/// <summary>
/// Deserialize JSON and raise <see cref="DepthUpdateEventArgs"/> event.
/// </summary>
/// <param name="json"></param>
/// <param name="token"></param>
/// <param name="callback"></param>
protected override void DeserializeJsonAndRaiseEvent(string json, CancellationToken token, Action <DepthUpdateEventArgs> callback = null)
{
Throw.IfNullOrWhiteSpace(json, nameof(json));
Logger?.LogDebug($"{nameof(DepthWebSocketClient)}: \"{json}\"");
try
{
var jObject = JObject.Parse(json);
var eventType = jObject["e"]?.Value <string>();
DepthUpdateEventArgs eventArgs = null;
if (eventType == null) // partial order book stream.
{
// Simulate event time.
var eventTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
var lastUpdateId = jObject["lastUpdateId"].Value <long>();
var bids = jObject["bids"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToList();
var asks = jObject["asks"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToList();
eventArgs = new DepthUpdateEventArgs(eventTime, token, Symbol, lastUpdateId, lastUpdateId, bids, asks);
}
else if (eventType == "depthUpdate")
{
var symbol = jObject["s"].Value <string>();
var eventTime = jObject["E"].Value <long>();
var firstUpdateId = jObject["U"].Value <long>();
var lastUpdateId = jObject["u"].Value <long>();
var bids = jObject["b"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToList();
var asks = jObject["a"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToList();
eventArgs = new DepthUpdateEventArgs(eventTime, token, symbol, firstUpdateId, lastUpdateId, bids, asks);
}
else
{
Logger?.LogWarning($"{nameof(DepthWebSocketClient)}.{nameof(DeserializeJsonAndRaiseEvent)}: Unexpected event type ({eventType}).");
return;
}
try
{
callback?.Invoke(eventArgs);
DepthUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(DepthWebSocketClient)}: Unhandled depth update event handler exception.");
}
}
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(DepthWebSocketClient)}.{nameof(DeserializeJsonAndRaiseEvent)}");
}
}
}
protected override void OnWebSocketEvent(WebSocketStreamEventArgs args, IEnumerable <Action <DepthUpdateEventArgs> > callbacks)
{
Logger?.LogDebug($"{nameof(DepthWebSocketClient)}: \"{args.Json}\"");
try
{
var jObject = JObject.Parse(args.Json);
var eventType = jObject["e"]?.Value <string>();
DepthUpdateEventArgs eventArgs;
switch (eventType)
{
case null: // partial depth stream.
{
var symbol = args.StreamName.Split('@')[0].ToUpperInvariant();
// Simulate event time.
var eventTime = DateTime.UtcNow.ToTimestampK().ToDateTimeK();
var lastUpdateId = jObject["lastUpdateId"].Value <long>();
var bids = jObject["bids"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
var asks = jObject["asks"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
eventArgs = new DepthUpdateEventArgs(eventTime, args.Token, symbol, lastUpdateId, lastUpdateId, bids, asks);
break;
}
case "depthUpdate":
{
var symbol = jObject["s"].Value <string>();
var eventTime = jObject["E"].Value <long>().ToDateTimeK();
var firstUpdateId = jObject["U"].Value <long>();
var lastUpdateId = jObject["u"].Value <long>();
var bids = jObject["b"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
var asks = jObject["a"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
eventArgs = new DepthUpdateEventArgs(eventTime, args.Token, symbol, firstUpdateId, lastUpdateId, bids, asks);
break;
}
default:
Logger?.LogWarning($"{nameof(DepthWebSocketClient)}.{nameof(OnWebSocketEvent)}: Unexpected event type ({eventType}).");
return;
}
try
{
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
DepthUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!args.Token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(DepthWebSocketClient)}: Unhandled depth update event handler exception.");
}
}
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!args.Token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(DepthWebSocketClient)}.{nameof(OnWebSocketEvent)}");
}
}
}
protected override void HandleMessage(IEnumerable <Action <DepthUpdateEventArgs> > callbacks, string stream, string json)
{
try
{
var jObject = JObject.Parse(json);
var eventType = jObject["e"]?.Value <string>();
DepthUpdateEventArgs eventArgs;
switch (eventType)
{
case null: // partial depth stream.
{
var symbol = stream.Split('@')[0].ToUpperInvariant();
// Simulate event time.
var eventTime = DateTime.UtcNow.ToTimestamp().ToDateTime();
var lastUpdateId = jObject["lastUpdateId"].Value <long>();
var bids = jObject["bids"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
var asks = jObject["asks"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
eventArgs = new DepthUpdateEventArgs(eventTime, symbol, lastUpdateId, lastUpdateId, bids, asks);
break;
}
case "depthUpdate":
{
var symbol = jObject["s"].Value <string>();
var eventTime = jObject["E"].Value <long>().ToDateTime();
var firstUpdateId = jObject["U"].Value <long>();
var lastUpdateId = jObject["u"].Value <long>();
var bids = jObject["b"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
var asks = jObject["a"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
eventArgs = new DepthUpdateEventArgs(eventTime, symbol, firstUpdateId, lastUpdateId, bids, asks);
break;
}
default:
Logger?.LogWarning($"{nameof(DepthClient)}.{nameof(HandleMessage)}: Unexpected event type ({eventType}).");
return;
}
try
{
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
DepthUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { /* ignore */ }
catch (Exception e)
{
Logger?.LogWarning(e, $"{nameof(DepthClient)}.{nameof(HandleMessage)}: Unhandled depth update event handler exception.");
}
}
catch (OperationCanceledException) { /* ignore */ }
catch (Exception e)
{
Logger?.LogError(e, $"{nameof(DepthClient)}.{nameof(HandleMessage)}");
}
}
void exchangeConnection_GoxDepthHandlers(DepthUpdate depthUpdate)
{
try
{
if (depthUpdate.Currency != Currency.USD)
{
return;
}
if (depthUpdate.Volume <= 0)
{
return;
}
int idOrderType;
if (depthUpdate.TypeString == "ask")
{
if (depthUpdate.Price > (double)(2 * m_decLastPrice))
{
return;
}
if (depthUpdate.Volume < (double)0.02)
{
return;
}
idOrderType = 2;
lblAsk.Invoke((Action)(() =>
{
lblAsk.Text = depthUpdate.Price.ToString();
}));
}
else
{
if (depthUpdate.Price < (double)(0.5 * (double)m_decLastPrice))
{
return;
}
if (depthUpdate.Volume < (double)0.02)
{
return;
}
idOrderType = 1;
lblBid.Invoke((Action)(() =>
{
lblBid.Text = depthUpdate.Price.ToString();
}));
}
lblLastResultOrder.Invoke((Action)(() =>
{
lblLastResultOrder.Text = System.DateTime.Now.ToString("M/dd/yyyy hh:mm:ss tt");
}));
Decimal decPrice = Convert.ToDecimal(depthUpdate.Price);
Decimal decVolume = Convert.ToDecimal(depthUpdate.Volume);
RecordBidAsk(decPrice, decVolume, idOrderType, depthUpdate.TimeStamp.ToString());
int cBidAsk = Convert.ToInt16(lblBidAskCount.Text.Length == 0 ? "0" : lblBidAskCount.Text);
++cBidAsk;
lblBidAskCount.Invoke((Action)(() =>
{
lblBidAskCount.Text = cBidAsk.ToString();
}));
lblLastResult.Invoke((Action)(() =>
{
lblLastResult.Text = System.DateTime.Now.ToString("M/dd/yyyy hh:mm:ss tt");
}));
}
catch (Exception ex)
{
Logger.Logger.LogException(ex);
}
}
