/// <summary>
/// Return discrete clone of limit order book (thread-safe)
/// </summary>
public LimitOrderBook Clone()
{
LimitOrderBook result = new LimitOrderBook(Symbol, Exchange);
lock (_lock)
{
result.Bid = Bid.Clone();
result.Ask = Ask.Clone();
}
return(result);
}
/// <summary>
/// AggregatedLimitOrderBook constructor
/// </summary>
/// <param name="orderBook">Limit order book</param>
public AggregatedLimitOrderBook(LimitOrderBook orderBook) : this(orderBook, -1)
{
}
/// <summary>
/// AggregatedLimitOrderBook constructor
/// </summary>
/// <param name="orderBook">Limit order book</param>
/// <param name="maximumPriceLevels">Number of aggregate price levels to calculate</param>
public AggregatedLimitOrderBook(LimitOrderBook orderBook, int maximumPriceLevels)
{
Bid = GeneratePriceLevels(orderBook.Bid, maximumPriceLevels);
Ask = GeneratePriceLevels(orderBook.Ask, maximumPriceLevels);
}
/// <summary>
/// Processes the Spark update event provided in the EventFeedArgs and updates security properties based on the event type
/// </summary>
/// <param name="sender">Event sender</param>
/// <param name="eventFeedArgs">Event feed args</param>
internal void EventReceived(object sender, EventFeedArgs eventFeedArgs)
{
//Process event
Spark.Event eventItem = eventFeedArgs.Event;
switch (eventItem.Type)
{
//Depth update
case Spark.EVENT_NEW_DEPTH:
case Spark.EVENT_AMEND_DEPTH:
case Spark.EVENT_DELETE_DEPTH:
//Check if exchange order book exists and create if it doesn't
LimitOrderBook orderBook;
if (!OrderBooks.TryGetValue(eventFeedArgs.Exchange, out orderBook))
{
orderBook = new LimitOrderBook(eventFeedArgs.Symbol, eventFeedArgs.Exchange);
OrderBooks.Add(eventFeedArgs.Exchange, orderBook);
}
//Submit update to appropriate exchange order book
orderBook.SubmitEvent(eventItem);
if (OnDepthUpdate != null)
{
OnDepthUpdate(this, new GenericEventArgs <LimitOrderBook>(eventFeedArgs.TimeStamp, orderBook));
}
break;
//Trade update
case Spark.EVENT_TRADE:
//Create and store trade record
Trade trade = eventItem.ToTrade(eventFeedArgs.Symbol, eventFeedArgs.Exchange, eventFeedArgs.TimeStamp);
Trades.Add(trade);
if (OnTradeUpdate != null)
{
OnTradeUpdate(this, new GenericEventArgs <Trade>(eventFeedArgs.TimeStamp, trade));
}
break;
//Trade cancel
case Spark.EVENT_CANCEL_TRADE:
//Find original trade in trade record and delete
Trade cancelledTrade = eventItem.ToTrade(eventFeedArgs.TimeStamp);
Trade originalTrade = Trades.Find(x => (x.TimeStamp == cancelledTrade.TimeStamp && x.Price == cancelledTrade.Price && x.Volume == cancelledTrade.Volume));
if (originalTrade != null)
{
Trades.Remove(originalTrade);
}
break;
//Market state update
case Spark.EVENT_STATE_CHANGE:
State = ApiFunctions.ConvertToMarketState(eventItem.State);
if (OnMarketStateUpdate != null)
{
OnMarketStateUpdate(this, new GenericEventArgs <MarketState>(eventFeedArgs.TimeStamp, State));
}
break;
//Market quote update (change to best market bid-ask prices)
case Spark.EVENT_QUOTE:
if (OnQuoteUpdate != null)
{
LimitOrderBook depth = OrderBooks[eventFeedArgs.Exchange];
MarketQuote quote = new MarketQuote(eventFeedArgs.Symbol, eventFeedArgs.Exchange, depth.BidPrice, depth.AskPrice, eventFeedArgs.TimeStamp);
OnQuoteUpdate(this, new GenericEventArgs <MarketQuote>(eventFeedArgs.TimeStamp, quote));
}
break;
//IAP (Indicative Auction Price) Update
case Spark.EVENT_AUCTION_PRICE:
break;
default:
//Console.WriteLine(eventItem.ToOutputString());
break;
}
}