private void BooksRunner(object _object)
{
string _pair = _object.ToString();
string _pairA = _pair.Contains("_") ? _pair.Split('_')[0] : _pair;
string _url = $"/public/orderbook/{_pairA}";
if (this.BooksLimit != "")
{
_url += $"?count={this.BooksLimit}";
}
this.Books[_pair, MarketSide.Ask] = new BookItems(MarketSide.Ask);
this.Books[_pair, MarketSide.Bid] = new BookItems(MarketSide.Bid);
string _result = "";
while (this.Running)
{
Thread.Sleep(1000);
try
{
WebClientPlus _client = new WebClientPlus(5000);
_result = _client.DownloadString($"{base.HttpUrl}{_url}");
_client.Dispose();
JObject _json = JObject.Parse(_result);
BookItems _asks = new BookItems(MarketSide.Ask);
BookItems _bids = new BookItems(MarketSide.Bid);
this.Books.Timestamp = _json["data"]["timestamp"].Value <long>();
foreach (var _item in _json["data"]["asks"])
{
decimal _price = _item["price"].Value <decimal>();
decimal _amount = _item["quantity"].Value <decimal>();
_asks.Insert(_price.ToString(), Math.Abs(_price), _amount);
}
foreach (var _item in _json["data"]["bids"])
{
decimal _price = _item["price"].Value <decimal>();
decimal _amount = _item["quantity"].Value <decimal>();
_bids.Insert(_price.ToString(), Math.Abs(_price), _amount);
}
this.Books[_pair, MarketSide.Ask] = _asks;
this.Books[_pair, MarketSide.Bid] = _bids;
}
catch (Exception _ex)
{
this.OnLog($"GetBooks Error:{_result}");
this.OnLog($"GetBooks Error:{_ex.ToString()}");
}
}
}
private void BooksRunner(object _object)
{
string _pair = _object.ToString();
string _url = $"/api/v1/depth?symbol={_pair}&limit=10";
this.Books[_pair, MarketSide.Ask] = new BookItems(MarketSide.Ask);
this.Books[_pair, MarketSide.Bid] = new BookItems(MarketSide.Bid);
string _result = "";
while (this.Running)
{
Thread.Sleep(1000);
try
{
WebClientPlus _client = new WebClientPlus(5000);
_result = _client.DownloadString($"{base.HttpUrl}{_url}");
_client.Dispose();
JObject _json = JObject.Parse(_result);
BookItems _asks = new BookItems(MarketSide.Ask);
BookItems _bids = new BookItems(MarketSide.Bid);
this.Books.Timestamp = DateTimePlus.DateTime2JSTime(DateTime.UtcNow);
foreach (var _item in _json["asks"])
{
decimal _price = _item[0].Value <decimal>();
decimal _amount = _item[1].Value <decimal>();
_asks.Insert(_price.ToString(), Math.Abs(_price), _amount);
}
foreach (var _item in _json["bids"])
{
decimal _price = _item[0].Value <decimal>();
decimal _amount = _item[1].Value <decimal>();
_bids.Insert(_price.ToString(), Math.Abs(_price), _amount);
}
this.Books[_pair, MarketSide.Ask] = _asks;
this.Books[_pair, MarketSide.Bid] = _bids;
}
catch (Exception _ex)
{
this.OnLog($"GetBooks Error:{_result}");
this.OnLog($"GetBooks Error:{_ex.ToString()}");
}
}
}
/// <summary>
/// GetDepths
/// </summary>
/// <param name="_pair"></param>
/// <param name="_values">0:limit 1:group</param>
/// <returns></returns>
public override Books GetDepths(string _pair, params string[] _values)
{
string _url = $"/v1/book/{_pair}";
if (_values.Length > 0)
{
_url += $"?limit_bids={_values[0]}&limit_asks={_values[1]}";
}
if (_values.Length > 1)
{
_url += $"&group={_values[1]}";
}
JToken _token = base.HttpCall(HttpCallMethod.Get, "GET", _url);
if (_token == null)
{
return(null);
}
BookItems _bidList = new BookItems(MarketSide.Bid);
JArray _bids = _token["bids"].Value <JArray>();
for (int i = 0; i < _bids.Count; i++)
{
decimal _price = _bids[i]["price"].Value <decimal>();
decimal _amount = _bids[i]["amount"].Value <decimal>();
_bidList.Insert(_price.ToString(), _price, _amount);
}
BookItems _askList = new BookItems(MarketSide.Ask);
JArray _asks = _token["asks"].Value <JArray>();
for (int i = 0; i < _asks.Count; i++)
{
decimal _price = _asks[i]["price"].Value <decimal>();
decimal _amount = _asks[i]["amount"].Value <decimal>();
_askList.Insert(_price.ToString(), _price, _amount);
}
Books _books = new Books();
_books[_pair, MarketSide.Bid] = _bidList;
_books[_pair, MarketSide.Ask] = _askList;
return(_books);
}
public override Books GetDepths(string _pair, params string[] _values)
{
string _url = $"/GET/v1/api/depth?pair={_pair}&depth={_values[0]}&accuracy={_values[1]}";
