private void HandleSnapshot(MarketByPricePullResponse response)
{
// received snapshot, convert and stream
var levels = ConvertLevels(response);
var bulk = new OrderBookLevelBulk(OrderBookAction.Insert, levels, CryptoOrderBookType.L2);
FillBulk(response, bulk);
StreamSnapshot(bulk);
}
private bool TryHandlePullResponses(string message)
{
if (MarketByPricePullResponse.TryParse(Serializer, message, out var marketByPrice))
{
Streams.MarketByPricePullSubject.OnNext(marketByPrice);
return(true);
}
return(false);
}
private void FillBulk(MarketByPricePullResponse response, OrderBookLevelBulk bulk)
{
if (response == null)
{
return;
}
bulk.ExchangeName = ExchangeName;
bulk.ServerTimestamp = response.Timestamp.DateTime;
}
private void Handle(MarketByPricePullResponse msg)
{
for (var i = 0; i < msg.Data?.Bids.Length; ++i)
{
var bid = msg.Data.Bids[i];
_logger.LogInformation($"Market by price pull {msg.ParseSymbolFromTopic()} | [bid {i}: price={bid.Price} size={bid.Size}]");
}
for (var i = 0; i < msg.Data?.Asks.Length; ++i)
{
var bid = msg.Data.Asks[i];
_logger.LogInformation($"Market by price pull {msg.ParseSymbolFromTopic()} | [ask {i}: price={bid.Price} size={bid.Size}]");
}
}
private OrderBookLevel[] ConvertLevels(MarketByPricePullResponse response)
{
var symbol = response.ParseSymbolFromTopic();
return(ConvertLevels(symbol, response.Data?.Bids, response.Data?.Asks));
}
