public OrderBookEventArgs(BitmexOrderL2Book orders) : this()
{
OrderBook = new OrderBook();
var asks = new List <Order>();
var bids = new List <Order>();
foreach (var order in orders.Data)
{
if (order.OrderSide == OrderSide.ASK)
{
asks.Add(new Order {
Price = order.Price.Value, Amount = order.Size
});
}
else
{
bids.Add(new Order {
Price = order.Price.Value, Amount = order.Size
});
}
}
OrderBook.Asks = asks.ToArray();
OrderBook.Bids = bids.ToArray();
}
public string ProcessBook(BitmexOrderL2Book book, ref double bid, ref double ask)
{
SortedList <long, double> bids = null;
string symbol = null;
double tickSize = 0;
int idx = 0;
bool delete = book.Action.StartsWith("del");
if (!delete)
{
bool create = book.Action.StartsWith("ins") || book.Action.StartsWith("upd") || book.Action.StartsWith("par");
if (!create)
{
return(symbol);
}
}
if (book.Data.Length > 0)
{
symbol = book.Data[0].Symbol;
bids = _bids[symbol];
idx = _indexes[symbol];
tickSize = symbol.StartsWith("XBT") ? 0.01 : _tickSizes[symbol]; // LEGACY_TICKS = {"XBTUSD":0.01}
}
foreach (var item in book.Data)
{
if (item.OrderSide == DataType.OrderSide.BID)
{
if (delete)
{
if (bids.ContainsKey(item.Id))
{
bids.Remove(item.Id);
}
}
else
{
if (!bids.ContainsKey(item.Id))
{
var price = GetPriceById(item.Id, idx, tickSize);
bids.Add(item.Id, price);
}
}
}
}
if (_bids.Count > 0)
{
if (_bids[symbol].Count > 0)
{
var k = _bids[symbol].Keys[0];
bid = _bids[symbol][k];
ask = bid + _tickSizes[symbol];
}
}
return(symbol);
}
private void ProcessOrderBookRequest(BitmexOrderL2Book obj)
{
double bid = 0, ask = 0;
string symbol = null;
lock (_obj) symbol = _bookL2.ProcessBook(obj, ref bid, ref ask);
if (symbol == null)
{
return;
}
var args = new ExchangePricesEventArgs(bid, ask, symbol);
args.CreatedAt = DateTime.UtcNow;
Task.Run(() =>
{
if (args.BtcPrice != null)
{
if (XbtOrderBookChanged != null)
{
XbtOrderBookChanged(this, args);
}
}
else if (args.EthPrice != null)
{
if (EthOrderBookChanged != null)
{
EthOrderBookChanged(this, args);
}
}
else if (args.LtcPrice != null)
{
if (LtcOrderBookChanged != null)
{
LtcOrderBookChanged(this, args);
}
}
else if (args.EosPrice != null)
{
if (EosOrderBookChanged != null)
{
EosOrderBookChanged(this, args);
}
}
else if (args.XrpPrice != null)
{
if (XrpOrderBookChanged != null)
{
XrpOrderBookChanged(this, args);
}
}
else if (args.TrxPrice != null)
{
if (TrxOrderBookChanged != null)
{
TrxOrderBookChanged(this, args);
}
}
else if (args.AdaPrice != null)
{
if (AdaOrderBookChanged != null)
{
AdaOrderBookChanged(this, args);
}
}
else if (args.BchPrice != null)
{
if (BchOrderBookChanged != null)
{
BchOrderBookChanged(this, args);
}
}
});
if (args.BtcPrice != null)
{
XbtPriceChanged(this, args);
}
else if (args.EthPrice != null)
{
EthPriceChanged(this, args);
}
else if (args.LtcPrice != null)
{
LtcPriceChanged(this, args);
}
else if (args.EosPrice != null)
{
EosPriceChanged(this, args);
}
else if (args.XrpPrice != null)
{
XrpPriceChanged(this, args);
}
else if (args.AdaPrice != null)
{
AdaPriceChanged(this, args);
}
else if (args.TrxPrice != null)
{
TrxPriceChanged(this, args);
}
else if (args.BchPrice != null)
{
BchPriceChanged(this, args);
}
}