private void OnOrderbookCorrection(IScriptOrderbook e)
{
if (OrderbookCorrection != null)
{
OrderbookCorrection(this, e);
}
}
public IScriptOrderbook GetOrderbook(IScriptMarket market)
{
IScriptOrderbook orderbook = null;
try
{
var response = Query(false, "/public/getorderbook?", new Dictionary <string, string>()
{
{ "market", market.SecondaryCurrency.ToUpper() + "-" + market.PrimaryCurrency.ToUpper() },
{ "type", "both" },
{ "depth", "50" }
});
if (response != null && response.Value <bool>("success"))
{
orderbook = new Orderbook(response.Value <JObject>("result"));
}
}
catch (Exception e)
{
OnError(e.Message);
}
return(orderbook);
}
private void OnOrderbookUpdate(IScriptOrderbook e)
{
if (OrderbookUpdate != null)
{
OrderbookUpdate(this, e);
}
}
public IScriptOrderbook GetOrderbook(IScriptMarket market)
{
IScriptOrderbook orderbook = null;
Console.Out.WriteLine("GetOrderbook");
try
{
Market instrument = _markets.Find(c => c.PrimaryCurrency == market.PrimaryCurrency && c.SecondaryCurrency == market.SecondaryCurrency);
JArray response = (JArray)Call("GetL2Snapshot", new ApexL2SnapshotRequest(1, instrument.InstrumentId, 50));
if (response != null)
{
orderbook = new Orderbook(response);
}
if (_level2Subscriptions.Contains(market.PrimaryCurrency + market.SecondaryCurrency) == false)
{
Call("SubscribeLevel2", new ApexSubscribeLevel2(1, market.PrimaryCurrency + market.SecondaryCurrency, 100));
_level2Subscriptions.Add(market.PrimaryCurrency + market.SecondaryCurrency);
}
}
catch (Exception e)
{
OnError(e.Message);
}
return(orderbook);
}
private void AssertOrderbook(IScriptOrderbook orderbook)
{
Assert.IsNotNull(orderbook, "Bad API response");
Assert.IsNotNull(orderbook.Asks, "Asks null");
Assert.IsNotNull(orderbook.Bids, "Bids null");
Assert.IsTrue(orderbook.Asks.Count > 0, "No asks found");
Assert.IsTrue(orderbook.Bids.Count > 0, "No bids found");
Assert.IsTrue(orderbook.Bids[0].Price > 0.0M, "Bid price zero");
Assert.IsTrue(orderbook.Bids[0].Amount > 0.0M, "Bid amount zero");
Assert.IsTrue(orderbook.Bids[0].Price < orderbook.Asks[0].Price, "Bid is higher than ask");
Assert.IsTrue(orderbook.Asks[0].Price < orderbook.Asks[1].Price, "Sorting issue");
Assert.IsTrue(orderbook.Bids[0].Price > orderbook.Bids[1].Price, "Sorting issue 2");
var bids = new Dictionary <decimal, decimal>();
var asks = new Dictionary <decimal, decimal>();
foreach (var order in orderbook.Asks)
{
if (!asks.ContainsKey(order.Price))
{
asks.Add(order.Price, order.Amount);
}
else
{
Assert.IsFalse(true, "Double price in orderbook: " + order.Price);
}
}
foreach (var order in orderbook.Bids)
{
if (!bids.ContainsKey(order.Price))
{
bids.Add(order.Price, order.Amount);
}
else
{
Assert.IsFalse(true, "Double price in orderbook: " + order.Price);
}
}
}
