/// <inheritdoc />
public async Task <string> SubscribeTradeReportsAsync(string symbol, XenaMdWsHandler handler, long throttlingMs = 0)
{
Validator.NotNullOrEmpty(nameof(symbol), symbol);
Validator.NotNull(nameof(handler), handler);
Validator.GrThanOrEq(nameof(throttlingMs), throttlingMs, 0);
return(await SubscribeAsync("trades", handler, symbol, throttlingMs : throttlingMs).ConfigureAwait(false));
}
/// <inheritdoc />
public async Task <string> SubscribeCandlesAsync(
string symbol,
string timeframe,
XenaMdWsHandler handler,
long throttlingMs = 0)
{
Validator.NotNullOrEmpty(nameof(symbol), symbol);
Validator.NotNullOrEmpty(nameof(timeframe), timeframe);
Validator.OneOf(nameof(timeframe), timeframe, CandlesTimeframe.All);
Validator.NotNull(nameof(handler), handler);
Validator.GrThanOrEq(nameof(throttlingMs), throttlingMs, 0);
return(await SubscribeAsync("candles", handler, symbol, timeframe, throttlingMs).ConfigureAwait(false));
}
/// <inheritdoc />
public async Task <string> SubscribeDOMAggregatedAsync(
string symbol,
XenaMdWsHandler handler,
long throttlingMs = 0,
long aggregation = 0,
long depth = 0)
{
Validator.NotNullOrEmpty(nameof(symbol), symbol);
Validator.NotNull(nameof(handler), handler);
Validator.GrThanOrEq(nameof(throttlingMs), throttlingMs, 0);
Validator.GrThanOrEq(nameof(aggregation), aggregation, 0);
Validator.GrThanOrEq(nameof(depth), depth, 0);
return(await SubscribeAsync("DOM", handler, symbol, "aggregated", throttlingMs : throttlingMs, aggregation : aggregation, depth : depth).ConfigureAwait(false));
}
private async Task <string> SubscribeAsync(
string streamName,
XenaMdWsHandler handler,
string symbol = null,
string streamPostfix = null,
long throttlingMs = 0,
long aggregation = 0,
long depth = 0)
{
var streamId = streamName;
if (symbol != null)
{
streamId += $":{symbol}";
}
if (streamPostfix != null)
{
streamId += $":{streamPostfix}";
}
var request = new MarketDataRequest
{
MsgType = MsgTypes.MarketDataRequest,
MDStreamId = streamId,
SubscriptionRequestType = SubscriptionRequestType.SnapshotAndUpdates,
ThrottleType = ThrottleType.OutstandingRequests,
ThrottleTimeInterval = throttlingMs,
ThrottleTimeUnit = ThrottleTimeUnit.Milliseconds,
AggregatedBook = aggregation,
};
var sub = new Subscription(request, handler);
if (!_subscriptions.TryAdd(streamId, sub))
{
throw new DuplicateSubscriptionException($"Subscription {request.MDStreamId} done or in progress");
}
await SendCommandAsync(request).ConfigureAwait(false);
return(streamId);
}
public Subscription(MarketDataRequest request, XenaMdWsHandler handler)
{
Request = request;
Handler = handler;
}
/// <inheritdoc />
public async Task <string> SubscribeMarketWatchAsync(XenaMdWsHandler handler)
{
Validator.NotNull(nameof(handler), handler);
return(await SubscribeAsync("market-watch", handler).ConfigureAwait(false));
}