internal List <OrderBookEntry> Convert(Binance.WsDepth depth, SymbolInformation si)
{
return(depth.asks.Select(y => new OrderBookEntry(si)
{
Price = Math.Round(decimal.Parse(y[0]), si.PriceDecimals),
Quantity = Math.Round(decimal.Parse(y[1]), si.QuantityDecimals),
Side = TradeSide.Sell
}).Reverse().Concat(depth.bids.Select(y => new OrderBookEntry(si)
{
Price = Math.Round(decimal.Parse(y[0]), si.PriceDecimals),
Quantity = Math.Round(decimal.Parse(y[1]), si.QuantityDecimals),
Side = TradeSide.Buy
})
).ToList());
}
private IEnumerable <OrderBookEntry> ConvertDepth(Binance.WsDepth depth)
{
return(depth.bids.Select(y => new OrderBookEntry()
{
Price = decimal.Parse(y[0]),
Quantity = decimal.Parse(y[1]),
Side = TradeSide.Buy
}).Concat(depth.asks.Select(y => new OrderBookEntry()
{
Price = decimal.Parse(y[0]),
Quantity = decimal.Parse(y[1]),
Side = TradeSide.Sell
})
));
}
private IEnumerable <OrderBookEntry> OnOrderBook3(Binance.WsDepth depth)
{
Debug.Print($"OnOrderBook3() : {System.Threading.Thread.CurrentThread.ManagedThreadId}");
try
{
_lock.Wait();
if (OrderBook.lastUpdateId == 0)
{
var result = client.GetDepthAsync(depth.symbol, OrderBookMaxItemCount).Result;
if (result.Success)
{
var tmp = Convert(result.Data, OrderBook.SymbolInformation);
OrderBook.lastUpdateId = result.Data.lastUpdateId;
return(tmp);
//Debug.Print($"{lastUpdateId}");
}
}
if (depth.finalUpdateId <= OrderBook.lastUpdateId)
{
Debug.Print($"{depth.firstUpdateId} : {depth.finalUpdateId} dropped");
}
else if (depth.firstUpdateId <= OrderBook.lastUpdateId + 1 && depth.finalUpdateId >= OrderBook.lastUpdateId + 1)
{
var sw = Stopwatch.StartNew();
var bookUpdates = Convert(depth, OrderBook.SymbolInformation);
OrderBook.lastUpdateId = depth.finalUpdateId;
Debug.Print($"Update {OrderBook.lastUpdateId} took {sw.ElapsedMilliseconds}ms.");
return(bookUpdates);
}
else
{
Debug.Print($"{depth.firstUpdateId} : {depth.finalUpdateId} dropped");
}
return(Enumerable.Empty <OrderBookEntry>());
}
finally
{
_lock.Release();
}
}
private async void OnOrderBook2(Binance.WsDepth depth)
{
try
{
await _lock.WaitAsync();
if ((orderBook.Asks.IsEmpty && orderBook.Bids.IsEmpty) || (orderBook.MergeDecimals != (int)cmbMergeDecimals.SelectedValue))
{
var result = await client.GetDepthAsync(depth.symbol, (int)cmbBookSize.SelectedValue);
if (result.Success)
{
var tmp = Convert(result.Data, si);
orderBook.Asks.AddRange(tmp.Where(x => x.Side == TradeSide.Sell));
orderBook.Bids.AddRange(tmp.Where(x => x.Side == TradeSide.Buy));
lastUpdateId = result.Data.lastUpdateId;
//Debug.Print($"{lastUpdateId}");
}
}
if (depth.finalUpdateId <= lastUpdateId)
{
//Debug.Print($"{depth.firstUpdateId} : {depth.finalUpdateId} dropped");
return;
}
if (depth.firstUpdateId <= lastUpdateId + 1 && depth.finalUpdateId >= lastUpdateId + 1)
{
var sw = Stopwatch.StartNew();
var bookUpdates = Convert(depth, si);
foreach (var e in bookUpdates)
{
//Debug.Print($"Got {e.Price} : {e.Quantity}.");
if (e.Quantity == decimal.Zero)
{
orderBook.Asks.RemoveAll(orderBook.Asks.Where(x => x.Price == e.Price).ToList());
orderBook.Bids.RemoveAll(orderBook.Bids.Where(x => x.Price == e.Price).ToList());
}
else
{
// add or update
var bidsOrAsks = e.Side == TradeSide.Buy ? orderBook.Bids : orderBook.Asks;
var item = bidsOrAsks.LastOrDefault(x => e.Price <= x.Price);
if (item != null)
{
if (e.Price == item.Price)
{
item.Quantity = e.Quantity;
}
else
{
