public BitmexSocketClient(BitmexSocketClientOptions bitmexSocketClientOptions) : base(nameof(BitmexSocketClient), bitmexSocketClientOptions, bitmexSocketClientOptions.ApiCredentials == null ? null : new BitmexAuthenticationProvider(bitmexSocketClientOptions.ApiCredentials))
{
isTestnet = !bitmexSocketClientOptions.IsTestnet;
if (bitmexSocketClientOptions.SendPingManually)
{
SendPeriodic(TimeSpan.FromSeconds(10), connection => "ping");
}
if (bitmexSocketClientOptions.LoadInstruments)
{
using (var bitmexClient = new BitmexClient(new BitmexClientOptions(bitmexSocketClientOptions.IsTestnet)))
{
var instruments = bitmexClient.GetInstruments(new Objects.Requests.BitmexRequestWithFilter().WithResultsCount(500).AddColumnsToGetInRequest(new string[] { "symbol", "tickSize" }));
if (instruments)
{
for (int i = 0; i < instruments.Data.Count; i++)
{
InstrumentsIndexesAndTicks.Add(instruments.Data[i].Symbol, new BitmexInstrumentIndexWithTick(i, instruments.Data[i].TickSize));
}
}
else
{
log.Write(LogVerbosity.Error, "Instrument indicies and price ticks for calculation was not obtained");
}
}
}
}
private void Update(List <BitmexOrderBookEntry> entries)
{
try
{
if (IsInititalBookSetted)
{
if (entries == null || !entries.Any())
{
return;
}
foreach (var e in entries)
{
e.SetPrice(InstrumentIndex, InstrumentTickSize);
}
UpdateOrderBook(LastId, NextId(), entries.Where(e => e.Side == OrderBookEntryType.Bid), entries.Where(e => e.Side == OrderBookEntryType.Ask));
LastAction = DateTime.UtcNow;
}
else
{
log.Write(LogLevel.Error, $"Orderbook was not updated cause not initiated");
using (var client = new BitmexClient(new BitmexClientOptions(isTestnet)))
{
log.Write(LogLevel.Debug, $"Setting orderdbook through api");
var ob = client.GetOrderBook(Symbol, 0);
if (ob)
{
SetInitialOrderBook(NextId(), ob.Data.Where(x => x.Side == OrderBookEntryType.Bid), ob.Data.Where(x => x.Side == OrderBookEntryType.Ask));
IsInititalBookSetted = true;
}
}
}
}
catch (Exception ex)
{
log.Write(LogLevel.Error, $"Orderbook was not updated {ex.ToString()}");
}
}