public async Task <DepthResponse> GetOrderBookAsync(DepthRequest request)
{
if (String.IsNullOrEmpty(request.Pair))
{
throw new ArgumentNullException(nameof(request.Pair));
}
var content = await CallAsync <ResponseModel>(HttpMethod.Get, BuildUrl(_settings.PublicUrl, $"open/orders?symbol={request.Pair}&limit={request.Limit}"));
dynamic data = content.Data;
var asks = ((IEnumerable <dynamic>)data.BUY).Take(request.Limit).Select(x => new OrderInBookResult {
Rate = x[0], Volume = x[1]
}).Where(x => x.Rate > 0);
var bids = ((IEnumerable <dynamic>)data.SELL).Take(request.Limit).Select(x => new OrderInBookResult {
Rate = x[0], Volume = x[1]
}).Where(x => x.Rate > 0);
if (!asks.Any() || !bids.Any())
{
return(new DepthResponse());
}
if (asks.Count() < bids.Count())
{
bids = bids.Take(asks.Count());
}
else if (asks.Count() > bids.Count())
{
asks = asks.Take(bids.Count());
}
return(new DepthResponse(asks.ToList(), bids.ToList()));
}
public async Task <DepthResponse> GetOrderBookAsync(DepthRequest request)
{
if (String.IsNullOrEmpty(request.Pair))
{
throw new ArgumentNullException(nameof(request.Pair));
}
var content = await CallAsync <dynamic>(HttpMethod.Get, BuildUrl(_settings.PublicUrl, $"market/depth?symbol={request.Pair}&type=step1"));
var asks = ((IEnumerable <dynamic>)content.tick.asks).Take(request.Limit).Select(x => new OrderInBookResult {
Rate = x[0], Volume = x[1]
}).Where(x => x.Rate > 0);
var bids = ((IEnumerable <dynamic>)content.tick.bids).Take(request.Limit).Select(x => new OrderInBookResult {
Rate = x[0], Volume = x[1]
}).Where(x => x.Rate > 0);
if (!asks.Any() || !bids.Any())
{
return(new DepthResponse());
}
if (asks.Count() < bids.Count())
{
bids = bids.Take(asks.Count());
}
else if (asks.Count() > bids.Count())
{
asks = asks.Take(bids.Count());
}
return(new DepthResponse(asks.ToList(), bids.ToList()));
}
public void SendFuturesContractSubscribeMessage(List <OrderContract> contracts, int marketNumber, string userName)
{
DepthRequest depthRequest = new DepthRequest();
OrderContract[] orders = new OrderContract[40];
int index = 0;
foreach (var contract in contracts)
{
if (contract.CallPut == 'P' || contract.CallPut == 'C')
{
continue;
}
orders[index] = contract;
depthRequest.AddContract(contract);
if (index == 39)
{
connection.Send(MessageType.MESSAGE_99_FUTURES_SCREEN_OPEN, userName, depthRequest);
depthRequest = new DepthRequest();
orders = new OrderContract[40];
index = -1;
}
index++;
}
if (index > 0)
{
connection.Send(MessageType.MESSAGE_99_FUTURES_SCREEN_OPEN, userName, depthRequest);
}
}
public void SendFuturesContractUnsubscribeAll(string userName)
{
DepthRequest depthRequest = new DepthRequest();
depthRequest.ContractsRequested = 1;
connection.Send(MessageType.MESSAGE_42_FUTURES_SCREEN_CLOSE, userName, depthRequest);
}
public async Task <Depth> GetDepth(string pair, int limit = 100)
{
DepthRequest req = new DepthRequest()
{
Symbol = pair, Limit = limit
};
var resp = await _connecter.PublicRequest(req);
return(JsonConvert.DeserializeObject <Depth>(resp.Content, new CustomDepthConverter()));
}
public async Task <DepthResponse> GetOrderBookAsync(DepthRequest request)
{
if (String.IsNullOrEmpty(request.Pair))
{
throw new ArgumentNullException(nameof(request.Pair));
}
if (request.Limit < 0)
{
throw new ArgumentOutOfRangeException(nameof(request.Limit));
}
var content = await CallAsync <dynamic>(HttpMethod.Get, BuildUrl(_settings.PublicUrl, $"orderBook/L2?symbol={request.Pair}&depth={request.Limit}"));
var asks = new List <OrderInBookResult>();
var bids = new List <OrderInBookResult>();
foreach (dynamic item in content)
{
var side = Enums.Parse <TradeType>((string)item.side, true);
if (side == TradeType.Buy)
{
asks.Add(new OrderInBookResult {
Rate = item.price, Volume = item.size
});
}
else
{
bids.Add(new OrderInBookResult {
Rate = item.price, Volume = item.size
});
}
}
return(new DepthResponse(asks, bids));
}
