private async ValueTask <bool> updateOrderbook(SOrderBooks qob, BAOrderBook orderbook, Settings settings)
{
var _dqo = new SOrderBooks
{
exchange = BNLogger.SNG.exchange_name,
stream = "diffbooks",
symbol = orderbook.data.symbol,
sequentialId = orderbook.data.lastId,
result = new SOrderBook()
};
lock (__qOrderBooks)
{
foreach (var _oi in orderbook.data.asks)
{
var _ask = qob.result.asks.Where(o => o.price == _oi[0]).SingleOrDefault();
if (_ask == null)
{
var _aoi = new SOrderBookItem
{
action = "insert",
price = _oi[0],
quantity = _oi[1],
amount = _oi[0] * _oi[1],
count = 1
};
_dqo.result.asks.Add(_aoi);
qob.result.asks.Add(_aoi);
}
else if (_ask.quantity != _oi[1])
{
var _aoi = new SOrderBookItem
{
action = "update",
price = _oi[0],
quantity = _oi[1],
amount = _oi[0] * _oi[1],
count = 1
};
_dqo.result.asks.Add(_aoi);
_ask.quantity = _oi[1];
}
}
foreach (var _oi in orderbook.data.bids)
{
var _bid = qob.result.bids.Where(o => o.price == _oi[0]).SingleOrDefault();
if (_bid == null)
{
var _boi = new SOrderBookItem
{
action = "insert",
price = _oi[0],
quantity = _oi[1],
amount = _oi[0] * _oi[1],
count = 1
};
_dqo.result.bids.Add(_boi);
qob.result.bids.Add(_boi);
}
else if (_bid.quantity != _oi[1])
{
var _boi = new SOrderBookItem
{
action = "update",
price = _oi[0],
quantity = _oi[1],
amount = _oi[0] * _oi[1],
count = 1
};
_dqo.result.bids.Add(_boi);
_bid.quantity = _oi[1];
}
}
foreach (var _qi in qob.result.asks)
{
var _ask = orderbook.data.asks.Where(o => o[0] == _qi.price).SingleOrDefault();
if (_ask == null)
{
_dqo.result.asks.Add(new SOrderBookItem
{
action = "delete",
price = _qi.price,
quantity = _qi.quantity,
amount = _qi.price * _qi.quantity,
count = 1
});
_qi.quantity = 0;
}
}
foreach (var _qi in qob.result.bids)
{
var _bid = orderbook.data.bids.Where(o => o[0] == _qi.price).SingleOrDefault();
if (_bid == null)
{
_dqo.result.bids.Add(new SOrderBookItem
{
action = "delete",
price = _qi.price,
quantity = _qi.quantity,
amount = _qi.price * _qi.quantity,
count = 1
});
_qi.quantity = 0;
}
}
qob.result.asks.RemoveAll(o => o.quantity == 0);
qob.result.bids.RemoveAll(o => o.quantity == 0);
}
if (++settings.orderbook_count == __bnconfig.OrderBookCounter)
{
settings.orderbook_count = 0;
qob.sequentialId = orderbook.data.lastId;
await snapshotOrderbook(_dqo.exchange, _dqo.symbol);
}
else
{
await publishOrderbook(_dqo);
}
return(true);
}
public async ValueTask OStart(CancellationToken cancelToken, string symbol)
{
BNLogger.SNG.WriteO(this, $"polling service start: symbol => {symbol}...");
if (__bnconfig.UsePollingTicker == false)
{
PollingTasks.Add(Task.Run(async() =>
{
var _client = CreateJsonClient(publicApi.publicClient.ApiUrl);
var _o_params = new Dictionary <string, object>();
{
_o_params.Add("symbol", symbol.ToUpper());
_o_params.Add("limit", 20);
}
var _o_request = CreateJsonRequest($"/depth", _o_params);
var _last_limit_milli_secs = 0L;
while (true)
{
try
{
await Task.Delay(0);
var _waiting_milli_secs = (CUnixTime.NowMilli - __bnconfig.PollingPrevTime) / __bnconfig.PollingTermTime;
if (_waiting_milli_secs == _last_limit_milli_secs)
{
var _waiting = cancelToken.WaitHandle.WaitOne(0);
if (_waiting == true)
{
break;
}
await Task.Delay(10);
}
else
{
_last_limit_milli_secs = _waiting_milli_secs;
// orderbook
var _o_json_value = await RestExecuteAsync(_client, _o_request);
if (_o_json_value.IsSuccessful && _o_json_value.Content[0] == '{')
{
var _o_json_data = JsonConvert.DeserializeObject <BAOrderBookItem>(_o_json_value.Content);
_o_json_data.symbol = symbol;
_o_json_data.lastId = _last_limit_milli_secs;
var _orderbook = new BAOrderBook
{
stream = "orderbook",
data = _o_json_data
};
var _o_json_content = JsonConvert.SerializeObject(_orderbook);
Processing.SendReceiveQ(new QMessage {
