public override ExchangeOrderBook GetOrderBook(string symbol, int maxCount = 100)
{
symbol = NormalizeSymbol(symbol);
JObject json = MakeJsonRequest <JObject>("/0/public/Depth?pair=" + symbol + "&count=" + maxCount);
JToken obj = CheckError(json);
obj = obj[symbol];
if (obj == null)
{
return(null);
}
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken bids = obj["bids"];
foreach (JToken token in bids)
{
ExchangeOrderPrice order = new ExchangeOrderPrice {
Amount = token[1].Value <decimal>(), Price = token[0].Value <decimal>()
};
orders.Bids.Add(order);
}
JToken asks = obj["asks"];
foreach (JToken token in asks)
{
ExchangeOrderPrice order = new ExchangeOrderPrice {
Amount = token[1].Value <decimal>(), Price = token[0].Value <decimal>()
};
orders.Asks.Add(order);
}
return(orders);
}
public override ExchangeOrderBook GetOrderBook(string symbol, int maxCount = 100)
{
symbol = NormalizeSymbol(symbol);
JObject obj = MakeJsonRequest <Newtonsoft.Json.Linq.JObject>("public/getorderbook?market=" + symbol + "&type=both&limit_bids=" + maxCount + "&limit_asks=" + maxCount);
JToken book = CheckError(obj);
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken bids = book["buy"];
foreach (JToken token in bids)
{
ExchangeOrderPrice order = new ExchangeOrderPrice {
Amount = token["Quantity"].ConvertInvariant <decimal>(), Price = token["Rate"].ConvertInvariant <decimal>()
};
orders.Bids.Add(order);
}
JToken asks = book["sell"];
foreach (JToken token in asks)
{
ExchangeOrderPrice order = new ExchangeOrderPrice {
Amount = token["Quantity"].ConvertInvariant <decimal>(), Price = token["Rate"].ConvertInvariant <decimal>()
};
orders.Asks.Add(order);
}
return(orders);
}
protected override async Task <IEnumerable <KeyValuePair <string, ExchangeOrderBook> > > OnGetOrderBooksAsync(int maxCount = 100)
{
List <KeyValuePair <string, ExchangeOrderBook> > books = new List <KeyValuePair <string, ExchangeOrderBook> >();
JToken obj = await MakeJsonRequestAsync <JToken>("/public?command=returnOrderBook¤cyPair=all&depth=" + maxCount);
foreach (JProperty token in obj.Children())
{
ExchangeOrderBook book = new ExchangeOrderBook();
foreach (JArray array in token.First["asks"])
{
var depth = new ExchangeOrderPrice {
Amount = array[1].ConvertInvariant <decimal>(), Price = array[0].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
}
foreach (JArray array in token.First["bids"])
{
var depth = new ExchangeOrderPrice {
Amount = array[1].ConvertInvariant <decimal>(), Price = array[0].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
}
books.Add(new KeyValuePair <string, ExchangeOrderBook>(token.Name, book));
}
return(books);
}
public override ExchangeOrderBook GetOrderBook(string symbol, int maxCount = 100)
{
symbol = NormalizeSymbol(symbol);
JObject obj = MakeJsonRequest <Newtonsoft.Json.Linq.JObject>("/book/" + symbol + "?limit_bids=" + maxCount + "&limit_asks=" + maxCount);
if (obj == null || obj.Count == 0)
{
return(null);
}
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken bids = obj["bids"];
foreach (JToken token in bids)
{
ExchangeOrderPrice order = new ExchangeOrderPrice {
Amount = token["amount"].Value <decimal>(), Price = token["price"].Value <decimal>()
};
orders.Bids.Add(order);
}
JToken asks = obj["asks"];
foreach (JToken token in asks)
{
ExchangeOrderPrice order = new ExchangeOrderPrice {
Amount = token["amount"].Value <decimal>(), Price = token["price"].Value <decimal>()
};
orders.Asks.Add(order);
}
return(orders);
}
protected override IWebSocket OnGetOrderBookWebSocket(Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] marketSymbols)
{
if (marketSymbols == null || marketSymbols.Length == 0)
{
marketSymbols = GetMarketSymbolsAsync().Sync().ToArray();
}
