public void StreamLargeAmount_100kIterations_ShouldBeFast()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var orderBook = new CryptoOrderBookL2(pair, source);
source.BufferEnabled = false;
source.LoadSnapshotEnabled = false;
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
source.StreamSnapshot();
var elapsedMs = StreamLevels(pair, source, 100000, 500, 500);
var msg = $"Elapsed time was: {elapsedMs} ms";
_output.WriteLine(msg);
Assert.True(elapsedMs < 7000, msg);
}
public async Task AutoSnapshotReloading_ShouldWorkCorrectly()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot)
{
LoadSnapshotEnabled = true,
BufferInterval = TimeSpan.FromMilliseconds(100)
};
var orderBook = new CryptoOrderBook(pair, source)
{
SnapshotReloadTimeout = TimeSpan.FromMilliseconds(500),
SnapshotReloadEnabled = true
};
await Task.Delay(TimeSpan.FromSeconds(6));
Assert.Equal(pair, source.SnapshotLastPair);
Assert.True(source.SnapshotCalledCount >= 4);
}
public async Task ValidityChecking_ShouldWorkCorrectly()
{
var pair = "BTC/USD";
var data = new []
{
CreateLevel(pair, 480, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 520, 50, CryptoOrderSide.Ask),
};
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
source.BufferInterval = TimeSpan.FromMilliseconds(100);
var orderBookUpdatedCount = 0;
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source)
{
ValidityCheckTimeout = TimeSpan.FromMilliseconds(200),
ValidityCheckEnabled = true,
ValidityCheckLimit = 2
};
orderBook.OrderBookUpdatedStream.Subscribe(x =>
{
orderBookUpdatedCount++;
});
source.StreamSnapshot();
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 500, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 499, 400, CryptoOrderSide.Ask)
));
await Task.Delay(TimeSpan.FromMilliseconds(2000));
Assert.Equal(pair, source.SnapshotLastPair);
Assert.InRange(source.SnapshotCalledCount, 4, 5);
Assert.Equal(2, orderBookUpdatedCount);
}
/// <inheritdoc />
protected override async Task <OrderBookLevelBulk> LoadSnapshotInternal(string pair, int count)
{
BookLevel[] parsed = null;
var pairSafe = (pair ?? string.Empty).Trim().ToUpper();
var countSafe = count > 1000 ? 0 : count;
var result = string.Empty;
try
{
var url = $"/api/v1/orderBook/L2?symbol={pairSafe}&depth={countSafe}";
using (HttpResponseMessage response = await _httpClient.GetAsync(url))
using (HttpContent content = response.Content)
{
result = await content.ReadAsStringAsync();
parsed = JsonConvert.DeserializeObject <BookLevel[]>(result);
if (parsed == null || !parsed.Any())
{
return(null);
}
}
}
catch (Exception e)
{
Log.Debug($"[ORDER BOOK {ExchangeName}] Failed to load orderbook snapshot for pair '{pairSafe}'. " +
$"Error: '{e.Message}'. Content: '{result}'");
return(null);
}
// received snapshot, convert and stream
var levels = ConvertLevels(parsed);
var bulk = new OrderBookLevelBulk(OrderBookAction.Insert, levels, CryptoOrderBookType.L2)
{
ExchangeName = ExchangeName
};
return(bulk);
}
private void HandleBookResponse(BookResponse bookResponse)
{
if (bookResponse.Action == BitmexAction.Undefined)
{
// weird state, do nothing
return;
}
if (bookResponse.Action == BitmexAction.Partial)
{
// received snapshot, convert and stream
var levels = ConvertLevels(bookResponse.Data);
var bulk = new OrderBookLevelBulk(OrderBookAction.Insert, levels, CryptoOrderBookType.L2)
{
ExchangeName = ExchangeName
};
StreamSnapshot(bulk);
return;
}
// received difference, buffer it
BufferData(bookResponse);
}
public void FindLevel_ShouldReturnCorrectValue()
{
var pair1 = "BTC/USD";
var pair2 = "ETH/BTC";
var data1 = GetOrderBookSnapshotMockDataL3(pair1, 500);
var data2 = GetOrderBookSnapshotMockDataL3(pair2, 200);