command = "AP", payload = _o_json_content
});
}
else
{
var _http_status = (int)_o_json_value.StatusCode;
if (_http_status == 403 || _http_status == 418 || _http_status == 429)
{
BNLogger.SNG.WriteQ(this, $"request-limit: symbol => {symbol}, https_status => {_http_status}");
var _waiting = cancelToken.WaitHandle.WaitOne(0);
if (_waiting == true)
{
break;
}
await Task.Delay(1000); // waiting 1 second
}
}
}
}
catch (TaskCanceledException)
{
}
catch (Exception ex)
{
BNLogger.SNG.WriteX(this, ex.ToString());
}
//finally
{
//__semaphore.Release();
if (cancelToken.IsCancellationRequested == true)
{
break;
}
}
var _cancelled = cancelToken.WaitHandle.WaitOne(0);
if (_cancelled == true)
{
break;
}
}
},
cancelToken
));
}
await Task.WhenAll(PollingTasks);
BNLogger.SNG.WriteO(this, $"polling service stopped: symbol => {symbol}...");
}
private async ValueTask <bool> mergeOrderbook(BAOrderBook orderbook)
{
var _result = false;
var _settings = __qSettings.ContainsKey(orderbook.data.symbol)
? __qSettings[orderbook.data.symbol]
: __qSettings[orderbook.data.symbol] = new Settings();
if (__qOrderBooks.ContainsKey(orderbook.data.symbol) == false)
{
_settings.last_orderbook_id = orderbook.data.lastId;
var _sqo = new SOrderBooks
{
exchange = BNLogger.SNG.exchange_name,
stream = "snapshot",
symbol = orderbook.data.symbol,
sequentialId = orderbook.data.lastId,
result = new SOrderBook()
};
foreach (var _oi in orderbook.data.asks)
{
_sqo.result.asks.Add(new SOrderBookItem
{
action = "insert",
price = _oi[0],
quantity = _oi[1],
amount = _oi[0] * _oi[1],
count = 1
});
}
foreach (var _oi in orderbook.data.bids)
{
_sqo.result.bids.Add(new SOrderBookItem
{
action = "insert",
price = _oi[0],
quantity = _oi[1],
amount = _oi[0] * _oi[1],
count = 1
});
}
__qOrderBooks[_sqo.symbol] = _sqo;
await publishOrderbook(_sqo);
_settings.orderbook_count = 0;
_result = true;
}
else if (_settings.last_orderbook_id < orderbook.data.lastId)
{
_settings.last_orderbook_id = orderbook.data.lastId;
var _qob = __qOrderBooks[orderbook.data.symbol];
var _current_ask_size = orderbook.data.asks.Sum(o => o[1]);
var _current_bid_size = orderbook.data.bids.Sum(o => o[1]);
if (_settings.last_order_ask_size != _current_ask_size || _settings.last_order_bid_size != _current_bid_size)
{
if (_settings.before_trade_ask_size != _current_ask_size || _settings.before_trade_bid_size != _current_bid_size)
{
_result = await updateOrderbook(_qob, orderbook, _settings);
_settings.last_order_ask_size = _qob.result.asks.Sum(o => o.quantity);
_settings.last_order_bid_size = _qob.result.bids.Sum(o => o.quantity);
#if DEBUG
// modified check
if (_current_ask_size != _settings.last_order_ask_size || _current_bid_size != _settings.last_order_bid_size)
{
BNLogger.SNG.WriteQ(this, $"diffb-{orderbook.stream}: timestamp => {_settings.last_orderbook_id}, symbol => {orderbook.data.symbol}, ask_size => {_current_ask_size}, {_settings.last_order_ask_size}, bid_size => {_current_bid_size}, {_settings.last_order_bid_size}");
}
if (_qob.result.asks.Count + _qob.result.bids.Count != 40)
{
var _ask_count = _qob.result.asks.Count();
var _bid_count = _qob.result.bids.Count();
BNLogger.SNG.WriteQ(this, $"diffb-{orderbook.stream}: timestamp => {_settings.last_orderbook_id}, symbol => {orderbook.data.symbol}, ask_count => {_ask_count}, bid_count => {_bid_count}");
}
#endif
}
else
{
BNLogger.SNG.WriteQ(this, $"trade-{orderbook.stream}: timestamp => {_settings.last_orderbook_id}, symbol => {orderbook.data.symbol}, ask_size => {_current_ask_size}, bid_size => {_current_bid_size}");
}
}
else
{
BNLogger.SNG.WriteQ(this, $"equal-{orderbook.stream}: timestamp => {_settings.last_orderbook_id}, symbol => {orderbook.data.symbol}, ask_size => {_current_ask_size}, bid_size => {_current_bid_size}");
}
}
return(_result);
}
