap bookSide)
{
MamaPrice price = level.getPrice();
if (bookSide.ContainsKey(price))
{
MamdaOrderBookPriceLevel fullBookLevel =
bookSide[price] as MamdaOrderBookPriceLevel;
/*Iterate over the entries in the update and apply them to the
* full book level according to action*/
foreach (MamdaOrderBookEntry deltaEntry in level)
{
switch (deltaEntry.getAction())
{
case MamdaOrderBookEntry.Actions.Add:
fullBookLevel.addEntry(deltaEntry);
break;
case MamdaOrderBookEntry.Actions.Update:
fullBookLevel.updateEntry(deltaEntry);
break;
case MamdaOrderBookEntry.Actions.Delete:
fullBookLevel.removeEntry(deltaEntry);
break;
case MamdaOrderBookEntry.Actions.Unknown:
/*Do nothing*/
break;
default:
/*Do nothing*/
break;
}
}
/*Update the details for the level itself*/
fullBookLevel.setDetails(level);
}
else
{
bookSide.Add(price, level); // Add it anyway
}
}
private void dump(TextWriter writer, MamdaOrderBookPriceLevel level, int index)
{
string title = level.getSide() == MamdaOrderBookPriceLevel.Sides.Ask ? "Ask" : "Bid";
writer.WriteLine("{0} {1} | price={2} size={3} action={4} entries={5} time={6}",
title,
index,
level.getPrice(),
level.getSize(),
level.getAction(),
level.getNumEntries(),
level.hasTime() ? level.getTime().ToString() : "null");
foreach (MamdaOrderBookEntry entry in level)
{
writer.WriteLine(" | id={0} size={1} action={2} time={3}",
entry.getId(),
entry.getSize(),
entry.getAction(),
entry.hasTime() ? entry.getTime().ToString() : "null");
}
}
private void deleteLevelSide(
MamdaOrderBookPriceLevel level,
TreeMap bookSide)
{
MamaPrice price = level.getPrice();
if (bookSide.ContainsKey(price))
{
/* We actually need to process this properly because the
* update may not contain all entries, just updated
* ones. */
bookSide.Remove(price);
}
}
private void addLevelSide(
MamdaOrderBookPriceLevel level,
TreeMap bookSide)
{
MamaPrice price = level.getPrice();
if (!bookSide.ContainsKey(price))
{
bookSide.Add(price, level);
}
else
{
bookSide[price] = level; // Overwrite it anyway
}
}
/// <summary>
/// </summary>
/// <param name="lhs"></param>
/// <param name="rhs"></param>
public void setAsDifference(
MamdaOrderBookPriceLevel lhs,
MamdaOrderBookPriceLevel rhs)
{
int lhsBookSize = lhs.mEntries.Count;
int rhsBookSize = rhs.mEntries.Count;
int lhsIndex = 0;
int rhsIndex = 0;
while ((lhsIndex < lhsBookSize) && (rhsIndex < rhsBookSize))
{
string lhsId = null;
string rhsId = null;
long lhsSize = 0;
long rhsSize = 0;
MamdaOrderBookEntry lhsEntry = null;
MamdaOrderBookEntry rhsEntry = null;
if (lhsIndex < lhsBookSize)
{
lhsEntry = (MamdaOrderBookEntry)lhs.mEntries[lhsIndex];
lhsId = lhsEntry.getId();
lhsSize = lhsEntry.getSize();
}
if (rhsIndex < rhsBookSize)
{
rhsEntry = (MamdaOrderBookEntry)rhs.mEntries[rhsIndex];
rhsId = rhsEntry.getId();
rhsSize = rhsEntry.getSize();
}
if ((lhsId != null) && (rhsId != null))
{
if (lhsId == rhsId)
{
// Same ID, maybe different size.
if (lhsSize != rhsSize)
{
MamdaOrderBookEntry updateEntry = new MamdaOrderBookEntry(rhsEntry);
updateEntry.setAction(MamdaOrderBookEntry.Actions.Update);
addEntry(updateEntry);
}
lhsIndex++;
rhsIndex++;
continue;
}
else
{
// Different ID (either something exists on the LHS
// and not on RHS or vice versa).
int rhsFound = findEntryAfter(rhs.mEntries, rhsIndex, lhsId);
if (rhsFound != rhsSize)
{
// The ID from the LHS was found on the RHS, so
// there must have been additional entries on the
// RHS, which we now need to add.
do
{
addEntry((MamdaOrderBookEntry)rhs.mEntries[rhsIndex]);
rhsIndex++;
}while (rhsIndex < rhsFound);
}
else
{
// The ID from the LHS was not present on the RHS,
// so add the LHS entry. Note: it would probably
// be faster to iterate over the LHS side rather
// than begin the loop again.
addEntry((MamdaOrderBookEntry)lhs.mEntries[lhsIndex]);
lhsIndex++;
}
}
}
}
if (mPrice != null && rhs.getPrice() != null)
{
mPrice.destroy();
}
mPrice = rhs.getPrice();
setSizeChange(rhs.getSize() - lhs.getSize());
setSize(rhs.getSize());
setNumEntries(rhs.getNumEntries());
setAction(Actions.Update);
mTime = rhs.getTime();
setSide(rhs.getSide());
}