var data = data2.Concat(data1).ToArray();
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L3);
var source = new OrderBookSourceMock(snapshot);
ICryptoOrderBook orderBook = new CryptoOrderBook(pair1, source);
source.StreamSnapshot();
var bids = orderBook.FindBidLevelsByPrice(0);
var asks = orderBook.FindAskLevelsByPrice(99);
Assert.Equal(1000, orderBook.FindBidLevelByPrice(0)?.Amount);
Assert.Equal(10, bids.Length);
Assert.Equal(3000, orderBook.FindAskLevelByPrice(100)?.Amount);
Assert.Equal(10, asks.Length);
}
public async Task StreamingData_ShouldNotifyOneByOne()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
source.BufferInterval = TimeSpan.FromMilliseconds(10);
var notificationCount = 0;
var changes = new List <IOrderBookChangeInfo>();
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source)
{
DebugEnabled = true
};
orderBook.OrderBookUpdatedStream.Subscribe(x =>
{
notificationCount++;
changes.Add(x);
Thread.Sleep(2000);
});
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 499.4, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 500.2, 400, CryptoOrderSide.Ask)
));
await Task.Delay(50);
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 499.5, 600, CryptoOrderSide.Bid),
CreateLevel(pair, 300.33, 3350, CryptoOrderSide.Bid)
));
await Task.Delay(50);
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 503.1, 3000, CryptoOrderSide.Ask),
CreateLevel(pair, 800.123, 1234, CryptoOrderSide.Ask)
));
await Task.Delay(50);
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 504.1, 3000, CryptoOrderSide.Ask),
CreateLevel(pair, 800.101, 1234, CryptoOrderSide.Ask)
));
await Task.Delay(50);
Assert.Equal(1, notificationCount);
await Task.Delay(2100);
Assert.Equal(2, notificationCount);
var firstChange = changes.First();
var secondChange = changes[1];
Assert.Equal(2, firstChange.Levels.Length);
Assert.Equal(499.4, firstChange.Levels.First().Price);
Assert.Equal(500.2, firstChange.Levels.Last().Price);
Assert.Equal(6, secondChange.Levels.Length);
}
public async Task StreamingData_ShouldNotifyCorrectly()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var notificationCount = 0;
var notificationBidAskCount = 0;
var notificationTopLevelCount = 0;
var amountDifferenceBid = 0.0;
var amountDifferenceAsk = 0.0;
var changes = new List <IOrderBookChangeInfo>();
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source)
{
DebugEnabled = true
};
orderBook.OrderBookUpdatedStream.Subscribe(x =>
{
notificationCount++;
changes.Add(x);
foreach (var bulk in x.Sources)
{
amountDifferenceBid += bulk.Levels.Where(x => x.Side == CryptoOrderSide.Bid).Sum(x => x.AmountDifference);
amountDifferenceAsk += bulk.Levels.Where(x => x.Side == CryptoOrderSide.Ask).Sum(x => x.AmountDifference);
}
});
orderBook.BidAskUpdatedStream.Subscribe(_ => notificationBidAskCount++);
orderBook.TopLevelUpdatedStream.Subscribe(_ => notificationTopLevelCount++);
source.StreamSnapshot();
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 499.4, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 500.2, 400, CryptoOrderSide.Ask)
));
await Task.Delay(50);
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 499.5, 600, CryptoOrderSide.Bid),
CreateLevel(pair, 300.33, 3350, CryptoOrderSide.Bid)
));
await Task.Delay(50);
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 503.1, 3000, CryptoOrderSide.Ask),
CreateLevel(pair, 800.123, 1234, CryptoOrderSide.Ask)
));
await Task.Delay(50);
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 499, 33, CryptoOrderSide.Bid),
CreateLevel(pair, 450, 33, CryptoOrderSide.Bid),
CreateLevel(pair, 501, 32, CryptoOrderSide.Ask),
CreateLevel(pair, 503.1, 32, CryptoOrderSide.Ask),
