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Algo: add Level1SpreadWidener + OrderBookSpreadWidener helpers
Symmetric spread widening primitives for delivery-edge gateways. Level1 helper is stateless — shifts BestBidPrice / BestAskPrice on a returned clone. OrderBook helper is stateful per SecurityId and reads the current raw book from a caller-owned OrderBookSnapshotHolder (no duplicate mirror). Apply emits the first SnapshotComplete then Increment frames diffed against the last-emitted collapsed view; Collapse returns a fresh SnapshotComplete without touching diff state (new-subscriber replay path). Collapse rule: levels inside the new (wider) spread merge onto the new visible best with volume and orders count summed; outer levels pass through unchanged. Covered by Level1SpreadWidenerTests and OrderBookSpreadWidenerTests.
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‎Algo/Level1SpreadWidener.cs‎

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namespace StockSharp.Algo;
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using StockSharp.Messages;
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/// <summary>
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/// Symmetric spread widener for <see cref="Level1ChangeMessage"/>. Shifts
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/// <see cref="Level1Fields.BestBidPrice"/> down and
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/// <see cref="Level1Fields.BestAskPrice"/> up by the configured percent.
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/// Stateless.
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/// </summary>
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public sealed class Level1SpreadWidener
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{
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private readonly decimal _bidFactor;
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private readonly decimal _askFactor;
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public Level1SpreadWidener(decimal percent)
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{
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Percent = percent;
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if (percent > 0m)
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{
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var p = percent / 100m;
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_bidFactor = 1m - p;
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_askFactor = 1m + p;
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}
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else
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{
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_bidFactor = 1m;
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_askFactor = 1m;
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}
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}
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public decimal Percent { get; }
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public bool IsEnabled => Percent > 0m;
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public Level1ChangeMessage Apply(Level1ChangeMessage msg)
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{
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if (msg is null)
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return null;
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if (!IsEnabled)
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return msg;
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var copy = msg.TypedClone();
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if (copy.Changes.TryGetValue(Level1Fields.BestBidPrice, out var bidObj) && bidObj is decimal bid && bid > 0m)
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copy.Changes[Level1Fields.BestBidPrice] = bid * _bidFactor;
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if (copy.Changes.TryGetValue(Level1Fields.BestAskPrice, out var askObj) && askObj is decimal ask && ask > 0m)
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copy.Changes[Level1Fields.BestAskPrice] = ask * _askFactor;
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return copy;
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}
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}

