private static void Display(DepthUpdateEventArgs args)
{
var orderBookTop = OrderBookTop.Create(args.Symbol, args.Bids.First(), args.Asks.First());
lock (_sync)
{
_orderBookTops[orderBookTop.Symbol] = orderBookTop;
if (_displayTask.IsCompleted)
{
// Delay to allow multiple data updates between display updates.
_displayTask = Task.Delay(250)
.ContinueWith(_ =>
{
OrderBookTop[] latestTops;
lock (_sync)
{
latestTops = _orderBookTops.Values.ToArray();
}
Console.SetCursorPosition(0, 0);
foreach (var t in latestTops)
{
Console.WriteLine($" {t.Symbol.PadLeft(8)} - Bid: {t.Bid.Price.ToString("0.00000000").PadLeft(13)} (qty: {t.Bid.Quantity}) | Ask: {t.Ask.Price.ToString("0.00000000").PadLeft(13)} (qty: {t.Ask.Quantity})".PadRight(119));
Console.WriteLine();
}
Console.WriteLine(_message.PadRight(119));
});
}
}
}
private static void Display(OrderBookTop orderBookTop)
{
lock (_sync)
{
_orderBookTops[orderBookTop.Symbol] = orderBookTop;
if (_displayTask.IsCompleted)
{
// Delay to allow multiple data updates between display updates.
_displayTask = Task.Delay(100)
.ContinueWith(_ =>
{
OrderBookTop[] latestTops;
lock (_sync)
{
latestTops = _orderBookTops.Values.ToArray();
}
Console.SetCursorPosition(0, 0);
foreach (var t in latestTops)
{
Console.WriteLine($" {t.Symbol.PadLeft(8)} - Bid: {t.Bid.Price.ToString("0.00000000").PadLeft(13)} (qty: {t.Bid.Quantity}) | Ask: {t.Ask.Price.ToString("0.00000000").PadLeft(13)} (qty: {t.Ask.Quantity})");
Console.WriteLine();
}
Console.WriteLine(message);
});
}
}
}
internal static void Display(OrderBookTop top)
{
lock (ConsoleSync)
{
Console.WriteLine($" {top.Symbol.PadLeft(8)} - Bid: {top.Bid.Price.ToString("0.00000000").PadLeft(13)} (qty: {top.Bid.Quantity}) | Ask: {top.Ask.Price.ToString("0.00000000").PadLeft(13)} (qty: {top.Ask.Quantity})");
}
}
public void Throws()
{
var symbol = Symbol.BTC_USDT;
const decimal bidPrice = 0.123456789m;
const decimal bidQuantity = 0.987654321m;
const decimal askQuantity = 1.987654321m;
Assert.Throws <ArgumentException>("Price", () => OrderBookTop.Create(symbol, bidPrice, bidQuantity, bidPrice - 0.1m, askQuantity));
}
private static OrderBookTop DeserializeOrderBookTop(JToken jToken)
{
return(OrderBookTop.Create(
jToken[KeySymbol].Value <string>(),
jToken[KeyBidPrice].Value <decimal>(),
jToken[KeyBidQuantity].Value <decimal>(),
jToken[KeyAskPrice].Value <decimal>(),
jToken[KeyAskQuantity].Value <decimal>()));
}
private static void Display(DepthUpdateEventArgs e)
{
var top = OrderBookTop.Create(e.Symbol, e.Bids.First(), e.Asks.First());
lock (Program.ConsoleSync)
{
Console.WriteLine($" {top.Symbol} - Bid: {top.Bid.Price:.00000000} | {top.MidMarketPrice():.00000000} | Ask: {top.Ask.Price:.00000000} - Spread: {top.Spread():.00000000}");
}
}
public virtual string Serialize(OrderBookTop orderBookTop)
{
Throw.IfNull(orderBookTop, nameof(orderBookTop));
var jObject = new JObject
{
new JProperty(KeySymbol, orderBookTop.Symbol),
new JProperty(KeyBidPrice, orderBookTop.Bid.Price.ToString(CultureInfo.InvariantCulture)),
new JProperty(KeyBidQuantity, orderBookTop.Bid.Quantity.ToString(CultureInfo.InvariantCulture)),
new JProperty(KeyAskPrice, orderBookTop.Ask.Price.ToString(CultureInfo.InvariantCulture)),
new JProperty(KeyAskQuantity, orderBookTop.Ask.Quantity.ToString(CultureInfo.InvariantCulture))