CreateLevel(pair, 100, null, CryptoOrderSide.Bid),
CreateLevel(pair, 900, null, CryptoOrderSide.Ask)
));
await Task.Delay(50);
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 499.5, 100, CryptoOrderSide.Bid)
));
await Task.Delay(50);
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 499.5, 200, CryptoOrderSide.Bid)
));
await Task.Delay(50);
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 500.2, 22, CryptoOrderSide.Ask)
));
await Task.Delay(50);
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair, 0, CryptoOrderSide.Bid),
CreateLevel(pair, 1, CryptoOrderSide.Bid),
CreateLevel(pair, 1000, CryptoOrderSide.Ask),
CreateLevel(pair, 999, CryptoOrderSide.Ask)
));
await Task.Delay(50);
Assert.Equal(9, notificationCount);
Assert.Equal(3, notificationBidAskCount);
Assert.Equal(6, notificationTopLevelCount);
var firstChange = changes.First();
var secondChange = changes[1];
Assert.Equal(0, firstChange.Levels.First().Price);
Assert.Equal(501, firstChange.Levels.Last().Price);
Assert.Equal(499.4, secondChange.Levels.First().Price);
Assert.Equal(500.2, secondChange.Levels.Last().Price);
Assert.Equal(623466, amountDifferenceBid);
Assert.Equal(1368070, amountDifferenceAsk);
}
public async Task StreamingDiff_TwoPairs_ShouldHandleCorrectly()
{
var pair1 = "BTC/USD";
var pair2 = "ETH/USD";
var data1 = GetOrderBookSnapshotMockData(pair1, 500);
var data2 = GetOrderBookSnapshotMockData(pair2, 200);
var data = data2.Concat(data1).ToArray();
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
ICryptoOrderBook orderBook1 = new CryptoOrderBook(pair1, source)
{
DebugEnabled = true
};
ICryptoOrderBook orderBook2 = new CryptoOrderBook(pair2, source)
{
DebugEnabled = true
};
source.StreamSnapshot();
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair2, 199.4, 50, CryptoOrderSide.Bid),
CreateLevel(pair2, 198.3, 600, CryptoOrderSide.Bid),
CreateLevel(pair2, 50.33, 3350, CryptoOrderSide.Bid),
CreateLevel(pair1, 500.2, 400, CryptoOrderSide.Ask),
CreateLevel(pair1, 503.1, 3000, CryptoOrderSide.Ask),
CreateLevel(pair1, 800.123, 1234, CryptoOrderSide.Ask),
CreateLevel(null, 101.1, null, CryptoOrderSide.Bid),
CreateLevel(null, 901.1, null, CryptoOrderSide.Ask)
));
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair1, 499.4, 50, CryptoOrderSide.Bid),
CreateLevel(pair1, 498.3, 600, CryptoOrderSide.Bid),
CreateLevel(pair1, 300.33, 3350, CryptoOrderSide.Bid),
CreateLevel(pair2, 200.2, 400, CryptoOrderSide.Ask),
CreateLevel(pair2, 203.1, 3000, CryptoOrderSide.Ask),
CreateLevel(pair2, 250.123, 1234, CryptoOrderSide.Ask)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair1, 499, 33, CryptoOrderSide.Bid),
CreateLevel(pair1, 450, 33, CryptoOrderSide.Bid),
CreateLevel(pair1, 501, 32, CryptoOrderSide.Ask),
CreateLevel(pair1, 503.1, 32, CryptoOrderSide.Ask),
CreateLevel(pair1, 100, null, CryptoOrderSide.Bid),
CreateLevel(pair1, 900, null, CryptoOrderSide.Ask)
));
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair1, 0, CryptoOrderSide.Bid),
CreateLevel(pair1, 1, CryptoOrderSide.Bid),
CreateLevel(pair2, 0, CryptoOrderSide.Bid),
CreateLevel(pair2, 1, CryptoOrderSide.Bid)
));
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair2, 400, CryptoOrderSide.Ask),
CreateLevel(pair2, 399, CryptoOrderSide.Ask),
CreateLevel(pair1, 1000, CryptoOrderSide.Ask),
CreateLevel(pair1, 999, CryptoOrderSide.Ask)
));
await Task.Delay(500);
Assert.NotEmpty(orderBook1.BidLevels);
Assert.NotEmpty(orderBook1.AskLevels);
Assert.Equal(501, orderBook1.BidLevels.Length);
Assert.Equal(501, orderBook1.AskLevels.Length);
Assert.Equal(201, orderBook2.BidLevels.Length);
Assert.Equal(201, orderBook2.AskLevels.Length);
Assert.Equal(499.4, orderBook1.BidPrice);
