protected override Task HandleMessageAsync(IEnumerable <Action <DepthUpdateEventArgs> > callbacks, string stream, string json, CancellationToken token = default)
{
try
{
var jObject = JObject.Parse(json);
var eventType = jObject["e"]?.Value <string>();
DepthUpdateEventArgs eventArgs;
switch (eventType)
{
case null: // partial depth stream.
{
var symbol = stream.Split('@')[0].ToUpperInvariant();
// Simulate event time.
var eventTime = DateTime.UtcNow.ToTimestamp().ToDateTime();
var lastUpdateId = jObject["lastUpdateId"].Value <long>();
var bids = jObject["bids"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
var asks = jObject["asks"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
eventArgs = new DepthUpdateEventArgs(eventTime, token, symbol, lastUpdateId, lastUpdateId, bids, asks);
break;
}
case "depthUpdate":
{
var symbol = jObject["s"].Value <string>();
var eventTime = jObject["E"].Value <long>().ToDateTime();
var firstUpdateId = jObject["U"].Value <long>();
var lastUpdateId = jObject["u"].Value <long>();
var bids = jObject["b"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
var asks = jObject["a"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
eventArgs = new DepthUpdateEventArgs(eventTime, token, symbol, firstUpdateId, lastUpdateId, bids, asks);
break;
}
default:
Logger?.LogWarning($"{nameof(DepthClient)}.{nameof(HandleMessageAsync)}: Unexpected event type ({eventType}).");
return(Task.CompletedTask);
}
try
{
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
DepthUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { /* ignore */ }
catch (Exception e)
{
if (!token.IsCancellationRequested)
{
Logger?.LogWarning(e, $"{nameof(DepthClient)}: Unhandled depth update event handler exception.");
}
}
}
catch (OperationCanceledException) { /* ignore */ }
catch (Exception e)
{
if (!token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(DepthClient)}.{nameof(HandleMessageAsync)}");
}
}
return(Task.CompletedTask);
}
protected override void OnWebSocketEvent(WebSocketStreamEventArgs args, IEnumerable <Action <DepthUpdateEventArgs> > callbacks)
{
Logger?.LogDebug($"{nameof(DepthWebSocketClient)}: \"{args.Json}\"");
try
{
var jObject = JObject.Parse(args.Json);
var eventType = jObject["e"]?.Value <string>();
DepthUpdateEventArgs eventArgs;
switch (eventType)
{
case null:
{
// Simulate event time.
var eventTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
var lastUpdateId = jObject["lastUpdateId"].Value <long>();
var bids = jObject["bids"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
var asks = jObject["asks"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
eventArgs = new DepthUpdateEventArgs(eventTime, args.Token, Symbol, lastUpdateId, lastUpdateId, bids, asks);
break;
}
case "depthUpdate":
{
var symbol = jObject["s"].Value <string>();
var eventTime = jObject["E"].Value <long>();
var firstUpdateId = jObject["U"].Value <long>();
var lastUpdateId = jObject["u"].Value <long>();
var bids = jObject["b"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
var asks = jObject["a"].Select(entry => (entry[0].Value <decimal>(), entry[1].Value <decimal>())).ToArray();
eventArgs = new DepthUpdateEventArgs(eventTime, args.Token, symbol, firstUpdateId, lastUpdateId, bids, asks);
break;
}
default:
Logger?.LogWarning($"{nameof(DepthWebSocketClient)}.{nameof(OnWebSocketEvent)}: Unexpected event type ({eventType}).");
return;
}
try
{
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
DepthUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!args.Token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(DepthWebSocketClient)}: Unhandled depth update event handler exception.");
}
}
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!args.Token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(DepthWebSocketClient)}.{nameof(OnWebSocketEvent)}");
}
}
}