private void ProcessUpdate(IEnumerable <BitfinexOrderBookEntry> entries)
{
if (!bookSet)
{
var askEntries = entries.Where(e => e.Quantity < 0).ToList();
var bidEntries = entries.Where(e => e.Quantity > 0).ToList();
foreach (var entry in askEntries)
{
entry.Quantity = -entry.Quantity; // Bitfinex sends the asks as negative numbers, invert them
}
SetInitialOrderBook(DateTime.UtcNow.Ticks, bidEntries, askEntries);
}
else
{
var askEntries = new List <ISymbolOrderBookEntry>();
var bidEntries = new List <ISymbolOrderBookEntry>();
foreach (var entry in entries)
{
if (entry.Count == 0)
{
var bookEntry = new BitfinexOrderBookEntry()
{
Price = entry.Price, Quantity = 0
};
if (entry.Quantity == -1)
{
askEntries.Add(bookEntry);
}
else
{
bidEntries.Add(bookEntry);
}
}
else
{
if (entry.Quantity < 0)
{
askEntries.Add(new BitfinexOrderBookEntry()
{
Price = entry.Price, Quantity = -entry.Quantity
});
}
else
{
bidEntries.Add(entry);
}
}
}
UpdateOrderBook(DateTime.UtcNow.Ticks, bidEntries, askEntries);
}
}
private static BitfinexOrderBookEntry ParseEntry(JArray data)
{
JToken price;
JToken count;
JToken quantity;
if (data.Count == 3)
{
price = data[0];
count = data[1];
quantity = data[2];
}
else
{
price = data[0];
count = data[2];
quantity = data[3];
}
var result = new BitfinexOrderBookEntry()
{
Count = (int)count,
Price = (decimal)price,
Quantity = (decimal)quantity,
};
var priceWithExp = ((JValue)price).ToString(CultureInfo.InvariantCulture);
if (priceWithExp.Contains("E-07") || priceWithExp.Contains("E-08"))
{
result.RawPrice = priceWithExp.Replace('E', 'e').Replace("-07", "-7").Replace("-08", "-8");
}
else
{
result.RawPrice = ((JValue)price).ToString("F8", CultureInfo.InvariantCulture).TrimEnd('0').TrimEnd('.');
}
var quantityWithExp = ((JValue)quantity).ToString(CultureInfo.InvariantCulture);
if (quantityWithExp.Contains("E-07") || quantityWithExp.Contains("E-08"))
{
result.RawQuantity = quantityWithExp.Replace('E', 'e').Replace("-07", "-7").Replace("-08", "-8");
}
else
{
result.RawQuantity = ((JValue)quantity).ToString("F8", CultureInfo.InvariantCulture).TrimEnd('0').TrimEnd('.');
}
return(result);
}
