public bool OnOrderUpdate(WebSocket.IMessageIn msg, out OrderBookDelta delta, out Trade trade)
{
delta = new OrderBookDelta()
{
Time = msg.Time,
Bids = new List <PriceLevel>(),
Asks = new List <PriceLevel>(),
Sequence = msg.Sequence,
};
trade = new Trade()
{
Time = msg.Time,
Side = msg.Side,
};
if (msg.Sequence > _seqNum + 1)
{
_log.Warn("Detected a gap in sequence numbers for {0}: {1} => {2}",
msg.ProductId, _seqNum, msg.Sequence);
return(false);
}
if (msg.Sequence <= _seqNum)
{
_log.Info("Ignoring message with sequence {0} for {1}: already at {2}",
msg.Sequence, msg.ProductId, _seqNum);
return(true);
}
var book_side = msg.Side == Side.Buy ? _bids : _asks;
var delta_side = msg.Side == Side.Buy ? delta.Bids : delta.Asks;
// It's important that Visit() doesn't modify book_side if it throws.
msg.Visit(new MessageHandler(book_side, delta_side, trade));
_seqNum = msg.Sequence;
return(true);
}
void RefreshOrderBook(string product, OrderBookBuilder book)
{
// Coinbase doesn't give us server time together with the full order book,
// so we retrieve it with a separate request BEFORE requesting the order book.
DateTime serverTime = _restClient.SendRequest(new REST.TimeRequest()).Result.Time;
REST.OrderBookResponse snapshot =
_restClient.SendRequest(new REST.OrderBookRequest()
{
Product = product
}).Result;
DateTime received = DateTime.UtcNow;
OrderBookDelta delta = book.OnSnapshot(serverTime, snapshot); // Throws if the snapshot is malformed.
if (delta != null && (delta.Bids.Any() || delta.Asks.Any()))
{
try
{
OnOrderBook?.Invoke(
product,
new TimestampedMsg <OrderBookDelta>()
{
Received = received, Value = delta
});
}
catch (Exception e)
{
_log.Warn(e, "Ignoring exception from OnOrderBook");
}
}
}
public OrderBookDelta OnSnapshot(DateTime serverTime, REST.OrderBookResponse snapshot)
{
Condition.Requires(snapshot, "snapshot").IsNotNull();
Condition.Requires(snapshot.Sequence, "snapshot.Sequence").IsGreaterOrEqual(_seqNum);
var bids = Aggregate(snapshot.Bids);
var asks = Aggregate(snapshot.Asks);
var delta = new OrderBookDelta()
{
Time = serverTime,
Bids = Diff(_bids, bids).ToList(),
Asks = Diff(_asks, asks).ToList(),
Sequence = snapshot.Sequence,
};
delta.Bids.Reverse();
_seqNum = snapshot.Sequence;
_bids = bids;
_asks = asks;
return(delta);
}
void OnMessage(TimestampedMsg <WebSocket.IMessageIn> msg)
{
Condition.Requires(msg, "msg").IsNotNull();
Condition.Requires(msg.Value, "msg.Value").IsNotNull();
Condition.Requires(msg.Value.ProductId, "msg.Value.ProductId").IsNotNullOrEmpty();
Condition.Requires(_products.ContainsKey(msg.Value.ProductId));
bool myFill = _orderManager.OnMessage(msg);
OrderBookBuilder book = _products[msg.Value.ProductId];
OrderBookDelta delta = null;
Trade trade = null;
bool ok = false;
try
{
ok = book.OnOrderUpdate(msg.Value, out delta, out trade);
}
catch (Exception e)
{
_log.Error(e, "Unable to process order update");
}
if (ok)
{
if (!myFill && trade != null && trade.Size > 0m)
{
try
{
OnTrade?.Invoke(
msg.Value.ProductId,
new TimestampedMsg <Trade>()
{
Received = msg.Received, Value = trade
});
}
catch (Exception e)
{
_log.Warn(e, "Ignoring exception from OnTrade");
}
}
if (delta != null && (delta.Bids.Any() || delta.Asks.Any()))
{
try
{
OnOrderBook?.Invoke(
msg.Value.ProductId,
new TimestampedMsg <OrderBookDelta>()
{
Received = msg.Received, Value = delta
});
}
catch (Exception e)
{
_log.Warn(e, "Ignoring exception from OnOrderBook");
}
}
}
else
{
RefreshOrderBook(msg.Value.ProductId, book);
}
}
