public virtual void StopListenTickerStream(Ticker ticker)
{
SubscribedTickers.Remove(ticker);
SocketConnectionInfo info = GetConnectionInfo(ticker, OrderBookSockets);
if (info != null)
{
info.Socket.Error -= OnOrderBookSocketError;
info.Socket.Opened -= OnOrderBookSocketOpened;
info.Socket.Closed -= OnOrderBookSocketClosed;
info.Socket.MessageReceived -= OnOrderBookSocketMessageReceived;
info.Close();
info.Dispose();
OrderBookSockets.Remove(info.Socket);
}
info = GetConnectionInfo(ticker, TradeHistorySockets);
if (info != null)
{
info.Socket.Error -= OnTradeHistorySocketError;
info.Socket.Opened -= OnTradeHistorySocketOpened;
info.Socket.Closed -= OnTradeHistorySocketClosed;
info.Socket.MessageReceived -= OnTradeHistorySocketMessageReceived;
info.Close();
info.Dispose();
TradeHistorySockets.Remove(info.Socket);
}
}
public override void StartListenTickerStream(Ticker ticker)
{
base.StartListenTickerStream(ticker);
SocketConnectionInfo info = CreateOrderBookWebSocket(ticker);
OrderBookSockets.Add(info.Socket, info);
}
protected internal override void ApplyCapturedEvent(Ticker ticker, TickerCaptureDataInfo info)
{
if (info.StreamType == CaptureStreamType.OrderBook)
{
OnOrderBookSocketMessageReceived(OrderBookSockets.FirstOrDefault(s => s.Ticker == ticker).Socket, new MessageReceivedEventArgs(info.Message));
}
else if (info.StreamType == CaptureStreamType.TradeHistory)
{
OnTradeHistorySocketMessageReceived(TradeHistorySockets.FirstOrDefault(s => s.Ticker == ticker).Socket, new MessageReceivedEventArgs(info.Message));
}
}
protected internal override void OnOrderBookSocketError(object sender, ErrorEventArgs e)
{
SocketConnectionInfo info = OrderBookSockets.FirstOrDefault(c => c.Key == sender);
if (info != null)
{
info.Ticker.OrderBook.IsDirty = true;
if (CheckProcessError(info))
{
return;
}
}
base.OnOrderBookSocketError(sender, e);
}
protected internal override void OnOrderBookSocketMessageReceived(object sender, MessageReceivedEventArgs e)
{
base.OnOrderBookSocketMessageReceived(sender, e);
LastWebSocketRecvTime = DateTime.Now;
SocketConnectionInfo info = OrderBookSockets.FirstOrDefault(c => c.Key == sender);
if (info == null)
{
return;
}
Ticker t = info.Ticker;
if (t.CaptureData)
{
t.CaptureDataCore(CaptureStreamType.OrderBook, CaptureMessageType.Incremental, e.Message);
}
const string incrementalUpdateStartString = "{\"table\":\"orderBookL2\",\"action\":\"";
if (e.Message.StartsWith(incrementalUpdateStartString))
{
int index = incrementalUpdateStartString.Length;
if (e.Message[index] == 'u') // update
{
index = e.Message.IndexOf("[{");
List <string[]> jsItems = JSonHelper.Default.DeserializeArrayOfObjects(Encoding.ASCII.GetBytes(e.Message), ref index, UpdateItems);
foreach (string[] item in jsItems)
{
OrderBookEntryType entryType = item[2][0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
t.OrderBook.ApplyIncrementalUpdate(entryType, OrderBookUpdateType.Modify, FastValueConverter.ConvertPositiveLong(item[1]), null, item[3]);
}
return;
}
//else if(e.Message[index] == 'i') { // insert
// index = e.Message.IndexOf("[{");
// List<string[]> jsItems = JSonHelper.Default.DeserializeArrayOfObjects(Encoding.ASCII.GetBytes(e.Message), ref index, InsertItems);
// foreach(string[] item in jsItems) {
// OrderBookEntryType entryType = item[2][0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
// t.OrderBook.ApplyIncrementalUpdate(entryType, OrderBookUpdateType.Add, FastValueConverter.ConvertPositiveLong(item[1]), item[4], item[3]);
// }
// return;
//}
else if (e.Message[index] == 'd') // delete
{
index = e.Message.IndexOf("[{");
List <string[]> jsItems = JSonHelper.Default.DeserializeArrayOfObjects(Encoding.ASCII.GetBytes(e.Message), ref index, DeleteItems);
foreach (string[] item in jsItems)
{
OrderBookEntryType entryType = item[2][0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
t.OrderBook.ApplyIncrementalUpdate(entryType, OrderBookUpdateType.Remove, FastValueConverter.ConvertPositiveLong(item[1]), null, null);
}
return;
}
}
JObject obj = JsonConvert.DeserializeObject <JObject>(e.Message);
JArray items = obj.Value <JArray>("data");
if (items == null)
{
return;
}
OrderBookUpdateType type = String2UpdateType(obj.Value <string>("action"));
lock (t.OrderBook.Bids) {
lock (t.OrderBook.Asks) {
if (type == OrderBookUpdateType.RefreshAll)
{
t.OrderBook.Clear();
t.OrderBook.BeginUpdate();
}
for (int i = 0; i < items.Count; i++)
{
JObject item = (JObject)items[i];
OrderBookEntryType entryType = item.Value <string>("side")[0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
string rate = null;
if (type == OrderBookUpdateType.Add || type == OrderBookUpdateType.RefreshAll)
{
rate = item.Value <string>("price");
}
string size = null;
if (type != OrderBookUpdateType.Remove)
{
size = item.Value <string>("size");
}
t.OrderBook.ApplyIncrementalUpdate(entryType, type, item.Value <long>("id"), rate, size);
}
}
}
if (type == OrderBookUpdateType.RefreshAll)
{
t.OrderBook.EndUpdate();
}
}
