/// <summary>
/// Get full order book bids and asks via web socket. This is efficient and will only use the order book deltas.
/// </summary>
/// <param name="callback">Callback of symbol, order book</param>
/// <param name="maxCount">Max count of bids and asks - not all exchanges will honor this parameter</param>
/// <param name="symbol">Ticker symbols or null/empty for all of them (if supported)</param>
/// <returns>Web socket, call Dispose to close</returns>
public static IDisposable GetOrderBookWebSocket(this IExchangeAPI api, Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] symbols)
{
// Gets a delta socket for a collection of order books, then maintains a full order book.
// The suggested way to use this is:
// 1. Open this socket and begin buffering events you receive
// 2. Get a depth snapshot of the order books you care about
// 3. Drop any event where SequenceNumber is less than or equal to the snapshot last update id
// Notes:
// * Confirm with the Exchange's API docs whether the data in each event is the absolute quantity or differential quantity
// * If the quantity is 0, remove the price level
// * Receiving an event that removes a price level that is not in your local order book can happen and is normal.
//
Dictionary <string, ExchangeOrderBook> fullBooks = new Dictionary <string, ExchangeOrderBook>();
void innerCallback(ExchangeOrderBook book)
{
// see if we have a full order book for the symbol
if (!fullBooks.TryGetValue(book.Symbol, out ExchangeOrderBook fullBook))
{
fullBooks[book.Symbol] = fullBook = api.GetOrderBook(book.Symbol, 1000);
fullBook.Symbol = book.Symbol;
}
// update deltas as long as the full book is at or before the delta timestamp
if (fullBook.SequenceId <= book.SequenceId)
{
foreach (var ask in book.Asks)
{
if (ask.Value.Amount <= 0m || ask.Value.Price <= 0m)
{
fullBook.Asks.Remove(ask.Value.Price);
}
else
{
fullBook.Asks[ask.Value.Price] = ask.Value;
}
}
foreach (var bid in book.Bids)
{
if (bid.Value.Amount <= 0m || bid.Value.Price <= 0m)
{
fullBook.Bids.Remove(bid.Value.Price);
}
else
{
fullBook.Bids[bid.Value.Price] = bid.Value;
}
}
fullBook.SequenceId = book.SequenceId;
}
callback(fullBook);
};
return(api.GetOrderBookDeltasWebSocket(innerCallback, maxCount, symbols));
}
/// <summary>Get full order book bids and asks via web socket. This is efficient and will
/// only use the order book deltas (if supported by the exchange).</summary>
/// <param name="callback">Callback containing full order book</param>
/// <param name="maxCount">Max count of bids and asks - not all exchanges will honor this
/// parameter</param>
/// <param name="symbols">Ticker symbols or null/empty for all of them (if supported)</param>
/// <returns>Web socket, call Dispose to close</returns>
public static IWebSocket GetOrderBookWebSocket(this IExchangeAPI api, Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] symbols)
{
// Notes:
// * Confirm with the Exchange's API docs whether the data in each event is the absolute quantity or differential quantity
// * Receiving an event that removes a price level that is not in your local order book can happen and is normal.
var fullBooks = new ConcurrentDictionary <string, ExchangeOrderBook>();
void applyDelta(SortedDictionary <decimal, ExchangeOrderPrice> deltaValues, SortedDictionary <decimal, ExchangeOrderPrice> bookToEdit)
{
foreach (ExchangeOrderPrice record in deltaValues.Values)
{
if (record.Amount <= 0 || record.Price <= 0)
{
bookToEdit.Remove(record.Price);
}
else
{
bookToEdit[record.Price] = record;
}
}
}
void updateOrderBook(ExchangeOrderBook fullOrderBook, ExchangeOrderBook freshBook)
{
lock (fullOrderBook)
{
// update deltas as long as the full book is at or before the delta timestamp
if (fullOrderBook.SequenceId <= freshBook.SequenceId)
{
applyDelta(freshBook.Asks, fullOrderBook.Asks);
applyDelta(freshBook.Bids, fullOrderBook.Bids);
fullOrderBook.SequenceId = freshBook.SequenceId;
}
}
}
async Task innerCallback(ExchangeOrderBook freshBook)
{
bool foundFullBook = fullBooks.TryGetValue(freshBook.Symbol, out ExchangeOrderBook fullOrderBook);
switch (api.Name)
{
// Fetch an initial book the first time and apply deltas on top
case ExchangeName.Bittrex:
case ExchangeName.Binance:
case ExchangeName.Poloniex:
{
// If we don't have an initial order book for this symbol, fetch it
if (!foundFullBook)
{
fullBooks[freshBook.Symbol] = fullOrderBook = await api.GetOrderBookAsync(freshBook.Symbol, 1000);
fullOrderBook.Symbol = freshBook.Symbol;
}
else
{
updateOrderBook(fullOrderBook, freshBook);
}
break;
}
// First response from exchange will be the full order book.
