protected override void ReceivedDepth(string _pair, string _type, JToken _token)
{
JObject _json = (JObject)_token;
#region Bid
IList <KeyValuePair <string, BookItem> > _bidItems = this.Books[_pair, MarketSide.Bid].ToList();
BookItems _bidList = new BookItems(MarketSide.Bid);
JArray _bids = _json["bids"].Value <JArray>();
for (int i = 0; i < _bids.Count; i += 2)
{
decimal _price = _bids[i].Value <decimal>();
decimal _amount = _bids[i + 1].Value <decimal>();
KeyValuePair <string, BookItem>[] _temps = _bidItems.Where(c => c.Key == _price.ToString()).ToArray();
if (_temps.Length == 0)
{
this.OnBookInsert(_bidList.Insert(_price.ToString(), _price, _amount));
}
else
{
BookItem _item = _temps[0].Value;
if (_item.Amount != _amount)
{
_item.Amount = _amount;
this.OnBookUpdate(_item);
}
_bidList.Insert(_item.Id, _item.Price, _amount);
_bidItems.Remove(_temps[0]);
}
}
foreach (KeyValuePair <string, BookItem> _item in _bidItems)
{
this.OnBookDelete(_item.Value);
}
#endregion
#region Ask
BookItems _askList = new BookItems(MarketSide.Ask);
IList <KeyValuePair <string, BookItem> > _askItems = this.Books[_pair, MarketSide.Ask].ToList();
JArray _asks = _json["asks"].Value <JArray>();
for (int i = 0; i < _asks.Count; i += 2)
{
decimal _price = _asks[i].Value <decimal>();
decimal _amount = _asks[i + 1].Value <decimal>();
KeyValuePair <string, BookItem>[] _temps = _askItems.Where(c => c.Key == _price.ToString()).ToArray();
if (_temps.Length == 0)
{
this.OnBookInsert(_askList.Insert(_price.ToString(), _price, _amount));
}
else
{
BookItem _item = _temps[0].Value;
if (_item.Amount != _amount)
{
_item.Amount = _amount;
this.OnBookUpdate(_item);
}
_askList.Insert(_item.Id, _item.Price, _amount);
_askItems.Remove(_temps[0]);
}
}
foreach (KeyValuePair <string, BookItem> _item in _askItems)
{
this.OnBookDelete(_item.Value);
}
#endregion
this.Books[_pair, MarketSide.Ask] = _askList;
this.Books[_pair, MarketSide.Bid] = _bidList;
}
protected override void ReceivedDepth(string _symbol, string _type, JToken _token)
{
JArray _array = (JArray)_token;
JArray _list = (_array.Count == 2 && _array[1].Type == JTokenType.Array) ? _array[1].Value <JArray>() : _array;
//_symbol = _symbol.Split('.')[1];
if (_type == "START")
{
BookItems _asks = new BookItems(MarketSide.Ask);
BookItems _bids = new BookItems(MarketSide.Bid);
foreach (JArray _item in _list)
{
decimal _price = _item[0].Value <decimal>();
int _count = _item[1].Value <int>();
decimal _amount = _item[2].Value <decimal>();
MarketSide _side = _amount > 0 ? MarketSide.Bid : MarketSide.Ask;
string _id = _price.ToString();
BookItem _bookItem = new BookItem(_symbol, _side, _price, Math.Abs(_amount), _id);
if (_side == MarketSide.Bid)
{
_bids.TryAdd(_id, _bookItem);
}
if (_side == MarketSide.Ask)
{
_asks.TryAdd(_id, _bookItem);
}
}
this.Books[_symbol, MarketSide.Ask] = _asks;
this.Books[_symbol, MarketSide.Bid] = _bids;
this.OnBookStarted(_symbol);
}
else
{
decimal _price = _list[1].Value <decimal>();
int _count = _list[2].Value <int>();
decimal _amount = _list[3].Value <decimal>();
MarketSide _side = _amount > 0 ? MarketSide.Bid : MarketSide.Ask;
BookItems _items = this.Books[_symbol, _side];
if (_count == 0)
{
BookItem _item = _items.Delete(_price.ToString());
if (_item != null)
{
this.OnBookDelete(_item);
}
}
else
{
BookItem _item = _items.Update(_price.ToString(), Math.Abs(_amount));
if (_item == null)
{
