public void Notify(string symbol, List <Order> orders)
{
using (locker.CreateLock())
{
foreach (var subscriptor in subscriptors)
{
if (subscriptor.Value.Contains(symbol))
{
var notification = new OrderBookNotification()
{
Symbol = symbol,
Orders = OrderConverter.GetOrders(orders)
};
Send(subscriptor.Key, new NotificationMessage(notification));
}
}
}
}
private void Client_UpdateMarketDepth(OrderBookNotification orderBook)
{
var needDepth = _depths.Find(d => d.SecurityNameCode == orderBook.CurrencyPair);
if (needDepth == null)
{
return;
}
foreach (var level in orderBook.Datas)
{
var price = ParseDecimal(level.Price);
var volume = ParseDecimal(level.Quantity);
if (level.order_type == OrderBookEvent.OrderType.Ask)
{
var needLevel = needDepth.Asks.Find(l => l.Price == price);
if (needLevel != null)
{
if (level.Quantity == "0")
{
needDepth.Asks.Remove(needLevel);
}
else
{
needLevel.Ask = volume;
}
}
else
{
needDepth.Asks.Add(new MarketDepthLevel
{
Ask = volume,
Price = price
});
_needSortAsks = true;
}
}
else if (level.order_type == OrderBookEvent.OrderType.Bid)
{
var needLevel = needDepth.Bids.Find(l => l.Price == price);
if (needLevel != null)
{
if (level.Quantity == "0")
{
needDepth.Bids.Remove(needLevel);
}
else
{
needLevel.Bid = volume;
}
}
else
{
needDepth.Bids.Add(new MarketDepthLevel
{
Bid = volume,
Price = price
});
_needSortBids = true;
}
}
needDepth.Time = DateTime.UtcNow;
}
if (_needSortAsks)
{
needDepth.Asks.Sort((a, b) =>
{
if (a.Price > b.Price)
{
return(1);
}
else if (a.Price < b.Price)
{
return(-1);
}
else
{
return(0);
}
});
_needSortAsks = false;
}
if (_needSortBids)
{
needDepth.Bids.Sort((a, b) =>
{
if (a.Price > b.Price)
{
return(-1);
}
else if (a.Price < b.Price)
{
return(1);
}
else
{
return(0);
}
});
_needSortBids = false;
}
if (MarketDepthEvent != null)
{
MarketDepthEvent(needDepth.GetCopy());
}
}
private void HandleUpdate(OrderBookNotification data)
{
_lastSequence++;
UpdateOrderBook(_lastSequence, data.Data.Where(d => d.OrderType == OrderBidAskType.Bid), data.Data.Where(d => d.OrderType == OrderBidAskType.Ask));
}
/// <summary>
/// takes messages from the common queue, converts them to C # classes and sends them to up
/// берет сообщения из общей очереди, конвертирует их в классы C# и отправляет на верх
/// </summary>
public void Converter()
{
while (true)
{
try
{
if (_isDisposed)
{
return;
}
if (!_newMessage.IsEmpty)
{
WsResponse response;
if (_newMessage.TryDequeue(out response))
{
if (response.Meta.ResponseType == WsResponseMetaData.WsResponseMsgType.TradeChannelSubscribed)
{
using (MemoryStream messageStream = new MemoryStream(response.Msg))
{
TradeChannelSubscribedResponse message = ProtoBuf.Serializer.Deserialize <TradeChannelSubscribedResponse>(messageStream);
SendLogMessage("Успешная подписка на все сделки", LogMessageType.System);
}
}
else if (response.Meta.ResponseType == WsResponseMetaData.WsResponseMsgType.TradeNotify)
{
using (MemoryStream messageStream = new MemoryStream(response.Msg))
{
TradeNotification message = ProtoBuf.Serializer.Deserialize <TradeNotification>(messageStream);
NewTradesEvent?.Invoke(message);
}
}
else if (response.Meta.ResponseType == WsResponseMetaData.WsResponseMsgType.Error)
{
using (MemoryStream messageStream = new MemoryStream(response.Msg))
{
ErrorResponse message = ProtoBuf.Serializer.Deserialize <ErrorResponse>(messageStream);
var token = response.Meta.Token;
if (message.Message.StartsWith("Channel already subscribed"))
{
continue;
}
if (token.StartsWith("NewOrder"))
{
var order = new PrivateOrderRawEvent();
order.Id = -1;
MyOrderEvent?.Invoke(Convert.ToInt32(token.Split('_')[1]), GetPortfolioName(), order);
}
if (message.Message.StartsWith("insufficient funds"))
{
continue;
}
SendLogMessage("WsClient error : " + message.Message, LogMessageType.Error);
}
}
else if (response.Meta.ResponseType == WsResponseMetaData.WsResponseMsgType.ChannelUnsubscribed)
{
using (MemoryStream messageStream = new MemoryStream(response.Msg))
{
ChannelUnsubscribedResponse message = ProtoBuf.Serializer.Deserialize <ChannelUnsubscribedResponse>(messageStream);
}
}
