private static async Task <ICryptoOrderBook> StartBitmex(string pair, bool optimized, bool l2Optimized)
{
var url = BitmexValues.ApiWebsocketUrl;
var communicator = new BitmexWebsocketCommunicator(url)
{
Name = "Bitmex"
};
var client = new BitmexWebsocketClient(communicator);
var source = new BitmexOrderBookSource(client);
var orderBook = l2Optimized ?
new CryptoOrderBookL2(pair, source) :
(ICryptoOrderBook) new CryptoOrderBook(pair, source);
if (optimized)
{
ConfigureOptimized(source, orderBook);
}
_ = communicator.Start();
// Send subscription request to order book data
client.Send(new Bitmex.Client.Websocket.Requests.BookSubscribeRequest(pair));
return(orderBook);
}
public async Task AutoSnapshotReloading_ShouldWorkAfterTimeout()
{
var url = BitmexValues.ApiWebsocketUrl;
using (var communicator = new BitmexWebsocketCommunicator(url))
{
using (var client = new BitmexWebsocketClient(communicator))
{
var pair = "XBTUSD";
var source = new BitmexOrderBookSource(client)
{
LoadSnapshotEnabled = true
};
var orderBook = new CryptoOrderBook(pair, source)
{
SnapshotReloadTimeout = TimeSpan.FromSeconds(5),
SnapshotReloadEnabled = true
};
await Task.Delay(TimeSpan.FromSeconds(13));
Assert.True(orderBook.BidPrice > 0);
Assert.True(orderBook.AskPrice > 0);
Assert.NotEmpty(orderBook.BidLevels);
Assert.NotEmpty(orderBook.AskLevels);
}
}
}
public async Task ConnectToSource_ShouldHandleOrderBookCorrectly()
{
var url = BitmexValues.ApiWebsocketUrl;
using (var communicator = new BitmexWebsocketCommunicator(url))
{
using (var client = new BitmexWebsocketClient(communicator))
{
var pair = "XBTUSD";
var source = new BitmexOrderBookSource(client);
var orderBook = new CryptoOrderBook(pair, source);
await communicator.Start();
client.Send(new BookSubscribeRequest(pair));
await Task.Delay(TimeSpan.FromSeconds(10));
Assert.True(orderBook.BidPrice > 0);
Assert.True(orderBook.AskPrice > 0);
Assert.NotEmpty(orderBook.BidLevels);
Assert.NotEmpty(orderBook.AskLevels);
}
}
}
public async Task ConnectToSource_ShouldHandleOrderBookOneByOne()
{
var url = BitmexValues.ApiWebsocketUrl;
using (var communicator = new BitmexWebsocketCommunicator(url))
{
using (var client = new BitmexWebsocketClient(communicator))
{
var pair = "XBTUSD";
var called = 0;
var source = new BitmexOrderBookSource(client);
var orderBook = new CryptoOrderBook(pair, source)
{
DebugEnabled = true
};
orderBook.OrderBookUpdatedStream.Subscribe(x =>
{
called++;
Thread.Sleep(2000);
});
await communicator.Start();
client.Send(new BookSubscribeRequest(pair));
await Task.Delay(TimeSpan.FromSeconds(5));
Assert.Equal(2, called);
await Task.Delay(TimeSpan.FromSeconds(2));
Assert.Equal(3, called);
}
}
}
public async Task StreamFromFile_ShouldBeFast()
{
var pair = "XBTUSD";
var communicator = new RawFileCommunicator();
communicator.FileNames = _rawFiles;
var client = new BitmexWebsocketClient(communicator);
var source = new BitmexOrderBookSource(client);
source.LoadSnapshotEnabled = false;
source.BufferEnabled = false;
var orderBook = new CryptoOrderBookL2(pair, source);
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
var snapshotCount = 0;
var diffCount = 0;
source.OrderBookSnapshotStream.Subscribe(x => snapshotCount++);
source.OrderBookStream.Subscribe(x => diffCount++);
var sw = Stopwatch.StartNew();
await communicator.Start();
sw.Stop();
var elapsedMs = sw.ElapsedMilliseconds;
var msg = $"Processed snapshots: {snapshotCount}, diffs: {diffCount}, elapsed time was: {elapsedMs} ms";
_output.WriteLine(msg);
Assert.True(elapsedMs < 7000, msg);
}
public async Task StreamingFromFile_ShouldHandleCorrectly()
{
var pair = "XBTUSD";
var communicator = new RawFileCommunicator();
communicator.FileNames = _rawFiles;
var client = new BitmexWebsocketClient(communicator);
var source = new BitmexOrderBookSource(client);
source.LoadSnapshotEnabled = false;
source.BufferEnabled = false;
var orderBook = new CryptoOrderBook(pair, source);
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
var receivedUpdate = 0;
IOrderBookChangeInfo lastReceivedUpdate = null;
var receivedTopLevel = 0;
IOrderBookChangeInfo lastReceivedTopLevel = null;
var receivedBidAskUpdate = 0;
IOrderBookChangeInfo lastReceivedBidAskUpdate = null;
orderBook.OrderBookUpdatedStream.Subscribe(x =>
{
receivedUpdate++;
lastReceivedUpdate = x;
});
orderBook.TopLevelUpdatedStream.Subscribe(x =>
{
receivedTopLevel++;
lastReceivedTopLevel = x;
});
orderBook.BidAskUpdatedStream.Subscribe(x =>
{
receivedBidAskUpdate++;
lastReceivedBidAskUpdate = x;
});
await communicator.Start();
Assert.Equal(3284, orderBook.BidLevels.Length);
Assert.Equal(4035, orderBook.AskLevels.Length);
Assert.Equal(6249, orderBook.BidPrice);
Assert.Equal(163556, orderBook.BidLevels.First().Amount);
Assert.Equal(6249.5, orderBook.AskPrice);
Assert.Equal(270526, orderBook.AskLevels.First().Amount);
Assert.Equal(322703, receivedUpdate);
Assert.Equal(6249, lastReceivedUpdate?.Quotes?.Bid);
Assert.Equal(6249.5, lastReceivedUpdate?.Quotes?.Ask);
Assert.Equal("8799374800", lastReceivedUpdate.Sources[0].Levels[0].Id);
Assert.Equal(6252, lastReceivedUpdate.Sources[0].Levels[0].Price);
Assert.Equal(79020, receivedTopLevel);
Assert.Equal(6249, lastReceivedTopLevel?.Quotes?.Bid);
Assert.Equal(6249.5, lastReceivedTopLevel?.Quotes?.Ask);
Assert.Equal("8799375100", lastReceivedTopLevel.Sources[0].Levels[0].Id);
Assert.Equal(6249, lastReceivedTopLevel.Sources[0].Levels[0].Price);
Assert.Equal(584, receivedBidAskUpdate);
Assert.Equal(6249, lastReceivedBidAskUpdate?.Quotes?.Bid);
Assert.Equal(6249.5, lastReceivedBidAskUpdate?.Quotes?.Ask);
Assert.Equal("8799375050", lastReceivedBidAskUpdate.Sources[0].Levels[0].Id);
Assert.Equal(6249.5, lastReceivedBidAskUpdate.Sources[0].Levels[0].Price);
var levels = orderBook.Levels;
foreach (var level in levels)
{
Assert.Equal(CryptoPairsHelper.Clean(pair), level.Pair);
}
}