void getEntryInfo(
MamdaOrderBookEntry entry,
MamaMsg entMsg,
MamdaOrderBookPriceLevel level)
{
entry.setAction((MamdaOrderBookEntry.Actions)entMsg.getChar(
MamdaOrderBookFields.ENTRY_ACTION, 'D'));
entry.setId(entMsg.getString(MamdaOrderBookFields.ENTRY_ID));
entry.setSize((long)entMsg.getF64(MamdaOrderBookFields.ENTRY_SIZE, 0));
entry.setTime(entMsg.getDateTime(MamdaOrderBookFields.ENTRY_TIME, level.getTime()));
}
/// <summary>
/// Mark everything in this price level as deleted, including
/// entries.
/// </summary>
public void markAllDeleted()
{
setSizeChange(-getSize());
setSize(0);
setNumEntries(0);
setAction(Actions.Delete);
for (int i = 0; i < mEntries.Count; i++)
{
MamdaOrderBookEntry entry = (MamdaOrderBookEntry)mEntries[i];
entry.setSize(0);
entry.setAction(MamdaOrderBookEntry.Actions.Delete);
}
}
void getEntryInfo(
MamdaOrderBookEntry entry,
MamaMsg entMsg,
MamdaOrderBookPriceLevel level)
{
entry.setAction((MamdaOrderBookEntry.Actions)entMsg.getChar(
MamdaOrderBookFields.ENTRY_ACTION, 'D'));
entry.setId(entMsg.getString(MamdaOrderBookFields.ENTRY_ID));
entry.setSize((long)entMsg.getF64(MamdaOrderBookFields.ENTRY_SIZE, 0));
entry.setTime(entMsg.getDateTime(MamdaOrderBookFields.ENTRY_TIME, level.getTime()));
}
/// <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());
}
/// <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());
}