JToken _token = base.HttpCall(HttpCallMethod.Get, "GET", _url);
if (_token == null)
{
return(null);
}
BookItems _bidList = new BookItems(MarketSide.Bid);
JArray _bids = _token["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>();
_bidList.Insert(_price.ToString(), _price, _amount);
}
BookItems _askList = new BookItems(MarketSide.Ask);
JArray _asks = _token["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>();
_askList.Insert(_price.ToString(), _price, _amount);
}
Books _books = new Books();
_books[_pair, MarketSide.Bid] = _bidList;
_books[_pair, MarketSide.Ask] = _askList;
return(_books);
}
/// <summary>
/// GetDepths
/// </summary>
/// <param name="_pair"></param>
/// <param name="_values">0:limit 1:group</param>
/// <returns></returns>
public override Books GetDepths(string _pair, params string[] _values)
{
string _url = $"/api/v1/orderBook/L2?symbol={_pair}&depth={_values[0]}";
JToken _token = base.HttpCall(HttpCallMethod.Get, "GET", _url);
if (_token == null)
{
return(null);
}
BookItems _bidList = new BookItems(MarketSide.Bid);
BookItems _askList = new BookItems(MarketSide.Ask);
foreach (JToken _item in _token)
{
string _id = _item["id"].Value <string>();
decimal _price = _item["price"].Value <decimal>();
decimal _amount = _item["amount"].Value <decimal>();
string _side = _item["side"].Value <string>().ToLower();
if (_side == "Sell")
{
_askList.Insert(_price.ToString(), _price, _amount);
}
else
{
_bidList.Insert(_price.ToString(), _price, _amount);
}
}
Books _books = new Books();
_books[_pair, MarketSide.Bid] = _bidList;
_books[_pair, MarketSide.Ask] = _askList;
return(_books);
}
protected override void ReceivedDepth(string _pair, string _type, JToken _token)
{
JObject _json = (JObject)_token;
#region Bid
IList <KeyValuePair <string, BookItem> > _bidItems = this.Books[_pair, MarketSide.Bid].ToList();
BookItems _bidList = new BookItems(MarketSide.Bid);
JArray _bids = _json["bids"].Value <JArray>();
for (int i = 0; i < _bids.Count; i += 2)
{
decimal _price = _bids[i].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[_pair, MarketSide.Ask].ToList();
JArray _asks = _json["asks"].Value <JArray>();
for (int i = 0; i < _asks.Count; i += 2)
{
decimal _price = _asks[i].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[_pair, MarketSide.Ask] = _askList;
this.Books[_pair, MarketSide.Bid] = _bidList;
}
private void BooksRunner(object _object)
{
string _pair = _object.ToString();
string _url = $"/{_pair}/depth";
this.Books[_pair, MarketSide.Ask] = new BookItems(MarketSide.Ask);
this.Books[_pair, MarketSide.Bid] = new BookItems(MarketSide.Bid);
string _result = "";
while (this.Running)
{
Thread.Sleep(1000);
try
{
WebClientPlus _client = new WebClientPlus(5000);
_result = _client.DownloadString($"{this.UrlPublic}{_url}");
_client.Dispose();
JObject _json = JObject.Parse(_result);
BookItems _asks = new BookItems(MarketSide.Ask);
BookItems _bids = new BookItems(MarketSide.Bid);
this.Books.Timestamp = _json["data"]["timestamp"].Value <long>();
foreach (var _item in _json["data"]["asks"])
{
decimal _price = _item[0].Value <decimal>();
decimal _amount = _item[1].Value <decimal>();
_asks.Insert(_price.ToString(), Math.Abs(_price), _amount);
}
foreach (var _item in _json["data"]["bids"])
{
decimal _price = _item[0].Value <decimal>();
decimal _amount = _item[1].Value <decimal>();
_bids.Insert(_price.ToString(), Math.Abs(_price), _amount);
}
BookItems _asksLimit = new BookItems(MarketSide.Ask);
BookItems _bidsLimit = new BookItems(MarketSide.Bid);
foreach (var _item in _asks.OrderBy(b => b.Value.Price).Take(10))
{
decimal _price = _item.Value.Price;
decimal _amount = _item.Value.Amount;
_asksLimit.Insert(_price.ToString(), Math.Abs(_price), _amount);
}
foreach (var _item in _bids.OrderByDescending(b => b.Value.Price).Take(10))
{
decimal _price = _item.Value.Price;
decimal _amount = _item.Value.Amount;
_bidsLimit.Insert(_price.ToString(), Math.Abs(_price), _amount);
}
this.Books[_pair, MarketSide.Ask] = _asksLimit;
this.Books[_pair, MarketSide.Bid] = _bidsLimit;
}
catch (Exception _ex)
