public void SubscribeOrderbook(string symbol)
{
InitWebSocket();
CacheOrderbook(symbol).Wait();
socket.OnMessage += async(sender, e) =>
{
try
{
var payload = GetResponseData <OrderBookResponse>(e);
if (payload != null && payload.timestamp.HasValue)
{
const decimal defaultIgnoreValue = 0.00000000M;
if (payload.bids != null)
{
payload.bids.ForEach(b =>
{
decimal price = Convert.ToDecimal(b[0]);
decimal size = Convert.ToDecimal(b[1]);
if (cache.Bids.ContainsKey(price))
{
if (size == defaultIgnoreValue)
{
OrderBookEntry o;
cache.Bids.Remove(price, out o);
}
else
{
cache.Bids[price] = new OrderBookEntry()
{
price = price, quantity = size
};
}
}
else
{
if (size != defaultIgnoreValue)
{
cache.Bids[price] = new OrderBookEntry()
{
price = price, quantity = size
};
}
}
});
}
if (payload.asks != null)
{
payload.asks.ForEach(b =>
{
decimal price = Convert.ToDecimal(b[0]);
decimal size = Convert.ToDecimal(b[1]);
if (cache.Asks.ContainsKey(price))
{
if (size == defaultIgnoreValue)
{
OrderBookEntry o;
cache.Asks.Remove(price, out o);
}
else
{
cache.Asks[price] = new OrderBookEntry()
{
price = price, quantity = size
};
}
}
else
{
if (size != defaultIgnoreValue)
{
cache.Asks[price] = new OrderBookEntry()
{
price = price, quantity = size
};
}
}
});
}
var book = cache.ToOrderBook();
book.asks = Helper.SumOrderEntries(book.asks);
book.bids = Helper.SumOrderEntries(book.bids);
DispatchBook(book);
}
}
catch (Exception ex)
{
logger.Trace(JsonConvert.SerializeObject(ex, Formatting.Indented));
}
finally
{
await Task.FromResult(true);
}
};
socket.Connect();
var request = new SocketRequest()
{
Event = "addChannel",
Channel = string.Format("ok_sub_spot_{0}_depth", Okex.GetMarketNameFromSymbol(symbol))
};
socket.Send(JsonConvert.SerializeObject(request));
}
public void SubscribeOrderbook(string symbol)
{
CacheOrderbook(symbol).Wait();
InitWebSocket(string.Format("wss://stream.binance.com:9443/ws/{0}@depth", symbol.ToLowerInvariant()));
socket.OnMessage += async(sender, e) =>
{
var payload = JsonConvert.DeserializeObject <OrderBookSocketResponse>(e.Data);
const decimal defaultIgnoreValue = 0.00000000M;
payload.bids.ForEach(b =>
{
decimal price = Convert.ToDecimal(b[0]);
decimal size = Convert.ToDecimal(b[1]);
if (cache.Bids.ContainsKey(price))
{
if (size == defaultIgnoreValue)
{
OrderBookEntry o;
cache.Bids.Remove(price, out o);
}
else
{
cache.Bids[price] = new OrderBookEntry()
{
price = price, quantity = size
};
}
}
else
{
if (size != defaultIgnoreValue)
{
cache.Bids[price] = new OrderBookEntry()
{
price = price, quantity = size
};
}
}
});
payload.asks.ForEach(b =>
{
decimal price = Convert.ToDecimal(b[0]);
decimal size = Convert.ToDecimal(b[1]);
if (cache.Asks.ContainsKey(price))
{
if (size == defaultIgnoreValue)
{
OrderBookEntry o;
cache.Asks.Remove(price, out o);
}
else
{
cache.Asks[price] = new OrderBookEntry()
{
price = price, quantity = size
};
}
}
else
{
if (size != defaultIgnoreValue)
{
cache.Asks[price] = new OrderBookEntry()
{
price = price, quantity = size
};
}
}
});
// Console.WriteLine(JsonConvert.SerializeObject(cache, Formatting.Indented));
var book = cache.ToOrderBook();
book.asks = Helper.SumOrderEntries(book.asks);
book.bids = Helper.SumOrderEntries(book.bids);
book.updateId = payload.updateId;
DispatchBook(book);
await Task.FromResult(true);
};
socket.Connect();
}
