/// <summary>
///
/// </summary>
/// <param name="cmy"></param>
/// <returns></returns>
private async ValueTask <bool> mergeMyOrder(SMyOrders cmy)
{
var _result = false;
SMyOrders _qmy;
{
if (__qMyOrders.TryGetValue(cmy.symbol, out _qmy) == true)
{
if (cmy.action == "insert" || cmy.action == "update" || cmy.action == "delete")
{
updateMyOrder(_qmy, ref cmy);
_result = true;
}
else if (cmy.action == "partial" || cmy.action == "polling")
{
modifyMyOrder(_qmy, ref cmy);
}
_qmy.result.RemoveAll(o => o.quantity == o.filled);
}
else if (cmy.action == "partial" || cmy.action == "polling")
{
__qMyOrders[cmy.symbol] = cmy;
_result = true;
}
if (_result == true)
{
await publishMyCompleteOrder(cmy);
}
}
return(_result);
}
private async ValueTask publishMyCompleteOrder(SMyOrders stk)
{
await Task.Delay(0);
var _json_data = JsonConvert.SerializeObject(stk);
__complete.Write(this, BMConfig.DealerName, _json_data);
}
/// <summary>
///
/// </summary>
/// <param name="qmy"></param>
/// <param name="cmy"></param>
/// <returns></returns>
private void updateMyOrder(SMyOrders qmy, ref SMyOrders cmy)
{
foreach (var _co in cmy.result)
{
var _qa = qmy.result.Where(o => o.orderId == _co.orderId).SingleOrDefault();
if (_qa == null)
{
if (_co.orderStatus == OrderStatus.Open)
{
qmy.result.Add(_co);
}
}
else
{
_qa.timestamp = _co.timestamp;
_co.orderStatus = _co.orderStatus == OrderStatus.Unknown ? _qa.orderStatus : _co.orderStatus;
_co.sideType = _co.sideType == SideType.Unknown ? _qa.sideType : _co.sideType;
_co.orderType = _co.orderType == OrderType.Unknown ? _qa.orderType : _co.orderType;
_co.makerType = _co.makerType == MakerType.Unknown ? _qa.makerType : _co.makerType;
if (_co.orderStatus == OrderStatus.Partially || _co.orderStatus == OrderStatus.Closed)
{
_qa.remaining = _co.remaining;
_qa.filled = _co.filled;
_qa.avgPx = _co.avgPx;
}
else if (_co.orderStatus == OrderStatus.Canceled)
{
_qa.remaining = _co.remaining;
_qa.filled = _qa.quantity - _qa.remaining;
}
else
{
if (_co.quantity != 0 && _co.quantity != _qa.quantity)
{
_qa.quantity = _co.quantity;
_qa.amount = _qa.price * _qa.quantity;
}
if (_co.price != 0 && _co.price != _qa.price)
{
_qa.price = _co.price;
_qa.amount = _qa.price * _qa.quantity;
}
if (_co.remaining != 0 && _co.remaining != _qa.remaining)
{
_qa.remaining = _co.remaining;
_qa.filled = _qa.quantity - _qa.remaining;
}
}
}
}
}
/// <summary>
///
/// </summary>
/// <param name="qmy"></param>
/// <param name="cmy"></param>
/// <returns></returns>
private void modifyMyOrder(SMyOrders qmy, ref SMyOrders cmy)
{
foreach (var _co in cmy.result)
{
var _qa = qmy.result.Where(o => o.orderId == _co.orderId).SingleOrDefault();
if (_qa == null)
{
qmy.result.Add(_co);
}
}
foreach (var _qo in qmy.result)
{
var _ca = cmy.result.Where(o => o.orderId == _qo.orderId).SingleOrDefault();
if (_ca == null)
{
_qo.filled = _qo.quantity;
}
}
}
public async ValueTask Start(CancellationToken cancelToken)
{
BMLogger.SNG.WriteO(this, $"processing service start...");
var _processing = Task.Run(async() =>
{
var _last_polling_trade = 0L;
while (true)
{
try
{
await Task.Delay(0);
var _message = (QMessage)null;
if (ReceiveQ.TryDequeue(out _message) == false)
{
var _cancelled = cancelToken.WaitHandle.WaitOne(0);
if (_cancelled == true)
{
break;
}
await Task.Delay(10);
continue;
}
if (_message.command == "WS")
{
if (_message.stream == "order")
{
var _w_orders = JsonConvert.DeserializeObject <List <BMyOrderItem> >(_message.payload ?? "");
var _s_order = new SMyOrders
{
exchange = _message.exchange,
stream = _message.stream,
symbol = _message.symbol,
action = _message.action,
sequentialId = _w_orders.Max(t => t.timestamp),
result = _w_orders.Select(o =>
{
return(new SMyOrderItem
{
orderId = o.orderId ?? "",
symbol = o.symbol ?? "",
sideType = o.sideType,
timestamp = o.timestamp,
makerType = MakerType.Maker,
orderStatus = o.orderStatus,
orderType = o.orderType,
quantity = o.quantity,
price = o.price,
amount = o.amount,
filled = o.filled,
remaining = o.remaining,
workingIndicator = o.workingIndicator,
avgPx = o.avgPx.HasValue ? o.avgPx.Value : 0,
fee = o.fee,
cost = o.cost,
count = o.count
});
})
.ToList <ISMyOrderItem>()
};
await mergeMyOrder(_s_order);
}
else if (_message.stream == "trade")
{
var _w_trades = JsonConvert.DeserializeObject <List <BCompleteOrderItem> >(_message.payload ?? "");
var _s_trade = new SCompleteOrders
{
exchange = _message.exchange,
