public BfOrderBookStream(string productCode, RealtimeBoardSnapshotSource snapshot, RealtimeBoardSource update, Action <BfOrderBookStream> dispose)
{
ProductCode = productCode;
_dispose = dispose;
_source = Observable.Create <BfOrderBook>(observer =>
{
var orderBook = new BfOrderBook();
var disposable =
snapshot.Select(e => (orders: e, isreset: true))
.Merge(
update.Select(e => (orders: e, isreset: false))
)
.Subscribe(e =>
{
if (e.isreset)
{
orderBook.Reset(e.orders);
}
else
{
orderBook.UpdateDelta(e.orders);
}
observer.OnNext(orderBook);
});
return(() => { disposable.Dispose(); });
});
}
public IObservable <BfBoard> GetBoardSnapshotSource(BfProductCode productCode)
{
TryOpen();
var symbol = _availableMarkets[productCode];
return(_boardSnapshotSources.GetOrAdd(symbol, _ =>
{
var source = new RealtimeBoardSnapshotSource(_webSocket, _jsonSettings, symbol);
_webSocketSources[source.Channel] = source;
return source.Publish().RefCount();
}));
}
public IObservable <BfOrderBook> GetOrderBookSource(BfProductCode productCode)
{
TryOpen();
var symbol = _availableMarkets[productCode];
return(_orderBookSnapshotSources.GetOrAdd(symbol, _ =>
{
var snapshot = new RealtimeBoardSnapshotSource(_webSocket, _jsonSettings, symbol);
var update = new RealtimeBoardSource(_webSocket, _jsonSettings, symbol);
_webSocketSources[snapshot.Channel] = snapshot;
_webSocketSources[update.Channel] = update;
var source = new BfOrderBookStream(snapshot, update);
return source.Publish().RefCount();
}));
}