_item = _items.Insert(_price.ToString(), _price, _amount);
this.OnBookInsert(_item);
}
else
{
this.OnBookUpdate(_item);
}
}
}
}
protected override void ReceivedDepth(string _symbol, string _type, JToken _token)
{
try
{
//this.OnLog($"ReceivedDepth:book.count={this.Books[_symbol, MarketSide.Bid].Count}:{this.Books[_symbol, MarketSide.Ask].Count}");
//this.OnLog(_token.ToString());
JObject _json = (JObject)_token;
this.QueueDepth.Enqueue(_json);
long _U = _json["U"].Value <long>();
long _u = _json["u"].Value <long>();
//this.OnLog($"ReceivedDepth:U={_U},u={_u},e={_json["e"]}");
if (this.Books[_symbol, MarketSide.Bid].Count < 1 && this.Books[_symbol, MarketSide.Ask].Count < 1)
{
string _snapshot = this.WebClient.DownloadString(this.SnapshotUrl);
JObject _jsonSnapshot = JObject.Parse(_snapshot);
this.LastUpdateId = _jsonSnapshot["lastUpdateId"].Value <long>();
//this.OnLog($"ReceivedDepth:lastUpdateId={this.LastUpdateId}");
if (this.LastUpdateId + 1 > _u)
{
#region Bid
JArray _bids = _jsonSnapshot["bids"].Value <JArray>();
foreach (JArray _item in _bids)
{
decimal _price = _item[0].Value <decimal>();
decimal _amount = _item[1].Value <decimal>();
string _id = Math.Abs(_price).ToString();
if (_amount > 0M)
{
BookItem _bookItem = this.Books[_symbol, MarketSide.Bid].Update(_id, _amount);
if (_bookItem == null)
{
_bookItem = this.Books[_symbol, MarketSide.Bid].Insert(_id, Math.Abs(_price), _amount);
this.OnBookInsert(_bookItem);
}
else
{
this.OnBookUpdate(_bookItem);
}
}
else
{
BookItem _bookItem = this.Books[_symbol, MarketSide.Bid].Delete(_id);
if (_bookItem != null)
{
this.OnBookDelete(_bookItem);
}
}
}
#endregion
#region Ask
JArray _asks = _jsonSnapshot["asks"].Value <JArray>();
foreach (JArray _item in _asks)
{
decimal _price = _item[0].Value <decimal>();
decimal _amount = _item[1].Value <decimal>();
string _id = Math.Abs(_price).ToString();
if (_amount > 0M)
{
BookItem _bookItem = this.Books[_symbol, MarketSide.Ask].Update(_id, _amount);
if (_bookItem == null)
{
_bookItem = this.Books[_symbol, MarketSide.Ask].Insert(_id, Math.Abs(_price), _amount);
this.OnBookInsert(_bookItem);
}
else
{
this.OnBookUpdate(_bookItem);
}
}
else
{
BookItem _bookItem = this.Books[_symbol, MarketSide.Ask].Delete(_id);
if (_bookItem != null)
{
this.OnBookDelete(_bookItem);
}
}
}
#endregion
return;
}
}
if (_U <= this.LastUpdateId + 1 && _u >= this.LastUpdateId + 1)
{
this.Books.Timestamp = _token["E"].Value <long>();
//this.OnLog($"ReceivedDepth:true");
#region Bid
JArray _b = _token["b"].Value <JArray>();
foreach (JArray _item in _b)
{
decimal _price = _item[0].Value <decimal>();
decimal _amount = _item[1].Value <decimal>();
string _id = Math.Abs(_price).ToString();
if (_amount > 0M)
{
BookItem _bookItem = this.Books[_symbol, MarketSide.Bid].Update(_id, _amount);
if (_bookItem == null)
{
_bookItem = this.Books[_symbol, MarketSide.Bid].Insert(_id, Math.Abs(_price), _amount);
this.OnBookInsert(_bookItem);
}
else
{
this.OnBookUpdate(_bookItem);
}
}
else
{
BookItem _bookItem = this.Books[_symbol, MarketSide.Bid].Delete(_id);
if (_bookItem != null)
{
this.OnBookDelete(_bookItem);
}
}
}
#endregion
#region Ask
JArray _a = _token["a"].Value <JArray>();
foreach (JArray _item in _a)
{
decimal _price = _item[0].Value <decimal>();
decimal _amount = _item[1].Value <decimal>();
string _id = Math.Abs(_price).ToString();
if (_amount > 0M)
{
BookItem _bookItem = this.Books[_symbol, MarketSide.Ask].Update(_id, _amount);
