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Refactored order book to use sorterlist, added BestBid/BestAsk properties

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This commit is contained in:
Jan Korf 2019-05-15 13:01:39 +02:00
parent bbca1094f3
commit 763646a5f8
1 changed files with 50 additions and 15 deletions
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65
CryptoExchange.Net/OrderBook/SymbolOrderBook.cs
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@ -13,8 +13,8 @@ namespace CryptoExchange.Net.OrderBook
{
protected readonly List<ProcessBufferEntry> processBuffer;
private readonly object bookLock = new object();
protected List<OrderBookEntry> asks;
protected List<OrderBookEntry> bids;
protected SortedList<decimal, OrderBookEntry> asks;
protected SortedList<decimal, OrderBookEntry> bids;
private OrderBookStatus status;
private UpdateSubscription subscription;
private readonly bool sequencesAreConsecutive;
@ -72,7 +72,7 @@ namespace CryptoExchange.Net.OrderBook
get
{
lock (bookLock)
return asks.OrderBy(a => a.Price).ToList();
return asks.Select(a => a.Value).ToList();
}
}
@ -84,7 +84,31 @@ namespace CryptoExchange.Net.OrderBook
get
{
lock (bookLock)
return bids.OrderByDescending(a => a.Price).ToList();
return bids.Select(a => a.Value).ToList();
}
}
/// <summary>
/// The best bid currently in the order book
/// </summary>
public ISymbolOrderBookEntry BestBid
{
get
{
lock (bookLock)
return bids.FirstOrDefault().Value;
}
}
/// <summary>
/// The best ask currently in the order book
/// </summary>
public ISymbolOrderBookEntry BestAsk
{
get
{
lock (bookLock)
return asks.FirstOrDefault().Value;
}
}
@ -96,8 +120,8 @@ namespace CryptoExchange.Net.OrderBook
Symbol = symbol;
Status = OrderBookStatus.Disconnected;
asks = new List<OrderBookEntry>();
bids = new List<OrderBookEntry>();
asks = new SortedList<decimal, OrderBookEntry>();
bids = new SortedList<decimal, OrderBookEntry>(new DescComparer<decimal>());
log = new Log { Level = logVerbosity };
if (logWriters == null)
@ -172,8 +196,11 @@ namespace CryptoExchange.Net.OrderBook
if (Status == OrderBookStatus.Connecting)
return;
asks = askList.Select(a => new OrderBookEntry(a.Price, a.Quantity)).ToList();
bids = bidList.Select(b => new OrderBookEntry(b.Price, b.Quantity)).ToList();
foreach(var ask in askList)
asks.Add(ask.Price, new OrderBookEntry(ask.Price, ask.Quantity));
foreach (var bid in bidList)
bids.Add(bid.Price, new OrderBookEntry(bid.Price, bid.Quantity));
LastSequenceNumber = orderBookSequenceNumber;
AskCount = asks.Count;
@ -245,28 +272,36 @@ namespace CryptoExchange.Net.OrderBook
var listToChange = type == OrderBookEntryType.Ask ? asks : bids;
if (entry.Quantity == 0)
{
var bookEntry = listToChange.SingleOrDefault(i => i.Price == entry.Price);
if (bookEntry != null)
var bookEntry = listToChange.SingleOrDefault(i => i.Key == entry.Price);
if (!bookEntry.Equals(default(KeyValuePair<decimal, OrderBookEntry>)))
{
listToChange.Remove(bookEntry);
listToChange.Remove(entry.Price);
if (type == OrderBookEntryType.Ask) AskCount--;
else BidCount--;
}
}
else
{
var bookEntry = listToChange.SingleOrDefault(i => i.Price == entry.Price);
if (bookEntry == null)
var bookEntry = listToChange.SingleOrDefault(i => i.Key == entry.Price);
if (bookEntry.Equals(default(KeyValuePair<decimal, OrderBookEntry>)))
{
listToChange.Add(new OrderBookEntry(entry.Price, entry.Quantity));
listToChange.Add(entry.Price, new OrderBookEntry(entry.Price, entry.Quantity));
if (type == OrderBookEntryType.Ask) AskCount++;
else BidCount++;
}
else
bookEntry.Quantity = entry.Quantity;
bookEntry.Value.Quantity = entry.Quantity;
}
}
public abstract void Dispose();
}
internal class DescComparer<T> : IComparer<T>
{
public int Compare(T x, T y)
{
return Comparer<T>.Default.Compare(y, x);
}
}
}