Assert.Equal(500.2, orderBook1.AskPrice);
Assert.Equal(199.4, orderBook2.BidPrice);
Assert.Equal(200.2, orderBook2.AskPrice);
Assert.Equal(33, orderBook1.FindBidLevelByPrice(499)?.Amount);
Assert.Equal(33, orderBook1.FindBidLevelByPrice(450)?.Amount);
Assert.Equal(32, orderBook1.FindAskLevelByPrice(501)?.Amount);
Assert.Equal(32, orderBook1.FindAskLevelByPrice(503.1)?.Amount);
var notCompleteBid = orderBook1.FindBidLevelByPrice(100);
Assert.Equal(CryptoPairsHelper.Clean(pair1), notCompleteBid.Pair);
Assert.Equal(1100, notCompleteBid.Amount);
Assert.Equal(3, notCompleteBid.Count);
var notCompleteAsk = orderBook1.FindAskLevelByPrice(900);
Assert.Equal(CryptoPairsHelper.Clean(pair1), notCompleteAsk.Pair);
Assert.Equal(2900, notCompleteAsk.Amount);
Assert.Equal(3, notCompleteAsk.Count);
Assert.Null(orderBook1.FindBidLevelByPrice(0));
Assert.Null(orderBook1.FindBidLevelByPrice(1));
Assert.Null(orderBook1.FindAskLevelByPrice(1000));
Assert.Null(orderBook1.FindAskLevelByPrice(999));
Assert.Null(orderBook1.FindBidLevelByPrice(101.1));
Assert.Null(orderBook1.FindAskLevelByPrice(901.1));
Assert.Null(orderBook2.FindBidLevelByPrice(101.1));
Assert.Null(orderBook2.FindAskLevelByPrice(901.1));
}
public async Task StreamingDiff_ShouldHandleCorrectly()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source);
source.StreamSnapshot();
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 499.4, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 498.3, 600, CryptoOrderSide.Bid),
CreateLevel(pair, 300.33, 3350, CryptoOrderSide.Bid),
CreateLevel(pair, 500.2, 400, CryptoOrderSide.Ask),
CreateLevel(pair, 503.1, 3000, CryptoOrderSide.Ask),
CreateLevel(pair, 800.123, 1234, CryptoOrderSide.Ask),
CreateLevel(null, 101.1, null, CryptoOrderSide.Bid),
CreateLevel(null, 901.1, null, CryptoOrderSide.Ask)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 499, 33, CryptoOrderSide.Bid),
CreateLevel(pair, 450, 33, CryptoOrderSide.Bid),
CreateLevel(pair, 501, 32, CryptoOrderSide.Ask),
CreateLevel(pair, 503.1, 32, CryptoOrderSide.Ask),
CreateLevel(pair, 100, null, CryptoOrderSide.Bid),
CreateLevel(pair, 900, null, CryptoOrderSide.Ask)
));
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair, 0, CryptoOrderSide.Bid),
CreateLevel(pair, 1, CryptoOrderSide.Bid),
CreateLevel(pair, 1000, CryptoOrderSide.Ask),
CreateLevel(pair, 999, CryptoOrderSide.Ask)
));
await Task.Delay(500);
Assert.NotEmpty(orderBook.BidLevels);
Assert.NotEmpty(orderBook.AskLevels);
Assert.Equal(501, orderBook.BidLevels.Length);
Assert.Equal(501, orderBook.AskLevels.Length);
Assert.Equal(499.4, orderBook.BidPrice);
Assert.Equal(500.2, orderBook.AskPrice);
Assert.Equal(33, orderBook.FindBidLevelByPrice(499)?.Amount);
Assert.Equal(33, orderBook.FindBidLevelByPrice(450)?.Amount);
Assert.Equal(32, orderBook.FindAskLevelByPrice(501)?.Amount);
Assert.Equal(32, orderBook.FindAskLevelByPrice(503.1)?.Amount);
var notCompleteBid = orderBook.FindBidLevelByPrice(100);
Assert.Equal(CryptoPairsHelper.Clean(pair), notCompleteBid.Pair);
Assert.Equal(1100, notCompleteBid.Amount);
Assert.Equal(3, notCompleteBid.Count);
var notCompleteAsk = orderBook.FindAskLevelByPrice(900);
Assert.Equal(CryptoPairsHelper.Clean(pair), notCompleteAsk.Pair);
Assert.Equal(2900, notCompleteAsk.Amount);
Assert.Equal(3, notCompleteAsk.Count);
Assert.Null(orderBook.FindBidLevelByPrice(0));
Assert.Null(orderBook.FindBidLevelByPrice(1));
Assert.Null(orderBook.FindAskLevelByPrice(1000));
Assert.Null(orderBook.FindAskLevelByPrice(999));
Assert.Null(orderBook.FindBidLevelByPrice(101.1));
Assert.Null(orderBook.FindAskLevelByPrice(901.1));
}
public void StreamingSnapshot_DifferentPairsSeparately_ShouldHandleCorrectly()
