OrderBookSpreadWidener

OrderBookSpreadWidener

public OrderBookSpreadWidener(decimal percent)

orderBookSpreadWidener = OrderBookSpreadWidener(percent)

Initialisiert eine neue Instanz der OrderBookSpreadWidener Klasse.

percent

Halbspreitverbreiterung in Prozent; nicht-positive Deaktivierung der Verbreiterung.

IsEnabled

public bool IsEnabled { get; }

value = orderBookSpreadWidener.IsEnabled

wenn Prozent positiv ist und eine Verbreiterung angewendet wird.

Percent

public decimal Percent { get; }

value = orderBookSpreadWidener.Percent

Halbspreitverbreiterung, in Prozent.

Apply

public QuoteChangeMessage Apply(QuoteChangeMessage msg, OrderBookSnapshotHolder holder, decimal? priceStep)

result = orderBookSpreadWidener.Apply(msg, holder, priceStep)

Reads the current raw book from (the caller must have applied to the holder first) and rewrites it as either a full SnapshotComplete (first call for this security) or an Increment carrying only the changes against the previously-emitted collapsed view.

msg

Incoming order book change message.

holder

Holder of the current raw order book state.

priceStep

Price step of the security, so the widened best lands on a price that can be traded. when the step is unknown, and the widened price is then left as the arithmetic produced it.

Rückgabe: Collapsed message; the original message when widening is disabled or no raw snapshot is available; or if is .

Collapse

public QuoteChangeMessage Collapse(SecurityId securityId, OrderBookSnapshotHolder holder, decimal? priceStep)

result = orderBookSpreadWidener.Collapse(securityId, holder, priceStep)

Returns the current collapsed view of as a fresh SnapshotComplete. Pure read — does not touch the diff-state used by Decimal}). Useful for replying to a new subscriber without re-emitting deltas from before their subscription.

securityId

Security to build the collapsed snapshot for.

holder

Holder of the current raw order book state.

priceStep

Price step of the security, so the widened best lands on a price that can be traded. when the step is unknown, and the widened price is then left as the arithmetic produced it.

Rückgabe: Collapsed snapshot, or when widening is disabled or no raw snapshot is available for .

Diff

private static QuoteChange[] Diff(Dictionary<decimal, QuoteChange> prev, QuoteChange[] new, Dictionary<decimal, QuoteChange> next)

result = OrderBookSpreadWidener.Diff(prev, new, next)

One walk produces both the changes against and the state to keep for the next call, so the emitted view is never built twice.

ResetSnapshot

public void ResetSnapshot(SecurityId securityId)

orderBookSpreadWidener.ResetSnapshot(securityId)

Lässt den Diff-Zustand, der verwendet wird, um Inkremente auszusenden, und zwingt den nächsten OrderBookSnapshotHolder, einen neuen SnapshotComplete auszusenden.

securityId

Finanzinstrumente, die neu oder alle Finanzinstrumente neu zu setzen sind.

Snap

private static decimal Snap(decimal price, decimal? priceStep, bool down)

result = OrderBookSpreadWidener.Snap(price, priceStep, down)

Moves the widened price onto the step grid, away from the market: down for a bid, up for an ask. Rounding to the nearest step instead would move it the other way half the time and quote a spread tighter than the one asked for, which is the thing widening exists to stop.