// Subsequent updates will be deltas
case ExchangeName.Okex:
{
if (!foundFullBook)
{
fullBooks[freshBook.Symbol] = fullOrderBook = freshBook;
}
else
{
updateOrderBook(fullOrderBook, freshBook);
}
break;
}
// Websocket always returns full order book
case ExchangeName.Huobi:
{
fullBooks[freshBook.Symbol] = fullOrderBook = freshBook;
break;
}
}
fullOrderBook.LastUpdatedUtc = DateTime.UtcNow;
callback(fullOrderBook);
}
IWebSocket socket = api.GetOrderBookDeltasWebSocket(async(b) => await innerCallback(b), maxCount, symbols);
socket.Connected += (s) =>
{
// when we re-connect, we must invalidate the order books, who knows how long we were disconnected
// and how out of date the order books are
fullBooks.Clear();
};
return(socket);
}
/// <summary>Get full order book bids and asks via web socket. This is efficient and will
/// only use the order book deltas (if supported by the exchange).</summary>
/// <param name="callback">Callback containing full order book</param>
/// <param name="maxCount">Max count of bids and asks - not all exchanges will honor this
/// parameter</param>
/// <param name="symbols">Ticker symbols or null/empty for all of them (if supported)</param>
/// <returns>Web socket, call Dispose to close</returns>
public static IWebSocket GetOrderBookWebSocket(this IExchangeAPI api, Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] symbols)
{
// Notes:
// * Confirm with the Exchange's API docs whether the data in each event is the absolute quantity or differential quantity
// * Receiving an event that removes a price level that is not in your local order book can happen and is normal.
var fullBooks = new ConcurrentDictionary <string, ExchangeOrderBook>();
var partialOrderBookQueues = new Dictionary <string, Queue <ExchangeOrderBook> >();
void applyDelta(SortedDictionary <decimal, ExchangeOrderPrice> deltaValues, SortedDictionary <decimal, ExchangeOrderPrice> bookToEdit)
{
foreach (ExchangeOrderPrice record in deltaValues.Values)
{
if (record.Amount <= 0 || record.Price <= 0)
{
bookToEdit.Remove(record.Price);
}
else
{
bookToEdit[record.Price] = record;
}
}
}
void updateOrderBook(ExchangeOrderBook fullOrderBook, ExchangeOrderBook freshBook)
{
lock (fullOrderBook)
{
// update deltas as long as the full book is at or before the delta timestamp
if (fullOrderBook.SequenceId <= freshBook.SequenceId)
{
applyDelta(freshBook.Asks, fullOrderBook.Asks);
applyDelta(freshBook.Bids, fullOrderBook.Bids);
fullOrderBook.SequenceId = freshBook.SequenceId;
}
}
}
async Task innerCallback(ExchangeOrderBook newOrderBook)
{
// depending on the exchange, newOrderBook may be a complete or partial order book
// ideally all exchanges would send the full order book on first message, followed by delta order books
// but this is not the case
bool foundFullBook = fullBooks.TryGetValue(newOrderBook.Symbol, out ExchangeOrderBook fullOrderBook);
switch (api.Name)
{
// Fetch an initial book the first time and apply deltas on top
// send these exchanges scathing support tickets that they should send
// the full book for the first web socket callback message
case ExchangeName.Bittrex:
case ExchangeName.Binance:
case ExchangeName.Poloniex:
{
Queue <ExchangeOrderBook> partialOrderBookQueue;
bool requestFullOrderBook = false;
// attempt to find the right queue to put the partial order book in to be processed later
lock (partialOrderBookQueues)
{
if (!partialOrderBookQueues.TryGetValue(newOrderBook.Symbol, out partialOrderBookQueue))
{
// no queue found, make a new one
partialOrderBookQueues[newOrderBook.Symbol] = partialOrderBookQueue = new Queue <ExchangeOrderBook>();
requestFullOrderBook = !foundFullBook;
}
// always enqueue the partial order book, they get dequeued down below
partialOrderBookQueue.Enqueue(newOrderBook);
}
// request the entire order book if we need it
if (requestFullOrderBook)
{
fullOrderBook = await api.GetOrderBookAsync(newOrderBook.Symbol, maxCount);
fullOrderBook.Symbol = newOrderBook.Symbol;
fullBooks[newOrderBook.Symbol] = fullOrderBook;
}
else if (!foundFullBook)
{
// we got a partial book while the full order book was being requested
// return out, the full order book loop will process this item in the queue
return;
}
// else new partial book with full order book available, will get dequeued below
// check if any old books for this symbol, if so process them first
// lock dictionary of queues for lookup only
lock (partialOrderBookQueues)
{
partialOrderBookQueues.TryGetValue(newOrderBook.Symbol, out partialOrderBookQueue);
}
if (partialOrderBookQueue != null)
{
// lock the individual queue for processing, fifo queue
lock (partialOrderBookQueue)
{
while (partialOrderBookQueue.Count != 0)
{
updateOrderBook(fullOrderBook, partialOrderBookQueue.Dequeue());
}
}
}
break;
}
// First response from exchange will be the full order book.
