internal Ohlc(int instrumentId, TimeSpan timeFrame, OhlcMessage message)
{
InstrumentId = instrumentId;
TimeFrame = timeFrame;
OpenedAt = message.OpenedAt.ToDateTimeOffset();
OpenPrice = message.OpenPrice;
HighPrice = message.HighPrice;
LowPrice = message.LowPrice;
ClosePrice = message.ClosePrice;
}
public void CreateFromString_ExampleOfPayload_ReturnsOhlcMessage()
{
var exampleOfPayload = TestSocketMessages.OhlcMessage;
var message = OhlcMessage.CreateFromString(exampleOfPayload);
Assert.NotNull(message);
Assert.Equal(42, message.ChannelId);
Assert.Equal(1542057314.748456M, message.Time);
Assert.Equal(1542057360.435743M, message.EndTime);
Assert.Equal(3586.70000M, message.Open);
Assert.Equal(3586.70000M, message.High);
Assert.Equal(3586.60000M, message.Low);
Assert.Equal(3586.60000M, message.Close);
Assert.Equal(3586.68894M, message.Vwap);
Assert.Equal(0.03373000M, message.Volume);
Assert.Equal(2, message.Count);
}
private void HandleData(KrakenMessageEventArgs eventArgs, SubscriptionStatus subscription)
{
var dataType = subscription.Subscription.Name;
if (dataType == SubscribeOptionNames.Ticker)
{
var tickerMessage = TickerMessage.CreateFromString(eventArgs.RawContent, subscription);
TickerReceived.InvokeAll(this, new TickerEventArgs(subscription.ChannelId.Value, subscription.Pair, tickerMessage));
}
if (dataType == SubscribeOptionNames.OHLC)
{
var ohlcMessage = OhlcMessage.CreateFromString(eventArgs.RawContent);
OhlcReceived.InvokeAll(this, new OhlcEventArgs(subscription.ChannelId.Value, subscription.Pair, ohlcMessage));
}
if (dataType == SubscribeOptionNames.Trade)
{
var tradeMessage = TradeMessage.CreateFromString(eventArgs.RawContent);
TradeReceived.InvokeAll(this, new TradeEventArgs(subscription.ChannelId.Value, subscription.Pair, tradeMessage));
}
if (dataType == SubscribeOptionNames.Spread)
{
var spreadMessage = SpreadMessage.CreateFromString(eventArgs.RawContent);
SpreadReceived.InvokeAll(this, new SpreadEventArgs(subscription.ChannelId.Value, subscription.Pair, spreadMessage));
}
if (dataType == SubscribeOptionNames.Book)
{
if (eventArgs.RawContent.Contains(@"""as"":") && eventArgs.RawContent.Contains(@"""bs"":"))
{
var bookSnapshotMessage = BookSnapshotMessage.CreateFromString(eventArgs.RawContent);
BookSnapshotReceived.InvokeAll(this, new KrakenDataEventArgs <BookSnapshotMessage>(eventArgs.ChannelId.Value, subscription.Pair, bookSnapshotMessage));
}
if (eventArgs.RawContent.Contains(@"""a"":") || eventArgs.RawContent.Contains(@"""b"":"))
{
var bookUpdateMessage = BookUpdateMessage.CreateFromString(eventArgs.RawContent);
BookUpdateReceived.InvokeAll(this, new KrakenDataEventArgs <BookUpdateMessage>(eventArgs.ChannelId.Value, subscription.Pair, bookUpdateMessage));
}
}
}
private void HandleIncomingMessage(object sender, KrakenMessageEventArgs eventArgs)
{
logger.LogDebug("Handling incoming '{event}' message", eventArgs.Event);
switch (eventArgs.Event)
{
case Heartbeat.EventName:
var heartbeat = serializer.Deserialize <Heartbeat>(eventArgs.RawContent);
logger.LogTrace("Heartbeat received: {heartbeat}", heartbeat);
HeartbeatReceived.InvokeAll(this, heartbeat);
break;
case SystemStatus.EventName:
var systemStatus = serializer.Deserialize <SystemStatus>(eventArgs.RawContent);
logger.LogTrace("System status changed: {systemStatus}", systemStatus);
SystemStatus = systemStatus;
SystemStatusChanged.InvokeAll(this, systemStatus);
break;
case SubscriptionStatus.EventName:
var subscriptionStatus = serializer.Deserialize <SubscriptionStatus>(eventArgs.RawContent);
logger.LogTrace("Subscription status changed: {subscriptionStatus}", subscriptionStatus);
SynchronizeSubscriptions(subscriptionStatus);
SubscriptionStatusChanged.InvokeAll(this, subscriptionStatus);
break;
case "data":
var subscription = Subscriptions.ContainsKey(eventArgs.ChannelId.Value) ? Subscriptions[eventArgs.ChannelId.Value] : null;
if (subscription == null)
{
logger.LogWarning("Didn't find a subscription for channelId {channelId}", eventArgs.ChannelId);
break;
}
var dataType = subscription.Subscription.Name;
if (dataType == SubscribeOptionNames.Ticker)
{
var tickerMessage = TickerMessage.CreateFromString(eventArgs.RawContent, subscription);
TickerReceived.InvokeAll(this, new TickerEventArgs(subscription.ChannelId.Value, subscription.Pair, tickerMessage));
}
if (dataType == SubscribeOptionNames.OHLC)
{
var ohlcMessage = OhlcMessage.CreateFromString(eventArgs.RawContent);
OhlcReceived.InvokeAll(this, new OhlcEventArgs(subscription.ChannelId.Value, subscription.Pair, ohlcMessage));
}
if (dataType == SubscribeOptionNames.Trade)
{
var tradeMessage = TradeMessage.CreateFromString(eventArgs.RawContent);
TradeReceived.InvokeAll(this, new TradeEventArgs(subscription.ChannelId.Value, subscription.Pair, tradeMessage));
}
if (dataType == SubscribeOptionNames.Spread)
{
var spreadMessage = SpreadMessage.CreateFromString(eventArgs.RawContent);
SpreadReceived.InvokeAll(this, new SpreadEventArgs(subscription.ChannelId.Value, subscription.Pair, spreadMessage));
}
if (dataType == SubscribeOptionNames.Book)
{
if (eventArgs.RawContent.Contains(@"""as"":") && eventArgs.RawContent.Contains(@"""bs"":"))
{
var bookSnapshotMessage = BookSnapshotMessage.CreateFromString(eventArgs.RawContent);
BookSnapshotReceived.InvokeAll(this, new KrakenDataEventArgs <BookSnapshotMessage>(eventArgs.ChannelId.Value, subscription.Pair, bookSnapshotMessage));
}
if (eventArgs.RawContent.Contains(@"""a"":") || eventArgs.RawContent.Contains(@"""b"":"))
{
var bookUpdateMessage = BookUpdateMessage.CreateFromString(eventArgs.RawContent);
BookUpdateReceived.InvokeAll(this, new KrakenDataEventArgs <BookUpdateMessage>(eventArgs.ChannelId.Value, subscription.Pair, bookUpdateMessage));
}
}
break;
default:
logger.LogWarning("Could not handle incoming message: {message}", eventArgs.RawContent);
break;
}
}
