protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken obj = await MakeJsonRequestAsync <JToken>("/public/orderbook/" + symbol + "?limit=" + maxCount.ToStringInvariant());
if (obj != null && obj.HasValues)
{
foreach (JToken order in obj["ask"])
{
if (orders.Asks.Count < maxCount)
{
var depth = new ExchangeOrderPrice {
Price = order["price"].ConvertInvariant <decimal>(), Amount = order["size"].ConvertInvariant <decimal>()
};
orders.Asks[depth.Price] = depth;
}
}
foreach (JToken order in obj["bid"])
{
if (orders.Bids.Count < maxCount)
{
var depth = new ExchangeOrderPrice {
Price = order["price"].ConvertInvariant <decimal>(), Amount = order["size"].ConvertInvariant <decimal>()
};
orders.Bids[depth.Price] = depth;
}
}
}
return(orders);
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
symbol = NormalizeSymbol(symbol);
JObject obj = await MakeJsonRequestAsync <Newtonsoft.Json.Linq.JObject>("public/getorderbook?market=" + symbol + "&type=both&limit_bids=" + maxCount + "&limit_asks=" + maxCount);
JToken book = CheckError(obj);
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken bids = book["buy"];
foreach (JToken token in bids)
{
ExchangeOrderPrice order = new ExchangeOrderPrice {
Amount = token["Quantity"].ConvertInvariant <decimal>(), Price = token["Rate"].ConvertInvariant <decimal>()
};
orders.Bids.Add(order);
}
JToken asks = book["sell"];
foreach (JToken token in asks)
{
ExchangeOrderPrice order = new ExchangeOrderPrice {
Amount = token["Quantity"].ConvertInvariant <decimal>(), Price = token["Rate"].ConvertInvariant <decimal>()
};
orders.Asks.Add(order);
}
return(orders);
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string marketSymbol, int maxCount = 100)
{
var book = await MakeCoinmateRequest <CoinmateOrderBook>("/orderBook?&groupByPriceLimit=False¤cyPair=" + marketSymbol);
var result = new ExchangeOrderBook
{
MarketSymbol = marketSymbol,
};
book.Asks
.GroupBy(x => x.Price)
.ToList()
.ForEach(x => result.Asks.Add(x.Key, new ExchangeOrderPrice {
Amount = x.Sum(x => x.Amount), Price = x.Key
}));
book.Bids
.GroupBy(x => x.Price)
.ToList()
.ForEach(x => result.Bids.Add(x.Key, new ExchangeOrderPrice {
Amount = x.Sum(x => x.Amount), Price = x.Key
}));
return(result);
}
private static ExchangeOrderBook ConvertToExchangeOrderBook(int maxCount, BL3POrderBook bl3POrderBook)
{
var exchangeOrderBook = new ExchangeOrderBook
{
MarketSymbol = bl3POrderBook.MarketSymbol,
LastUpdatedUtc = CryptoUtility.UtcNow
};
var asks = bl3POrderBook.Asks
.OrderBy(b => b.Price, exchangeOrderBook.Asks.Comparer)
.Take(maxCount);
foreach (var ask in asks)
{
exchangeOrderBook.Asks.Add(ask.Price, ask.ToExchangeOrder());
}
var bids = bl3POrderBook.Bids
.OrderBy(b => b.Price, exchangeOrderBook.Bids.Comparer)
.Take(maxCount);
foreach (var bid in bids)
{
exchangeOrderBook.Bids.Add(bid.Price, bid.ToExchangeOrder());
}
return(exchangeOrderBook);
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
symbol = NormalizeSymbol(symbol);
JToken obj = await MakeJsonRequestAsync <JToken>("/book/" + symbol + "?limit_bids=" + maxCount + "&limit_asks=" + maxCount);
if (obj == null || obj.Count() == 0)
{
return(null);
}
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken bids = obj["bids"];
foreach (JToken token in bids)
{
ExchangeOrderPrice depth = new ExchangeOrderPrice {
Amount = token["amount"].ConvertInvariant <decimal>(), Price = token["price"].ConvertInvariant <decimal>()
};
orders.Bids[depth.Price] = depth;
}
JToken asks = obj["asks"];
foreach (JToken token in asks)
{
ExchangeOrderPrice depth = new ExchangeOrderPrice {