‎Algo/OrderBookSpreadWidener.cs‎

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namespace StockSharp.Algo;
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using System.Collections.Generic;
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using StockSharp.Messages;
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/// <summary>
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/// Symmetric spread widener for <see cref="QuoteChangeMessage"/>. Collapses
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/// every raw level inside the new (wider) spread onto the new visible best;
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/// outer levels pass through. Reads current raw book state from an
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/// <see cref="OrderBookSnapshotHolder"/> the caller maintains and emits
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/// <see cref="QuoteChangeStates.Increment"/> frames after the initial
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/// <see cref="QuoteChangeStates.SnapshotComplete"/>.
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/// </summary>
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public sealed class OrderBookSpreadWidener
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{
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private readonly decimal _bidFactor;
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private readonly decimal _askFactor;
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private readonly Dictionary<SecurityId, EmittedBook> _lastEmitted = [];
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private readonly Lock _stateLock = new();
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private sealed class EmittedBook
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{
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public readonly Dictionary<decimal, QuoteChange> Bids = [];
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public readonly Dictionary<decimal, QuoteChange> Asks = [];
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}
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public OrderBookSpreadWidener(decimal percent)
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{
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Percent = percent;
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if (percent > 0m)
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{
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var p = percent / 100m;
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_bidFactor = 1m - p;
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_askFactor = 1m + p;
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}
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else
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{
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_bidFactor = 1m;
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_askFactor = 1m;
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}
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}
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public decimal Percent { get; }
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public bool IsEnabled => Percent > 0m;
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public void ResetSnapshot(SecurityId securityId)
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{
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using (_stateLock.EnterScope())
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{
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if (securityId == default)
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_lastEmitted.Clear();
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else
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_lastEmitted.Remove(securityId);
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}
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}
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/// <summary>
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/// Reads the current raw book from <paramref name="holder"/> (caller must
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/// have applied <paramref name="msg"/> to the holder first) and rewrites
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/// <paramref name="msg"/> as either a full <c>SnapshotComplete</c> (first
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/// call for this security) or an <c>Increment</c> with only the changes
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/// against the previously-emitted collapsed view.
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/// </summary>
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/// <summary>
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/// Returns the current collapsed view of <paramref name="securityId"/> as a
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/// fresh <c>SnapshotComplete</c>. Pure read — does not touch the diff-state
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/// used by <see cref="Apply"/>. Useful for replying to a new subscriber
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/// without re-emitting deltas from before their subscription.
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/// </summary>
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public QuoteChangeMessage Collapse(SecurityId securityId, OrderBookSnapshotHolder holder)
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{
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if (!IsEnabled || holder is null)
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return null;
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if (!holder.TryGetSnapshot(securityId, out var raw))
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return null;
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var copy = CopyHeader(raw);
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copy.Bids = Collapse(raw.Bids, _bidFactor, descending: true);
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copy.Asks = Collapse(raw.Asks, _askFactor, descending: false);
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copy.State = QuoteChangeStates.SnapshotComplete;
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return copy;
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}
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public QuoteChangeMessage Apply(QuoteChangeMessage msg, OrderBookSnapshotHolder holder)
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{
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if (msg is null)
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return null;
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if (!IsEnabled || holder is null)
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return msg;
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if (!holder.TryGetSnapshot(msg.SecurityId, out var raw))
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return msg;
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var newBids = Collapse(raw.Bids, _bidFactor, descending: true);
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var newAsks = Collapse(raw.Asks, _askFactor, descending: false);
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var copy = CopyHeader(msg);
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using (_stateLock.EnterScope())
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{
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if (!_lastEmitted.TryGetValue(msg.SecurityId, out var prev))
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{
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prev = new EmittedBook();
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_lastEmitted[msg.SecurityId] = prev;
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copy.Bids = newBids;
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copy.Asks = newAsks;
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copy.State = QuoteChangeStates.SnapshotComplete;
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}
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else
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{
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copy.Bids = BuildDelta(prev.Bids, newBids);
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copy.Asks = BuildDelta(prev.Asks, newAsks);
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copy.State = QuoteChangeStates.Increment;
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}
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Replace(prev.Bids, newBids);
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Replace(prev.Asks, newAsks);
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}
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return copy;
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}
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// Builds a clone with all header fields copied but Bids/Asks left empty — the
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// caller fills them with the collapsed view. Avoids the wasted Bids/Asks
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// array allocation that QuoteChangeMessage.CopyTo would otherwise do.
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private static QuoteChangeMessage CopyHeader(QuoteChangeMessage src) => new()
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{
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SecurityId = src.SecurityId,
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ServerTime = src.ServerTime,
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LocalTime = src.LocalTime,
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Currency = src.Currency,
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BuildFrom = src.BuildFrom,
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IsFiltered = src.IsFiltered,
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HasPositions = src.HasPositions,
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SeqNum = src.SeqNum,
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OriginalTransactionId = src.OriginalTransactionId,
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SubscriptionId = src.SubscriptionId,
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SubscriptionIds = src.SubscriptionIds,
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BackMode = src.BackMode,
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OfflineMode = src.OfflineMode,
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};
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private static void Replace(Dictionary<decimal, QuoteChange> dst, QuoteChange[] src)
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{
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dst.Clear();
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foreach (var q in src)
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dst[q.Price] = q;
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}
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private static QuoteChange[] BuildDelta(Dictionary<decimal, QuoteChange> prev, QuoteChange[] @new)
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{
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var deltas = new List<QuoteChange>();
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var seen = new HashSet<decimal>();
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foreach (var q in @new)
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{
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seen.Add(q.Price);
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if (!prev.TryGetValue(q.Price, out var was)
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|| was.Volume != q.Volume
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|| was.OrdersCount != q.OrdersCount)
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{
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deltas.Add(q);
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}
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}
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foreach (var p in prev.Keys)
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{
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if (!seen.Contains(p))
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deltas.Add(new QuoteChange(p, 0m));
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}
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return [.. deltas];
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}
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private static QuoteChange[] Collapse(QuoteChange[] side, decimal factor, bool descending)
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{
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if (side is null || side.Length == 0)
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return side ?? [];
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if (side[0].Price <= 0m)
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return side;
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var newBestPrice = side[0].Price * factor;
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decimal aggVolume = 0m;
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var hasOrdersCount = false;
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var aggOrdersCount = 0;
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var collapseCount = 0;
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for (var i = 0; i < side.Length; i++)
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{
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ref var q = ref side[i];
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var inside = descending ? q.Price >= newBestPrice : q.Price <= newBestPrice;
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if (!inside)
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break;
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aggVolume += q.Volume;
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if (q.OrdersCount is int oc)
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{
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hasOrdersCount = true;
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aggOrdersCount += oc;
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}
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collapseCount++;
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}
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if (collapseCount == 0)
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return side;
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var topCondition = side[0].Condition;
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var result = new QuoteChange[side.Length - collapseCount + 1];
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result[0] = new QuoteChange(newBestPrice, aggVolume, hasOrdersCount ? aggOrdersCount : null, topCondition);
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var tail = side.Length - collapseCount;
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if (tail > 0)
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Array.Copy(side, collapseCount, result, 1, tail);
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return result;
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}
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}

