private void UpdateOrderBook(Interface.OrderBook orderBook)
{
if (!Symbol.Name.Equals(orderBook.Symbol))
{
return;
}
lock (orderBookLock)
{
if (OrderBook == null ||
OrderBook.Symbol != Symbol.Name)
{
OrderBook = new OrderBook
{
Symbol = orderBook.Symbol,
BaseSymbol = Symbol.BaseAsset.Symbol,
QuoteSymbol = Symbol.QuoteAsset.Symbol
};
}
if (OrderBook.LastUpdateId < orderBook.LastUpdateId)
{
OrderBook.LastUpdateId = orderBook.LastUpdateId;
OrderBook.Top = new OrderBookTop
{
Ask = new OrderBookPriceLevel
{
Price = orderBook.Top.Ask.Price.Trim(Symbol.PricePrecision),
Quantity = orderBook.Top.Ask.Quantity.Trim(Symbol.QuantityPrecision)
},
Bid = new OrderBookPriceLevel
{
Price = orderBook.Top.Bid.Price.Trim(Symbol.PricePrecision),
Quantity = orderBook.Top.Bid.Quantity.Trim(Symbol.QuantityPrecision)
}
};
var asks = new List <OrderBookPriceLevel>(
(from ask in orderBook.Asks
orderby ask.Price
select new OrderBookPriceLevel
{
Price = ask.Price.Trim(Symbol.PricePrecision),
Quantity = ask.Quantity.Trim(Symbol.QuantityPrecision)
}));
var bids = new List <OrderBookPriceLevel>(
(from bid in orderBook.Bids
orderby bid.Price
select new OrderBookPriceLevel
{
Price = bid.Price.Trim(Symbol.PricePrecision),
Quantity = bid.Quantity.Trim(Symbol.QuantityPrecision)
}));
OrderBook.Update(asks, bids);
}
}
}
internal void UpdateOrderBook(Interface.OrderBook orderBook)
{
if (!Symbol.Name.Equals(orderBook.Symbol))
{
throw new Exception("Orderbook update for wrong symbol");
}
lock (orderBookLock)
{
Logger.Log($"Orders New Update {swOrderUpdate.Elapsed}", Category.Info, Priority.Low);
var sw = new Stopwatch();
sw.Start();
Logger.Log($"Start OrderBookUpdate", Category.Info, Priority.Low);
bool firstOrders = false;
if (OrderBook == null)
{
// First incoming order book create the local order book.
firstOrders = true;
OrderBook = new OrderBook
{
Symbol = orderBook.Symbol,
BaseSymbol = Symbol.BaseAsset.Symbol,
QuoteSymbol = Symbol.QuoteAsset.Symbol
};
}
else if (OrderBook.LastUpdateId >= orderBook.LastUpdateId)
{
// If the incoming order book is older than the local one ignore it.
return;
}
OrderBook.LastUpdateId = orderBook.LastUpdateId;
OrderBook.Top = new OrderBookTop
{
Ask = new OrderBookPriceLevel
{
Price = orderBook.Top.Ask.Price.Trim(Symbol.PricePrecision),
Quantity = orderBook.Top.Ask.Quantity.Trim(Symbol.QuantityPrecision)
},
Bid = new OrderBookPriceLevel
{
Price = orderBook.Top.Bid.Price.Trim(Symbol.PricePrecision),
Quantity = orderBook.Top.Bid.Quantity.Trim(Symbol.QuantityPrecision)
}
};
// Order by price: bids (DESC) and asks (ASC)
var orderedAsks = orderBook.Asks.OrderBy(a => a.Price).ToList();
var orderedBids = orderBook.Bids.OrderByDescending(b => b.Price).ToList();
// The OrderBookCount is the greater of the OrderBookDisplayCount OrderBookChartDisplayCount.
// Take the asks and bids for the OrderBookCount as new instances of type OrderBookPriceLevel
// i.e. discard those that we are not interested in displaying on the screen.
var asks = orderedAsks.Take(OrderBookCount).Select(ask => new OrderBookPriceLevel
{
Price = ask.Price.Trim(Symbol.PricePrecision),
Quantity = ask.Quantity.Trim(Symbol.QuantityPrecision)
}).ToList();
var bids = orderedBids.Take(OrderBookCount).Select(bid => new OrderBookPriceLevel
{
Price = bid.Price.Trim(Symbol.PricePrecision),
Quantity = bid.Quantity.Trim(Symbol.QuantityPrecision)
}).ToList();
// Take the top bids and asks for the order book bid and ask lists and order descending.
var topAsks = asks.Take(OrderBookDisplayCount).Reverse().ToList();
var topBids = bids.Take(OrderBookDisplayCount).ToList();
// Take the bid and aks to display in the the order book chart.
var chartAsks = asks.Take(OrderBookChartDisplayCount).ToList();
var chartBids = bids.Take(OrderBookChartDisplayCount).ToList();
// Create the aggregated bids and asks for the aggregated bid and ask chart.
var aggregatedAsks = chartAsks.GetAggregatedList();
var aggregatedBids = chartBids.GetAggregatedList();
// Create new instances of the top bids and asks, reversing the asks
OrderBook.TopAsks = topAsks;
OrderBook.TopBids = topBids;
if (firstOrders)
{
// Create new instances of the chart bids and asks, reversing the bids.
OrderBook.ChartAsks = new ChartValues <OrderBookPriceLevel>(chartAsks);
OrderBook.ChartBids = new ChartValues <OrderBookPriceLevel>(chartBids.Reverse <OrderBookPriceLevel>().ToList());
OrderBook.ChartAggregatedAsks = new ChartValues <OrderBookPriceLevel>(aggregatedAsks);
OrderBook.ChartAggregatedBids = new ChartValues <OrderBookPriceLevel>(aggregatedBids.Reverse <OrderBookPriceLevel>().ToList());
}
else
{
// Update the existing orderbook chart bids and asks, reversing the bids.
OrderBook.UpdateChartAsks(chartAsks);
OrderBook.UpdateChartBids(chartBids.Reverse <OrderBookPriceLevel>().ToList());
OrderBook.UpdateChartAggregateAsks(aggregatedAsks);
OrderBook.UpdateChartAggregateBids(aggregatedBids.Reverse <OrderBookPriceLevel>().ToList());
}
sw.Stop();
Logger.Log($"End OrderBookUpdate {sw.Elapsed}", Category.Info, Priority.Low);
swOrderUpdate.Restart();
}
}
