OrderBookSpreadWidener

OrderBookSpreadWidener

public OrderBookSpreadWidener(decimal percent)

orderBookSpreadWidener = OrderBookSpreadWidener(percent)

Inicializa uma nova instância da classe OrderBookSpreadWidener.

percent

Meio-alargamento, em percentagem.

IsEnabled

public bool IsEnabled { get; }

value = orderBookSpreadWidener.IsEnabled

Se a percentagem for positiva e for aplicado um alargamento.

Percent

public decimal Percent { get; }

value = orderBookSpreadWidener.Percent

Meio-alargado, em percentagem.

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.

Retorna: 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.

Retorna: 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)

Solta o estado de diff usado para emitir incrementos, forçando o próximo OrderBookSnapshotHolder) a emitir um novo SnapshotComplete.

securityId

Instrumento financeiro para repor ou repor todos os instrumentos financeiros.

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.