Amount = token["amount"].ConvertInvariant <decimal>(), Price = token["price"].ConvertInvariant <decimal>()
};
orders.Asks[depth.Price] = depth;
}
return(orders);
}
public ExchangeOrderBook GetOrderBook(string exchange, string symbol, int maxCount = 100)
{
ExchangeOrderBook book = new ExchangeOrderBook();
JObject obj = MakeJsonRequest <JObject>("/markets/" + exchange.ToLowerInvariant() + "/" + symbol + "/orderbook");
JObject result = (JObject)obj["result"];
int count = 0;
foreach (JArray array in result["asks"])
{
if (++count > maxCount)
{
break;
}
book.Asks.Add(new ExchangeOrderPrice {
Amount = array[1].ConvertInvariant <decimal>(), Price = array[0].ConvertInvariant <decimal>()
});
}
count = 0;
foreach (JArray array in result["bids"])
{
if (++count > maxCount)
{
break;
}
book.Bids.Add(new ExchangeOrderPrice {
Amount = array[1].ConvertInvariant <decimal>(), Price = array[0].ConvertInvariant <decimal>()
});
}
return(book);
}
/// <summary>Common order book parsing method, most exchanges use "asks" and "bids" with
/// arrays of length 2 for price and amount (or amount and price)</summary>
/// <param name="token">Token</param>
/// <param name="asks">Asks key</param>
/// <param name="bids">Bids key</param>
/// <param name="maxCount">Max count</param>
/// <returns>Order book</returns>
public static ExchangeOrderBook ParseOrderBookFromJTokenArrays(JToken token, string asks = "asks", string bids = "bids", string sequence = "ts", int maxCount = 100)
{
var book = new ExchangeOrderBook {
SequenceId = token[sequence].ConvertInvariant <long>()
};
foreach (JArray array in token[asks])
{
var depth = new ExchangeOrderPrice {
Price = array[0].ConvertInvariant <decimal>(), Amount = array[1].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
if (book.Asks.Count == maxCount)
{
break;
}
}
foreach (JArray array in token[bids])
{
var depth = new ExchangeOrderPrice {
Price = array[0].ConvertInvariant <decimal>(), Amount = array[1].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
if (book.Bids.Count == maxCount)
{
break;
}
}
return(book);
}
public async Task <ExchangeOrderBook> GetOrderBookAsync(string exchange, string symbol, int maxCount = 100)
{
await new SynchronizationContextRemover();
ExchangeOrderBook book = new ExchangeOrderBook();
JToken result = await MakeJsonRequestAsync <JToken>("/markets/" + exchange.ToLowerInvariant() + "/" + symbol + "/orderbook");
int count = 0;
foreach (JArray array in result["asks"])
{
if (++count > maxCount)
{
break;
}
var depth = new ExchangeOrderPrice {
Amount = array[1].ConvertInvariant <decimal>(), Price = array[0].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
}
count = 0;
foreach (JArray array in result["bids"])
{
if (++count > maxCount)
{
break;
}
var depth = new ExchangeOrderPrice {
Amount = array[1].ConvertInvariant <decimal>(), Price = array[0].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
}
return(book);
}
/// <summary>
/// Common order book parsing method, checks for "amount" or "quantity" and "price" elements
/// </summary>
/// <param name="token">Token</param>
/// <param name="asks">Asks key</param>
/// <param name="bids">Bids key</param>
/// <param name="price">Price key</param>
/// <param name="amount">Quantity key</param>
/// <param name="sequence">Sequence key</param>
/// <param name="maxCount">Max count</param>
/// <returns>Order book</returns>
public static ExchangeOrderBook ParseOrderBookFromJTokenDictionaries(JToken token, string asks = "asks", string bids = "bids", string price = "price", string amount = "amount", string sequence = "ts", int maxCount = 100)
{
ExchangeOrderBook book = new ExchangeOrderBook
{
SequenceId = token[sequence].ConvertInvariant <long>()
