public static async Task <List <MarketQueryResponse> > SubscribeMarketsList(List <string> deltas)
{
List <MarketQueryResponse> failedList = new List <MarketQueryResponse>();
var subList = deltas.Select(d => WSSharpTransport.HubProxy.Invoke("SubscribeToExchangeDeltas", d)).ToArray();
await Task.WhenAll(subList);
foreach (string d in deltas)
{
var delta = "BTC-" + d;
Trace.Write("\rSUBBING: " + delta + " \r");
await WSSharpTransport.HubProxy.Invoke("SubscribeToExchangeDeltas", delta);
MarketQueryResponse marketQuery = await WSSharpTransport.HubProxy.Invoke <MarketQueryResponse>("QueryExchangeState", delta);
marketQuery.MarketName = delta;
bool opened = await BtrexData.TryOpenMarket(marketQuery);
if (!opened)
{
failedList.Add(marketQuery);
}
}
return(failedList);
}
public Market(MarketQueryResponse snapshot)
{
MarketDelta = snapshot.MarketName;
Nounce = snapshot.Nounce;
OrderBook = new OrderBook(snapshot);
TradeHistory = new TradeHistory(snapshot);
}
public OrderBook(MarketQueryResponse snapshot)
{
MarketDelta = snapshot.MarketName;
Bids = new ConcurrentDictionary <decimal, decimal>();
Asks = new ConcurrentDictionary <decimal, decimal>();
setAsksSnap(snapshot);
setBidsSnap(snapshot);
}
//public readonly static HubConnection hubConnection = new HubConnection("https://socket.bittrex.com/");
//public static IHubProxy btrexHubProxy;
public async Task SubscribeMarket(string delta)
{
await WSSharpTransport.HubProxy.Invoke("SubscribeToExchangeDeltas", delta);
MarketQueryResponse marketQuery = WSSharpTransport.HubProxy.Invoke <MarketQueryResponse>("QueryExchangeState", delta).Result;
marketQuery.MarketName = delta;
await BtrexData.OpenMarket(marketQuery);
}
public static async Task OpenMarket(MarketQueryResponse snapshot)
{
//Market.Market market = new Market.Market(snapshot);
//await market.TradeHistory.Resolve5mCandles();
//bool added;
//do
//{
// added = Markets.TryAdd(market.MarketDelta, market);
//} while (!added);
}
private void setAsksSnap(MarketQueryResponse snap)
{
Asks.Clear();
foreach (Sell ask in snap.Sells)
{
bool added = false;
while (!added)
{
added = Asks.TryAdd(ask.Rate, ask.Quantity);
}
}
}
private void setBidsSnap(MarketQueryResponse snap)
{
Bids.Clear();
foreach (Buy bid in snap.Buys)
{
bool added = false;
while (!added)
{
added = Bids.TryAdd(bid.Rate, bid.Quantity);
}
}
}
public static void ProcessQueue()
{
var pause = TimeSpan.FromMilliseconds(100);
while (true)
{
if (UpdateQueue.IsEmpty)
{
// no pending updates available pause
Thread.Sleep(pause);
continue;
}
bool tryDQ = false;
do
{
MarketDataUpdate mdUpdate = new MarketDataUpdate();
tryDQ = UpdateQueue.TryDequeue(out mdUpdate);
if (tryDQ)
{
if (mdUpdate.Nounce <= Markets[mdUpdate.MarketName].Nounce || Markets[mdUpdate.MarketName] == null)
{
break;
}
else if (mdUpdate.Nounce > Markets[mdUpdate.MarketName].Nounce + 1)
{
//IF NOUNCE IS DE-SYNCED, WIPE BOOK AND RE-SNAP
Trace.WriteLine(string.Format(" !!!!ERR>> NOUNCE OUT OF ORDER! " + mdUpdate.MarketName + " BOOK-DSYNC. {0}, {1}", Markets[mdUpdate.MarketName].Nounce, mdUpdate.Nounce));
bool removed;
do
{
Market.Market m;
removed = Markets.TryRemove(mdUpdate.MarketName, out m);
} while (!removed);
//Request MarketQuery from websocket, and OpenBook() with new snapshot
MarketQueryResponse marketQuery = BtrexWS.WSSharpTransport.HubProxy.Invoke <MarketQueryResponse>("QueryExchangeState", mdUpdate.MarketName).Result;
marketQuery.MarketName = mdUpdate.MarketName;
OpenMarket(marketQuery).Wait();
Trace.WriteLine(" [BOOK RE-SYNCED]");
break;
}
else
{
Markets[mdUpdate.MarketName].SetUpdate(mdUpdate);
}
}
} while (!tryDQ);
}
}
public TradeHistory(MarketQueryResponse snap)
{
//Pull candles from SQLite data and rectify with snap data,
//if cant rectify imediately, enter rectefication process/state
MarketDelta = snap.MarketName;
RecentFills = new List <mdFill>();
Candles5m = new List <HistDataLine>();
if (snap.Fills.Count() > 0)
{
snap.Fills.Reverse();
foreach (Fill fill in snap.Fills)
{
RecentFills.Add(new mdFill(Convert.ToDateTime(fill.TimeStamp), fill.Price, fill.Quantity, fill.OrderType));
}
}
Trace.Write(string.Format("\rResolving Candle Data: [{0}] ", MarketDelta));
//Compare last-time from .data, and first-time from snap:
using (SQLiteConnection conn = new SQLiteConnection("Data Source=" + HistoricalData.dbName + ";Version=3;"))
{
conn.Open();
using (var cmd = new SQLiteCommand(conn))
{
cmd.CommandText = string.Format("SELECT * FROM {0} ORDER BY datetime(DateTime) DESC Limit 1", MarketDelta.Replace('-', '_'));
LastStoredCandle = Convert.ToDateTime(cmd.ExecuteScalar());
}
conn.Close();
}
//Candle Time is the START time of the 5m period. This means it is current to +5min from that time.
DateTime NextCandleTime = LastStoredCandle.AddMinutes(5);
if (NextCandleTime > RecentFills.Last().TimeStamp)
{
//NO TRADES MADE IN THIS CANDLE PERIOD.
CandlesResolved = true;
return;
}
else if (NextCandleTime >= RecentFills.First().TimeStamp)
{
BuildCandleFromRecentFills(NextCandleTime);
//Trace.WriteLine("@@@@@ NEW CANDLE = T:{0} O:{1} H:{2} L:{3} C:{4} V:{5}",
//nextCandle.DateTime, nextCandle.Open, nextCandle.High, nextCandle.Low, nextCandle.Close, nextCandle.Volume);
CandlesResolved = true;
}
}
public static async Task <bool> TryOpenMarket(MarketQueryResponse snapshot)
{
//Market.Market market = new Market.Market(snapshot);
//bool resolved = await market.TradeHistory.Resolve5mCandles(false);
//if (!resolved)
//{
// return false;
//}
//else
//{
// bool added;
// do
// {
// added = Markets.TryAdd(market.MarketDelta, market);
// } while (!added);
//}
return(true);
}
public static async Task <bool> TryOpenMarket(MarketQueryResponse snapshot)
{
Market.Market market = new Market.Market(snapshot);
bool resolved = await market.TradeHistory.Resolve5mCandles(false);
if (!resolved)
{
return(false);
}
else
{
bool added;
do
{
added = Markets.TryAdd(market.MarketDelta, market);
} while (!added);
}
return(true);
}
