protected override CMState ProcessMarketDataOrderBookRequest(Wrapper wrapper)
{
try
{
MarketDataRequest mdr = MarketDataRequestConverter.GetMarketDataRequest(wrapper);
if (mdr.SubscriptionRequestType == SubscriptionRequestType.Snapshot)
{
throw new Exception(string.Format("@{0}: Market Data Order Book snaphsot not implemented for symbol {1}", BitmexConfiguration.Name, mdr.Security.Symbol));
}
else if (mdr.SubscriptionRequestType == SubscriptionRequestType.SnapshotAndUpdates)
{
return(ProcessMarketDataRequestOrderBook(wrapper));
}
else if (mdr.SubscriptionRequestType == SubscriptionRequestType.Unsuscribe)
{
CancelMarketDataOrderBook(mdr.Security);
return(CMState.BuildSuccess());
}
else
{
throw new Exception(string.Format("@{0}: Value not recognized for subscription type {1} for symbol {2}", BitmexConfiguration.Name, mdr.SubscriptionRequestType.ToString(), mdr.Security.Symbol));
}
}
catch (Exception ex)
{
return(CMState.BuildFail(ex));
}
}
protected override CMState ProcessMarketDataTradeListRequest(Wrapper wrapper)
{
try
{
MarketDataRequest mdr = MarketDataRequestConverter.GetMarketDataRequest(wrapper);
int i = 1;
if (mdr.SubscriptionRequestType == SubscriptionRequestType.Snapshot)
{
List <zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.Trade> trades = RESTMarketDataManager.GetTrades(mdr.Security.Symbol);
foreach (zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.Trade trade in trades.Where(x => x.symbol == mdr.Security.Symbol)
.OrderByDescending(x => x.timestamp).Take(100).ToList())
{
BitMexTradeWrapper tradeWrapper = new BitMexTradeWrapper(trade, i == trades.Count);
OnMessageRcv(tradeWrapper);
if (i % 20 == 0)
{
Thread.Sleep(1000);
}
i++;
}
return(CMState.BuildSuccess());
}
else if (mdr.SubscriptionRequestType == SubscriptionRequestType.SnapshotAndUpdates)
{
throw new Exception(string.Format("@{0}: Market Data trade List SnapshotAndUpdates not implemented for symbol {1}", BitmexConfiguration.Name, mdr.Security.Symbol));
}
else if (mdr.SubscriptionRequestType == SubscriptionRequestType.Unsuscribe)
{
throw new Exception(string.Format("@{0}: Market Data trade List Unsuscribe not implemented for symbol {1}", BitmexConfiguration.Name, mdr.Security.Symbol));
return(CMState.BuildSuccess());
}
else
{
throw new Exception(string.Format("@{0}: Value not recognized for subscription type {1} for symbol {2}", BitmexConfiguration.Name, mdr.SubscriptionRequestType.ToString(), mdr.Security.Symbol));
}
}
catch (Exception ex)
{
return(CMState.BuildFail(ex));
}
}