};
return(jObject.ToString(Formatting.None));
}
public void Properties()
{
var symbol = Symbol.BTC_USDT;
const decimal bidPrice = 0.123456789m;
const decimal bidQuantity = 0.987654321m;
const decimal askPrice = 1.123456789m;
const decimal askQuantity = 1.987654321m;
var top = new OrderBookTop(symbol, bidPrice, bidQuantity, askPrice, askQuantity);
Assert.Equal(bidPrice, top.Bid.Price);
Assert.Equal(bidQuantity, top.Bid.Quantity);
Assert.Equal(askPrice, top.Ask.Price);
Assert.Equal(askQuantity, top.Ask.Quantity);
}
public void Equality()
{
var symbol = Symbol.BTC_USDT;
const decimal bidPrice = 0.123456789m;
const decimal bidQuantity = 0.987654321m;
const decimal askPrice = 1.123456789m;
const decimal askQuantity = 1.987654321m;
var top = OrderBookTop.Create(symbol, bidPrice, bidQuantity, askPrice, askQuantity);
var serializer = new OrderBookTopSerializer();
var json = serializer.Serialize(top);
var other = serializer.Deserialize(json);
Assert.True(top.Equals(other));
}
public void Serialization()
{
var symbol = Symbol.BTC_USDT;
const decimal bidPrice = 0.123456789m;
const decimal bidQuantity = 0.987654321m;
const decimal askPrice = 1.123456789m;
const decimal askQuantity = 1.987654321m;
var top = OrderBookTop.Create(symbol, bidPrice, bidQuantity, askPrice, askQuantity);
var json = JsonConvert.SerializeObject(top);
top = JsonConvert.DeserializeObject <OrderBookTop>(json);
Assert.Equal(bidPrice, top.Bid.Price);
Assert.Equal(bidQuantity, top.Bid.Quantity);
Assert.Equal(askPrice, top.Ask.Price);
Assert.Equal(askQuantity, top.Ask.Quantity);
}
private async void OrderBookTimerCallback(object state)
{
//lock (_threadLock)
{
try
{
var orderBook = await Program.KucoinApi.GetOrderBookAsync(_kucoinOrderBookSymbol);
var top = OrderBookTop.Create(orderBook.Symbol, (orderBook.Bids.First().Price, orderBook.Bids.First().Quantity), (orderBook.Asks.First().Price, orderBook.Asks.First().Quantity));
using (var conn = new SQLiteConnection(_pathToDatabase, false))
{
conn.Insert(new OrderBookSqlite
{
Timestamp = DateTime.UtcNow,
Market = "Kucoin",
Symbol = _kucoinOrderBookSymbol,
DataType = 82,
Data = JsonConvert.SerializeObject(orderBook),
Bid = (double)top.Bid.Price,
Ask = (double)top.Ask.Price
});
}
lock (Program.ConsoleSync)
{
Console.WriteLine($" Kucoin {top.Symbol} - Bid: {top.Bid.Price:.00000000} | {top.MidMarketPrice():.00000000} | Ask: {top.Ask.Price:.00000000} - Spread: {top.Spread():.00000000}");
}
}
catch (Exception e)
{
Console.WriteLine(e.ToString());
}
finally
{
_kucoinOrderBookTimer.Change(_kucoinOrderBookPeriod, Timeout.Infinite);
}
}
}
private static void OnDepthUpdate(DepthUpdateEventArgs e)
{
var top = OrderBookTop.Create(e.Symbol, e.Bids.First(), e.Asks.First());
using (var conn = new SQLiteConnection(_pathToDatabase, false))
{
conn.Insert(new OrderBookSqlite
{
Timestamp = e.Time,
Market = "Binance",
Symbol = e.Symbol,
DataType = 81,
Data = JsonConvert.SerializeObject(e),
Bid = (double)top.Bid.Price,
Ask = (double)top.Ask.Price
});
}
lock (Program.ConsoleSync)
{
Console.WriteLine($" Binance {top.Symbol} - Bid: {top.Bid.Price:.00000000} | {top.MidMarketPrice():.00000000} | Ask: {top.Ask.Price:.00000000} - Spread: {top.Spread():.00000000}");
}
}
public static async Task ExampleMain()
{
try
{
// Load configuration.
