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 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");
}
}
/// <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());
}