public void StreamingSnapshot_DifferentPairs_ShouldHandleCorrectly()
{
var pair1 = "BTC/USD";
var pair2 = "ETH/BTC";
var data1 = GetOrderBookSnapshotMockData(pair1, 500);
var data2 = GetOrderBookSnapshotMockData(pair2, 200);
var data = data2.Concat(data1).ToArray();
var now = CryptoDateUtils.ConvertFromUnixSeconds(1577575307.123451);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2)
{
ExchangeName = "test",
ServerSequence = 3,
ServerTimestamp = now
};
var source = new OrderBookSourceMock(snapshot);
ICryptoOrderBook orderBook1 = new CryptoOrderBook(pair1, source);
ICryptoOrderBook orderBook2 = new CryptoOrderBook(pair2, source);
orderBook1.OrderBookUpdatedStream.Subscribe(x =>
{
Assert.Equal("test", x.ExchangeName);
Assert.Equal(3, x.ServerSequence);
Assert.Equal(now, x.ServerTimestamp);
});
orderBook2.OrderBookUpdatedStream.Subscribe(x =>
{
Assert.Equal("test", x.ExchangeName);
Assert.Equal(3, x.ServerSequence);
Assert.Equal(now, x.ServerTimestamp);
});
source.StreamSnapshot();
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 async Task Buffering_Disable_ShouldWork()
{
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.BufferEnabled = false;
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.NotNull(receivedBulks);
Assert.Equal("test", receivedSnapshot.ExchangeName);
Assert.Equal(3, receivedSnapshot.ServerSequence);
Assert.Equal(now, receivedSnapshot.ServerTimestamp);
Assert.Equal("test", receivedBulks[1].ExchangeName);
Assert.Equal(5, receivedBulks[1].ServerSequence);
Assert.Equal("1577575307.125451", receivedBulks[1].ServerTimestamp.ToUnixSecondsString());
}
private static void TestDecimal(decimal?timeInSec, string result)
{
var converted = CryptoDateUtils.ConvertFromUnixSeconds(timeInSec);
var convertedBack = converted.ToUnixSecondsDecimal();
var convertedString = converted.ToUnixSecondsString();
Assert.Equal(timeInSec, convertedBack);
Assert.Equal(result, convertedString);
}
public void UnixTimeConversion_ShouldSupportSixDecimalMilliseconds(double?timeInSec, string result)
{
var converted = CryptoDateUtils.ConvertFromUnixSeconds(timeInSec);
var convertedBack = converted.ToUnixSeconds();
var convertedString = converted.ToUnixSecondsString();
Assert.Equal(timeInSec, convertedBack);
Assert.Equal(result, convertedString);
}
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);
}
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();
var orderBook1 = new CryptoOrderBookL2(pair1, source);
var orderBook2 = new CryptoOrderBookL2(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);
}
}