/// <summary>Return candle data for the given time range</summary>
public List <Candle> GetChartData(CurrencyPair pair, EMarketTimeFrames tf, DateTimeOffset time_beg, DateTimeOffset time_end, CancellationToken?cancel = null)
{
return(GetChartData(pair, tf, time_beg.Ticks, time_end.Ticks, cancel));
}
public SubscriptionCandleData(CurrencyPair pair, EMarketTimeFrames tf)
: base(API.ChannelName.Candles)
{
Pair = pair;
TimeFrame = tf;
}
/// <summary>True if there is candle data for 'pair' at period 'tf'</summary>
public bool Contains(CurrencyPair pair, EMarketTimeFrames tf)
{
return
(m_data.TryGetValue(pair, out var time_frames) &&
time_frames.TryGetValue(tf, out var candles));
}
/// <summary>Parse a candle message</summary>
public void ParseUpdate(CurrencyPair pair, EMarketTimeFrames tf, JArray data)
{
// Get the candle collection
var candles = this[pair, tf];
// If the update contains an array of arrays, then this is a history update
if (data[0].Type == JTokenType.Array)
{
// Expect the data to be order from oldest to newest
var new_candles = data.Select(x => new Candle((JArray)x)).ToList();
// Insert 'new_candles' into 'candles'
if (new_candles.Count != 0)
{
// Erase the range spanned by 'new_candles'
var beg = new_candles[0];
var end = new_candles[new_candles.Count - 1];
var ibeg = candles.BinarySearch(beg);
var iend = candles.BinarySearch(end);
if (ibeg < 0)
{
ibeg = ~ibeg;
}
if (iend < 0)
{
iend = ~iend;
}
candles.RemoveRange(ibeg, iend - ibeg);
// Insert the new candles into 'candles'
candles.InsertRange(ibeg, new_candles);
}
}
// Otherwise, this is an update to the latest candle
else
{
var new_candle = new Candle(data);
// Insert/Update 'new_candle' in 'candles'
var last = candles.Count != 0 ? candles[candles.Count - 1] : null;
if (last == null || last.Timestamp < new_candle.Timestamp)
{
candles.Add(new_candle);
}
else if (last.Timestamp == new_candle.Timestamp)
{
candles[candles.Count - 1] = new_candle;
}
else
{
var idx = candles.BinarySearch(new_candle);
if (idx >= 0)
{
candles[idx] = new_candle;
}
else
{
candles.Insert(~idx, new_candle);
}
}
}
// Save the candle collection
this[pair, tf] = candles;
}
/// <summary>Remove the chart data for the given pair</summary>
public void Clear(CurrencyPair pair)
{
m_data.Remove(pair);
}
/// <summary>Parse a market data update message</summary>
public void ParseUpdate(CurrencyPair pair, JArray data)
{
// Get the order book to update
var order_book = this[pair];
// If the update contains an array of arrays, then this is a snapshot
if (data[0].Type == JTokenType.Array)
{
order_book.BuyOrders.Clear();
order_book.SellOrders.Clear();
foreach (var upd in data)
{
var price = upd[0].Value <decimal>();
var count = upd[1].Value <int>();
var amount = upd[2].Value <decimal>();
if (count == 0)
{
throw new Exception("Market data snapshot containing a 'count' of zero doesn't make sense");
}
// Get the associated book
var book = amount > 0 ? order_book.BuyOrders : order_book.SellOrders;
// Add the order
var order = new OrderBook.Order(price, Math.Abs(amount), count);
book.Add(order);
}
}
// Otherwise it's a single update
else
{
var price = data[0].Value <decimal>();
var count = data[1].Value <int>();
var amount = data[2].Value <decimal>();
var sign = Math.Sign(amount);
// Get the associated book
var book = amount > 0 ? order_book.BuyOrders : order_book.SellOrders;
var order = new OrderBook.Order(price, Math.Abs(amount), count);
// Find the index of 'price' in 'book'
var cmp = Comparer <OrderBook.Order> .Create((l, r) => - sign *l.Price.CompareTo(r.Price));
var idx = book.BinarySearch(order, cmp);
// If 'count' is zero, remove the given price level
if (count == 0)
{
if (idx >= 0)
{
book.RemoveAt(idx);
}
}
// Otherwise, add/update the price level
else
{
if (idx >= 0)
{
book[idx] = order;
}
else
{
book.Insert(~idx, order);
}
}
}
// Set the updated order book
this[pair] = order_book;
}
/// <summary>Return the order book for the given pair</summary>
public OrderBook this[CurrencyPair pair]
{
get { return(m_data.TryGetValue(pair, out var ob) ? ob : new OrderBook(pair)); }
set { m_data[pair] = value; }
}
public bool Equals(CurrencyPair b)
{
return(b.Base == Base && b.Quote == Quote);
}
public OrderBook(CurrencyPair pair)
{
Pair = pair;
BuyOrders = new List <Order>();
SellOrders = new List <Order>();
}