string combined = string.Join("/", marketSymbols.Select(s => this.NormalizeMarketSymbol(s).ToLowerInvariant() + "@depth"));
return(ConnectWebSocket($"/stream?streams={combined}", (_socket, msg) =>
{
string json = msg.ToStringFromUTF8();
var update = JsonConvert.DeserializeObject <MultiDepthStream>(json);
string marketSymbol = update.Data.MarketSymbol;
ExchangeOrderBook book = new ExchangeOrderBook {
SequenceId = update.Data.FinalUpdate, MarketSymbol = marketSymbol
};
foreach (List <object> ask in update.Data.Asks)
{
var depth = new ExchangeOrderPrice {
Price = ask[0].ConvertInvariant <decimal>(), Amount = ask[1].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
}
foreach (List <object> bid in update.Data.Bids)
{
var depth = new ExchangeOrderPrice {
Price = bid[0].ConvertInvariant <decimal>(), Amount = bid[1].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
}
callback(book);
return Task.CompletedTask;
}));
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken token = await MakeJsonRequestAsync <JToken>("/products/" + symbol + "/book?level=" + (maxCount > 50 ? "0" : "2"));
if (token.HasValues)
{
foreach (JArray array in token["bids"])
{
if (orders.Bids.Count < maxCount)
{
var depth = new ExchangeOrderPrice {
Amount = array[1].ConvertInvariant <decimal>(), Price = array[0].ConvertInvariant <decimal>()
};
orders.Bids[depth.Price] = depth;
}
}
foreach (JArray array in token["asks"])
{
if (orders.Asks.Count < maxCount)
{
var depth = new ExchangeOrderPrice {
Amount = array[1].ConvertInvariant <decimal>(), Price = array[0].ConvertInvariant <decimal>()
};
orders.Asks[depth.Price] = depth;
}
}
}
return(orders);
}
/// <summary>
/// Read from a binary reader
/// </summary>
/// <param name="reader">Binary reader</param>
public void FromBinary(BinaryReader reader)
{
Asks.Clear();
Bids.Clear();
int askCount = reader.ReadInt32();
int bidCount = reader.ReadInt32();
while (askCount-- > 0)
{
var exchangeOrderPrice = new ExchangeOrderPrice(reader);
Asks.Add(exchangeOrderPrice.Price, exchangeOrderPrice);
}
while (bidCount-- > 0)
{
var exchangeOrderPrice = new ExchangeOrderPrice(reader);
Bids.Add(exchangeOrderPrice.Price, exchangeOrderPrice);
}
}
private ExchangeOrderBook ParseOrderBook(JToken data)
{
ExchangeOrderBook book = new ExchangeOrderBook();
foreach (JToken token in data["bids"])
{
var depth = new ExchangeOrderPrice {
Amount = token["quantity"].ConvertInvariant <decimal>(), Price = token["price"].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
}
foreach (JToken token in data["asks"])
{
var depth = new ExchangeOrderPrice {
Amount = token["quantity"].ConvertInvariant <decimal>(), Price = token["price"].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
}
return(book);
}
private ExchangeOrderBook ParseOrderBook(JToken token)
{
ExchangeOrderBook book = new ExchangeOrderBook();
foreach (JArray array in token["bids"])
{
var depth = new ExchangeOrderPrice {
Price = array[0].ConvertInvariant <decimal>(), Amount = array[1].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
}
foreach (JArray array in token["asks"])
{
var depth = new ExchangeOrderPrice {
Price = array[0].ConvertInvariant <decimal>(), Amount = array[1].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
}
return(book);
}
/// <summary>Common order book parsing method, checks for "amount" or "quantity" and "price"
/// elements</summary>
/// <param name="token">Token</param>
/// <param name="asks">Asks key</param>
/// <param name="bids">Bids key</param>
/// <param name="price">Price key</param>
/// <param name="amount">Quantity key</param>
/// <param name="sequence">Sequence key</param>
/// <param name="maxCount">Max count</param>
/// <returns>Order book</returns>
internal static ExchangeOrderBook ParseOrderBookFromJTokenDictionaries
