async Task <SimpleDOM> IExecutionStrategy.GetDOM(Instrument instr, int depth)
{
var cmd = new OrderBookL2GETRequestParams()
{
Symbol = instr.Symbol, Depth = depth
};
var levels = await _bitmexSvc.Execute(BitmexApiUrls.OrderBook.GetOrderBookL2, cmd);
var bids = new List <Tuple <decimal, decimal> >();
var asks = new List <Tuple <decimal, decimal> >();
foreach (var l in levels)
{
var t = new Tuple <decimal, decimal>(l.Price, l.Size);
if (string.Equals("Sell", l.Side, StringComparison.OrdinalIgnoreCase))
{
asks.Add(t);
}
else
{
bids.Add(t);
}
}
return(await Task.FromResult(new SimpleDOM(bids, asks)));
}
public void should_return_orderbook_with_certain_depth()
{
// arrange
var @params = new OrderBookL2GETRequestParams()
{
Symbol = "XBTUSD",
Depth = 2
};
// act
var result = Sut.Execute(BitmexApiUrls.OrderBook.GetOrderBookL2, @params).Result;
// assert
result.Should().NotBeNull();
result.Count.Should().Be(4);
}
