构建从接单例如手持订单 [英] construct orderbook from orders example

问题描述

我在寻找code的构造从接单手持订单

I'm looking for code that constructs orderbook from orders

例如，如果订单

side | price | quantity
buy   100      1
buy   101      10
buy   100      1000
buy   100      10000

然后agregated手持订单应该是：

then agregated orderbook should be:

side | price | quantity
buy    100     11001
buy    101     10 

在项目生命周期的订单添加，修改或删除。在每个订单的更新，我需要快速更新手持订单。

During program lifetime orders are added, modified or deleted. On each order update I need to update OrderBook quickly.

我敢肯定，这是非常普遍的任务，所以应该有很多的实现在Internet了。

I'm sure this is very common task, so there should be a lot of implementations in Internet already.

感谢您的任何引用，我在寻找的C＃实现，但我可以，如果需要另一种语言重写。

Thank you for any references, I'm looking for c# implementation, but I can rewrite it from another language if needed.

UPD 其实我应该改一下我的问题。最初，手持订单是空的。然后我收到的事件：添加订购，更改订单数量或取消订单。我应该从这次的消息重新计算手持订单。但现在它变得清楚对我来说，应该如何简单的是。下订单时加入我只添加量在这个价格水平。当订单数量发生变化，我只是需要添加改变，当订单被取消我只需要由相应的价格水平取出相应数量。唯一的问题是我应该在哪里存放最后的订单数量完全有不少订单（几千万），但不会有很多活动订单（不超过10万），并为每个活动为了我需要取得最后的量由orderId的......当然，我可以用字典，但是这将是太慢了可能。我想要的东西更快。但我不能用50 000 000项阵列。

upd Actually I should rephrase my question. Initially orderbook is empty. Then I receive events: add order, change order quantity or cancel order. I should recalculate orderBook from this messages. But now it becomes clear for me how simple it should be. When order is added I just add quantity at this price level. When order quantity is changed i just need to add "change" and when order is canceled i just need to remove corresponding quantity from corresponding price level. The only question is where should I store "last order quantity" Totally there are a lot of orders (dozens of millions), but there are not a lot of active orders (not more than 100 000) and for each active order I need to obtain "last quantity" by orderId... Of course I can use dictionary, but that would be too slow probably. I want something faster. But I can not use 50 000 000 items array.

推荐答案

下面是code在 LINQPad <测试/ A>

Here is the code tested in LINQPad

var orders = new [] {
    new {Side = "Buy", Price = 100, Quantity = 1 },
    new {Side = "Buy", Price = 101, Quantity = 10 },
    new {Side = "Buy", Price = 100, Quantity = 1000 },
    new {Side = "Buy", Price = 100, Quantity = 10000 },
    new {Side = "Sell", Price = 100, Quantity = 10000 }
};

var orderboook 
    = from o in (           
                    from order in orders
                    group order by order.Side into sideGroup
                    select new {
                        Side = sideGroup.Key,
                        SideGroup = 
                            from s in sideGroup
                            group s by s.Price into g
                            select new {
                                Side = sideGroup.Key,
                                Price = g.Key, 
                                Quantity = g.Sum( s => s.Quantity) 
                            }
                    }
                )
     from g in o.SideGroup
     select g;

orderboook.Dump(); // .Dump() is LINQPad helper method...

结果在LINQPad是

The result in LINQPad is

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