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 OrderBookLevel[] ConvertLevels(MarketByPriceUpdateMessage response)
{
var symbol = response.ParseSymbolFromTopic();
return(ConvertLevels(symbol, response.Tick?.Bids, response.Tick?.Asks));
}