protected override void ReceivedDepth(string _symbol, string _type, JToken _token)
{
JArray _array = (JArray)_token;
JArray _list = (_array.Count == 2 && _array[1].Type == JTokenType.Array) ? _array[1].Value <JArray>() : _array;
//_symbol = _symbol.Split('.')[1];
if (_type == "START")
{
BookItems _asks = new BookItems(MarketSide.Ask);
BookItems _bids = new BookItems(MarketSide.Bid);
foreach (JArray _item in _list)
{
decimal _price = _item[0].Value <decimal>();
int _count = _item[1].Value <int>();
decimal _amount = _item[2].Value <decimal>();
MarketSide _side = _amount > 0 ? MarketSide.Bid : MarketSide.Ask;
string _id = _price.ToString();
BookItem _bookItem = new BookItem(_symbol, _side, _price, Math.Abs(_amount), _id);
if (_side == MarketSide.Bid)
{
_bids.TryAdd(_id, _bookItem);
}
if (_side == MarketSide.Ask)
{
_asks.TryAdd(_id, _bookItem);
}
}
this.Books[_symbol, MarketSide.Ask] = _asks;
this.Books[_symbol, MarketSide.Bid] = _bids;
this.OnBookStarted(_symbol);
}
else
{
decimal _price = _list[1].Value <decimal>();
int _count = _list[2].Value <int>();
decimal _amount = _list[3].Value <decimal>();
MarketSide _side = _amount > 0 ? MarketSide.Bid : MarketSide.Ask;
BookItems _items = this.Books[_symbol, _side];
if (_count == 0)
{
BookItem _item = _items.Delete(_price.ToString());
if (_item != null)
{
this.OnBookDelete(_item);
}
}
else
{
BookItem _item = _items.Update(_price.ToString(), Math.Abs(_amount));
if (_item == null)
{
_item = _items.Insert(_price.ToString(), _price, _amount);
this.OnBookInsert(_item);
}
else
{
this.OnBookUpdate(_item);
}
}
}
}
protected override void ReceivedDepth(string _symbol, string _type, JToken _token)
{
JObject _json = (JObject)_token;
if (_type == "FULL")
{
#region Bid
IList <KeyValuePair <string, BookItem> > _bidItems = this.Books[_symbol, MarketSide.Bid].ToList();
BookItems _bidList = new BookItems(MarketSide.Bid);
JArray _bids = _json["bids"].Value <JArray>();
for (int i = 0; i < _bids.Count; i++)
{
decimal _price = _bids[i][0].Value <decimal>();
decimal _amount = _bids[i][1].Value <decimal>();
KeyValuePair <string, BookItem>[] _temps = _bidItems.Where(c => c.Key == _price.ToString()).ToArray();
if (_temps.Length == 0)
{
this.OnBookInsert(_bidList.Insert(_price.ToString(), _price, _amount));
}
else
{
BookItem _item = _temps[0].Value;
if (_item.Amount != _amount)
{
_item.Amount = _amount;
this.OnBookUpdate(_item);
}
_bidList.Insert(_item.Id, _item.Price, _amount);
_bidItems.Remove(_temps[0]);
}
}
foreach (KeyValuePair <string, BookItem> _item in _bidItems)
{
this.OnBookDelete(_item.Value);
}
#endregion
#region Ask
BookItems _askList = new BookItems(MarketSide.Ask);
IList <KeyValuePair <string, BookItem> > _askItems = this.Books[_symbol, MarketSide.Ask].ToList();
JArray _asks = _json["asks"].Value <JArray>();
for (int i = 0; i < _asks.Count; i++)
{
decimal _price = _asks[i][0].Value <decimal>();
decimal _amount = _asks[i][1].Value <decimal>();
KeyValuePair <string, BookItem>[] _temps = _askItems.Where(c => c.Key == _price.ToString()).ToArray();
if (_temps.Length == 0)
{
this.OnBookInsert(_askList.Insert(_price.ToString(), _price, _amount));
}
else
{
BookItem _item = _temps[0].Value;
if (_item.Amount != _amount)
{
_item.Amount = _amount;
this.OnBookUpdate(_item);
}
_askList.Insert(_item.Id, _item.Price, _amount);
_askItems.Remove(_temps[0]);
}
}
foreach (KeyValuePair <string, BookItem> _item in _askItems)
{
this.OnBookDelete(_item.Value);
}
#endregion
this.Books[_symbol, MarketSide.Ask] = _askList;
this.Books[_symbol, MarketSide.Bid] = _bidList;
}
else if (_type == "UPDATE")
{
#region Bid
if (_json.Property("bids") != null)
{
JArray _bids = _json["bids"].Value <JArray>();
BookItems _bidList = this.Books[_symbol, MarketSide.Bid];
for (int i = 0; i < _bids.Count; i++)
{
decimal _price = _bids[i][0].Value <decimal>();
decimal _amount = _bids[i][1].Value <decimal>();
if (_amount == 0)
{
BookItem _item = _bidList.Delete(_price.ToString());
if (_item != null)
{
this.OnBookDelete(_item);
}
}
else
{
BookItem _item = _bidList.Update(_price.ToString(), _amount);
if (_item != null)
{
this.OnBookUpdate(_item);
}
else
{
this.OnBookInsert(_bidList.Insert(_price.ToString(), _price, _amount));
}
}
}
}
#endregion
#region Ask
if (_json.Property("asks") != null)
{
BookItems _askList = this.Books[_symbol, MarketSide.Ask];
JArray _asks = _json["asks"].Value <JArray>();
for (int i = 0; i < _asks.Count; i++)
{
decimal _price = _asks[i][0].Value <decimal>();
decimal _amount = _asks[i][1].Value <decimal>();
if (_amount == 0)
{
BookItem _item = _askList.Delete(_price.ToString());
if (_item != null)
{
this.OnBookDelete(_item);
}
}
else
{
BookItem _item = _askList.Update(_price.ToString(), _amount);
if (_item != null)
{
this.OnBookUpdate(_item);
}
else
{
this.OnBookInsert(_askList.Insert(_price.ToString(), _price, _amount));
}
}
}
}
#endregion
}
}
