static void ListenToMarketData()
{
var cfg = new Config()
{
Endpoint = Instance.Prod,
Products = new List <string>()
{
"BTC-USD"
},
};
using (var restClient = new ExchangeApi.Coinbase.REST.RestClient(cfg.Endpoint.REST, null))
using (var client = new Client(cfg))
{
var book = new OrderBook();
var expectedBook = new OrderBook();
Action poll = () =>
{
if (book.Sequence < 0)
{
_log.Info("Haven't received any messages yet");
return;
}
// Sleep on the scheduler thread in order to fall behind on the order book.
Thread.Sleep(20000);
ExchangeApi.Coinbase.REST.OrderBookResponse full =
restClient.SendRequest(new ExchangeApi.Coinbase.REST.OrderBookRequest()
{
Product = "BTC-USD"
}).Result;
if (full.Sequence <= book.Sequence)
{
_log.Info("Order book isn't behind");
return;
}
_log.Info("Expecting sequence {0} in the near future", full.Sequence);
Convert(full, expectedBook);
};
client.OnOrderBook += (string product, TimestampedMsg <OrderBookDelta> msg) =>
{
if (msg.Value.Bids.Count + msg.Value.Asks.Count > 10)
{
_log.Info("OnOrderBook({0}, IsLast={1}): {2} bid(s), {3} ask(s)",
product, !client.Scheduler.HasReady(), msg.Value.Bids.Count, msg.Value.Asks.Count);
}
else
{
_log.Info("OnOrderBook({0}, IsLast={1}): {2}", product, !client.Scheduler.HasReady(), msg.Value);
}
ApplyDelta(book, msg.Value);
Compare(expectedBook, book);
};
client.Connect();
using (var timer = new PeriodicAction(cfg.Scheduler, TimeSpan.FromSeconds(30), TimeSpan.FromSeconds(30), poll))
while (true)
{
Thread.Sleep(1000);
}
}
}
static void Convert(ExchangeApi.Coinbase.REST.OrderBookResponse src, OrderBook dst)
{
Action <List <ExchangeApi.Coinbase.REST.Order>, SortedDictionary <decimal, decimal> > Cvt = (from, to) =>
{
to.Clear();
foreach (var order in from)
{
if (to.ContainsKey(order.Price))
{
to[order.Price] += order.Quantity;
}
else
{
to[order.Price] = order.Quantity;
}
}
};
dst.Sequence = src.Sequence;
Cvt(src.Bids, dst.Bids);
Cvt(src.Asks, dst.Asks);
}
