protected override void HandleMessage(IEnumerable <Action <UserDataEventArgs> > callbacks, string stream, string json)
{
if (!Users.ContainsKey(stream))
{
Logger?.LogError($"{nameof(UserDataClient)}.{nameof(HandleMessage)}: Unknown listen key (\"{stream}\"). [thread: {Thread.CurrentThread.ManagedThreadId}]");
return; // ignore.
}
var user = Users[stream];
try
{
var jObject = JObject.Parse(json);
var eventType = jObject["e"].Value <string>();
var eventTime = jObject["E"].Value <long>().ToDateTime();
// ReSharper disable once ConvertIfStatementToSwitchStatement
if (eventType == "outboundAccountInfo")
{
var commissions = new AccountCommissions(
jObject["m"].Value <int>(), // maker
jObject["t"].Value <int>(), // taker
jObject["b"].Value <int>(), // buyer
jObject["s"].Value <int>()); // seller
var status = new AccountStatus(
jObject["T"].Value <bool>(), // can trade
jObject["W"].Value <bool>(), // can withdraw
jObject["D"].Value <bool>()); // can deposit
var balances = jObject["B"]
.Select(entry => new AccountBalance(
entry["a"].Value <string>(), // asset
entry["f"].Value <decimal>(), // free amount
entry["l"].Value <decimal>())) // locked amount
.ToList();
var eventArgs = new AccountUpdateEventArgs(eventTime, new AccountInfo(user, commissions, status, jObject["u"].Value <long>().ToDateTime(), balances));
try
{
// ReSharper disable once InconsistentlySynchronizedField
if (_accountUpdateSubscribers.TryGetValue(stream, out var subscribers))
{
foreach (var subcriber in subscribers)
{
subcriber(eventArgs);
}
}
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
AccountUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { /* ignore */ }
catch (Exception e)
{
Logger?.LogWarning(e, $"{nameof(UserDataClient)}.{nameof(HandleMessage)}: Unhandled account update event handler exception.");
}
}
else if (eventType == "executionReport")
{
var order = new Order(user);
FillOrder(order, jObject);
var executionType = ConvertOrderExecutionType(jObject["x"].Value <string>());
var rejectedReason = jObject["r"].Value <string>();
var newClientOrderId = jObject["c"].Value <string>();
if (executionType == OrderExecutionType.Trade) // trade update event.
{
var trade = new AccountTrade(
jObject["s"].Value <string>(), // symbol
jObject["t"].Value <long>(), // ID
jObject["i"].Value <long>(), // order ID
jObject["L"].Value <decimal>(), // price (price of last filled trade)
jObject["z"].Value <decimal>(), // quantity (accumulated quantity of filled trades)
jObject["n"].Value <decimal>(), // commission
jObject["N"].Value <string>(), // commission asset
jObject["T"].Value <long>()
.ToDateTime(), // time
order.Side == OrderSide.Buy, // is buyer
jObject["m"].Value <bool>(), // is buyer maker
jObject["M"].Value <bool>()); // is best price
var quantityOfLastFilledTrade = jObject["l"].Value <decimal>();
var eventArgs = new AccountTradeUpdateEventArgs(eventTime, order, rejectedReason, newClientOrderId, trade, quantityOfLastFilledTrade);
try
{
// ReSharper disable once InconsistentlySynchronizedField
if (_accountTradeUpdateSubscribers.TryGetValue(stream, out var subscribers))
{
foreach (var subcriber in subscribers)
{
subcriber(eventArgs);
}
}
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
TradeUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { /* ignore */ }
catch (Exception e)
{
Logger?.LogWarning(e, $"{nameof(UserDataClient)}.{nameof(HandleMessage)}: Unhandled trade update event handler exception.");
}
}
else // order update event.
{
var eventArgs = new OrderUpdateEventArgs(eventTime, order, executionType, rejectedReason, newClientOrderId);
try
{
// ReSharper disable once InconsistentlySynchronizedField
if (_orderUpdateSubscribers.TryGetValue(stream, out var subscribers))
{
foreach (var subcriber in subscribers)
{
subcriber(eventArgs);
}
}
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
OrderUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { /* ignore */ }
catch (Exception e)
{
Logger?.LogWarning(e, $"{nameof(UserDataClient)}.{nameof(HandleMessage)}: Unhandled order update event handler exception.");
}
}
}
else
{
Logger?.LogWarning($"{nameof(UserDataClient)}.{nameof(HandleMessage)}: Unexpected event type ({eventType}).");
}
}
catch (OperationCanceledException) { /* ignore */ }
catch (Exception e)
{
Logger?.LogError(e, $"{nameof(UserDataClient)}.{nameof(HandleMessage)}");
}
}
/// <summary>
/// Deserialize JSON and raise <see cref="UserDataEventArgs"/> event.