if (_bookItem == null)
{
_bookItem = this.Books[_symbol, MarketSide.Ask].Insert(_id, Math.Abs(_price), _amount);
this.OnBookInsert(_bookItem);
}
else
{
this.OnBookUpdate(_bookItem);
}
}
else
{
BookItem _bookItem = this.Books[_symbol, MarketSide.Ask].Delete(_id);
if (_bookItem != null)
{
this.OnBookDelete(_bookItem);
}
}
}
#endregion
this.LastUpdateId = _u;
}
else
{
//this.OnLog($"ReceivedDepth:false");
}
this.Books[_symbol, MarketSide.Ask].OrderBy(b => b.Value.Price);
for (int i = this.Books[_symbol, MarketSide.Ask].Count - 1; i >= 0; i--)
{
if (this.Books[_symbol, MarketSide.Ask].Count <= 10)
{
break;
}
this.Books[_symbol, MarketSide.Ask].TryRemove(this.Books[_symbol, MarketSide.Ask].ElementAt(i).Key, out BookItem _remove);
}
this.Books[_symbol, MarketSide.Bid].OrderByDescending(b => b.Value.Price);
for (int i = this.Books[_symbol, MarketSide.Bid].Count - 1; i >= 0; i--)
{
if (this.Books[_symbol, MarketSide.Bid].Count <= 10)
{
break;
}
this.Books[_symbol, MarketSide.Bid].TryRemove(this.Books[_symbol, MarketSide.Bid].ElementAt(i).Key, out BookItem _remove);
}
}
catch (Exception _ex)
{
this.OnLog($"ReceivedDepth---{_ex.ToString()}");
}
}
protected override void ReceivedDepth(string _pair, string _type, JToken _token)
{
JObject _json = (JObject)_token;
if (_type == "START")
{
#region START
JArray _askArray = _json["asks"].Value <JArray>();
JArray _bidArray = _json["bids"].Value <JArray>();
BookItems _asks = new BookItems(MarketSide.Ask);
BookItems _bids = new BookItems(MarketSide.Bid);
foreach (JArray _item in _askArray)
{
decimal _price = _item[0].Value <decimal>();
decimal _size = _item[1].Value <decimal>();
string _id = _price.ToString();
BookItem _bookItem = new BookItem(_pair, MarketSide.Ask, _price, _size, _id);
_asks.TryAdd(_id, _bookItem);
}
foreach (JArray _item in _bidArray)
{
decimal _price = _item[0].Value <decimal>();
decimal _size = _item[1].Value <decimal>();
string _id = _price.ToString();
BookItem _bookItem = new BookItem(_pair, MarketSide.Bid, _price, _size, _id);
_bids.TryAdd(_id, _bookItem);
}
this.Books[_pair, MarketSide.Ask] = _asks;
this.Books[_pair, MarketSide.Bid] = _bids;
this.OnBookStarted(_pair);
#endregion
}
else if (_type == "UPDATE")
{
#region UPDATE
JArray _array = _json["change"].Value <JArray>();
foreach (JArray _item in _array)
{
decimal _price = _item[0].Value <decimal>();
decimal _size = _item[1].Value <decimal>();
string _id = Math.Abs(_price).ToString();
if (_price > 0)
{
if (_size > 0)
{
BookItem _bookItem = this.Books[_pair, MarketSide.Bid].Update(_id, _size);
if (_bookItem == null)
{
_bookItem = this.Books[_pair, MarketSide.Bid].Insert(_id, Math.Abs(_price), _size);
this.OnBookInsert(_bookItem);
}
else
{
this.OnBookUpdate(_bookItem);
}
}
else
{
BookItem _bookItem = this.Books[_pair, MarketSide.Bid].Delete(_id);
if (_bookItem != null)
{
this.OnBookDelete(_bookItem);
}
}
}
else if (_price < 0)
{
if (_size > 0)
{
BookItem _bookItem = this.Books[_pair, MarketSide.Ask].Update(_id, _size);
if (_bookItem == null)
{
_bookItem = this.Books[_pair, MarketSide.Ask].Insert(_id, Math.Abs(_price), _size);
this.OnBookInsert(_bookItem);
}
else
{
this.OnBookUpdate(_bookItem);
}
}
else
{
BookItem _bookItem = this.Books[_pair, MarketSide.Ask].Delete(_id);
if (_bookItem != null)
{
this.OnBookDelete(_bookItem);
}
}
}
}
//if (this.Books[_pair, MarketSide.Ask].Count <= 0 || this.Books[_pair, MarketSide.Bid].Count <= 0) { return; }
