void OnRemove(OrderBookUpdateInfo info)
{
if (info.Type == OrderBookEntryType.Bid)
{
OrderBookEntry entry = Bids.FirstOrDefault((e) => e.Value == info.Entry.Value);
if (entry == null)
{
Debug.WriteLine("Error removing: '" + info.Type + "' with rate " + info.Entry.Value + " not found");
return;
}
Bids.Remove(entry);
}
else
{
OrderBookEntry entry = Asks.FirstOrDefault((e) => e.Value == info.Entry.Value);
if (entry == null)
{
Debug.WriteLine("Error removing: '" + info.Type + "' with rate " + info.Entry.Value + " not found");
return;
}
Asks.Remove(entry);
}
RaiseOnChanged(info);
OnChangedCore(info);
}
void AddUpdateToQueue(OrderBookUpdateInfo info)
{
if (Updates.Count == 0)
{
GetSnapshot();
}
Updates.Add(info);
}
protected internal void OnAddAsk(OrderBookUpdateInfo info)
{
OrderBookEntry before = Asks.FirstOrDefault((e) => e.Value < info.Entry.Value);
if (before == null)
{
Asks.Insert(0, info.Entry);
return;
}
Asks.Insert(Asks.IndexOf(before), info.Entry);
}
void OnAddBid(OrderBookUpdateInfo info)
{
OrderBookEntry before = Bids.FirstOrDefault((e) => e.Value < info.Entry.Value);
if (before == null)
{
Bids.Add(info.Entry);
return;
}
Bids.Insert(Bids.IndexOf(before), info.Entry);
}
protected internal void ApplyInfo(OrderBookUpdateInfo info)
{
if (info.Action == OrderBookUpdateType.Remove)
{
OnRemove(info);
}
else if (info.Action == OrderBookUpdateType.Modify)
{
OnModify(info);
}
}
protected internal void RaiseOnChanged(OrderBookUpdateInfo info)
{
OrderBookEventArgs e = new OrderBookEventArgs()
{
Update = info
};
if (OnChanged != null)
{
OnChanged(this, e);
}
}
public void GetOrderBook(PoloniexTicker ticker, int depth)
{
string address = string.Format("https://poloniex.com/public?command=returnOrderBook¤cyPair={0}&depth={1}",
Uri.EscapeDataString(ticker.CurrencyPair), depth);
string text;
using (WebClient client = new WebClient()) {
text = client.DownloadString(address);
}
ticker.OrderBook.Bids.Clear();
ticker.OrderBook.Asks.Clear();
JObject res = (JObject)JsonConvert.DeserializeObject(text);
foreach (JProperty prop in res.Children())
{
if (prop.Name == "asks" || prop.Name == "bids")
{
OrderBookEntryType type = prop.Name == "asks" ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
JArray items = prop.Value.ToObject <JArray>();
foreach (JArray item in items.Children())
{
OrderBookUpdateInfo info = new OrderBookUpdateInfo();
info.Type = prop.Name == "asks" ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
info.Entry = new OrderBookEntry();
info.Action = OrderBookUpdateType.Modify;
JEnumerable <JToken> values = (JEnumerable <JToken>)item.Children();
JValue rateValue = (JValue)values.First();
info.Entry.Value = rateValue.ToObject <double>();
info.Entry.Amount = rateValue.Next.ToObject <double>();
if (type == OrderBookEntryType.Ask)
{
ticker.OrderBook.ForceAddAsk(info);
}
else
{
ticker.OrderBook.ForceAddBid(info);
}
}
}
else if (prop.Name == "seq")
{
ticker.OrderBook.SeqNumber = prop.Value.ToObject <int>();
Console.WriteLine("Snapshot seq no = " + ticker.OrderBook.SeqNumber);
}
else if (prop.Name == "isFrozen")
{
ticker.IsFrozen = prop.Value.ToObject <int>() == 0;
}
}
ticker.OrderBook.ApplyQueueUpdates();
}
protected internal void OnAdd(OrderBookUpdateInfo info)
{
info.Action = OrderBookUpdateType.Add;
if (info.Type == OrderBookEntryType.Bid)
{
OnAddBid(info);
}
else
{
OnAddAsk(info);
}
RaiseOnChanged(info);
OnChangedCore(info);
}
protected internal void OnModify(OrderBookUpdateInfo info)
{
OrderBookEntry entry = info.Type == OrderBookEntryType.Ask ?
Asks.FirstOrDefault((e) => e.Value == info.Entry.Value) :
Bids.FirstOrDefault((e) => e.Value == info.Entry.Value);
if (entry == null)
{
OnAdd(info);
return;
}
entry.Amount = info.Entry.Amount;
info.Entry = entry;
RaiseOnChanged(info);
OnChangedCore(info);
}
protected internal void ApplyQueueUpdates()
{
if (Updates.Count == 0)
{
return;
}
while (Updates.Count > 0)
{
OrderBookUpdateInfo info = Updates.First();
if (info.SeqNo <= SeqNumber)
{
Updates.Remove(info);
continue;
}
if (info.SeqNo == SeqNumber + 1)
{
ApplyInfo(info);
Updates.RemoveAt(0);
}
}
}
public void OnRecvUpdate(OrderBookUpdateInfo info)
{
bool prevActualState = IsActualState;
if (IsExpected(info.SeqNo))
{
ApplyInfo(info);
ApplyQueueUpdates();
return;
}
if (IsOutdated(info.SeqNo))
{
return;
}
if (Updates.Count == 0 || Updates.Last().SeqNo == info.SeqNo - 1)
{
AddUpdateToQueue(info);
}
else
{
Debug.WriteLine("Error: update with seq no = " + info.SeqNo + " is skipped. Last seq no in que = " + Updates.Last().SeqNo);
return;
}
}
void ITicker.OnChanged(OrderBookUpdateInfo info)
{
RaiseChanged();
}
void OnChangedCore(OrderBookUpdateInfo info)
{
Owner.OnChanged(info);
}
protected internal void ForceAddBid(OrderBookUpdateInfo info)
{
Bids.Add(info.Entry);
}
protected internal void ForceAddAsk(OrderBookUpdateInfo info)
{
Asks.Insert(0, info.Entry);
}