(
this JToken token,
string asks = "asks",
string bids = "bids",
string price = "price",
string amount = "amount",
string sequence = "ts",
int maxCount = 100
)
{
var book = new ExchangeOrderBook {
SequenceId = token[sequence].ConvertInvariant <long>()
};
foreach (JToken ask in token[asks])
{
var depth = new ExchangeOrderPrice {
Price = ask[price].ConvertInvariant <decimal>(), Amount = ask[amount].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
if (book.Asks.Count == maxCount)
{
break;
}
}
foreach (JToken bid in token[bids])
{
var depth = new ExchangeOrderPrice {
Price = bid[price].ConvertInvariant <decimal>(), Amount = bid[amount].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
if (book.Bids.Count == maxCount)
{
break;
}
}
return(book);
}
protected override IDisposable OnGetOrderBookDeltasWebSocket(Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] symbols)
{
if (callback == null || symbols == null || !symbols.Any())
{
return(null);
}
string combined = string.Join("/", symbols.Select(s => this.NormalizeSymbol(s).ToLowerInvariant() + "@depth"));
return(ConnectWebSocket($"/stream?streams={combined}", (msg, _socket) =>
{
try
{
string json = msg.UTF8String();
var update = JsonConvert.DeserializeObject <BinanceMultiDepthStream>(json);
string symbol = update.Data.Symbol;
ExchangeOrderBook book = new ExchangeOrderBook {
SequenceId = update.Data.FinalUpdate, Symbol = symbol
};
foreach (List <object> ask in update.Data.Asks)
{
var depth = new ExchangeOrderPrice {
Price = ask[0].ConvertInvariant <decimal>(), Amount = ask[1].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
}
foreach (List <object> bid in update.Data.Bids)
{
var depth = new ExchangeOrderPrice {
Price = bid[0].ConvertInvariant <decimal>(), Amount = bid[1].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
}
callback(book);
}
catch
{
}
}));
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
var token = await MakeRequestOkexAsync(symbol, "/depth.do?symbol=$SYMBOL$");
ExchangeOrderBook book = new ExchangeOrderBook();
foreach (JArray ask in token.Item1["asks"])
{
var depth = new ExchangeOrderPrice {
Amount = ask[1].ConvertInvariant <decimal>(), Price = ask[0].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
}
foreach (JArray bid in token.Item1["bids"])
{
var depth = new ExchangeOrderPrice {
Amount = bid[1].ConvertInvariant <decimal>(), Price = bid[0].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
}
return(book);
}
/// <summary>Common order book parsing method, most exchanges use "asks" and "bids" with
/// arrays of length 2 for price and amount (or amount and price)</summary>
/// <param name="token">Token</param>
/// <param name="asks">Asks key</param>
/// <param name="bids">Bids key</param>
/// <param name="maxCount">Max count</param>
/// <returns>Order book</returns>
internal static ExchangeOrderBook ParseOrderBookFromJTokenArrays
(
this JToken token,
string asks = "asks",
string bids = "bids",
string sequence = "ts",
int maxCount = 100
)
{
var book = new ExchangeOrderBook {
SequenceId = token[sequence].ConvertInvariant <long>()
};
foreach (JArray array in token[asks])
{
var depth = new ExchangeOrderPrice {
Price = array[0].ConvertInvariant <decimal>(), Amount = array[1].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
if (book.Asks.Count == maxCount)
{
break;
}
}
foreach (JArray array in token[bids])
{
var depth = new ExchangeOrderPrice {
Price = array[0].ConvertInvariant <decimal>(), Amount = array[1].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
if (book.Bids.Count == maxCount)
{
break;
}
}
return(book);
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
symbol = NormalizeSymbol(symbol);
JToken token = await MakeBitstampRequestAsync("/order_book/" + symbol);