{
var pair1 = "BTC/USD";
var pair2 = "ETH/BTC";
var data1 = GetOrderBookSnapshotMockData(pair1, 500);
var data2 = GetOrderBookSnapshotMockData(pair2, 200);
var now = CryptoDateUtils.ConvertFromUnixSeconds(1577575307.123451);
var snapshot1 = new OrderBookLevelBulk(OrderBookAction.Insert, data1, CryptoOrderBookType.L2)
{
ExchangeName = "test",
ServerSequence = 4,
ServerTimestamp = now.AddMilliseconds(1)
};
var snapshot2 = new OrderBookLevelBulk(OrderBookAction.Insert, data2, CryptoOrderBookType.L2)
{
ExchangeName = "test",
ServerSequence = 5,
ServerTimestamp = now.AddMilliseconds(2)
};
var source = new OrderBookSourceMock();
ICryptoOrderBook orderBook1 = new CryptoOrderBook(pair1, source);
ICryptoOrderBook orderBook2 = new CryptoOrderBook(pair2, source);
orderBook1.OrderBookUpdatedStream.Subscribe(x =>
{
Assert.Equal("test", x.ExchangeName);
Assert.Equal(4, x.ServerSequence);
Assert.Equal("1577575307.124451", x.ServerTimestamp.ToUnixSecondsString());
});
orderBook2.OrderBookUpdatedStream.Subscribe(x =>
{
Assert.Equal("test", x.ExchangeName);
Assert.Equal(5, x.ServerSequence);
Assert.Equal("1577575307.125451", x.ServerTimestamp.ToUnixSecondsString());
});
source.StreamSnapshotRaw(snapshot1);
source.StreamSnapshotRaw(snapshot2);
Assert.Equal(500, orderBook1.BidLevels.Length);
Assert.Equal(500, orderBook1.AskLevels.Length);
Assert.Equal(200, orderBook2.BidLevels.Length);
Assert.Equal(200, orderBook2.AskLevels.Length);
Assert.Equal(499, orderBook1.BidLevels.First().Price);
Assert.Equal(1499, orderBook1.BidLevels.First().Amount);
Assert.Equal(199, orderBook2.BidLevels.First().Price);
Assert.Equal(599, orderBook2.BidLevels.First().Amount);
Assert.Equal(501, orderBook1.AskLevels.First().Price);
Assert.Equal(2501, orderBook1.AskLevels.First().Amount);
Assert.Equal(201, orderBook2.AskLevels.First().Price);
Assert.Equal(1001, orderBook2.AskLevels.First().Amount);
var levels = orderBook1.Levels;
foreach (var level in levels)
{
Assert.Equal(CryptoPairsHelper.Clean(pair1), level.Pair);
}
}
public void StreamingData_ShouldComputeIndexesCorrectly()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
source.BufferEnabled = false;
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source)
{
DebugEnabled = true
};
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
orderBook.IgnoreDiffsBeforeSnapshot = false;
orderBook.IsIndexComputationEnabled = true;
var updatedBidLevels = new List <OrderBookLevel>();
var updatedAskLevels = new List <OrderBookLevel>();
orderBook.OrderBookUpdatedStream.Subscribe(x =>
{
foreach (var bulk in x.Sources)
{
var bidLevels = bulk.Levels.Where(x => x.Side == CryptoOrderSide.Bid).ToArray();
var askLevels = bulk.Levels.Where(x => x.Side == CryptoOrderSide.Ask).ToArray();
updatedBidLevels.AddRange(bidLevels);
updatedAskLevels.AddRange(askLevels);
}
});
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 100, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 101, 500, CryptoOrderSide.Ask)
));
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 99, 10, CryptoOrderSide.Bid),
CreateLevel(pair, 98, 20, CryptoOrderSide.Bid)
));
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 102, 100, CryptoOrderSide.Ask),
CreateLevel(pair, 103, 200, CryptoOrderSide.Ask)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 100, 25, CryptoOrderSide.Bid),
CreateLevel(pair, 99, 5, CryptoOrderSide.Bid),
CreateLevel(pair, 101, 250, CryptoOrderSide.Ask),
CreateLevel(pair, 103, 100, CryptoOrderSide.Ask),
CreateLevel(pair, 100, null, CryptoOrderSide.Bid),
