public async Task <OrderBook> CreateLocalOrderBook(Symbol symbol, Interface.Model.OrderBook orderBook, int listDisplayCount, int chartDisplayCount)
{
var cancellationTokenSource = new CancellationTokenSource();
var orderBookCount = chartDisplayCount > listDisplayCount ? chartDisplayCount : listDisplayCount;
var limit = orderBookCount < 21 ? 20 : 100;
var snapShot = await kucoinExchangeApi.GetOrderBookAsync(symbol.ExchangeSymbol, limit, cancellationTokenSource.Token);
// Order by price: bids (ASC) and asks (ASC)
// Discard those that we are not interested in displaying on the screen.
var snapShotAsks = new List <Interface.Model.OrderBookPriceLevel>(snapShot.Asks.Take(orderBookCount).OrderBy(a => a.Price).ToList());
var snapShotBids = new List <Interface.Model.OrderBookPriceLevel>(snapShot.Bids.Take(orderBookCount).OrderBy(b => b.Price).ToList());
long latestSquence = snapShot.LastUpdateId;
bool isUpdated = false;
var replayedAsks = ReplayPriceLevels(snapShotAsks, orderBook.Asks, snapShot.LastUpdateId, ref latestSquence, ref isUpdated);
var replayedBids = ReplayPriceLevels(snapShotBids, orderBook.Bids, snapShot.LastUpdateId, ref latestSquence, ref isUpdated);
var pricePrecision = symbol.PricePrecision;
var quantityPrecision = symbol.QuantityPrecision;
var asks = replayedAsks.Select(ask => new OrderBookPriceLevel
{
Price = ask.Price.Trim(pricePrecision),
Quantity = ask.Quantity.Trim(quantityPrecision)
}).ToList();
var bids = replayedBids.Select(bid => new OrderBookPriceLevel
{
Price = bid.Price.Trim(pricePrecision),
Quantity = bid.Quantity.Trim(quantityPrecision)
}).ToList();
// Take the top bids and asks for the order book bid and ask lists and order descending.
var topAsks = asks.Take(listDisplayCount).OrderByDescending(a => a.Price).ToList();
var topBids = bids.OrderByDescending(b => b.Price).Take(listDisplayCount).ToList();
var skipExcessBids = 0;
if (bids.Count > chartDisplayCount)
{
skipExcessBids = bids.Count - chartDisplayCount;
}
// Take the bid and aks to display in the the order book chart.
var chartAsks = asks.Take(chartDisplayCount).ToList();
var chartBids = bids.Skip(skipExcessBids).ToList();
// Create the aggregated bids and asks for the aggregated bid and ask chart.
var aggregatedAsks = GetAggregatedAsks(chartAsks);
var aggregatedBids = GetAggregatedBids(chartBids);
return(new OrderBook
{
LastUpdateId = latestSquence,
Symbol = orderBook.Symbol,
BaseSymbol = symbol.BaseAsset.Symbol,
QuoteSymbol = symbol.QuoteAsset.Symbol,
Asks = replayedAsks,
Bids = replayedBids,
TopAsks = topAsks,
TopBids = topBids,
ChartAsks = new ChartValues <OrderBookPriceLevel>(chartAsks),
ChartBids = new ChartValues <OrderBookPriceLevel>(chartBids),
ChartAggregatedAsks = new ChartValues <OrderBookPriceLevel>(aggregatedAsks),
ChartAggregatedBids = new ChartValues <OrderBookPriceLevel>(aggregatedBids)
});
}
public async Task <OrderBook> GetOrderBookAsync(string symbol, int limit, CancellationToken cancellationToken)
{
var orderBook = await exchangeApi.GetOrderBookAsync(symbol, limit, cancellationToken).ConfigureAwait(false);
return(orderBook);
}
public async Task <OrderBook> CreateLocalOrderBook(Symbol symbol, Core.Model.OrderBook orderBook, int listDisplayCount, int chartDisplayCount)
{
if (symbol == null)
{
throw new ArgumentNullException(nameof(symbol));
}
if (orderBook == null)
{
throw new ArgumentNullException(nameof(orderBook));
}
Core.Model.OrderBook snapShot;
using (var cancellationTokenSource = new CancellationTokenSource())
{
snapShot = await kucoinExchangeApi.GetOrderBookAsync(symbol.ExchangeSymbol, 100, cancellationTokenSource.Token).ConfigureAwait(false);
}
// Order by price: bids (ASC) and asks (ASC)
// Discard those that we are not interested in displaying on the screen.
