private void Dispatch(OrderBookModel orderBookModel)
{
Asks.Clear();
Bids.Clear();
int count = orderBookModel.Asks.Count;
int takeCount = 100;
orderBookModel.Asks.Skip(count - takeCount).Take(takeCount).ToList().ForEach(x => Asks.Add(new OrderBookEntry
{
Amount = x.Amount,
DateTime = x.DateTime,
Price = x.Price,
GroupedPrice = x.GroupedPrice,
GroupedVolume = x.GroupedVolume
}));
orderBookModel.Bids.Take(100).ToList().ForEach(x => Bids.Add(new OrderBookEntry
{
Amount = x.Amount,
DateTime = x.DateTime,
Price = x.Price,
GroupedPrice = x.GroupedPrice,
GroupedVolume = x.GroupedVolume
}));
}
/// <summary>
/// Get orderbook for specify markets.
/// </summary>
/// <param name="crypto"></param>
/// <param name="fiat"></param>
/// <returns></returns>
public OrderBookModel OrderBook(CryptoCurrency crypto, FiatCurrency fiat)
{
IRestRequest req = new RestRequest($"/stats/orderbook_{crypto.ToString().ToLower()}{fiat.ToString().ToLower()}.json");
string response = client.Execute(req).Content;
OrderBookModel orderbook = JsonConvert.DeserializeObject <OrderBookModel>(response);
return(orderbook);
}
public OrderBookModel Transform()
{
var firstOrderBook = OrderBooks.Values.First();
var asks = new List <OrderBookEntryModel>();
var bids = new List <OrderBookEntryModel>();
firstOrderBook.Asks.ForEach(x => asks.Add(x.Transform()));
firstOrderBook.Bids.ForEach(x => bids.Add(x.Transform()));
var result = new OrderBookModel
{
Asks = new List <OrderBookEntryModel>(asks),
Bids = new List <OrderBookEntryModel>(bids)
};
return(result);
}
/// <summary>
/// Parses the data from source to datapoints.
/// </summary>
/// <param name="data">The data.</param>
/// <param name="ticker">Associated ticker</param>
/// <returns></returns>
public DataPointImpl[] ParseData(string data, string ticker = "")
{
//Initial items
DepthModel depthupdate = null;
TradeModel treadeupdate = null;
OrderBookModel orderbookupdate = null;
var toreturn = new List <DataPointImpl>();
data = data.Replace(",[]", "");
//Convert models
if (data.Contains("depthUpdate"))
{
depthupdate = JSON.Deserialize <DepthModel>(data);
}
else if (data.Contains("aggTrade"))
{
treadeupdate = JSON.Deserialize <TradeModel>(data);
}
else if (data.Contains("lastUpdateId"))
{
//Check if this contains additional data
if (data.Contains("|"))
{
var splitted = data.Split('|');
ticker = splitted[0];
data = splitted[1];
}
//Parse data
orderbookupdate = JSON.Deserialize <OrderBookModel>(data);
}
//Full update order book
if (orderbookupdate != null && !string.IsNullOrWhiteSpace(ticker))
{
//Check data
if (!_orderbook.TryGetValue(ticker, out var orderbook))
{
//Set order book instance
orderbook = new OrderBook(ticker);
_orderbook[ticker] = orderbook;
}
//Helper function
void UpdateBook(bool isBid, PriceModel x) =>
orderbook.AddQuote(isBid, x.DoubleValue, x.DoubleSize);
//Clear and refresh
orderbook.Clear();
orderbookupdate.Asks.ForEach(u => UpdateBook(false, u));
orderbookupdate.Bids.ForEach(u => UpdateBook(true, u));
}
//Update order book
else if (depthupdate != null)
{
//Check data
if (!_orderbook.TryGetValue(ticker, out var orderbook))
{
//Set order book instance
orderbook = new OrderBook(ticker);
_orderbook[ticker] = orderbook;
}
//DateTime occured
DateTime occuredutc = Time.FromUnixTime(depthupdate.EventTime, true);
//Check for quote updates in the order book (size == 0 = remove from order book)
bool update = depthupdate.AskPricesModel.Count(x => orderbook.AddQuote(false, x.DoubleValue, x.DoubleSize)) > 0;
update = depthupdate.BidPricesModel.Count(x => orderbook.AddQuote(true, x.DoubleValue, x.DoubleSize)) > 0 | update;
//Check for full quote update
if (update)
{
toreturn.Add(new Tick(GetQuantlerTicker(depthupdate.Symbol), DataSource)
{
AskSize = Convert.ToDecimal(orderbook.AskSize),
AskPrice = Convert.ToDecimal(orderbook.BestAsk),
BidPrice = Convert.ToDecimal(orderbook.BestBid),
BidSize = Convert.ToDecimal(orderbook.BidSize),
Depth = 0,
Occured = occuredutc,
TimeZone = TimeZone.Utc
});
}
}
//Send trade
else if (treadeupdate != null)
{
//DateTime occured
DateTime occuredutc = Time.FromUnixTime(treadeupdate.EventTime, true);
toreturn.Add(new Tick(GetQuantlerTicker(treadeupdate.Symbol), DataSource)
{
TradePrice = decimal.Parse(treadeupdate.Price, NumberStyles.Any, new CultureInfo("en-US")),
Size = decimal.Parse(treadeupdate.Quantity, NumberStyles.Any, new CultureInfo("en-US")),
Occured = occuredutc,
TimeZone = TimeZone.Utc
});
}
//Return what we have
return(toreturn.ToArray());
}
private void GroupEntries(OrderBookModel model)
{
GroupEntries(model.Asks, true);
GroupEntries(model.Bids, false);
}