private OrderBook CloneWithChangedSource(OrderBook ob)
{
var newOb = ob.Clone(ob.Timestamp);
newOb.Source = GetSyntheticSourceName(ob.Asset);
return(newOb);
}
/// <summary>
///
/// </summary>
/// <param name="event"></param>
/// <returns></returns>
protected override async ValueTask <OrderBookCacheEventArgs> OnAction(DepthUpdateEventArgs @event)
{
if (_limit > 0)
{
// Ignore events with same or earlier order book update.
if (_orderBookClone != null && @event.LastUpdateId <= _orderBookClone.LastUpdateId)
{
Logger?.LogDebug($"{nameof(OrderBookCache)} ({_symbol}): Ignoring event (last update ID: {@event.LastUpdateId}). [thread: {Thread.CurrentThread.ManagedThreadId}{(@event.Token.IsCancellationRequested ? ", canceled" : string.Empty)}]");
return(null);
}
// Top <limit> bids and asks, pushed every second.
// NOTE: LastUpdateId is not contiguous between events when using partial depth stream.
_orderBookClone = new OrderBook(_symbol, @event.LastUpdateId, @event.Bids, @event.Asks);
}
else
{
// If order book has not been initialized or is out-of-sync (gap in data).
while (_orderBook == null || @event.FirstUpdateId > _orderBook.LastUpdateId + 1)
{
if (_orderBook != null)
{
OutOfSync?.Invoke(this, EventArgs.Empty);
}
// Synchronize.
await SynchronizeOrderBookAsync(@event.Token)
.ConfigureAwait(false);
}
// Ignore events prior to order book snapshot.
if (@event.LastUpdateId <= _orderBook.LastUpdateId)
{
Logger?.LogDebug($"{nameof(OrderBookCache)} ({_symbol}): Ignoring event (last update ID: {@event.LastUpdateId}). [thread: {Thread.CurrentThread.ManagedThreadId}{(@event.Token.IsCancellationRequested ? ", canceled" : string.Empty)}]");
return(null);
}
Logger?.LogDebug($"{nameof(OrderBookCache)} ({_symbol}): Updating order book (last update ID: {_orderBook.LastUpdateId} => {@event.LastUpdateId}). [thread: {Thread.CurrentThread.ManagedThreadId}{(@event.Token.IsCancellationRequested ? ", canceled" : string.Empty)}]");
_orderBook.Modify(@event.LastUpdateId, @event.Bids, @event.Asks);
_orderBookClone = _orderBook.Clone();
}
return(new OrderBookCacheEventArgs(_orderBookClone));
}
private void ApplyEventToOrderBook(OrderBookUpdate update)
{
if (update == null)
{
throw new ArgumentNullException(nameof(update));
}
var newOrderbook = OrderBook.Clone(DateTime.UtcNow);
foreach (var ask in update.Asks)
{
newOrderbook.UpdateAsk(ask[0], ask[1]);
}
foreach (var bid in update.Bids)
{
newOrderbook.UpdateBid(bid[0], bid[1]);
}
OrderBook = newOrderbook;
}
/// <summary>
///
/// </summary>
/// <param name="event"></param>
/// <returns></returns>
protected override async Task <OrderBookCacheEventArgs> OnAction(DepthUpdateEventArgs @event)
{
if (_limit > 0)
{
// Ignore events with same or earlier order book update.
if (_orderBookClone != null && @event.LastUpdateId <= _orderBookClone.LastUpdateId)
{
return(null);
}
// Top <level> bids and asks, pushed every second.
// NOTE: LastUpdateId is not contiguous between events when using partial depth stream.
_orderBookClone = new OrderBook(_symbol, @event.LastUpdateId, @event.Bids, @event.Asks);
}
else
{
// If order book has not been initialized.
if (_orderBook == null)
{
// Synchronize.
await SynchronizeOrderBookAsync()
.ConfigureAwait(false);
}
// Ignore events prior to order book snapshot.
if (@event.LastUpdateId <= _orderBook.LastUpdateId)
{
return(null);
}
// If there is a gap in events (order book out-of-sync).
// ReSharper disable once InvertIf
if (@event.FirstUpdateId > _orderBook.LastUpdateId + 1)
{
Logger?.LogError($"{nameof(OrderBookCache)}: Synchronization failure (first update ID > last update ID + 1).");
await Task.Delay(1000, Token)
.ConfigureAwait(false); // wait a bit.
// Re-synchronize.
await SynchronizeOrderBookAsync()
.ConfigureAwait(false);
// If still out-of-sync.
// ReSharper disable once InvertIf
if (@event.FirstUpdateId > _orderBook.LastUpdateId + 1)
{
Logger?.LogError($"{nameof(OrderBookCache)}: Re-Synchronization failure (first update ID > last update ID + 1).");
// Reset and wait for next event.
_orderBook = null;
return(null);
}
}
Logger?.LogDebug($"{nameof(OrderBookCache)}: Updating order book [last update ID: {@event.LastUpdateId}].");
_orderBook.Modify(@event.LastUpdateId, @event.Bids, @event.Asks);
_orderBookClone = _orderBook.Clone();
}
return(new OrderBookCacheEventArgs(_orderBookClone));
}