refactor ExchangeOrderBook.MergeOrderBookDelta() (#709)

Author: vslee

src/ExchangeSharp/API/Exchanges/_Base/ExchangeAPIExtensions.cs

@@ -52,31 +52,14 @@ public static async Task<IWebSocket> GetFullOrderBookWebSocketAsync(this IOrderB
 			ConcurrentDictionary<string, ExchangeOrderBook> fullBooks = new ConcurrentDictionary<string, ExchangeOrderBook>();
 			Dictionary<string, Queue<ExchangeOrderBook>> partialOrderBookQueues = new Dictionary<string, Queue<ExchangeOrderBook>>();
 
-			static void applyDelta(SortedDictionary<decimal, ExchangeOrderPrice> deltaValues, SortedDictionary<decimal, ExchangeOrderPrice> bookToEdit)
-			{
-				foreach (ExchangeOrderPrice record in deltaValues.Values)
-				{
-					if (record.Amount <= 0 || record.Price <= 0)
-					{
-						bookToEdit.Remove(record.Price);
-					}
-					else
-					{
-						bookToEdit[record.Price] = record;
-					}
-				}
-			}
-
 			static void updateOrderBook(ExchangeOrderBook fullOrderBook, ExchangeOrderBook freshBook)
 			{
 				lock (fullOrderBook)
 				{
 					// update deltas as long as the full book is at or before the delta timestamp
 					if (fullOrderBook.SequenceId <= freshBook.SequenceId)
 					{
-						applyDelta(freshBook.Asks, fullOrderBook.Asks);
-						applyDelta(freshBook.Bids, fullOrderBook.Bids);
-						fullOrderBook.SequenceId = freshBook.SequenceId;
+						fullOrderBook.ApplyUpdates(freshBook);
 					}
 				}
 			}

src/ExchangeSharp/Model/ExchangeOrderBook.cs

@@ -205,14 +205,15 @@ public void ApplyUpdates(ExchangeOrderBook partialUpdate)
         {
             MergeOrderBookDelta(partialUpdate.Asks, this.Asks);
             MergeOrderBookDelta(partialUpdate.Bids, this.Bids);
+			SequenceId = partialUpdate.SequenceId;
 
-            static void MergeOrderBookDelta(
+			static void MergeOrderBookDelta(
                 SortedDictionary<decimal, ExchangeOrderPrice> newData,
                 SortedDictionary<decimal, ExchangeOrderPrice> bookData)
             {
                 newData.ToList().ForEach(x =>
                 {
-                    if (x.Value.Amount == 0m)
+                    if (x.Value.Amount <= 0m || x.Value.Price <= 0m)
                         bookData.Remove(x.Key);
                     else
                         bookData[x.Key] = x.Value;