private string GetItemSring(OrderbookMessage item, bool isAsk)
{
var strBuilder = new StringBuilder("{\"t\":\"");
strBuilder.Append(item.Timestamp.ToString("mm:ss.fff"));
strBuilder.Append("\",\"p\":[");
var collection = isAsk ? item.Asks : item.Bids;
for (int i = 0; i < collection.Count; ++i)
{
var price = collection[i];
if (i > 0)
{
strBuilder.Append(",");
}
strBuilder.Append("{\"v\":");
strBuilder.Append(price.Volume);
strBuilder.Append(",\"p\":");
strBuilder.Append(price.Price);
strBuilder.Append("}");
}
strBuilder.Append("]}");
return(strBuilder.ToString());
}
private async Task ProcessMessageAsync(OrderbookMessage orderbookMessage)
{
OrderbookEntity orderbook = null;
try
{
orderbook = await _orderbookWriter.GetAsync(OrderbookEntity.GetPk(), orderbookMessage.AssetPair);
}
catch (Exception ex)
{
_log.Warning($"Can't get orderbook from mynosql for assetPair = {orderbookMessage.AssetPair}", ex);
}
var entity = orderbook ?? new OrderbookEntity(orderbookMessage.AssetPair)
{
CreatedAt = orderbookMessage.Timestamp
};
entity.CreatedAt = orderbookMessage.Timestamp;
var prices = orderbookMessage.IsBuy ? entity.Bids : entity.Asks;
prices.Clear();
foreach (var price in orderbookMessage.Prices)
{
prices.Add(new VolumePriceEntity((decimal)price.Volume, (decimal)price.Price));
}
await _orderbookWriter.InsertOrReplaceAsync(entity);
}
private string GetContainerName(OrderbookMessage item, bool isAsk)
{
string source = item.Source == null
? ""
: item.Source.Replace('.', '-');
string suffix = isAsk ? "ask" : "bid";
return($"{source}-{item.Asset ?? ""}-{suffix}");
}
internal static OrderbookModel ToModel(this OrderbookMessage src)
{
return(new OrderbookModel
{
AssetPair = src.AssetPair,
IsBuy = src.IsBuy,
Timestamp = src.Timestamp,
Levels = src.Prices.ConvertPrices()
});
}
private async Task ProcessAsync(OrderbookMessage item, bool isAsk)
{
string containerName = GetContainerName(item, isAsk);
if (!_dict.ContainsKey(containerName))
{
_dict.TryAdd(containerName, new BlobSaver(
_storageAccount,
containerName,
_maxBatchCount,
_minBatchCount,
_log));
}
string itemStr = GetItemSring(item, isAsk);
await _dict[containerName].SaveDataItemAsync(itemStr);
}
private async Task ProcessOrderbookAsync(OrderbookMessage orderbookMessage)
{
try
{
var topic = $"orderbook.spot.{orderbookMessage.AssetPair.ToLower()}.{(orderbookMessage.IsBuy ? "buy" : "sell")}";
var subject = _realm.Services.GetSubject <OrderbookModel>(topic);
subject.OnNext(orderbookMessage.ToModel());
}
catch (Exception)
{
_log.WriteWarning(nameof(ProcessOrderbookAsync), orderbookMessage, "Failed to process orderbook");
throw;
}
await Task.CompletedTask;
}
private async Task ProcessMessageAsync(OrderbookMessage orderbookMessage)
{
var entity = await _orderbookWriter.GetAsync(OrderbookEntity.GetPk(), orderbookMessage.AssetPair)
?? new OrderbookEntity(orderbookMessage.AssetPair)
{
CreatedAt = orderbookMessage.Timestamp,
};
entity.CreatedAt = orderbookMessage.Timestamp;
var prices = orderbookMessage.IsBuy ? entity.Bids : entity.Asks;
prices.Clear();
foreach (var price in orderbookMessage.Prices)
{
prices.Add(new VolumePriceEntity((decimal)price.Volume, (decimal)price.Price));
}
await _orderbookWriter.InsertOrReplaceAsync(entity);
}
private async Task ProcessMessageAsync(OrderbookMessage item)
{
try
{
if (item.Asks != null && item.Asks.Count > 0)
{
await ProcessAsync(item, true);
}
if (item.Bids != null && item.Bids.Count > 0)
{
await ProcessAsync(item, false);
}
}
catch (Exception exc)
{
await _log.WriteErrorAsync(
nameof(OrderbookSubscriber),
nameof(ProcessMessageAsync),
exc);
}
}