// Subsequent updates will be deltas, at least some exchanges have their heads on straight
case ExchangeName.BitMEX:
case ExchangeName.Okex:
case ExchangeName.Coinbase:
{
if (!foundFullBook)
{
fullBooks[newOrderBook.Symbol] = fullOrderBook = newOrderBook;
}
else
{
updateOrderBook(fullOrderBook, newOrderBook);
}
break;
}
// Websocket always returns full order book, WTF...?
case ExchangeName.Huobi:
{
fullBooks[newOrderBook.Symbol] = fullOrderBook = newOrderBook;
break;
}
default:
throw new NotSupportedException("Full order book web socket not supported for exchange " + api.Name);
}
fullOrderBook.LastUpdatedUtc = DateTime.UtcNow;
callback(fullOrderBook);
}
IWebSocket socket = api.GetOrderBookDeltasWebSocket(async(b) =>
{
try
{
await innerCallback(b);
}
catch
{
}
}, maxCount, symbols);
socket.Connected += (s) =>
{
// when we re-connect, we must invalidate the order books, who knows how long we were disconnected
// and how out of date the order books are
fullBooks.Clear();
lock (partialOrderBookQueues)
{
partialOrderBookQueues.Clear();
}
return(Task.CompletedTask);
};
return(socket);
}
/// <summary>Get full order book bids and asks via web socket. This is efficient and will
/// only use the order book deltas (if supported by the exchange).</summary>
/// <param name="callback">Callback containing full order book</param>
/// <param name="maxCount">Max count of bids and asks - not all exchanges will honor this
/// parameter</param>
/// <param name="symbols">Ticker symbols or null/empty for all of them (if supported)</param>
/// <returns>Web socket, call Dispose to close</returns>
public static IWebSocket GetOrderBookWebSocket(this IExchangeAPI api, Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] symbols)
{
// Notes:
// * Confirm with the Exchange's API docs whether the data in each event is the absolute quantity or differential quantity
// * Receiving an event that removes a price level that is not in your local order book can happen and is normal.
var fullBooks = new ConcurrentDictionary <string, ExchangeOrderBook>();
var freshBooksQueue = new Dictionary <string, Queue <ExchangeOrderBook> >();
var fullBookRequestLock = new HashSet <string>();
void applyDelta(SortedDictionary <decimal, ExchangeOrderPrice> deltaValues, SortedDictionary <decimal, ExchangeOrderPrice> bookToEdit)
{
foreach (ExchangeOrderPrice record in deltaValues.Values)
{
if (record.Amount <= 0 || record.Price <= 0)
{
bookToEdit.Remove(record.Price);
}
else
{
bookToEdit[record.Price] = record;
}
}
}
void updateOrderBook(ExchangeOrderBook fullOrderBook, ExchangeOrderBook freshBook)
{
lock (fullOrderBook)
{
// update deltas as long as the full book is at or before the delta timestamp
if (fullOrderBook.SequenceId <= freshBook.SequenceId)
{
applyDelta(freshBook.Asks, fullOrderBook.Asks);
applyDelta(freshBook.Bids, fullOrderBook.Bids);
fullOrderBook.SequenceId = freshBook.SequenceId;
}
}
}
async Task innerCallback(ExchangeOrderBook freshBook)
{
bool foundFullBook = fullBooks.TryGetValue(freshBook.Symbol, out ExchangeOrderBook fullOrderBook);
switch (api.Name)
{
// Fetch an initial book the first time and apply deltas on top
// send these exchanges scathing support tickets that they should send
// the full book for the first web socket callback message
case ExchangeName.Bittrex:
case ExchangeName.Binance:
case ExchangeName.Poloniex:
{
if (!foundFullBook)
{
// attempt to find the right queue to put the partial order book in to be processed later
lock (freshBooksQueue)
{
if (!freshBooksQueue.TryGetValue(freshBook.Symbol, out Queue <ExchangeOrderBook> freshQueue))
{
// no queue found, make a new one
freshBooksQueue[freshBook.Symbol] = freshQueue = new Queue <ExchangeOrderBook>();
}
freshQueue.Enqueue(freshBook);
}
bool makeRequest;
lock (fullBookRequestLock)
{
makeRequest = fullBookRequestLock.Add(freshBook.Symbol);
}
if (makeRequest)
{
// we are the first to see this symbol, make a full request to API
fullBooks[freshBook.Symbol] = fullOrderBook = await api.GetOrderBookAsync(freshBook.Symbol, maxCount);
fullOrderBook.Symbol = freshBook.Symbol;
// now that we have the full order book, we can process it (and any books in the queue)
}
else
{
// stop processing, other code will take these items out of the queue later
return;
}
}
// check if any old books for this symbol, if so process them first
lock (freshBooksQueue)
{
if (freshBooksQueue.TryGetValue(freshBook.Symbol, out Queue <ExchangeOrderBook> freshQueue))
{
while (freshQueue.Count != 0)
{
updateOrderBook(fullOrderBook, freshQueue.Dequeue());
}
}
}
break;
}
// First response from exchange will be the full order book.