stream = _message.stream,
symbol = _message.symbol,
action = _message.action,
sequentialId = _w_trades.Max(t => t.timestamp),
result = _w_trades.Select(t =>
{
return(new SCompleteOrderItem
{
timestamp = t.timestamp,
sideType = t.sideType,
price = t.price,
quantity = t.quantity
});
})
.ToList()
};
if (_s_trade.result.Count() > 0)
{
_last_polling_trade = _s_trade.sequentialId;
await mergeCompleteOrder(_s_trade);
}
}
else if (_message.stream == "orderbook")
{
var _w_orderbooks = JsonConvert.DeserializeObject <List <BOrderBookItem> >(_message.payload ?? "");
var _timestamp = CUnixTime.NowMilli;
var _asks = _w_orderbooks.Where(o => o.sideType == SideType.Ask);
var _bids = _w_orderbooks.Where(o => o.sideType == SideType.Bid);
var _s_orderbooks = new SOrderBooks
{
exchange = _message.exchange,
symbol = _message.symbol,
stream = _message.stream,
action = _message.action,
sequentialId = _timestamp,
result = new SOrderBook
{
timestamp = _timestamp,
askSumQty = _asks.Sum(o => o.quantity),
bidSumQty = _bids.Sum(o => o.quantity),
asks = _asks.Select(o =>
{
return(new SOrderBookItem
{
quantity = o.quantity,
price = o.price,
amount = o.quantity * o.price,
id = o.id,
count = 1
});
}).ToList(),
bids = _bids.Select(o =>
{
return(new SOrderBookItem
{
quantity = o.quantity,
price = o.price,
amount = o.quantity * o.price,
id = o.id,
count = 1
});
}).ToList()
}
};
await mergeOrderbook(_s_orderbooks);
}
}
else if (_message.command == "AP")
{
if (_message.stream == "order")
{
var _w_orders = JsonConvert.DeserializeObject <List <BMyOrderItem> >(_message.payload ?? "");
var _s_order = new SMyOrders
{
exchange = _message.exchange,
stream = _message.stream,
symbol = _message.symbol,
action = _message.action,
sequentialId = _w_orders.Max(t => t.timestamp),
result = _w_orders.Select(o =>
{
return(new SMyOrderItem
{
orderId = o.orderId ?? "",
symbol = o.symbol ?? "",
sideType = o.sideType,
timestamp = o.timestamp,
makerType = o.makerType,
orderStatus = o.orderStatus,
orderType = o.orderType,
quantity = o.quantity,
price = o.price,
amount = o.amount,
filled = o.filled,
remaining = o.remaining,
workingIndicator = o.workingIndicator,
avgPx = o.avgPx.HasValue ? o.avgPx.Value : 0,
fee = o.fee,
cost = o.cost,
count = o.count
});
})
.ToList <ISMyOrderItem>()
};
await mergeMyOrder(_s_order);
}
else if (_message.stream == "trade")
{
var _a_trades = JsonConvert.DeserializeObject <List <BCompleteOrderItem> >(_message.payload ?? "");
var _s_trade = new SCompleteOrders
{
exchange = _message.exchange,
symbol = _message.symbol,
stream = _message.stream,
action = _message.action,
sequentialId = _a_trades.Max(t => t.timestamp),
result = _a_trades.Where(t => t.timestamp > _last_polling_trade).Select(t =>
{
return(new SCompleteOrderItem
{
timestamp = t.timestamp,
sideType = t.sideType,
price = t.price,
quantity = t.quantity
});
})
.ToList()
};
if (_s_trade.result.Count() > 0)
{
_last_polling_trade = _s_trade.sequentialId;
await mergeCompleteOrder(_s_trade);
}
}
else if (_message.stream == "orderbook")
{
var _a_orderbooks = JsonConvert.DeserializeObject <List <BOrderBookItem> >(_message.payload ?? "");
var _timestamp = CUnixTime.NowMilli;
var _asks = _a_orderbooks.Where(o => o.sideType == SideType.Ask);
var _bids = _a_orderbooks.Where(o => o.sideType == SideType.Bid);
var _s_orderbooks = new SOrderBooks
{
exchange = _message.exchange,
symbol = _message.symbol,
stream = _message.stream,
action = _message.action,
sequentialId = _timestamp,
result = new SOrderBook
{
timestamp = _timestamp,
askSumQty = _asks.Sum(o => o.quantity),
bidSumQty = _bids.Sum(o => o.quantity),
asks = _asks.Select(o =>
{
return(new SOrderBookItem
{
quantity = o.quantity,
price = o.price,
amount = o.quantity * o.price,
id = o.id,
count = 1
});
}).ToList(),
bids = _bids.Select(o =>
{
return(new SOrderBookItem
{
quantity = o.quantity,
price = o.price,
amount = o.quantity * o.price,
id = o.id,
count = 1
});
}).ToList()
}
};
await mergeOrderbook(_s_orderbooks);
}
}
else if (_message.command == "SS")
{
await snapshotOrderbook(_message.exchange);
}
#if DEBUG
else
{
BMLogger.SNG.WriteO(this, _message.payload);
}
#endif
if (cancelToken.IsCancellationRequested == true)
{
break;
}
}
catch (TaskCanceledException)
{
}
catch (Exception ex)
{
BMLogger.SNG.WriteX(this, ex.ToString());
}
}
},
cancelToken
);
await Task.WhenAll(_processing);
BMLogger.SNG.WriteO(this, $"processing service stop...");
}