{
this.OnLog($"GetBooks Error:{_result}");
this.OnLog($"GetBooks Error:{_ex.ToString()}");
}
}
}
private void BooksRunner(object _object)
{
string _pair = _object.ToString();
string _url = $"/api/spot/v3/instruments/{_pair}/book?size=10";
this.Books[_pair, MarketSide.Ask] = new BookItems(MarketSide.Ask);
this.Books[_pair, MarketSide.Bid] = new BookItems(MarketSide.Bid);
string _result = "";
while (this.Running)
{
Thread.Sleep(1000);
try
{
WebClientPlus _client = new WebClientPlus(10000);
_result = _client.DownloadString($"{this.HttpUrl}{_url}");
_client.Dispose();
JObject _json = JObject.Parse(_result);
BookItems _asks = new BookItems(MarketSide.Ask);
BookItems _bids = new BookItems(MarketSide.Bid);
this.Books.Timestamp = DateTimePlus.DateTime2JSTime(DateTime.UtcNow);
foreach (var _item in _json["asks"])
{
decimal _price = decimal.Parse(_item[0].Value <string>(), System.Globalization.NumberStyles.Float);
decimal _amount = decimal.Parse(_item[1].Value <string>(), System.Globalization.NumberStyles.Float);
_asks.Insert(_price.ToString(), Math.Abs(_price), _amount);
}
foreach (var _item in _json["bids"])
{
decimal _price = decimal.Parse(_item[0].Value <string>(), System.Globalization.NumberStyles.Float);
decimal _amount = decimal.Parse(_item[1].Value <string>(), System.Globalization.NumberStyles.Float);
_bids.Insert(_price.ToString(), Math.Abs(_price), _amount);
}
BookItems _asksLimit = new BookItems(MarketSide.Ask);
BookItems _bidsLimit = new BookItems(MarketSide.Bid);
foreach (var _item in _asks.OrderBy(b => b.Value.Price).Take(10))
{
decimal _price = _item.Value.Price;
decimal _amount = _item.Value.Amount;
_asksLimit.Insert(_price.ToString(), Math.Abs(_price), _amount);
}
foreach (var _item in _bids.OrderByDescending(b => b.Value.Price).Take(10))
{
decimal _price = _item.Value.Price;
decimal _amount = _item.Value.Amount;
_bidsLimit.Insert(_price.ToString(), Math.Abs(_price), _amount);
}
this.Books[_pair, MarketSide.Ask] = _asksLimit;
this.Books[_pair, MarketSide.Bid] = _bidsLimit;
}
catch (Exception _ex)
{
this.OnLog($"GetBooks Error:{_result}");
this.OnLog($"GetBooks Error:{_ex.ToString()}");
}
}
}
private void BooksRunner(object _object)
{
string _pair = _object.ToString();
string _url = $"/v1.1/public/getorderbook?market={_pair}&type=both";
this.Books[_pair, MarketSide.Ask] = new BookItems(MarketSide.Ask);
this.Books[_pair, MarketSide.Bid] = new BookItems(MarketSide.Bid);
string _result = "";
while (this.Running)
{
Thread.Sleep(1000);
try
{
WebClientPlus _client = new WebClientPlus(5000);
_result = _client.DownloadString($"{this.HttpUrl}{_url}");
_client.Dispose();
JObject _json = JObject.Parse(_result);
BookItems _asks = new BookItems(MarketSide.Ask);
BookItems _bids = new BookItems(MarketSide.Bid);
this.Books.Timestamp = DateTimePlus.DateTime2JSTime(DateTime.UtcNow);
foreach (var _item in _json["result"]["sell"])
{
decimal _price = _item["Rate"].Value <decimal>();
decimal _amount = _item["Quantity"].Value <decimal>();
_asks.Insert(_price.ToString(), Math.Abs(_price), _amount);
}
foreach (var _item in _json["result"]["buy"])
{
decimal _price = _item["Rate"].Value <decimal>();
decimal _amount = _item["Quantity"].Value <decimal>();
_bids.Insert(_price.ToString(), Math.Abs(_price), _amount);
}
BookItems _asksLimit = new BookItems(MarketSide.Ask);
BookItems _bidsLimit = new BookItems(MarketSide.Bid);
foreach (var _item in _asks.OrderBy(b => b.Value.Price).Take(10))
{
decimal _price = _item.Value.Price;
decimal _amount = _item.Value.Amount;
_asksLimit.Insert(_price.ToString(), Math.Abs(_price), _amount);
}
foreach (var _item in _bids.OrderByDescending(b => b.Value.Price).Take(10))
{
decimal _price = _item.Value.Price;
decimal _amount = _item.Value.Amount;
_bidsLimit.Insert(_price.ToString(), Math.Abs(_price), _amount);
}
this.Books[_pair, MarketSide.Ask] = _asksLimit;
this.Books[_pair, MarketSide.Bid] = _bidsLimit;
}
catch (Exception _ex)
{
this.OnLog($"GetBooks Error:{_result}");
this.OnLog($"GetBooks Error:{_ex.ToString()}");
}
}
}
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);
}
}
}
}