};
foreach (JToken ask in token[asks])
{
var depth = new ExchangeOrderPrice {
Price = ask[price].ConvertInvariant <decimal>(), Amount = ask[amount].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
if (book.Asks.Count == maxCount)
{
break;
}
}
foreach (JToken bid in token[bids])
{
var depth = new ExchangeOrderPrice {
Price = bid[price].ConvertInvariant <decimal>(), Amount = bid[amount].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
if (book.Bids.Count == maxCount)
{
break;
}
}
return(book);
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 50)
{
string url = "/products/" + symbol.ToUpperInvariant() + "/book?level=2";
ExchangeOrderBook orders = new ExchangeOrderBook();
Dictionary <string, object> books = await MakeJsonRequestAsync <Dictionary <string, object> >(url);
JArray asks = books["asks"] as JArray;
JArray bids = books["bids"] as JArray;
foreach (JArray ask in asks)
{
var depth = new ExchangeOrderPrice {
Amount = ask[1].ConvertInvariant <decimal>(), Price = ask[0].ConvertInvariant <decimal>()
};
orders.Asks[depth.Price] = depth;
}
foreach (JArray bid in bids)
{
var depth = new ExchangeOrderPrice {
Amount = bid[1].ConvertInvariant <decimal>(), Price = bid[0].ConvertInvariant <decimal>()
};
orders.Bids[depth.Price] = depth;
}
return(orders);
}
public override IReadOnlyCollection <KeyValuePair <string, ExchangeOrderBook> > GetOrderBooks(int maxCount = 100)
{
List <KeyValuePair <string, ExchangeOrderBook> > books = new List <KeyValuePair <string, ExchangeOrderBook> >();
JObject obj = MakeJsonRequest <JObject>("/public?command=returnOrderBook¤cyPair=all&depth=" + maxCount);
CheckError(obj);
foreach (JProperty token in obj.Children())
{
ExchangeOrderBook book = new ExchangeOrderBook();
foreach (JArray array in token.First["asks"])
{
book.Asks.Add(new ExchangeOrderPrice {
Amount = (decimal)array[1], Price = (decimal)array[0]
});
}
foreach (JArray array in token.First["bids"])
{
book.Bids.Add(new ExchangeOrderPrice {
Amount = (decimal)array[1], Price = (decimal)array[0]
});
}
books.Add(new KeyValuePair <string, ExchangeOrderBook>(token.Name, book));
}
return(books);
}
protected override IWebSocket OnGetOrderBookWebSocket(Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] symbols)
{
if (symbols == null || symbols.Length == 0)
{
symbols = GetSymbolsAsync().Sync().ToArray();
}
string combined = string.Join("/", symbols.Select(s => this.NormalizeSymbol(s).ToLowerInvariant() + "@depth"));
return(ConnectWebSocket($"/stream?streams={combined}", (_socket, msg) =>
{
string json = msg.ToStringFromUTF8();
var update = JsonConvert.DeserializeObject <MultiDepthStream>(json);
string symbol = update.Data.Symbol;
ExchangeOrderBook book = new ExchangeOrderBook {
SequenceId = update.Data.FinalUpdate, Symbol = symbol
};
foreach (List <object> ask in update.Data.Asks)
{
var depth = new ExchangeOrderPrice {
Price = ask[0].ConvertInvariant <decimal>(), Amount = ask[1].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
}
foreach (List <object> bid in update.Data.Bids)
{
var depth = new ExchangeOrderPrice {
Price = bid[0].ConvertInvariant <decimal>(), Amount = bid[1].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
}
callback(book);
return Task.CompletedTask;
}));
}
private ExchangeOrderBook ParseOrderBook(JToken orderBook)
{
try
{
BittrexStreamUpdateOrderBook bittrexOrderBook = orderBook.ToObject <BittrexStreamUpdateOrderBook>();
ExchangeOrderBook book = new ExchangeOrderBook()
{
SequenceId = bittrexOrderBook.Sequence,
MarketSymbol = bittrexOrderBook.MarketSymbol,
LastUpdatedUtc = DateTime.UtcNow
};
