public async Task <OrderBook> GetOrderBook(Ticker ticker, float priceRangeLimitPercantage)
{
OrderBookBitstamp orderBookBitstamp = null;
using (var client = new HttpClient()) {
client.BaseAddress = _baseAddress;
client.DefaultRequestHeaders.Accept.Clear();
client.DefaultRequestHeaders.Accept.Add(new MediaTypeWithQualityHeaderValue("application/json"));
HttpResponseMessage response = await client.GetAsync($"{_config.OrderBookUrl}{ticker}");
if (response.IsSuccessStatusCode)
{
var content = await response.Content.ReadAsStringAsync();
orderBookBitstamp = JsonConvert.DeserializeObject <OrderBookBitstamp>(content);
Console.WriteLine($"CrytoProviderBitstamp.GetOrderBook({ticker}, {priceRangeLimitPercantage}): orderBbook with microTimestamp {orderBookBitstamp?.Microtimestamp} fetched successfully.");
}
else
{
Console.WriteLine($"CryptoProviderBitstamp.GetOrderBook({ticker}, {priceRangeLimitPercantage}): Internal server Error.");
}
}
return(GetOrderBook(orderBookBitstamp, priceRangeLimitPercantage));
}
private OrderBook GetOrderBook(OrderBookBitstamp orderBookBitstamp, float priceRangeLimitPercantage)
{
List <PriceQuoteBid> bids = new List <PriceQuoteBid>();
List <PriceQuoteAsk> asks = new List <PriceQuoteAsk>();
decimal bidsSum = 0;
decimal asksSum = 0;
decimal limitFactor = Convert.ToDecimal(priceRangeLimitPercantage / 100.0);
decimal askPriceLimit = orderBookBitstamp.Asks[0][priceIndex] * (1 + limitFactor);
decimal bidPriceLimit = orderBookBitstamp.Bids[0][priceIndex] * (1 - limitFactor);
foreach (var sourceAsk in orderBookBitstamp.Asks)
{
if (sourceAsk[priceIndex] > askPriceLimit)
{
break;
}
asks.Add(GetPriceQuote <PriceQuoteAsk>(sourceAsk, ref asksSum));
}
foreach (var sourceBid in orderBookBitstamp.Bids)
{
if (sourceBid[priceIndex] < bidPriceLimit)
{
break;
}
bidsSum += sourceBid[volumeIndex];
bids.Add(GetPriceQuote <PriceQuoteBid>(sourceBid, ref bidsSum));
}
return(new OrderBook {
Timestamp = orderBookBitstamp.Microtimestamp,
Asks = asks.ToArray(),
Bids = bids.ToArray(),
});
}