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Added CalculateTradableAmount to SymbolOrderBook

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JKorf
2023-03-18 10:01:38 +01:00
parent 1c33e297e7
commit da6ed580f1
3 changed files with 69 additions and 3 deletions
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CryptoExchange.Net/OrderBook/SymbolOrderBook.cs
+31 -2
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@@ -304,14 +304,14 @@ namespace CryptoExchange.Net.OrderBook
}
/// <inheritdoc/>
public CallResult<decimal> CalculateAverageFillPrice(decimal quantity, OrderBookEntryType type)
public CallResult<decimal> CalculateAverageFillPrice(decimal baseQuantity, OrderBookEntryType type)
{
if (Status != OrderBookStatus.Synced)
return new CallResult<decimal>(new InvalidOperationError($"{nameof(CalculateAverageFillPrice)} is not available when book is not in Synced state"));
var totalCost = 0m;
var totalAmount = 0m;
var amountLeft = quantity;
var amountLeft = baseQuantity;
lock (_bookLock)
{
var list = type == OrderBookEntryType.Ask ? asks : bids;
@@ -334,6 +334,35 @@ namespace CryptoExchange.Net.OrderBook
return new CallResult<decimal>(Math.Round(totalCost / totalAmount, 8));
}
/// <inheritdoc/>
public CallResult<decimal> CalculateTradableAmount(decimal quoteQuantity, OrderBookEntryType type)
{
if (Status != OrderBookStatus.Synced)
return new CallResult<decimal>(new InvalidOperationError($"{nameof(CalculateTradableAmount)} is not available when book is not in Synced state"));
var quoteQuantityLeft = quoteQuantity;
var totalBaseQuantity = 0m;
lock (_bookLock)
{
var list = type == OrderBookEntryType.Ask ? asks : bids;
var step = 0;
while (quoteQuantityLeft > 0)
{
if (step == list.Count)
return new CallResult<decimal>(new InvalidOperationError("Quantity is larger than order in the order book"));
var element = list.ElementAt(step);
var stepAmount = Math.Min(element.Value.Quantity * element.Value.Price, quoteQuantityLeft);
quoteQuantityLeft -= stepAmount;
totalBaseQuantity += stepAmount / element.Value.Price;
step++;
}
}
return new CallResult<decimal>(Math.Round(totalBaseQuantity, 8));
}
/// <summary>
/// Implementation for starting the order book. Should typically have logic for subscribing to the update stream and retrieving
/// and setting the initial order book