else if (response.Meta.ResponseType == WsResponseMetaData.WsResponseMsgType.LoginResponse)
{
IsConnected = true;
if (Connected != null)
{
Connected();
}
// SendLogMessage("Соединение через вебсокет успешно установлено", LogMessageType.System);
}
else if (response.Meta.ResponseType == WsResponseMetaData.WsResponseMsgType.BalanceChangeChannelSubscribed)
{
using (MemoryStream messageStream = new MemoryStream(response.Msg))
{
PrivateSubscribeBalanceChangeChannelRequest message = ProtoBuf.Serializer.Deserialize <PrivateSubscribeBalanceChangeChannelRequest>(messageStream);
}
}
else if (response.Meta.ResponseType == WsResponseMetaData.WsResponseMsgType.BalanceChangeNotify)
{
using (MemoryStream messageStream = new MemoryStream(response.Msg))
{
PrivateChangeBalanceNotification message = ProtoBuf.Serializer.Deserialize <PrivateChangeBalanceNotification>(messageStream);
if (UpdatePortfolio != null)
{
UpdatePortfolio(GetPortfolioName(), message);
}
}
}
else if (response.Meta.ResponseType == WsResponseMetaData.WsResponseMsgType.OrderBookNotify)
{
using (MemoryStream messageStream = new MemoryStream(response.Msg))
{
OrderBookNotification message = ProtoBuf.Serializer.Deserialize <OrderBookNotification>(messageStream);
if (UpdateMarketDepth != null)
{
UpdateMarketDepth(message);
}
}
}
else if (response.Meta.ResponseType == WsResponseMetaData.WsResponseMsgType.OrderBookChannelSubscribed)
{
using (MemoryStream messageStream = new MemoryStream(response.Msg))
{
OrderBookChannelSubscribedResponse message = ProtoBuf.Serializer.Deserialize <OrderBookChannelSubscribedResponse>(messageStream);
// SendLogMessage("Успешная подписка на стакан котировок", LogMessageType.System);
if (NewMarketDepth != null)
{
NewMarketDepth(message);
}
}
}
else if (response.Meta.ResponseType == WsResponseMetaData.WsResponseMsgType.PrivateOrderRawChannelSubscribed)
{
using (MemoryStream messageStream = new MemoryStream(response.Msg))
{
//SendLogMessage("Успешная подписка на мои ордера", LogMessageType.System);
}
}
else if (response.Meta.ResponseType == WsResponseMetaData.WsResponseMsgType.PrivateOrderRawNotify)
{
using (MemoryStream messageStream = new MemoryStream(response.Msg))
{
PrivateOrderRawNotification message = ProtoBuf.Serializer.Deserialize <PrivateOrderRawNotification>(messageStream);
foreach (var ev in message.Datas)
{
if (!_myOrders.ContainsValue(ev.Id))
{
_orderEvents.Add(ev);
}
else
{
var needNumberUser = _myOrders.First(o => o.Value == ev.Id);
MyOrderEvent?.Invoke(needNumberUser.Key, GetPortfolioName(), ev);
}
}
//SendLogMessage("Пришла информацияпо ордеру", LogMessageType.System);
}
}
else if (response.Meta.ResponseType == WsResponseMetaData.WsResponseMsgType.PrivateTradeChannelSubscribed)
{
using (MemoryStream messageStream = new MemoryStream(response.Msg))
{
//SendLogMessage("Успешная подписка на мои сделки", LogMessageType.System);
}
}
else if (response.Meta.ResponseType == WsResponseMetaData.WsResponseMsgType.PrivateTradeNotify)
{
using (MemoryStream messageStream = new MemoryStream(response.Msg))
{
PrivateTradeNotification message = ProtoBuf.Serializer.Deserialize <PrivateTradeNotification>(messageStream);
//SendLogMessage("Пришла моя сделка", LogMessageType.System);
foreach (var t in message.Datas)
{
if (!_myOrders.ContainsValue(t.OrderBuyId))
{
_queueMyTradeEvents.Add(t);
}
else
{
MyTradeEvent?.Invoke(t.OrderBuyId.ToString(), t);
}
if (!_myOrders.ContainsValue(t.OrderSellId))
{
_queueMyTradeEvents.Add(t);
}
else
{
MyTradeEvent?.Invoke(t.OrderSellId.ToString(), t);
}
}
}
}//PUT_LIMIT_ORDER_RESPONSE
else if (response.Meta.ResponseType == WsResponseMetaData.WsResponseMsgType.PutLimitOrderResponse)
{
using (MemoryStream messageStream = new MemoryStream(response.Msg))
{
PutLimitOrderResponse message = ProtoBuf.Serializer.Deserialize <PutLimitOrderResponse>(messageStream);
var orderData = response.Meta.Token.Split('_');
int id = Convert.ToInt32(orderData[1]);
_myOrders.Add(id, message.OrderId);
HandleAllNeedEvents(message.OrderId);
}
}
}
}
else
{
Thread.Sleep(1);
}
}
catch (Exception exception)
{
SendLogMessage(exception.Message, LogMessageType.Error);
}
}
}