var configuration = new ConfigurationBuilder()
.SetBasePath(Directory.GetCurrentDirectory())
.AddJsonFile("appsettings.json", true, false)
.Build();
// Configure services.
var services = new ServiceCollection()
.AddBinance()
.AddLogging(builder => builder.SetMinimumLevel(LogLevel.Trace))
.BuildServiceProvider();
// Configure logging.
services.GetService <ILoggerFactory>()
.AddFile(configuration.GetSection("Logging:File"));
// Get configuration settings.
var symbols = configuration.GetSection("CombinedStreamsExample:Symbols").Get <string[]>()
?? new string[] { Symbol.BTC_USDT };
Console.Clear(); // clear the display.
var limit = 5;
var client = services.GetService <IDepthWebSocketClient>();
using (var controller = new RetryTaskController())
{
if (symbols.Length == 1)
{
// Monitor latest candlestick for a symbol and display.
controller.Begin(
tkn => client.SubscribeAndStreamAsync(symbols[0], evt => Display(OrderBookTop.Create(evt.Symbol, evt.Bids.First(), evt.Asks.First())), tkn),
err => Console.WriteLine(err.Message));
}
else
{
// Alternative usage (combined streams).
client.DepthUpdate += (s, evt) => { Display(OrderBookTop.Create(evt.Symbol, evt.Bids.First(), evt.Asks.First())); };
// Subscribe to all symbols.
foreach (var symbol in symbols)
{
client.Subscribe(symbol, limit); // using event instead of callbacks.
}
// Begin streaming.
controller.Begin(
tkn => client.StreamAsync(tkn),
err => Console.WriteLine(err.Message));
}
message = "...press any key to continue.";
Console.ReadKey(true); // wait for user input.
//*//////////////////////////////////////////////////
// Example: Unsubscribe/Subscribe after streaming...
// Cancel streaming.
await controller.CancelAsync();
// Unsubscribe a symbol.
client.Unsubscribe(symbols[0], limit);
// Remove unsubscribed symbol and clear display (application specific).
_orderBookTops.Remove(symbols[0]);
Console.Clear();
// Subscribe to the real Bitcoin :D
client.Subscribe(Symbol.BCH_USDT, limit); // a.k.a. BCC.
// Begin streaming again.
controller.Begin(
tkn => client.StreamAsync(tkn),
err => Console.WriteLine(err.Message));
message = "...press any key to exit.";
Console.ReadKey(true); // wait for user input.
///////////////////////////////////////////////////*/
}
}
catch (Exception e)
{
Console.WriteLine(e.Message);
Console.WriteLine();
Console.WriteLine(" ...press any key to close window.");
Console.ReadKey(true);
}
}
/// <summary>
/// Get whether a price is the best bid or ask price.
/// </summary>
/// <param name="orderBookTop">The order book top.</param>
/// <param name="price">The price.</param>
/// <returns></returns>
public static bool IsBestPrice(this OrderBookTop orderBookTop, decimal price)
{
return(price == orderBookTop.Bid.Price || price == orderBookTop.Ask.Price);
}
/// <summary>
/// Get the mid-market price between the best (top) ask and bid prices.
/// </summary>
/// <param name="top"></param>
/// <returns></returns>
public static decimal MidMarketPrice(this OrderBookTop top)
{
Throw.IfNull(top, nameof(top));
return((top.Ask.Price + top.Bid.Price) / 2);
}
/// <summary>
/// Get the price difference between the best (top) ask and bid prices.
/// </summary>
/// <param name="top"></param>
/// <returns></returns>
public static decimal Spread(this OrderBookTop top)
{
Throw.IfNull(top, nameof(top));
return(top.Ask.Price - top.Bid.Price);
}