var idx = bidsOrAsks.IndexOf(item);
bidsOrAsks.Insert(idx + 1, e);
}
}
else
{
if (e.Side == TradeSide.Sell)
{
orderBook.Asks.Insert(0, e);
}
else
{
orderBook.Bids.Insert(0, e);
}
}
}
}
lastUpdateId = depth.finalUpdateId;
Debug.Print($"Update {lastUpdateId} took {sw.ElapsedMilliseconds}ms.");
//if (true)
//{
// // remove items which are out of size
// var item = orderBook.FirstOrDefault(x => x.Side == TradeSide.Buy);
// var idx = orderBook.IndexOf(item);
// var count = (int)cmbBookSize.SelectedValue;
// var askCount = idx > count ? count : idx;
// var bidCount = count;
// orderBookCopy.Clear();
// orderBookCopy.AddRange(orderBook.Skip(idx - askCount).Take(askCount + bidCount));
//}
}
else
{
//Debug.Print($"{depth.firstUpdateId} : {depth.finalUpdateId} dropped");
}
}
finally
{
_lock.Release();
}
}
private async void OnOrderBook(Binance.WsDepth depth)
{
try
{
await _lock.WaitAsync();
if (orderBook2.IsEmpty)
{
var result = await client.GetDepthAsync(depth.symbol, 1000);
if (result.Success)
{
orderBook2.AddRange(Convert(result.Data, si));
lastUpdateId = result.Data.lastUpdateId;
//Debug.Print($"{lastUpdateId}");
}
}
if (depth.finalUpdateId <= lastUpdateId)
{
//Debug.Print($"{depth.firstUpdateId} : {depth.finalUpdateId} dropped");
return;
}
if (depth.firstUpdateId <= lastUpdateId + 1 && depth.finalUpdateId >= lastUpdateId + 1)
{
var sw = Stopwatch.StartNew();
var bookUpdates = Convert(depth, si);
foreach (var e in bookUpdates)
{
if (e.Quantity == decimal.Zero)
{
orderBook2.RemoveAll(orderBook2.Where(x => x.Price == e.Price).ToList());
}
else
{
// add or update
var item = orderBook2.LastOrDefault(x => e.Side == x.Side && e.Price <= x.Price);
if (item != null)
{
if (e.Price == item.Price)
{
item.Quantity = e.Quantity;
}
else
{
var idx = orderBook2.IndexOf(item);
orderBook2.Insert(idx + 1, e);
//Debug.Print($"Inserting {e.Price} after {item.Price}");
}
}
else
{
if (e.Side == TradeSide.Sell)
{
orderBook2.Insert(0, e);
}
else
{
item = orderBook2.FirstOrDefault(x => x.Side == e.Side);
var idx = orderBook2.IndexOf(item);
orderBook2.Insert(idx, e);
//Debug.Print($"Inserting {e.Price} before {item.Price}");
}
}
}
}
{
// remove items which are out of size
var item = orderBook2.FirstOrDefault(x => x.Side == TradeSide.Buy);
var idx = orderBook2.IndexOf(item);
if (false)
{
var count = (int)cmbBookSize.SelectedValue;
while (idx + count < orderBook2.Count)
{
orderBook2.Remove(orderBook2.Last());
}
while (idx-- > count)
{
orderBook2.Remove(orderBook2.First());
}
}
// calculate agg. totals
decimal aggTotal = decimal.Zero;
for (var i = idx; i < orderBook2.Count; ++i)
{
aggTotal += orderBook2[i].Total;
orderBook2[i].TotalCumulative = aggTotal;
}
aggTotal = 0;
for (var i = idx - 1; i >= 0; --i)
{
aggTotal += orderBook2[i].Total;
orderBook2[i].TotalCumulative = aggTotal;
}
}
lastUpdateId = depth.finalUpdateId;
Debug.Print($"Update {lastUpdateId} took {sw.ElapsedMilliseconds}ms.");
//if (true)
//{
// // remove items which are out of size
// var item = orderBook.FirstOrDefault(x => x.Side == TradeSide.Buy);
// var idx = orderBook.IndexOf(item);
// var count = (int)cmbBookSize.SelectedValue;
// var askCount = idx > count ? count : idx;
// var bidCount = count;
// orderBookCopy.Clear();
// orderBookCopy.AddRange(orderBook.Skip(idx - askCount).Take(askCount + bidCount));
//}
}
else
{
//Debug.Print($"{depth.firstUpdateId} : {depth.finalUpdateId} dropped");
}
}
finally
{
_lock.Release();
}
}
