public async Task SubscribeOnOrderBook(string currencyPairId, Action <IList <OrderBookItem> > callback)
{
Connect();
var innerExistingOrderbook = await _connection.Context.MarketOrderbookAsync(currencyPairId, 30);
var existingOrderBook = innerExistingOrderbook.ToOuterModel();
callback(existingOrderBook);
var subscription = new Subscription
{
SubscribeRequest = StreamingRequest.SubscribeOrderbook(currencyPairId, 30),
UnsubscribeRequest = StreamingRequest.UnsubscribeOrderbook(currencyPairId, 30),
EventHandler = (o, e) =>
{
if (!(e.Response is OrderbookResponse orderbookResponse) ||
orderbookResponse.Payload.Figi != currencyPairId)
{
return;
}
var orderBook = orderbookResponse.Payload.ToOuterModel();
callback(orderBook);
}
};
_connection.StreamingEventReceived += (o, e) => subscription.EventHandler(o, e);
await _connection.Context.SendStreamingRequestAsync(subscription.SubscribeRequest);
}
private async void StreamingEventReceivedHandler(object sender, StreamingEventReceivedEventArgs args)
{
if (args.Response is OrderbookResponse response)
{
var ticker = _tickersByFigi[response.Payload.Figi];
if (!Quotes.ContainsKey(ticker))
{
Debug.WriteLine($"Received unexpected Tinkoff orderbook for ticker \"{ticker}\"");
var request = StreamingRequest.UnsubscribeOrderbook(response.Payload.Figi, StockQuoteDepth);
await _context.SendStreamingRequestAsync(request).ConfigureAwait(false);
return;
}
var quote = Quotes[ticker];
if (response.Payload.Bids.Count > 0)
{
quote.TinkoffBidPrice = response.Payload.Bids[0][0];
quote.TinkoffBidSize = response.Payload.Bids[0][1];
}
if (response.Payload.Asks.Count > 0)
{
quote.TinkoffAskPrice = response.Payload.Asks[0][0];
quote.TinkoffAskSize = response.Payload.Asks[0][1];
}
quote.TinkoffMarketPrice =
(quote.TinkoffBidPrice * quote.TinkoffBidSize + quote.TinkoffAskPrice * quote.TinkoffAskSize) /
(quote.TinkoffBidSize + quote.TinkoffAskSize);
quote.TinkoffUpdatedAt = response.Time;
quote.LongDelta = quote.BidPrice - quote.TinkoffAskPrice;
quote.ShortDelta = quote.TinkoffBidPrice - quote.AskPrice;
quote.LongDeltaPercent = quote.LongDelta * 100 / quote.TinkoffMarketPrice;
quote.ShortDeltaPercent = quote.ShortDelta * 100 / quote.TinkoffMarketPrice;
}
}