foreach (AskDelta ask in bittrexOrderBook.AskDeltas)
{
book.Asks.Add(ask.Rate, new ExchangeOrderPrice {
Amount = ask.Quantity, Price = ask.Rate
});
}
foreach (BidDelta bid in bittrexOrderBook.BidDeltas)
{
book.Bids.Add(bid.Rate, new ExchangeOrderPrice {
Amount = bid.Quantity, Price = bid.Rate
});
}
return(book);
}
catch (Exception ex)
{
throw ex;
}
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
ExchangeOrderBook orders = new ExchangeOrderBook();
// {"TradePairId":100,"Label":"DOT/BTC","Price":0.00000317,"Volume":333389.57231468,"Total":1.05684494}
JToken token = await MakeJsonRequestAsync <JToken>("/GetMarketOrders/" + NormalizeSymbol(symbol) + "/" + maxCount.ToStringInvariant());
token = CheckError(token);
if (token.HasValues)
{
foreach (JToken order in token["Buy"])
{
orders.Bids.Add(new ExchangeOrderPrice()
{
Price = order.Value <decimal>("Price"), Amount = order.Value <decimal>("Volume")
});
}
foreach (JToken order in token["Sell"])
{
orders.Asks.Add(new ExchangeOrderPrice()
{
Price = order.Value <decimal>("Price"), Amount = order.Value <decimal>("Volume")
});
}
}
return(orders);
}
public override ExchangeOrderBook GetOrderBook(string symbol, int maxCount = 100)
{
symbol = NormalizeSymbol(symbol);
JObject json = MakeJsonRequest <JObject>("/0/public/Depth?pair=" + symbol + "&count=" + maxCount);
CheckError(json);
JToken obj = json["result"][symbol] as JToken;
if (obj == null)
{
return(null);
}
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken bids = obj["bids"];
foreach (JToken token in bids)
{
ExchangeOrderPrice order = new ExchangeOrderPrice {
Amount = token[1].Value <decimal>(), Price = token[0].Value <decimal>()
};
orders.Bids.Add(order);
}
JToken asks = obj["asks"];
foreach (JToken token in asks)
{
ExchangeOrderPrice order = new ExchangeOrderPrice {
Amount = token[1].Value <decimal>(), Price = token[0].Value <decimal>()
};
orders.Asks.Add(order);
}
return(orders);
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
symbol = NormalizeSymbol(symbol);
JObject json = await MakeJsonRequestAsync <JObject>("/0/public/Depth?pair=" + symbol + "&count=" + maxCount);
JToken obj = CheckError(json);
obj = obj[symbol];
if (obj == null)
{
return(null);
}
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken bids = obj["bids"];
foreach (JToken token in bids)
{
ExchangeOrderPrice order = new ExchangeOrderPrice {
Amount = token[1].ConvertInvariant <decimal>(), Price = token[0].ConvertInvariant <decimal>()
};
orders.Bids.Add(order);
}
JToken asks = obj["asks"];
foreach (JToken token in asks)
{
ExchangeOrderPrice order = new ExchangeOrderPrice {
Amount = token[1].ConvertInvariant <decimal>(), Price = token[0].ConvertInvariant <decimal>()
};
orders.Asks.Add(order);
}
return(orders);
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
ExchangeOrderBook orders = new ExchangeOrderBook();
var split = symbol.Split('_');
JToken token = await MakeJsonRequestAsync <JToken>("/api?method=getorders&coin=" + split[1] + "&market=" + split[0]);
if (token != null && token.HasValues)
{
foreach (JArray order in token["asks"])
{
var depth = new ExchangeOrderPrice {
Price = order[0].ConvertInvariant <decimal>(), Amount = order[1].ConvertInvariant <decimal>()
};
orders.Asks[depth.Price] = depth;
}
foreach (JArray order in token["bids"])
{
var depth = new ExchangeOrderPrice {
Price = order[0].ConvertInvariant <decimal>(), Amount = order[1].ConvertInvariant <decimal>()
};
orders.Bids[depth.Price] = depth;
}
}
return(orders);
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken token = await MakeJsonRequestAsync <JToken>("/products/" + symbol + "/book?level=" + (maxCount > 50 ? "0" : "2"));
