protected override void DoRunLoopSubscriptions(string resp)
{
WebSocketSubscriptionEvent eventSubscr = JsonConvert.DeserializeObject <WebSocketSubscriptionEvent>(resp);
if (ResponseRequestSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
if (eventSubscr.table == _ORDERBOOK_L2 && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
WebSocketOrderBookL2Event orderBookL2Event = JsonConvert.DeserializeObject <WebSocketOrderBookL2Event>(resp);
WebSocketSubscriptionEvent subscrEvent = EventSubscriptions[eventSubscr.GetSubscriptionEvent()];
subscrEvent.RunEvent(orderBookL2Event);
}
else if (eventSubscr.table == _TRADE && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
WebSocketTradeEvent tradeEvent = JsonConvert.DeserializeObject <WebSocketTradeEvent>(resp);
WebSocketSubscriptionEvent subscrEvent = EventSubscriptions[eventSubscr.GetSubscriptionEvent()];
subscrEvent.RunEvent(tradeEvent);
}
else if (eventSubscr.table == _QUOTE && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
WebSocketQuoteEvent quoteEvent = JsonConvert.DeserializeObject <WebSocketQuoteEvent>(resp);
WebSocketSubscriptionEvent subscrEvent = EventSubscriptions[eventSubscr.GetSubscriptionEvent()];
subscrEvent.RunEvent(quoteEvent);
}
else if (eventSubscr.table == _1_DAY_TRADE_BINS && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
//TODO: I have to ask BitMex why aren't they retrieveing high and low for the 1 day bin
//and they are for the 1 hour bin
}
else
{
//Log what we are receiving here because we are getting events that we didn't expect
}
}
}
protected void UpdateQuotes(WebSocketSubscriptionEvent subscrEvent)
{
if (subscrEvent is WebSocketErrorMessage)
{
ProcessSubscrError((WebSocketErrorMessage)subscrEvent);
return;
}
WebSocketQuoteEvent quotes = (WebSocketQuoteEvent)subscrEvent;
foreach (Quote quote in quotes.data.OrderBy(x => x.timestamp))
{
try
{
if (ActiveSecuritiesQuotes.Values.Where(x => x.Symbol == quote.symbol).FirstOrDefault() != null)
{
Security sec = ActiveSecuritiesQuotes.Values.Where(x => x.Symbol == quote.symbol).FirstOrDefault();
sec.MarketData.BestAskSize = quote.askSize.HasValue ? (long?)Convert.ToInt64(quote.askSize.Value) : null;
sec.MarketData.BestBidSize = quote.bidSize.HasValue ? (long?)Convert.ToInt64(quote.bidSize.Value) : null;
sec.MarketData.BestAskPrice = quote.askPrice;
sec.MarketData.BestBidPrice = quote.bidPrice;
DoLog(string.Format("@{1}:NEW Quote for symbol {0}", quote.symbol, BitmexConfiguration.Name), Main.Common.Util.Constants.MessageType.Information);
MarketDataQuoteWrapper wrapper = new MarketDataQuoteWrapper(sec, GetConfig());
OnMessageRcv(wrapper);
}
}
catch (Exception ex)
{
DoLog(string.Format("@{0}:Error processing quote for symbol {1}:{2}", BitmexConfiguration.Name, quote.symbol, ex.Message), Main.Common.Util.Constants.MessageType.Error);
}
}
}
