// Order Book
private void CacheOrderBook(BinanceStreamOrderBook stream)
{
var instrument = stream.Symbol;
var bidCount = stream.Bids.Count;
var askCount = stream.Asks.Count;
for (int depth = 0; depth < bidCount; depth++)
{
CacheResult(BINANCE_DEPTH, instrument, RtdFields.BID_DEPTH, depth, stream.Bids[depth].Price);
CacheResult(BINANCE_DEPTH, instrument, RtdFields.BID_DEPTH_SIZE, depth, stream.Bids[depth].Quantity);
}
//for (int depth = bidCount; depth < 10; depth++)
//{
// CacheResult(BINANCE, instrument, RtdFields.BID_DEPTH, depth, SubscriptionManager.UninitializedValue);
// CacheResult(BINANCE, instrument, RtdFields.BID_DEPTH_SIZE, depth, SubscriptionManager.UninitializedValue);
//}
for (int depth = 0; depth < askCount; depth++)
{
CacheResult(BINANCE_DEPTH, instrument, RtdFields.ASK_DEPTH, depth, stream.Asks[depth].Price);
CacheResult(BINANCE_DEPTH, instrument, RtdFields.ASK_DEPTH_SIZE, depth, stream.Asks[depth].Quantity);
}
//for (int depth = askCount; depth < 10; depth++)
//{
// CacheResult(BINANCE, instrument, RtdFields.ASK_DEPTH, depth, SubscriptionManager.UninitializedValue);
// CacheResult(BINANCE, instrument, RtdFields.ASK_DEPTH_SIZE, depth, SubscriptionManager.UninitializedValue);
//}
}
private object DecodeOrderBook(BinanceStreamOrderBook stream, string field, int depth)
{
int askCount = stream.Asks.Count;
int bidCount = stream.Bids.Count;
switch (field)
{
case RtdFields.SYMBOL:
return(stream.Symbol);
case RtdFields.LAST_UPDATE_ID:
return(stream.LastUpdateId);
case RtdFields.ASK_DEPTH:
if (depth >= askCount)
{
return(SubscriptionManager.UninitializedValue);
}
return(stream.Asks[depth].Price);
case RtdFields.ASK_DEPTH_SIZE:
if (depth >= askCount)
{
return(SubscriptionManager.UninitializedValue);
}
return(stream.Asks[depth].Quantity);
case RtdFields.BID_DEPTH:
if (depth >= bidCount)
{
return(SubscriptionManager.UninitializedValue);
}
return(stream.Bids[depth].Price);
case RtdFields.BID_DEPTH_SIZE:
if (depth >= bidCount)
{
return(SubscriptionManager.UninitializedValue);
}
return(stream.Bids[depth].Quantity);
}
return(SubscriptionManager.UninitializedValue);
}
// Order Book
private void CacheOrderBook(BinanceStreamOrderBook stream)
{
lock (_subMgr)
{
CacheResult(BINANCE_DEPTH, stream.Symbol, RtdFields.SYMBOL, stream.Symbol);
CacheResult(BINANCE_DEPTH, stream.Symbol, RtdFields.LAST_UPDATE_ID, stream.LastUpdateId);
for (int depth = 0; depth < stream.Bids.Count; depth++)
{
CacheResult(BINANCE_DEPTH, stream.Symbol, RtdFields.BID_DEPTH, depth, stream.Bids[depth].Price);
CacheResult(BINANCE_DEPTH, stream.Symbol, RtdFields.BID_DEPTH_SIZE, depth, stream.Bids[depth].Quantity);
}
for (int depth = 0; depth < stream.Asks.Count; depth++)
{
CacheResult(BINANCE_DEPTH, stream.Symbol, RtdFields.ASK_DEPTH, depth, stream.Asks[depth].Price);
CacheResult(BINANCE_DEPTH, stream.Symbol, RtdFields.ASK_DEPTH_SIZE, depth, stream.Asks[depth].Quantity);
}
}
}
