/// <summary>
/// Stream <see cref="MarketDepth"/> updates
/// </summary>
/// <param name="marketDepth">Market depth</param>
public void StreamUpdates(MarketDepth marketDepth)
{
if (marketDepth == null)
{
throw new ArgumentNullException(nameof(marketDepth));
}
_webSocketClient.ConnectToDepthWebSocket(
marketDepth.Symbol,
marketData => marketDepth.UpdateDepth(marketData.AskDepthDeltas, marketData.BidDepthDeltas, marketData.UpdateId));
}
/// <summary>
/// Stream <see cref="MarketDepth"/> updates
/// </summary>
/// <param name="marketDepth">Market depth</param>
/// <param name="updateInterval"></param>
public void StreamUpdates(MarketDepth marketDepth, TimeSpan?updateInterval = default)
{
if (marketDepth == null)
{
throw new ArgumentNullException(nameof(marketDepth));
}
_webSocketClient.Spot.SubscribeToOrderBookUpdatesAsync(
marketDepth.Symbol,
(int)updateInterval?.TotalMilliseconds,
marketData => marketDepth.UpdateDepth(marketData.Data.Asks, marketData.Data.Bids, marketData.Data.LastUpdateId));
}
/// <param name="symbol"></param>
/// <param name="marketStrategy"></param>
/// <param name="webSocketClient"></param>
/// <param name="logger"></param>
/// <param name="binanceRestClient"></param>
/// <exception cref="ArgumentNullException"><paramref name="symbol"/> cannot be <see langword="null"/></exception>
/// <exception cref="ArgumentNullException"><paramref name="marketStrategy"/> cannot be <see langword="null"/></exception>
/// <exception cref="ArgumentNullException"><paramref name="webSocketClient"/> cannot be <see langword="null"/></exception>
/// <exception cref="ArgumentNullException"><paramref name="binanceRestClient"/> cannot be <see langword="null"/></exception>
public MarketMakerBot(
string symbol,
NaiveMarketMakerStrategy marketStrategy,
IBinanceClient binanceRestClient,
IBinanceSocketClient webSocketClient,
Logger logger) :
base(symbol, marketStrategy, logger)
{
_marketDepth = new MarketDepth(symbol);
_binanceRestClient = binanceRestClient ?? throw new ArgumentNullException(nameof(binanceRestClient));
_webSocketClient = webSocketClient ?? throw new ArgumentNullException(nameof(webSocketClient));
}
/// <summary>
/// Build <see cref="MarketDepth"/>
/// </summary>
/// <param name="marketDepth">Market depth</param>
/// <param name="limit">Limit of returned orders count</param>
public async Task BuildAsync(MarketDepth marketDepth, int limit = 100)
{
if (marketDepth == null)
{
throw new ArgumentNullException(nameof(marketDepth));
}
if (limit <= 0)
{
throw new ArgumentOutOfRangeException(nameof(limit));
}
OrderBookResponse orderBook = await _restClient.GetOrderBookAsync(marketDepth.Symbol, false, limit);
marketDepth.UpdateDepth(orderBook.Asks, orderBook.Bids, orderBook.LastUpdateId);
}
/// <summary>
/// Build <see cref="MarketDepth"/>
/// </summary>
/// <param name="marketDepth">Market depth</param>
/// <param name="limit">Limit of returned orders count</param>
public async Task BuildAsync(MarketDepth marketDepth, short limit = 10)
{
if (marketDepth == null)
{
throw new ArgumentNullException(nameof(marketDepth));
}
if (limit <= 0)
{
throw new ArgumentOutOfRangeException(nameof(limit));
}
WebCallResult <BinanceOrderBook> response = await _restClient.Spot.Market.GetOrderBookAsync(marketDepth.Symbol, limit);
BinanceOrderBook orderBook = response.Data;
marketDepth.UpdateDepth(orderBook.Asks, orderBook.Bids, orderBook.LastUpdateId);
}