if (token.HasValues)
{
foreach (JArray array in token["bids"])
{
if (orders.Bids.Count < maxCount)
{
orders.Bids.Add(new ExchangeOrderPrice()
{
Amount = array[1].ConvertInvariant <decimal>(), Price = array[0].ConvertInvariant <decimal>()
});
}
}
foreach (JArray array in token["asks"])
{
if (orders.Asks.Count < maxCount)
{
orders.Asks.Add(new ExchangeOrderPrice()
{
Amount = array[1].ConvertInvariant <decimal>(), Price = array[0].ConvertInvariant <decimal>()
});
}
}
}
return(orders);
}
protected override IWebSocket OnGetDeltaOrderBookWebSocket(Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] marketSymbols)
{
if (marketSymbols == null || marketSymbols.Length == 0)
{
marketSymbols = GetMarketSymbolsAsync().Sync().ToArray();
}
string combined = string.Join("/", marketSymbols.Select(s => this.NormalizeMarketSymbol(s).ToLowerInvariant() + "@depth@100ms"));
return(ConnectWebSocket($"/stream?streams={combined}", (_socket, msg) =>
{
string json = msg.ToStringFromUTF8();
var update = JsonConvert.DeserializeObject <MultiDepthStream>(json);
string marketSymbol = update.Data.MarketSymbol;
ExchangeOrderBook book = new ExchangeOrderBook {
SequenceId = update.Data.FinalUpdate, MarketSymbol = marketSymbol, LastUpdatedUtc = CryptoUtility.UnixTimeStampToDateTimeMilliseconds(update.Data.EventTime)
};
foreach (List <object> ask in update.Data.Asks)
{
var depth = new ExchangeOrderPrice {
Price = ask[0].ConvertInvariant <decimal>(), Amount = ask[1].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
}
foreach (List <object> bid in update.Data.Bids)
{
var depth = new ExchangeOrderPrice {
Price = bid[0].ConvertInvariant <decimal>(), Amount = bid[1].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
}
callback(book);
return Task.CompletedTask;
}));
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
symbol = NormalizeSymbol(symbol);
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken token = await MakeJsonRequestAsync <JToken>("/exchange/order_book?currencyPair=" + symbol + "&depth=" + maxCount.ToStringInvariant());
token = CheckError(token);
if (token != null)
{
foreach (JToken order in token["asks"])
{
orders.Asks.Add(new ExchangeOrderPrice()
{
Price = order[0].ConvertInvariant <decimal>(),
Amount = order[1].ConvertInvariant <decimal>()
});
}
foreach (JToken order in token["bids"])
{
orders.Bids.Add(new ExchangeOrderPrice()
{
Price = order[0].ConvertInvariant <decimal>(),
Amount = order[1].ConvertInvariant <decimal>()
});
}
}
return(orders);
}
public override ExchangeOrderBook GetOrderBook(string symbol, int maxCount = 100)
{
symbol = NormalizeSymbol(symbol);
JObject obj = MakeJsonRequest <Newtonsoft.Json.Linq.JObject>("public/getorderbook?market=" + symbol + "&type=both&limit_bids=" + maxCount + "&limit_asks=" + maxCount);
CheckError(obj);
JToken book = obj["result"];
if (book == null)
{
return(null);
}
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken bids = book["buy"];
foreach (JToken token in bids)
{
ExchangeOrderPrice order = new ExchangeOrderPrice {
Amount = token["Quantity"].Value <decimal>(), Price = token["Rate"].Value <decimal>()
};
orders.Bids.Add(order);
}
JToken asks = book["sell"];
foreach (JToken token in asks)
{
ExchangeOrderPrice order = new ExchangeOrderPrice {
Amount = token["Quantity"].Value <decimal>(), Price = token["Rate"].Value <decimal>()
};
orders.Asks.Add(order);
}
return(orders);
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
ExchangeOrderBook orders = new ExchangeOrderBook();
//"result" : { "buy" : [{"Quantity" : 4.99400000,"Rate" : 3.00650900}, {"Quantity" : 50.00000000, "Rate" : 3.50000000 } ] ...