CreateLevel(pair, 102, null, CryptoOrderSide.Ask)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 98, 10, CryptoOrderSide.Bid)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 99, 10, CryptoOrderSide.Bid)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 103, 400, CryptoOrderSide.Ask)
));
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair, 98, CryptoOrderSide.Bid),
CreateLevel(pair, 102, CryptoOrderSide.Ask),
CreateLevel(pair, 103, CryptoOrderSide.Ask)
));
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair, 100, CryptoOrderSide.Bid)
));
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair, 99, CryptoOrderSide.Bid)
));
Assert.Equal(0, updatedBidLevels[0].Index);
Assert.Equal(1, updatedBidLevels[1].Index);
Assert.Equal(2, updatedBidLevels[2].Index);
Assert.Equal(0, updatedBidLevels[3].Index);
Assert.Equal(1, updatedBidLevels[4].Index);
Assert.Equal(0, updatedBidLevels[5].Index);
Assert.Equal(2, updatedBidLevels[6].Index);
Assert.Equal(1, updatedBidLevels[7].Index);
Assert.Equal(2, updatedBidLevels[8].Index);
Assert.Equal(0, updatedBidLevels[9].Index);
Assert.Equal(0, updatedBidLevels[10].Index);
Assert.Equal(0, updatedAskLevels[0].Index);
Assert.Equal(1, updatedAskLevels[1].Index);
Assert.Equal(2, updatedAskLevels[2].Index);
Assert.Equal(0, updatedAskLevels[3].Index);
Assert.Equal(2, updatedAskLevels[4].Index);
Assert.Equal(1, updatedAskLevels[5].Index);
Assert.Equal(2, updatedAskLevels[6].Index);
Assert.Equal(1, updatedAskLevels[7].Index);
Assert.Equal(2, updatedAskLevels[8].Index);
}
public void StreamBulk(OrderBookLevelBulk bulk)
{
BufferData(bulk);
}
public void InvalidBidAsk_ShouldBePreserved()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
source.BufferEnabled = false;
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source)
{
DebugEnabled = true
};
orderBook.IgnoreDiffsBeforeSnapshot = false;
var changesTopLevel = new List <IOrderBookChangeInfo>();
orderBook.BidAskUpdatedStream.Subscribe(x => changesTopLevel.Add(x));
var changes = new List <IOrderBookChangeInfo>();
orderBook.OrderBookUpdatedStream.Subscribe(x => changes.Add(x));
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 100, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 200, 400, CryptoOrderSide.Ask),
CreateLevel(pair, 300, 600, CryptoOrderSide.Ask)
));
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 205, 60, CryptoOrderSide.Bid),
CreateLevel(pair, 211, 333, CryptoOrderSide.Bid)
));
Assert.Equal(211, orderBook.BidPrice);
Assert.Equal(333, orderBook.BidAmount);
Assert.Equal(200, orderBook.AskPrice);
Assert.Equal(400, orderBook.AskAmount);
Assert.False(orderBook.IsValid());
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair, 200, CryptoOrderSide.Ask)
));
Assert.Equal(211, orderBook.BidPrice);
Assert.Equal(333, orderBook.BidAmount);
Assert.Equal(300, orderBook.AskPrice);
Assert.Equal(600, orderBook.AskAmount);
Assert.True(orderBook.IsValid());
Assert.Equal(3, changesTopLevel.Count);
Assert.True(changesTopLevel[0].Quotes.IsValid());
Assert.False(changesTopLevel[1].Quotes.IsValid());
Assert.True(changesTopLevel[2].Quotes.IsValid());
Assert.Equal(3, changes.Count);
Assert.True(changes[0].Quotes.IsValid());
Assert.False(changes[1].Quotes.IsValid());
Assert.True(changes[2].Quotes.IsValid());
}
public MockSource(OrderBookLevelBulk snapshot, OrderBookLevelBulk[] bulks)
{
_snapshot = snapshot;
_bulks = bulks;
}
private MockSource GetMock(OrderBookLevelBulk snapshot, OrderBookLevelBulk[] bulks)
{
return(new MockSource(snapshot, bulks));
}
public async Task Buffering_ShouldBeEnabledByDefault_StreamDataAfterSomeTime()
{
var now = CryptoDateUtils.ConvertFromUnixSeconds(1577575307.123451);
var snapshotLevels = new[]
{
new OrderBookLevel("1", CryptoOrderSide.Bid, 100, 5, 1, "BTCUSD"),