ExchangeOrderBook book = new ExchangeOrderBook();
foreach (JArray ask in token["asks"])
{
var depth = new ExchangeOrderPrice {
Amount = ask[1].ConvertInvariant <decimal>(), Price = ask[0].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
}
foreach (JArray bid in token["bids"])
{
var depth = new ExchangeOrderPrice {
Amount = bid[1].ConvertInvariant <decimal>(), Price = bid[0].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
}
return(book);
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
symbol = NormalizeSymbol(symbol);
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken obj = await MakeJsonRequestAsync <JToken>("/depth/" + symbol + "?limit=" + maxCount, BaseUrl, null);
foreach (JArray prop in obj[symbol]["asks"])
{
var depth = new ExchangeOrderPrice {
Price = prop[0].ConvertInvariant <decimal>(), Amount = prop[1].ConvertInvariant <decimal>()
};
orders.Asks[depth.Price] = depth;
}
foreach (JArray prop in obj[symbol]["bids"])
{
var depth = new ExchangeOrderPrice {
Price = prop[0].ConvertInvariant <decimal>(), Amount = prop[1].ConvertInvariant <decimal>()
};
orders.Bids[depth.Price] = depth;
}
return(orders);
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken token = await MakeJsonRequestAsync <JToken>("/open/orders?symbol=" + symbol + "&limit=" + maxCount);
if (token.HasValues)
{
foreach (JToken order in token["BUY"])
{
var depth = new ExchangeOrderPrice {
Price = order[0].ConvertInvariant <decimal>(), Amount = order[1].ConvertInvariant <decimal>()
};
orders.Bids[depth.Price] = depth;
}
foreach (JToken order in token["SELL"])
{
var depth = new ExchangeOrderPrice {
Price = order[0].ConvertInvariant <decimal>(), Amount = order[1].ConvertInvariant <decimal>()
};
orders.Asks[depth.Price] = depth;
}
}
return(orders);
}
protected override IWebSocket OnGetDeltaOrderBookWebSocket(Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] marketSymbols)
{
/*
* {"info":"Welcome to the BitMEX Realtime API.","version":"2018-06-29T18:05:14.000Z","timestamp":"2018-07-05T14:22:26.267Z","docs":"https://www.bitmex.com/app/wsAPI","limit":{"remaining":39}}
* {"success":true,"subscribe":"orderBookL2:XBTUSD","request":{"op":"subscribe","args":["orderBookL2:XBTUSD"]}}
* {"table":"orderBookL2","action":"update","data":[{"symbol":"XBTUSD","id":8799343000,"side":"Buy","size":350544}]}
*/
if (marketSymbols == null || marketSymbols.Length == 0)
{
marketSymbols = GetMarketSymbolsAsync().Sync().ToArray();
}
return(ConnectWebSocket(string.Empty, (_socket, msg) =>
{
var str = msg.ToStringFromUTF8();
JToken token = JToken.Parse(str);
if (token["table"] == null)
{
return Task.CompletedTask;
}
var action = token["action"].ToStringInvariant();
JArray data = token["data"] as JArray;
ExchangeOrderBook book = new ExchangeOrderBook();
var price = 0m;
var size = 0m;
foreach (var d in data)
{
var marketSymbol = d["symbol"].ToStringInvariant();
var id = d["id"].ConvertInvariant <long>();
if (d["price"] == null)
{
if (!dict_long_decimal.TryGetValue(id, out price))
{
continue;
}
}
else
{
price = d["price"].ConvertInvariant <decimal>();
dict_long_decimal[id] = price;
dict_decimal_long[price] = id;
}
var side = d["side"].ToStringInvariant();
if (d["size"] == null)
{
size = 0m;
}
else
{
size = d["size"].ConvertInvariant <decimal>();
}
var depth = new ExchangeOrderPrice {
Price = price, Amount = size
};
if (side.EqualsWithOption("Buy"))
{
book.Bids[depth.Price] = depth;
}
else
{
book.Asks[depth.Price] = depth;
}
book.MarketSymbol = marketSymbol;
}
if (!string.IsNullOrEmpty(book.MarketSymbol))
{
callback(book);
}
return Task.CompletedTask;
}, async(_socket) =>
{
if (marketSymbols.Length == 0)
{
marketSymbols = (await GetMarketSymbolsAsync()).ToArray();
}
