public static async Task <IWebSocket> GetFullOrderBookWebSocketAsync(this IOrderBookProvider api, Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] symbols)
{
if (api.WebSocketOrderBookType == WebSocketOrderBookType.None)
{
throw new NotSupportedException(api.GetType().Name + " does not support web socket order books");
}
// Notes:
// * Confirm with the Exchange's API docs whether the data in each event is the absolute quantity or differential quantity
// * Receiving an event that removes a price level that is not in your local order book can happen and is normal.
ConcurrentDictionary <string, ExchangeOrderBook> fullBooks = new ConcurrentDictionary <string, ExchangeOrderBook>();
Dictionary <string, Queue <ExchangeOrderBook> > partialOrderBookQueues = new Dictionary <string, Queue <ExchangeOrderBook> >();
/// <summary>
/// Get full order book bids and asks via web socket. This is efficient and will
/// only use the order book deltas (if supported by the exchange). This method deals
/// with the complexity of different exchanges sending order books that are full,
/// partial or otherwise.
/// </summary>
/// <param name="callback">Callback containing full order book</param>
/// <param name="maxCount">Max count of bids and asks - not all exchanges will honor this
/// parameter</param>
/// <param name="symbols">Order book symbols or null/empty for all of them (if supported)</param>
/// <returns>Web socket, call Dispose to close</returns>
public static IWebSocket GetFullOrderBookWebSocket(this IOrderBookProvider api, Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] symbols)
{
if (api.WebSocketOrderBookType == WebSocketOrderBookType.None)
{
throw new NotSupportedException(api.GetType().Name + " does not support web socket order books");
}
// Notes:
// * Confirm with the Exchange's API docs whether the data in each event is the absolute quantity or differential quantity
// * Receiving an event that removes a price level that is not in your local order book can happen and is normal.
ConcurrentDictionary <string, ExchangeOrderBook> fullBooks = new ConcurrentDictionary <string, ExchangeOrderBook>();
Dictionary <string, Queue <ExchangeOrderBook> > partialOrderBookQueues = new Dictionary <string, Queue <ExchangeOrderBook> >();
void applyDelta(SortedDictionary <decimal, ExchangeOrderPrice> deltaValues, SortedDictionary <decimal, ExchangeOrderPrice> bookToEdit)
{
foreach (ExchangeOrderPrice record in deltaValues.Values)
{
if (record.Amount <= 0 || record.Price <= 0)
{
bookToEdit.Remove(record.Price);
}
else
{
bookToEdit[record.Price] = record;
}
}
}
void updateOrderBook(ExchangeOrderBook fullOrderBook, ExchangeOrderBook freshBook)
{
lock (fullOrderBook)
{
// update deltas as long as the full book is at or before the delta timestamp
if (fullOrderBook.SequenceId <= freshBook.SequenceId)
{
applyDelta(freshBook.Asks, fullOrderBook.Asks);
applyDelta(freshBook.Bids, fullOrderBook.Bids);
fullOrderBook.SequenceId = freshBook.SequenceId;
}
}
}
async Task innerCallback(ExchangeOrderBook newOrderBook)
{
// depending on the exchange, newOrderBook may be a complete or partial order book
// ideally all exchanges would send the full order book on first message, followed by delta order books
// but this is not the case
bool foundFullBook = fullBooks.TryGetValue(newOrderBook.MarketSymbol, out ExchangeOrderBook fullOrderBook);
switch (api.WebSocketOrderBookType)
{
case WebSocketOrderBookType.DeltasOnly:
{
// Fetch an initial book the first time and apply deltas on top
// send these exchanges scathing support tickets that they should send
// the full book for the first web socket callback message
Queue <ExchangeOrderBook> partialOrderBookQueue;
bool requestFullOrderBook = false;
// attempt to find the right queue to put the partial order book in to be processed later
lock (partialOrderBookQueues)
{
if (!partialOrderBookQueues.TryGetValue(newOrderBook.MarketSymbol, out partialOrderBookQueue))
{
// no queue found, make a new one
partialOrderBookQueues[newOrderBook.MarketSymbol] = partialOrderBookQueue = new Queue <ExchangeOrderBook>();
requestFullOrderBook = !foundFullBook;
}
// always enqueue the partial order book, they get dequeued down below
partialOrderBookQueue.Enqueue(newOrderBook);
}
// request the entire order book if we need it
if (requestFullOrderBook)
{
fullOrderBook = await api.GetOrderBookAsync(newOrderBook.MarketSymbol, maxCount);
fullOrderBook.MarketSymbol = newOrderBook.MarketSymbol;
fullBooks[newOrderBook.MarketSymbol] = fullOrderBook;
}
else if (!foundFullBook)
{
// we got a partial book while the full order book was being requested
// return out, the full order book loop will process this item in the queue
return;
}
// else new partial book with full order book available, will get dequeued below
// check if any old books for this symbol, if so process them first
// lock dictionary of queues for lookup only
lock (partialOrderBookQueues)
{
partialOrderBookQueues.TryGetValue(newOrderBook.MarketSymbol, out partialOrderBookQueue);
}
if (partialOrderBookQueue != null)
{
// lock the individual queue for processing, fifo queue
lock (partialOrderBookQueue)
{
while (partialOrderBookQueue.Count != 0)
{
updateOrderBook(fullOrderBook, partialOrderBookQueue.Dequeue());
}
}
}
} break;
case WebSocketOrderBookType.FullBookFirstThenDeltas:
{
// First response from exchange will be the full order book.
// Subsequent updates will be deltas, at least some exchanges have their heads on straight
if (!foundFullBook)
{
fullBooks[newOrderBook.MarketSymbol] = fullOrderBook = newOrderBook;
}
else
{
updateOrderBook(fullOrderBook, newOrderBook);
}
} break;
case WebSocketOrderBookType.FullBookAlways:
{
// Websocket always returns full order book, WTF...?
fullBooks[newOrderBook.MarketSymbol] = fullOrderBook = newOrderBook;
} break;
}
fullOrderBook.LastUpdatedUtc = CryptoUtility.UtcNow;
callback(fullOrderBook);
}
IWebSocket socket = api.GetOrderBookWebSocket(async(b) =>
{
try
{
await innerCallback(b);
}
catch
{
}
}, maxCount, symbols);
socket.Connected += (s) =>
{
// when we re-connect, we must invalidate the order books, who knows how long we were disconnected
// and how out of date the order books are
fullBooks.Clear();
lock (partialOrderBookQueues)
{
partialOrderBookQueues.Clear();
}
return(Task.CompletedTask);
};
return(socket);
}