// Subsequent updates will be deltas, at least some exchanges have their heads on straight
case ExchangeName.BitMEX:
case ExchangeName.Okex:
case ExchangeName.Coinbase:
{
if (!foundFullBook)
{
fullBooks[freshBook.Symbol] = fullOrderBook = freshBook;
}
else
{
updateOrderBook(fullOrderBook, freshBook);
}
break;
}
// Websocket always returns full order book
case ExchangeName.Huobi:
{
fullBooks[freshBook.Symbol] = fullOrderBook = freshBook;
break;
}
default:
throw new NotSupportedException("Full order book web socket not supported for exchange " + api.Name);
}
fullOrderBook.LastUpdatedUtc = DateTime.UtcNow;
callback(fullOrderBook);
}
IWebSocket socket = api.GetOrderBookDeltasWebSocket(async(b) =>
{
try
{
await innerCallback(b);
}
catch
{
}
}, maxCount, symbols);
socket.Connected += (s) =>
{
// when we re-connect, we must invalidate the order books, who knows how long we were disconnected
// and how out of date the order books are
fullBooks.Clear();
lock (freshBooksQueue)
{
freshBooksQueue.Clear();
}
lock (fullBookRequestLock)
{
fullBookRequestLock.Clear();
}
return(Task.CompletedTask);
};
return(socket);
}
/// <summary>Get full order book bids and asks via web socket. This is efficient and will
/// only use the order book deltas (if supported by the exchange).</summary>
/// <param name="callback">Callback containing full order book</param>
/// <param name="maxCount">Max count of bids and asks - not all exchanges will honor this
/// parameter</param>
/// <param name="symbols">Ticker symbols or null/empty for all of them (if supported)</param>
/// <returns>Web socket, call Dispose to close</returns>
public static IDisposable GetOrderBookWebSocket(this IExchangeAPI api, Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] symbols)
{
// Notes:
// * Confirm with the Exchange's API docs whether the data in each event is the absolute quantity or differential quantity
// * Receiving an event that removes a price level that is not in your local order book can happen and is normal.
var fullBooks = new Dictionary <string, ExchangeOrderBook>();
void innerCallback(ExchangeOrderBook freshBook)
{
bool foundFullBook = fullBooks.TryGetValue(freshBook.Symbol, out ExchangeOrderBook fullOrderBook);
switch (api.Name)
{
// Fetch an initial book the first time and apply deltas on top
case ExchangeName.Bittrex:
case ExchangeName.Binance:
case ExchangeName.Poloniex:
{
// If we don't have an initial order book for this symbol, fetch it
if (!foundFullBook)
{
fullBooks[freshBook.Symbol] = fullOrderBook = api.GetOrderBook(freshBook.Symbol, 1000);
fullOrderBook.Symbol = freshBook.Symbol;
}
// update deltas as long as the full book is at or before the delta timestamp
if (fullOrderBook.SequenceId <= freshBook.SequenceId)
{
ApplyDelta(freshBook.Asks, fullOrderBook.Asks);
ApplyDelta(freshBook.Bids, fullOrderBook.Bids);
fullOrderBook.SequenceId = freshBook.SequenceId;
}
break;
}
// First response from exchange will be the full order book.
// Subsequent updates will be deltas
case ExchangeName.BitMEX:
case ExchangeName.Okex:
{
if (!foundFullBook)
{
fullBooks[freshBook.Symbol] = fullOrderBook = freshBook;
fullOrderBook.Symbol = freshBook.Symbol;
}
else
{
ApplyDelta(freshBook.Asks, fullOrderBook.Asks);
ApplyDelta(freshBook.Bids, fullOrderBook.Bids);
}
break;
}
// Websocket always returns full order book
case ExchangeName.Huobi:
fullBooks[freshBook.Symbol] = fullOrderBook = freshBook;
break;
}
callback(fullOrderBook);
}
return(api.GetOrderBookDeltasWebSocket(innerCallback, maxCount, symbols));
}