private static void Client_SpreadReceived(object sender, Events.KrakenDataEventArgs<SpreadMessage> e)
{
// += (sender, e) => Console.WriteLine($"Spread received");
return;
string pair = e.Pair.ToString();
Sec security = Securities.Find(sec => sec.NameInSocket == pair);
DateTime time = new DateTime(1970, 1, 1).AddSeconds(Convert.ToDouble(e.DataMessage.Time));
OsEngine.Entity.MarketDepth depth = new OsEngine.Entity.MarketDepth();
depth.Time = time;
depth.SecurityNameCode = security.NameInRest;
OsEngine.Entity.MarketDepthLevel ask = new OsEngine.Entity.MarketDepthLevel();
ask.Price = e.DataMessage.Ask;
ask.Ask = 1;
OsEngine.Entity.MarketDepthLevel bid = new OsEngine.Entity.MarketDepthLevel();
bid.Price = e.DataMessage.Bid;
bid.Bid = 1;
depth.Asks.Add(ask);
depth.Bids.Add(bid);
if(MarketDepthUpdateEvent != null)
{
MarketDepthUpdateEvent(depth);
}
}
private static void Client_BookSnapshotReceived(object sender, Events.KrakenDataEventArgs<BookSnapshotMessage> e)
{
string pair = e.Pair.ToString();
Sec security = Securities.Find(sec => sec.NameInSocket == pair);
MarketDepth depth = _marketDepths.Find(d => d.SecurityNameCode == security.NameInRest);
if (depth == null)
{
depth = new MarketDepth();
depth.SecurityNameCode = security.NameInRest;
_marketDepths.Add(depth);
}
for (int i = 0; e.DataMessage.Asks != null && i < e.DataMessage.Asks.Length; i++)
{
OsEngine.Entity.MarketDepthLevel ask = new OsEngine.Entity.MarketDepthLevel();
ask.Price = e.DataMessage.Asks[i].Price;
ask.Ask = e.DataMessage.Asks[i].Volume;
for (int i2 = 0; i2 < depth.Asks.Count; i2++)
{
if (depth.Asks[i2].Price == ask.Price)
{
depth.Asks.RemoveAt(i2);
break;
}
}
if (ask.Ask != 0)
{
depth.Asks.Add(ask);
}
depth.Time = new DateTime(1970, 1, 1).AddSeconds(Convert.ToDouble(e.DataMessage.Asks[i].Timestamp));
}
for (int i = 0; e.DataMessage.Bids != null && i < e.DataMessage.Bids.Length; i++)
{
OsEngine.Entity.MarketDepthLevel bid = new OsEngine.Entity.MarketDepthLevel();
bid.Price = e.DataMessage.Bids[i].Price;
bid.Bid = e.DataMessage.Bids[i].Volume;
for (int i2 = 0; i2 < depth.Bids.Count; i2++)
{
if (depth.Bids[i2].Price == bid.Price)
{
depth.Bids.RemoveAt(i2);
break;
}
}
if (bid.Bid != 0)
{
depth.Bids.Add(bid);
}
depth.Time = new DateTime(1970, 1, 1).AddSeconds(Convert.ToDouble(e.DataMessage.Bids[i].Timestamp));
}
// 1 Теперь сортируем биды и аски
for (int i = 0; i < depth.Asks.Count; i++)
{
for (int i2 = 0; i2 < depth.Asks.Count - 1; i2++)
{
if (depth.Asks[i2].Price > depth.Asks[i2 + 1].Price)
{
MarketDepthLevel level = depth.Asks[i2];
depth.Asks[i2] = depth.Asks[i2 + 1];
depth.Asks[i2 + 1] = level;
}
}
}
for (int i = 0; i < depth.Bids.Count; i++)
{
for (int i2 = 0; i2 < depth.Bids.Count - 1; i2++)
{
if (depth.Bids[i2].Price < depth.Bids[i2 + 1].Price)
{
MarketDepthLevel level = depth.Bids[i2];
depth.Bids[i2] = depth.Bids[i2 + 1];
depth.Bids[i2 + 1] = level;
}
}
}
// 2 Теперь удаляем перехлёсты
while (depth.Bids.Count > 0 &&
depth.Asks.Count > 0 &&
depth.Bids[0].Price > depth.Asks[0].Price)
{
depth.Asks.RemoveAt(0);
}
// !!!!!!!!!!!!!!!!!!!!!!
// высылаем копию
if (MarketDepthUpdateEvent != null)
{
MarketDepthUpdateEvent(depth.GetCopy());
}
}
