private void Stream_OnMessageReceived(MessageReceivedEventArgs message)
{
StreamPayload payload = JsonConvert.DeserializeObject <StreamPayload>(message.Data);
if (payload != null &&
payload.Data != null &&
payload.Stream == streamName)
{
MarketDepthData data = JsonConvert.DeserializeObject <MarketDepthData>(payload.Data.ToString());
OnDataReceived?.Invoke(data);
}
}
public override void UpdateMarketData(MarketData marketData)
{
if (marketData.Symbol != null && marketData.Symbol != "")
{
string symbol = ConvertFromDEXSymbol(marketData.Symbol);
string okexHttpUrl = string.Format("https://www.okex.com/api/spot/v3/instruments/{0}/book?size=5", symbol);
string okexJson = HttpGet(okexHttpUrl);
if (okexJson != null && okexJson != "")
{
//parse okex market data
var obj = JsonHelper.DeserializeAnonymousType(okexJson, new { asks = new List <double[]>(), bids = new List <double[]>() });
MarketDepthData depthData = marketData.DepthData;
depthData.Ask[0] = obj.asks[0][0];
depthData.Bid[0] = obj.bids[0][0];
if (depthData.Ask[0] > 0 && depthData.Bid[0] > 0)
{
depthData.Mid = (depthData.Ask[0] + depthData.Bid[0]) / 2;
}
depthData.UpdateTime = DateTime.Now;
}
}
}
public override void UpdateMarketData(MarketData marketData)
{
if (marketData.Symbol != null && marketData.Symbol != "")
{
string symbol = ConvertFromDEXSymbol(marketData.Symbol).Replace("_", "").ToUpper();
string binanceHttpUrl = String.Format("https://api.binance.com/api/v3/depth?symbol={0}&limit=5", symbol);
string binanceJson = HttpGet(binanceHttpUrl);
if (binanceJson != null && binanceJson != "")
{
//parse binance market data
var obj = JsonHelper.DeserializeAnonymousType(binanceJson, new { asks = new List <double[]>(), bids = new List <double[]>() });
MarketDepthData depthData = marketData.DepthData;
depthData.Ask[0] = obj.asks[0][0];
depthData.Bid[0] = obj.bids[0][0];
if (depthData.Ask[0] > 0 && depthData.Bid[0] > 0)
{
depthData.Mid = (depthData.Ask[0] + depthData.Bid[0]) / 2;
}
depthData.UpdateTime = DateTime.Now;
}
}
}