new OrderBookLevel("2", CryptoOrderSide.Ask, 101, 50, 2, "BTCUSD"),
};
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, snapshotLevels, CryptoOrderBookType.L2)
{
ServerSequence = 3,
ServerTimestamp = now,
ExchangeName = "test"
};
var bulks = new[]
{
new OrderBookLevelBulk(OrderBookAction.Update, snapshotLevels, CryptoOrderBookType.L2)
{
ServerSequence = 4,
ServerTimestamp = now.AddMilliseconds(1),
ExchangeName = "test"
},
new OrderBookLevelBulk(OrderBookAction.Delete, snapshotLevels, CryptoOrderBookType.L2)
{
ServerSequence = 5,
ServerTimestamp = now.AddMilliseconds(2),
ExchangeName = "test"
}
};
var source = GetMock(snapshot, bulks);
source.BufferInterval = TimeSpan.FromMilliseconds(100);
OrderBookLevelBulk receivedSnapshot = null;
OrderBookLevelBulk[] receivedBulks = null;
source.OrderBookSnapshotStream.Subscribe(x => receivedSnapshot = x);
source.OrderBookStream.Subscribe(x => receivedBulks = x);
await source.LoadSnapshot("BTCUSD");
source.StreamData();
Assert.NotNull(receivedSnapshot);
Assert.Equal("test", receivedSnapshot.ExchangeName);
Assert.Equal(3, receivedSnapshot.ServerSequence);
Assert.Equal(now, receivedSnapshot.ServerTimestamp);
Assert.Null(receivedBulks);
await Task.Delay(500);
Assert.NotNull(receivedSnapshot);
Assert.NotNull(receivedBulks);
Assert.Equal("test", receivedBulks[1].ExchangeName);
Assert.Equal(5, receivedBulks[1].ServerSequence);
Assert.Equal("1577575307.125451", receivedBulks[1].ServerTimestamp.ToUnixSecondsString());
}
public async Task Buffering_ShouldStreamOneByOne()
{
var now = CryptoDateUtils.ConvertFromUnixSeconds(1577575307.123456);
var snapshotLevels = new[]
{
new OrderBookLevel("1", CryptoOrderSide.Bid, 100, 5, 1, "BTCUSD"),
new OrderBookLevel("2", CryptoOrderSide.Ask, 101, 50, 2, "BTCUSD"),
};
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, snapshotLevels, CryptoOrderBookType.L2)
{
ServerSequence = 3,
ServerTimestamp = now,
ExchangeName = "test"
};
var bulks = new[]
{
new OrderBookLevelBulk(OrderBookAction.Update, snapshotLevels, CryptoOrderBookType.L2)
{
ServerSequence = 4,
ServerTimestamp = now.AddMilliseconds(1),
ExchangeName = "test"
},
new OrderBookLevelBulk(OrderBookAction.Delete, snapshotLevels, CryptoOrderBookType.L2)
{
ServerSequence = 5,
ServerTimestamp = now.AddMilliseconds(2),
ExchangeName = "test"
}
};
var source = GetMock(snapshot, bulks);
source.BufferInterval = TimeSpan.FromMilliseconds(50);
OrderBookLevelBulk receivedSnapshot = null;
OrderBookLevelBulk[] receivedBulks = null;
var receivedCount = 0;
source.OrderBookSnapshotStream.Subscribe(x => receivedSnapshot = x);
source.OrderBookStream.Subscribe(x =>
{
receivedBulks = x;
receivedCount++;
Thread.Sleep(2000);
});
await source.LoadSnapshot("BTCUSD");
source.StreamData();
Assert.NotNull(receivedSnapshot);
Assert.Null(receivedBulks);
Assert.Equal(0, receivedCount);
await Task.Delay(100);
Assert.NotNull(receivedSnapshot);
Assert.NotNull(receivedBulks);
Assert.Equal(1, receivedCount);
source.StreamData();
source.StreamData();
await Task.Delay(100);
Assert.Equal(1, receivedCount);
source.StreamData();
await Task.Delay(2200);
Assert.Equal(2, receivedCount);
}
private void FillBulk(ResponseBase response, OrderBookLevelBulk bulk)
{
bulk.ExchangeName = ExchangeName;
bulk.ServerSequence = response.Sequence;
bulk.ServerTimestamp = response.Time;
}
public OrderBookSourceMock(OrderBookLevelBulk snapshot)
{
BufferInterval = TimeSpan.FromMilliseconds(10);
_snapshot = snapshot;
}
public void StreamSnapshotRaw(OrderBookLevelBulk snapshot)
{
StreamSnapshot(snapshot);
}
public void StreamingData_ShouldComputeDifferenceCorrectly()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
source.BufferEnabled = false;