var snapShotAsks = new List <Core.Model.OrderBookPriceLevel>(snapShot.Asks.OrderBy(a => a.Price).ToList());
var snapShotBids = new List <Core.Model.OrderBookPriceLevel>(snapShot.Bids.OrderBy(b => b.Price).ToList());
long latestSquence = snapShot.LastUpdateId;
ReplayPriceLevels(snapShotAsks, orderBook.Asks, snapShot.LastUpdateId, ref latestSquence);
ReplayPriceLevels(snapShotBids, orderBook.Bids, snapShot.LastUpdateId, ref latestSquence);
var pricePrecision = symbol.PricePrecision;
var quantityPrecision = symbol.QuantityPrecision;
var asks = snapShotAsks.Select(ask => new OrderBookPriceLevel
{
Price = ask.Price.Trim(pricePrecision),
Quantity = ask.Quantity.Trim(quantityPrecision)
}).ToList();
var bids = snapShotBids.Select(bid => new OrderBookPriceLevel
{
Price = bid.Price.Trim(pricePrecision),
Quantity = bid.Quantity.Trim(quantityPrecision)
}).ToList();
var topAsk = asks.First();
var topBid = bids.First();
decimal bidAskSpread;
if (topAsk.Price != 0)
{
bidAskSpread = Math.Round(((topAsk.Price - topBid.Price) / topAsk.Price) * 100, 2, MidpointRounding.AwayFromZero);
}
else
{
bidAskSpread = 0.00m;
}
// Take the top bids and asks for the order book bid and ask lists and order descending.
var topAsks = asks.Take(listDisplayCount).OrderByDescending(a => a.Price).ToList();
var topBids = bids.OrderByDescending(b => b.Price).Take(listDisplayCount).ToList();
var skipExcessBids = 0;
if (bids.Count > chartDisplayCount)
{
skipExcessBids = bids.Count - chartDisplayCount;
}
// Take the bid and aks to display in the the order book chart.
var chartAsks = asks.Take(chartDisplayCount).ToList();
var chartBids = bids.Skip(skipExcessBids).ToList();
// Create the aggregated bids and asks for the aggregated bid and ask chart.
var aggregatedAsks = GetAggregatedAsks(chartAsks);
var aggregatedBids = GetAggregatedBids(chartBids);
var newOrderBook = new OrderBook
{
LastUpdateId = latestSquence,
Symbol = orderBook.Symbol,
BaseSymbol = symbol.BaseAsset.Symbol,
QuoteSymbol = symbol.QuoteAsset.Symbol,
BidAskSpread = bidAskSpread
};
newOrderBook.Asks.AddRange(snapShotAsks);
newOrderBook.Bids.AddRange(snapShotBids);
newOrderBook.TopAsks.AddRange(topAsks);
newOrderBook.TopBids.AddRange(topBids);
newOrderBook.ChartAsks.AddRange(new ChartValues <OrderBookPriceLevel>(chartAsks));
newOrderBook.ChartBids.AddRange(new ChartValues <OrderBookPriceLevel>(chartBids));
newOrderBook.ChartAggregatedAsks.AddRange(new ChartValues <OrderBookPriceLevel>(aggregatedAsks));
newOrderBook.ChartAggregatedBids.AddRange(new ChartValues <OrderBookPriceLevel>(aggregatedBids));
return(newOrderBook);
}