‎Tests/Level1SpreadWidenerTests.cs‎

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namespace StockSharp.Tests;
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[TestClass]
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public class Level1SpreadWidenerTests : BaseTestClass
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{
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[TestMethod]
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public void ZeroPercent_IsDisabled()
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{
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var w = new Level1SpreadWidener(0m);
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w.IsEnabled.AreEqual(false);
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w.Percent.AreEqual(0m);
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}
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[TestMethod]
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public void NegativePercent_IsDisabled()
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{
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new Level1SpreadWidener(-5m).IsEnabled.AreEqual(false);
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}
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[TestMethod]
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public void PositivePercent_IsEnabled()
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{
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var w = new Level1SpreadWidener(2m);
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w.IsEnabled.AreEqual(true);
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w.Percent.AreEqual(2m);
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}
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[TestMethod]
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public void ZeroPercent_ReturnsOriginalUntouched()
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{
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var msg = new Level1ChangeMessage();
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msg.Add(Level1Fields.BestBidPrice, 100m);
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msg.Add(Level1Fields.BestAskPrice, 101m);
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var result = new Level1SpreadWidener(0m).Apply(msg);
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ReferenceEquals(result, msg).AreEqual(true);
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((decimal)msg.Changes[Level1Fields.BestBidPrice]).AreEqual(100m);
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}
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[TestMethod]
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public void PositivePercent_ReturnsCloneWithShiftedPrices_OriginalIntact()
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{
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var msg = new Level1ChangeMessage();
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msg.Add(Level1Fields.BestBidPrice, 100m);
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msg.Add(Level1Fields.BestAskPrice, 100m);
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var result = new Level1SpreadWidener(2m).Apply(msg);
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ReferenceEquals(result, msg).AreEqual(false);
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((decimal)result.Changes[Level1Fields.BestBidPrice]).AreEqual(98m);
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((decimal)result.Changes[Level1Fields.BestAskPrice]).AreEqual(102m);
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// Original untouched.
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((decimal)msg.Changes[Level1Fields.BestBidPrice]).AreEqual(100m);
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((decimal)msg.Changes[Level1Fields.BestAskPrice]).AreEqual(100m);
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}
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[TestMethod]
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public void OnlyBid_LeavesAskAlone()
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{
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var msg = new Level1ChangeMessage();
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msg.Add(Level1Fields.BestBidPrice, 100m);
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msg.Add(Level1Fields.LastTradePrice, 99m);
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var result = new Level1SpreadWidener(1m).Apply(msg);
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((decimal)result.Changes[Level1Fields.BestBidPrice]).AreEqual(99m);
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((decimal)result.Changes[Level1Fields.LastTradePrice]).AreEqual(99m);
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result.Changes.ContainsKey(Level1Fields.BestAskPrice).AreEqual(false);
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}
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[TestMethod]
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public void ZeroPrice_SkipsThatSide()
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{
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var msg = new Level1ChangeMessage();
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msg.Add(Level1Fields.BestBidPrice, 0m);
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msg.Add(Level1Fields.BestAskPrice, 100m);
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var result = new Level1SpreadWidener(5m).Apply(msg);
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((decimal)result.Changes[Level1Fields.BestBidPrice]).AreEqual(0m);
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((decimal)result.Changes[Level1Fields.BestAskPrice]).AreEqual(105m);
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}
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[TestMethod]
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public void NullMessage_ReturnsNull()
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{
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new Level1SpreadWidener(1m).Apply(null).AreEqual(null);
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}
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}

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