[Requested changes]

- rename protected fields to follow coding style - rename iterface IOrderBook -> IOrderBookUpdater
Coulbe · Jul 26, 2019 · 048c535 · 048c535
1 parent 6387e75
commit 048c535
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Showing 3 changed files with 27 additions and 18 deletions.
diff --git a/Brokerages/DefaultOrderBook.cs b/Brokerages/DefaultOrderBook.cs
@@ -24,12 +24,20 @@ namespace QuantConnect.Brokerages
     /// It contains prices and order sizes for each bid and ask level.
     /// The best bid and ask prices are also kept up to date.
     /// </summary>
-    public class DefaultOrderBook : IOrderBook<decimal, decimal>
+    public class DefaultOrderBook : IOrderBookUpdater<decimal, decimal>
     {
         private readonly object _locker = new object();
         private readonly Symbol _symbol;
-        protected readonly SortedDictionary<decimal, decimal> _bids = new SortedDictionary<decimal, decimal>();
-        protected readonly SortedDictionary<decimal, decimal> _asks = new SortedDictionary<decimal, decimal>();
+
+        /// <summary>
+        /// Represents bid prices and sizes
+        /// </summary>
+        protected readonly SortedDictionary<decimal, decimal> Bids = new SortedDictionary<decimal, decimal>();
+
+        /// <summary>
+        /// Represents ask prices and sizes
+        /// </summary>
+        protected readonly SortedDictionary<decimal, decimal> Asks = new SortedDictionary<decimal, decimal>();
 
         /// <summary>
         /// Event fired each time <see cref="BestBidPrice"/> or <see cref="BestAskPrice"/> are changed
@@ -72,8 +80,8 @@ public void Clear()
         {
             lock (_locker)
             {
-                _bids.Clear();
-                _asks.Clear();
+                Bids.Clear();
+                Asks.Clear();
             }
 
             BestBidPrice = 0;
@@ -91,7 +99,7 @@ public void UpdateBidRow(decimal price, decimal size)
         {
             lock (_locker)
             {
-                _bids[price] = size;
+                Bids[price] = size;
             }
 
             if (BestBidPrice == 0 || price >= BestBidPrice)
@@ -112,7 +120,7 @@ public void UpdateAskRow(decimal price, decimal size)
         {
             lock (_locker)
             {
-                _asks[price] = size;
+                Asks[price] = size;
             }
 
             if (BestAskPrice == 0 || price <= BestAskPrice)
@@ -132,15 +140,15 @@ public void RemoveBidRow(decimal price)
         {
             lock (_locker)
             {
-                _bids.Remove(price);
+                Bids.Remove(price);
             }
 
             if (price == BestBidPrice)
             {
                 lock (_locker)
                 {
-                    BestBidPrice = _bids.Keys.LastOrDefault();
-                    BestBidSize = BestBidPrice > 0 ? _bids[BestBidPrice] : 0;
+                    BestBidPrice = Bids.Keys.LastOrDefault();
+                    BestBidSize = BestBidPrice > 0 ? Bids[BestBidPrice] : 0;
                 }
 
                 BestBidAskUpdated?.Invoke(this, new BestBidAskUpdatedEventArgs(_symbol, BestBidPrice, BestBidSize, BestAskPrice, BestAskSize));
@@ -155,15 +163,15 @@ public void RemoveAskRow(decimal price)
         {
             lock (_locker)
             {
-                _asks.Remove(price);
+                Asks.Remove(price);
             }
 
             if (price == BestAskPrice)
             {
                 lock (_locker)
                 {
-                    BestAskPrice = _asks.Keys.FirstOrDefault();
-                    BestAskSize = BestAskPrice > 0 ? _asks[BestAskPrice] : 0;
+                    BestAskPrice = Asks.Keys.FirstOrDefault();
+                    BestAskSize = BestAskPrice > 0 ? Asks[BestAskPrice] : 0;
                 }
 
                 BestBidAskUpdated?.Invoke(this, new BestBidAskUpdatedEventArgs(_symbol, BestBidPrice, BestBidSize, BestAskPrice, BestAskSize));
@@ -176,11 +184,11 @@ public void RemoveAskRow(decimal price)
         /// <param name="priceLevel"></param>
         public void RemovePriceLevel(decimal priceLevel)
         {
-            if (_asks.ContainsKey(priceLevel))
+            if (Asks.ContainsKey(priceLevel))
             {
                 RemoveAskRow(priceLevel);
             }
-            else if (_bids.ContainsKey(priceLevel))
+            else if (Bids.ContainsKey(priceLevel))
             {
                 RemoveBidRow(priceLevel);
             }

diff --git a/Brokerages/IOrderBook.cs → Brokerages/IOrderBookUpdater.cs b/Brokerages/IOrderBook.cs → Brokerages/IOrderBookUpdater.cs
@@ -20,11 +20,12 @@
 namespace QuantConnect.Brokerages
 {
     /// <summary>
-    /// Represents an order book interface for a security.
+    /// Represents an orderbook updater interface for a security.
+    /// Provides the ability to update orderbook price level and to be alerted about updates
     /// </summary>
     /// <typeparam name="K">Price level identifier</typeparam>
     /// <typeparam name="V">Size at the price level</typeparam>
-    public interface IOrderBook<K, V>
+    public interface IOrderBookUpdater<K, V>
     {
         /// <summary>
         /// Event fired each time <see cref="BestBidPrice"/> or <see cref="BestAskPrice"/> are changed

diff --git a/Brokerages/QuantConnect.Brokerages.csproj b/Brokerages/QuantConnect.Brokerages.csproj
@@ -276,7 +276,7 @@
     <Compile Include="Bitfinex\BitfinexWebSocketWrapper.cs" />
     <Compile Include="Bitfinex\Messages.cs" />
     <Compile Include="Bitfinex\BitfinexSymbolMapper.cs" />
-    <Compile Include="IOrderBook.cs" />
+    <Compile Include="IOrderBookUpdater.cs" />
     <Compile Include="DefaultOrderBook.cs" />
     <Compile Include="Brokerage.cs" />
     <Compile Include="BrokerageException.cs" />