await _socket.SendMessageAsync(new { op = "subscribe", args = marketSymbols.Select(s => "orderBookL2:" + this.NormalizeMarketSymbol(s)).ToArray() });
}));
}
protected override IWebSocket OnGetDeltaOrderBookWebSocket
(
Action <ExchangeOrderBook> callback,
int maxCount = 20,
params string[] marketSymbols
)
{
if (marketSymbols == null || marketSymbols.Length == 0)
{
marketSymbols = GetMarketSymbolsAsync().Sync().ToArray();
}
Task innerCallback(string json)
{
#region sample json
/*
* {
* MarketName : string,
* Nonce : int,
* Buys:
* [
* {
* Type : int,
* Rate : decimal,
* Quantity : decimal
* }
* ],
* Sells:
* [
* {
* Type : int,
* Rate : decimal,
* Quantity : decimal
* }
* ],
* Fills:
* [
* {
* FillId : int,
* OrderType : string,
* Rate : decimal,
* Quantity : decimal,
* TimeStamp : date
* }
* ]
* }
*/
#endregion
var ordersUpdates = JsonConvert.DeserializeObject <BittrexStreamUpdateExchangeState>(json);
var book = new ExchangeOrderBook();
foreach (BittrexStreamOrderBookUpdateEntry ask in ordersUpdates.Sells)
{
var depth = new ExchangeOrderPrice {
Price = ask.Rate, Amount = ask.Quantity
};
book.Asks[depth.Price] = depth;
}
foreach (BittrexStreamOrderBookUpdateEntry bid in ordersUpdates.Buys)
{
var depth = new ExchangeOrderPrice {
Price = bid.Rate, Amount = bid.Quantity
};
book.Bids[depth.Price] = depth;
}
book.MarketSymbol = ordersUpdates.MarketName;
book.SequenceId = ordersUpdates.Nonce;
callback(book);
return(Task.CompletedTask);
}
return(new BittrexWebSocketManager().SubscribeToExchangeDeltas(innerCallback, marketSymbols));
}
protected override IDisposable OnGetOrderBookDeltasWebSocket(Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] symbols)
{
/*
* {"info":"Welcome to the BitMEX Realtime API.","version":"2018-06-29T18:05:14.000Z","timestamp":"2018-07-05T14:22:26.267Z","docs":"https://www.bitmex.com/app/wsAPI","limit":{"remaining":39}}
* {"success":true,"subscribe":"orderBookL2:XBTUSD","request":{"op":"subscribe","args":["orderBookL2:XBTUSD"]}}
* {"table":"orderBookL2","action":"update","data":[{"symbol":"XBTUSD","id":8799343000,"side":"Buy","size":350544}]}
*/
if (callback == null || symbols == null || !symbols.Any())
{
return(null);
}
return(ConnectWebSocket(string.Empty, (msg, _socket) =>
{
try
{
var str = msg.UTF8String();
JToken token = JToken.Parse(str);
if (token["table"] == null)
{
return;
}
var action = token["action"].ToStringInvariant();
JArray data = token["data"] as JArray;
ExchangeOrderBook book = new ExchangeOrderBook();
var price = 0m;
var size = 0m;
foreach (var d in data)
{
var symbol = d["symbol"].ToStringInvariant();
var id = d["id"].ConvertInvariant <long>();
if (d["price"] == null)
{
if (!dict_long_decimal.TryGetValue(id, out price))
{
continue;
}
}
else
{
price = d["price"].ConvertInvariant <decimal>();
dict_long_decimal[id] = price;
dict_decimal_long[price] = id;
}
var side = d["side"].ToStringInvariant();
if (d["size"] == null)
{
size = 0m;
}
else
{
size = d["size"].ConvertInvariant <decimal>();
}
var depth = new ExchangeOrderPrice {
Price = price, Amount = size
};
if (side.EqualsWithOption("Buy"))
{
book.Bids[depth.Price] = depth;
}
else
{
book.Asks[depth.Price] = depth;
}
book.Symbol = symbol;
}
callback(book);
}
catch
{
// TODO: Handle exception
}
}, (_socket) =>
{
if (symbols.Length == 0)
{
symbols = GetSymbols().ToArray();
}
string combined = string.Join(",", symbols.Select(s => "\"orderBookL2:" + this.NormalizeSymbol(s) + "\""));
string msg = $"{{\"op\":\"subscribe\",\"args\":[{combined}]}}";
_socket.SendMessage(msg);
}));
}
protected override IDisposable OnGetOrderBookDeltasWebSocket(
Action <ExchangeOrderBook> callback,
int maxCount = 20,
params string[] symbols)
{
if (callback == null || symbols == null || !symbols.Any())
{
return(null);
}
void innerCallback(string json)
{
