I have created a L2 Book that holds a historical record of Size at a Price and a timestamp of when the Update occurred
When I get an Order update to indicate the order is working I want to .search my L2 book for the time stamp that is closest too but less then the time stamp of the order.orderState Working. I am having trouble finding a good method to do this so does anyone know of a good way to compare a DateTime var against a collection of DateTime and return the closest value that is less then the DateTime var?
Thanks in advance.
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