JToken result = await MakeJsonRequestAsync <JObject>("/public/getorderbook?market=" + symbol + "&type=ALL&depth=" + maxCount);
result = CheckError(result);
foreach (JToken token in result["buy"])
{
if (orders.Bids.Count < maxCount)
{
orders.Bids.Add(new ExchangeOrderPrice()
{
Amount = token["Quantity"].ConvertInvariant <decimal>(), Price = token["Rate"].ConvertInvariant <decimal>()
});
}
}
foreach (JToken token in result["sell"])
{
if (orders.Asks.Count < maxCount)
{
orders.Asks.Add(new ExchangeOrderPrice()
{
Amount = token["Quantity"].ConvertInvariant <decimal>(), Price = token["Rate"].ConvertInvariant <decimal>()
});
}
}
return(orders);
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken token = await MakeJsonRequestAsync <JToken>("/open/orders?symbol=" + symbol + "&limit=" + maxCount);
token = CheckError(token);
if (token.HasValues)
{
foreach (JToken order in token["BUY"])
{
orders.Bids.Add(new ExchangeOrderPrice()
{
Price = order[0].ConvertInvariant <decimal>(), Amount = order[1].ConvertInvariant <decimal>()
});
}
foreach (JToken order in token["SELL"])
{
orders.Asks.Add(new ExchangeOrderPrice()
{
Price = order[0].ConvertInvariant <decimal>(), Amount = order[1].ConvertInvariant <decimal>()
});
}
}
return(orders);
}
public override ExchangeOrderBook GetOrderBook(string symbol, int maxCount = 100)
{
symbol = NormalizeSymbol(symbol);
JObject obj = MakeJsonRequest <Newtonsoft.Json.Linq.JObject>("/book/" + symbol + "?limit_bids=" + maxCount + "&limit_asks=" + maxCount);
if (obj == null || obj.Count == 0)
{
return(null);
}
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken bids = obj["bids"];
foreach (JToken token in bids)
{
ExchangeOrderPrice order = new ExchangeOrderPrice {
Amount = token["amount"].ConvertInvariant <decimal>(), Price = token["price"].ConvertInvariant <decimal>()
};
orders.Bids.Add(order);
}
JToken asks = obj["asks"];
foreach (JToken token in asks)
{
ExchangeOrderPrice order = new ExchangeOrderPrice {
Amount = token["amount"].ConvertInvariant <decimal>(), Price = token["price"].ConvertInvariant <decimal>()
};
orders.Asks.Add(order);
}
return(orders);
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string marketSymbol, int maxCount = 100)
{
JToken token = await MakeJsonRequestAsync <JToken>($"/{marketSymbol}/transactions");
ExchangeOrderBook result = new ExchangeOrderBook();
// we can not use `APIExtensions.ParseOrderBookFromJToken ...` here, because bid/ask is denoted by "side" property.