var amountDifferenceBid = 0.0;
var amountDifferenceAsk = 0.0;
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source)
{
DebugEnabled = true
};
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
orderBook.IgnoreDiffsBeforeSnapshot = false;
orderBook.OrderBookUpdatedStream.Subscribe(x =>
{
foreach (var bulk in x.Sources)
{
amountDifferenceBid += bulk.Levels.Where(x => x.Side == CryptoOrderSide.Bid).Sum(x => x.AmountDifference);
amountDifferenceAsk += bulk.Levels.Where(x => x.Side == CryptoOrderSide.Ask).Sum(x => x.AmountDifference);
}
});
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 100, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 101, 500, CryptoOrderSide.Ask)
));
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 99, 10, CryptoOrderSide.Bid),
CreateLevel(pair, 98, 20, CryptoOrderSide.Bid)
));
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 102, 100, CryptoOrderSide.Ask),
CreateLevel(pair, 103, 200, CryptoOrderSide.Ask)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 100, 25, CryptoOrderSide.Bid),
CreateLevel(pair, 99, 5, CryptoOrderSide.Bid),
CreateLevel(pair, 101, 250, CryptoOrderSide.Ask),
CreateLevel(pair, 103, 100, CryptoOrderSide.Ask),
CreateLevel(pair, 100, null, CryptoOrderSide.Bid),
CreateLevel(pair, 102, null, CryptoOrderSide.Ask)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 98, 10, CryptoOrderSide.Bid)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 99, 10, CryptoOrderSide.Bid)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 103, 400, CryptoOrderSide.Ask)
));
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair, 98, CryptoOrderSide.Bid),
CreateLevel(pair, 102, CryptoOrderSide.Ask),
CreateLevel(pair, 103, CryptoOrderSide.Ask)
));
Assert.Equal(35, amountDifferenceBid);
Assert.Equal(250, amountDifferenceAsk);
}
public void UpdateDeleteComplex_ShouldConstructCorrectOrderBook()
{
var pair1 = "BTC/USD";
var data = GetOrderBookSnapshotMockDataL3(pair1, 200);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L3);
var source = new OrderBookSourceMock(snapshot);
source.BufferEnabled = false;
var orderBook = new CryptoOrderBook(pair1, source);
orderBook.IgnoreDiffsBeforeSnapshot = true;
source.StreamBulk(
GetInsertBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 100.111, 0.123, CryptoOrderSide.Ask, null, "ASK1"))
);
Assert.Equal(0, orderBook.BidPrice);
Assert.Equal(0, orderBook.BidAmount);
Assert.Equal(0, orderBook.AskPrice);
Assert.Equal(0, orderBook.AskAmount);
source.StreamSnapshot();
Assert.Equal(19, orderBook.BidPrice);
Assert.Equal(590, orderBook.BidAmount);
Assert.Equal(20, orderBook.AskPrice);
Assert.Equal(1009, orderBook.AskAmount);
var asks = orderBook.FindAskLevelsByPrice(20);
var levelsToDelete = asks
.Select(x => CreateLevel(x.Pair, null, x.Side, x.Id))
.ToArray();
source.StreamBulk(
GetDeleteBulk(CryptoOrderBookType.L3, levelsToDelete)
);
source.StreamBulk(
GetUpdateBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 20, 0.123, CryptoOrderSide.Bid, null, "BID1"))
);
Assert.Equal(20, orderBook.BidPrice);
Assert.Equal(0.123, orderBook.BidAmount);
Assert.Equal(21, orderBook.AskPrice);
Assert.Equal(1019, orderBook.AskAmount);
var bids = orderBook.BidLevelsPerPrice;
foreach (var bidLevel in bids[19])
{
source.StreamBulk(
GetDeleteBulk(CryptoOrderBookType.L3, CreateLevel(pair1, bidLevel.Price, bidLevel.Amount, bidLevel.Side, null, bidLevel.Id))
);
}
source.StreamBulk(
GetDeleteBulk(CryptoOrderBookType.L3, CreateLevel(pair1, null, CryptoOrderSide.Bid, "BID1"))
);
Assert.Equal(18, orderBook.BidPrice);
Assert.Equal(580, orderBook.BidAmount);
Assert.Equal(21, orderBook.AskPrice);
Assert.Equal(1019, orderBook.AskAmount);
}