#region sample json
/*
* {
* MarketName : string,
* Nonce : int,
* Buys:
* [
* {
* Type : int,
* Rate : decimal,
* Quantity : decimal
* }
* ],
* Sells:
* [
* {
* Type : int,
* Rate : decimal,
* Quantity : decimal
* }
* ],
* Fills:
* [
* {
* FillId : int,
* OrderType : string,
* Rate : decimal,
* Quantity : decimal,
* TimeStamp : date
* }
* ]
* }
*/
#endregion
var ordersUpdates = JsonConvert.DeserializeObject <BittrexStreamUpdateExchangeState>(json);
var book = new ExchangeOrderBook();
foreach (BittrexStreamOrderBookUpdateEntry ask in ordersUpdates.Sells)
{
var depth = new ExchangeOrderPrice {
Price = ask.Rate, Amount = ask.Quantity
};
book.Asks[depth.Price] = depth;
}
foreach (BittrexStreamOrderBookUpdateEntry bid in ordersUpdates.Buys)
{
var depth = new ExchangeOrderPrice {
Price = bid.Rate, Amount = bid.Quantity
};
book.Bids[depth.Price] = depth;
}
book.Symbol = ordersUpdates.MarketName;
book.SequenceId = ordersUpdates.Nonce;
callback(book);
}
IDisposable client = null;
foreach (var sym in symbols)
{
client = this.SocketManager.SubscribeToExchangeDeltas(innerCallback, sym);
}
return(client);
}
protected override async Task <IWebSocket> OnGetDeltaOrderBookWebSocketAsync(Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] marketSymbols)
{
Dictionary <int, Tuple <string, long> > messageIdToSymbol = new Dictionary <int, Tuple <string, long> >();
return(await ConnectWebSocketAsync(string.Empty, (_socket, msg) =>
{
JToken token = JToken.Parse(msg.ToStringFromUTF8());
int msgId = token[0].ConvertInvariant <int>();
//return if this is a heartbeat message
if (msgId == 1010)
{
return Task.CompletedTask;
}
var seq = token[1].ConvertInvariant <long>();
var dataArray = token[2];
ExchangeOrderBook book = new ExchangeOrderBook();
foreach (var data in dataArray)
{
var dataType = data[0].ToStringInvariant();
if (dataType == "i")
{
var marketInfo = data[1];
var market = marketInfo["currencyPair"].ToStringInvariant();
messageIdToSymbol[msgId] = new Tuple <string, long>(market, 0);
// we are only returning the deltas, this would create a full order book which we don't want, but keeping it
// here for historical reference
/*
* foreach (JProperty jprop in marketInfo["orderBook"][0].Cast<JProperty>())
* {
* var depth = new ExchangeOrderPrice
* {
* Price = jprop.Name.ConvertInvariant<decimal>(),
* Amount = jprop.Value.ConvertInvariant<decimal>()
* };
* book.Asks[depth.Price] = depth;
* }
* foreach (JProperty jprop in marketInfo["orderBook"][1].Cast<JProperty>())
* {
* var depth = new ExchangeOrderPrice
* {
* Price = jprop.Name.ConvertInvariant<decimal>(),
* Amount = jprop.Value.ConvertInvariant<decimal>()
* };
* book.Bids[depth.Price] = depth;
* }
*/
}
else if (dataType == "o")
{
//removes or modifies an existing item on the order books
if (messageIdToSymbol.TryGetValue(msgId, out Tuple <string, long> symbol))
{
int type = data[1].ConvertInvariant <int>();
var depth = new ExchangeOrderPrice {
Price = data[2].ConvertInvariant <decimal>(), Amount = data[3].ConvertInvariant <decimal>()
};
var list = (type == 1 ? book.Bids : book.Asks);
list[depth.Price] = depth;
book.MarketSymbol = symbol.Item1;
book.SequenceId = symbol.Item2 + 1;
messageIdToSymbol[msgId] = new Tuple <string, long>(book.MarketSymbol, book.SequenceId);
}
}
else
{
continue;
}
}
if (book != null && (book.Asks.Count != 0 || book.Bids.Count != 0))
{
callback(book);
}
return Task.CompletedTask;
}, async (_socket) =>
{
if (marketSymbols == null || marketSymbols.Length == 0)
{
marketSymbols = (await GetMarketSymbolsAsync()).ToArray();
}
// subscribe to order book and trades channel for each symbol
foreach (var sym in marketSymbols)
{
await _socket.SendMessageAsync(new { command = "subscribe", channel = NormalizeMarketSymbol(sym) });
}
}));
}