foreach (JToken tx in token["transactions"])
{
var isBuy = (string)tx["side"] == "buy";
decimal price = tx["price"].ConvertInvariant <decimal>();
decimal amount = tx["amount"].ConvertInvariant <decimal>();
if (isBuy)
{
result.Bids[price] = new ExchangeOrderPrice {
Amount = amount, Price = price
};
}
else
{
result.Asks[price] = new ExchangeOrderPrice {
Amount = amount, Price = price
};
}
result.MarketSymbol = NormalizeMarketSymbol(marketSymbol);
}
return(result);
}
protected override IDisposable OnGetOrderBookWebSocket(Action <ExchangeSequencedWebsocketMessage <KeyValuePair <string, ExchangeOrderBook> > > callback, int maxCount = 20, params string[] symbols)
{
if (callback == null)
{
return(null);
}
string suffix = "@depth" + maxCount.ToStringInvariant();
string url = GetWebSocketStreamUrlForSymbols(suffix, symbols);
return(ConnectWebSocket(url, (msg, _socket) =>
{
try
{
JToken token = JToken.Parse(msg.UTF8String());
string name = token["stream"].ToStringInvariant();
token = token["data"];
ExchangeOrderBook orderBook = ParseOrderBook(token);
string symbol = NormalizeSymbol(name.Substring(0, name.IndexOf('@')));
int sequenceNumber = token["lastUpdateId"].ConvertInvariant <int>();
callback(new ExchangeSequencedWebsocketMessage <KeyValuePair <string, ExchangeOrderBook> >(sequenceNumber, new KeyValuePair <string, ExchangeOrderBook>(symbol, orderBook)));
}
catch
{
}
}));
}
protected override async Task <IEnumerable <KeyValuePair <string, ExchangeOrderBook> > > OnGetOrderBooksAsync(int maxCount = 100)
{
List <KeyValuePair <string, ExchangeOrderBook> > books = new List <KeyValuePair <string, ExchangeOrderBook> >();
JToken obj = await MakeJsonRequestAsync <JToken>("/public?command=returnOrderBook¤cyPair=all&depth=" + maxCount);
foreach (JProperty token in obj.Children())
{
ExchangeOrderBook book = new ExchangeOrderBook();
foreach (JArray array in token.First["asks"])
{
var depth = new ExchangeOrderPrice {
Amount = array[1].ConvertInvariant <decimal>(), Price = array[0].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
}
foreach (JArray array in token.First["bids"])
{
var depth = new ExchangeOrderPrice {
Amount = array[1].ConvertInvariant <decimal>(), Price = array[0].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
}
books.Add(new KeyValuePair <string, ExchangeOrderBook>(token.Name, book));
}
return(books);
}
protected override IWebSocket OnGetOrderBookWebSocket(Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] marketSymbols)
{
/*
* {[
* {
* "binary": 0,
* "channel": "addChannel",
* "data": {
* "result": true,
* "channel": "ok_sub_spot_bch_btc_depth_5"
* }
* }
* ]}
*
*
*
* {[
* {
* "data": {
* "asks": [
* [
* "8364.1163",
* "0.005"
* ],
*
* ],
* "bids": [
* [
* "8335.99",
* "0.01837999"
* ],
* [
* "8335.9899",
* "0.06"
* ],
* ],
* "timestamp": 1526734386064
* },
* "binary": 0,
* "channel": "ok_sub_spot_btc_usdt_depth_20"
* }
* ]}
*
*/
return(ConnectWebSocketOkex(async(_socket) =>
{
marketSymbols = await AddMarketSymbolsToChannel(_socket, $"ok_sub_spot_{{0}}_depth_{maxCount}", marketSymbols);
}, (_socket, symbol, sArray, token) =>
{
ExchangeOrderBook book = ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(token, sequence: "timestamp", maxCount: maxCount);
book.MarketSymbol = symbol;
callback(book);
return Task.CompletedTask;
}));
}
static void updateOrderBook(ExchangeOrderBook fullOrderBook, ExchangeOrderBook freshBook)
{
lock (fullOrderBook)
{
// update deltas as long as the full book is at or before the delta timestamp
if (fullOrderBook.SequenceId <= freshBook.SequenceId)
{
fullOrderBook.ApplyUpdates(freshBook);
}
}
}
//GetOrderBook 5
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
//https://api.lbank.info/v1/depth.do?symbol=eth_btc&size=60&merge=1
maxCount = Math.Min(maxCount, ORDER_BOOK_MAX_SIZE);
JToken resp = await this.MakeJsonRequestAsync <JToken>($"/depth.do?symbol={symbol}&size={maxCount}&merge=0");
CheckResponseToken(resp);
ExchangeOrderBook book = ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(resp, maxCount: maxCount);
book.SequenceId = resp["timestamp"].ConvertInvariant <long>();
return(book);
}
