private bool TryHandleUpdateMessages(string message)
{
if (MarketByPriceUpdateMessage.TryParse(Serializer, message, out var marketByPrice))
{
Streams.MarketByPriceUpdateSubject.OnNext(marketByPrice);
return(true);
}
return(false);
}
private void FillBulk(MarketByPriceUpdateMessage message, OrderBookLevelBulk bulk)
{
if (message == null)
{
return;
}
bulk.ExchangeName = ExchangeName;
bulk.ServerTimestamp = message.Timestamp.DateTime;
}
private void Handle(MarketByPriceUpdateMessage msg)
{
if (msg.Tick?.Bids != null)
{
for (var i = 0; i < msg.Tick.Bids.Length; ++i)
{
var bid = msg.Tick.Bids[i];
_logger.LogInformation($"Market by price update {msg.ParseSymbolFromTopic()} | [bid {i}: price={bid.Price} size={bid.Size}]");
}
}
if (msg.Tick?.Asks != null)
{
for (var i = 0; i < msg.Tick.Asks.Length; ++i)
{
var bid = msg.Tick.Asks[i];
_logger.LogInformation($"Market by price update {msg.ParseSymbolFromTopic()} | [ask {i}: price={bid.Price} size={bid.Size}]");
}
}
}
private void HandleUpdate(MarketByPriceUpdateMessage response)
{
// TODO: how to force refresh when sequence number does not match?
BufferData(response);
}
private OrderBookLevel[] ConvertLevels(MarketByPriceUpdateMessage response)
{
var symbol = response.ParseSymbolFromTopic();
return(ConvertLevels(symbol, response.Tick?.Bids, response.Tick?.Asks));
}