//if (this.Books[_pair, MarketSide.Ask].Min(c => c.Value.Price) <= this.Books[_pair, MarketSide.Bid].Max(c => c.Value.Price)) { base.Clear(); return; }
#endregion
}
}
protected override void ReceivedDepth(string _symbol, string _type, JToken _token)
{
//this.Log("ReceivedDepth - " + _token.ToString());
JArray _list = (JArray)_token;
if (_type == "partial")
{
_symbol = _list[0]["symbol"].Value <string>();
BookItems _asks = new BookItems(MarketSide.Ask);
BookItems _bids = new BookItems(MarketSide.Bid);
foreach (JObject _item in _list)
{
MarketSide _side = _item["side"].Value <string>().ToUpper() == "BUY" ? MarketSide.Bid : MarketSide.Ask;
string _id = _item["id"].Value <string>();
decimal _price = _item["price"].Value <decimal>();
decimal _amount = _item["size"].Value <decimal>() / _price;
BookItem _bookItem = new BookItem(_symbol, _side, _price, _amount, _id);
if (_side == MarketSide.Bid)
{
_bids.TryAdd(_id, _bookItem);
}
if (_side == MarketSide.Ask)
{
_asks.TryAdd(_id, _bookItem);
}
}
this.Books[_symbol, MarketSide.Ask] = _asks;
this.Books[_symbol, MarketSide.Bid] = _bids;
if (this.BookSize > 0)
{
this.Books[_symbol, MarketSide.Ask].Resize(this.BookSize);
this.Books[_symbol, MarketSide.Bid].Resize(this.BookSize);
}
this.depths.Add(_symbol);
this.OnBookStarted(_symbol);
}
else if (_type == "insert")
{
foreach (JObject _item in _list)
{
_symbol = _item["symbol"].Value <string>().ToUpper();
if (!this.depths.Contains(_symbol))
{
continue;
}
MarketSide _side = _item["side"].Value <string>().ToUpper() == "BUY" ? MarketSide.Bid : MarketSide.Ask;
string _id = _item["id"].Value <string>();
decimal _price = _item["price"].Value <decimal>();
decimal _amount = _item["size"].Value <decimal>() / _price;
BookItem _bookItem = this.Books[_symbol, _side].Insert(_id, _price, _amount);
this.OnBookInsert(_bookItem);
if (this.BookSize > 0 && this.Books[_symbol, _side].Count > this.BookSize * 2)
{
this.Books[_symbol, _side].Resize(this.BookSize);
}
}
}
else if (_type == "update")
{
foreach (JObject _item in _list)
{
_symbol = _item["symbol"].Value <string>().ToUpper();
if (!this.depths.Contains(_symbol))
{
continue;
}
MarketSide _side = _item["side"].Value <string>().ToUpper() == "BUY" ? MarketSide.Bid : MarketSide.Ask;
string _id = _item["id"].Value <string>();
decimal _amount = _item["size"].Value <decimal>();
BookItem _bookItem = this.Books[_symbol, _side][_id];
if (_bookItem == null && this.BookSize > 0)
{
return;
}
else if (_bookItem == null)
{
this.Log("Book update failed 1 - " + _item.ToString(Newtonsoft.Json.Formatting.None));
return;
}
_amount = _amount / _bookItem.Price;
_bookItem = this.Books[_symbol, _side].Update(_id, _amount);
if (_bookItem != null)
{
this.OnBookUpdate(_bookItem);
}
else if (this.BookSize == 0)
{
this.Log("Book update failed 2 - " + _item.ToString(Newtonsoft.Json.Formatting.None));
}
}
}
else if (_type == "delete")
{
foreach (JObject _item in _list)
{
_symbol = _item["symbol"].Value <string>().ToUpper();
if (!this.depths.Contains(_symbol))
{
continue;
}
MarketSide _side = _item["side"].Value <string>().ToUpper() == "BUY" ? MarketSide.Bid : MarketSide.Ask;
string _id = _item["id"].Value <string>();
BookItem _bookItem = this.Books[_symbol, _side].Delete(_id);
if (_bookItem != null)
{
this.OnBookDelete(_bookItem);
}
else if (this.BookSize == 0)
{
this.Log("Book delete failed - " + _item.ToString(Newtonsoft.Json.Formatting.None));
}
}
}
}