/// </summary>
/// <param name="json"></param>
/// <param name="token"></param>
/// <param name="callback"></param>
/// <returns></returns>
protected override void DeserializeJsonAndRaiseEvent(string json, CancellationToken token, Action <UserDataEventArgs> callback = null)
{
Throw.IfNullOrWhiteSpace(json, nameof(json));
Logger?.LogDebug($"{nameof(UserDataWebSocketClient)}: \"{json}\"");
try
{
var jObject = JObject.Parse(json);
var eventType = jObject["e"].Value <string>();
var eventTime = jObject["E"].Value <long>();
// ReSharper disable once ConvertIfStatementToSwitchStatement
if (eventType == "outboundAccountInfo")
{
var commissions = new AccountCommissions(
jObject["m"].Value <int>(), // maker
jObject["t"].Value <int>(), // taker
jObject["b"].Value <int>(), // buyer
jObject["s"].Value <int>()); // seller
var status = new AccountStatus(
jObject["T"].Value <bool>(), // can trade
jObject["W"].Value <bool>(), // can withdraw
jObject["D"].Value <bool>()); // can deposit
var balances = jObject["B"]
.Select(entry => new AccountBalance(
entry["a"].Value <string>(), // asset
entry["f"].Value <decimal>(), // free amount
entry["l"].Value <decimal>())) // locked amount
.ToList();
var eventArgs = new AccountUpdateEventArgs(eventTime, token, new AccountInfo(User, commissions, status, jObject["u"].Value <long>(), balances));
try
{
callback?.Invoke(eventArgs);
AccountUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(UserDataWebSocketClient)}: Unhandled account update event handler exception.");
}
}
}
else if (eventType == "executionReport")
{
var order = new Order(User);
FillOrder(order, jObject);
var executionType = ConvertOrderExecutionType(jObject["x"].Value <string>());
var rejectedReason = ConvertOrderRejectedReason(jObject["r"].Value <string>());
var newClientOrderId = jObject["c"].Value <string>();
if (executionType == OrderExecutionType.Trade) // trade update event.
{
var trade = new AccountTrade(
jObject["s"].Value <string>(), // symbol
jObject["t"].Value <long>(), // ID
jObject["i"].Value <long>(), // order ID
jObject["L"].Value <decimal>(), // price (price of last filled trade)
jObject["z"].Value <decimal>(), // quantity (accumulated quantity of filled trades)
jObject["n"].Value <decimal>(), // commission
jObject["N"].Value <string>(), // commission asset
jObject["T"].Value <long>(), // timestamp
order.Side == OrderSide.Buy, // is buyer
jObject["m"].Value <bool>(), // is buyer maker
jObject["M"].Value <bool>()); // is best price
var quantityOfLastFilledTrade = jObject["l"].Value <decimal>();
var eventArgs = new AccountTradeUpdateEventArgs(eventTime, token, order, rejectedReason, newClientOrderId, trade, quantityOfLastFilledTrade);
try
{
callback?.Invoke(eventArgs);
TradeUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(UserDataWebSocketClient)}: Unhandled trade update event handler exception.");
}
}
}
else // order update event.
{
var eventArgs = new OrderUpdateEventArgs(eventTime, token, order, executionType, rejectedReason, newClientOrderId);
try
{
callback?.Invoke(eventArgs);
OrderUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(UserDataWebSocketClient)}: Unhandled order update event handler exception.");
}
}
}
}
else
{
Logger?.LogWarning($"{nameof(UserDataWebSocketClient)}.{nameof(DeserializeJsonAndRaiseEvent)}: Unexpected event type ({eventType}) - \"{json}\"");
}
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(UserDataWebSocketClient)}.{nameof(DeserializeJsonAndRaiseEvent)}");
}
}
}
private void ProcessOrderUpdateMessage(string msg)
{
var orderAddUpdateSummaryMessage = OrderAddUpdateSummaryMessage.Parse(msg);
OrderUpdate?.Invoke(orderAddUpdateSummaryMessage);
}