//callback from the background websocket thread. Checks and updates any matching topics.
void _api_OnDataUpdate(object sender, MarketDataSnapshot snap)
{
//update data cache
_cache.MarketData[snap.Product] = snap;
//no current subscription for this product
if (!_topics.ContainsKey(snap.Product))
{
return;
}
Dictionary <Tuple <DataPoint, int>, Topic> productTopics = _topics[snap.Product].TopicItems;
//iterate down the depth on the bid side, updating any currently subscribed topics
for (int level = 0; level < snap.BidDepth.Count; level++)
{
//update bid
Tuple <DataPoint, int> key = Tuple.Create(DataPoint.Bid, level);
if (productTopics.ContainsKey(key))
{
productTopics[key].UpdateValue(snap.BidDepth[level].Price);
}
//update bidvol
key = Tuple.Create(DataPoint.BidVol, level);
if (productTopics.ContainsKey(key))
{
productTopics[key].UpdateValue(snap.BidDepth[level].Qty);
}
}
//iterate down the depth on the ask side, updating any currently subscribed topics
for (int level = 0; level < snap.AskDepth.Count; level++)
{
//update ask
Tuple <DataPoint, int> key = Tuple.Create(DataPoint.Ask, level);
if (productTopics.ContainsKey(key))
{
productTopics[key].UpdateValue(snap.AskDepth[level].Price);
}
//update askvol
key = Tuple.Create(DataPoint.AskVol, level);
if (productTopics.ContainsKey(key))
{
productTopics[key].UpdateValue(snap.AskDepth[level].Qty);
}
}
}
private void ProcessDepthSnapshot(string data)
{
try
{
BitMexStreamDepthSnap depth = JSON.ToObject <BitMexStreamDepthSnap>(data);
if (depth.data.Count != 1)
{
Logging.Log("BitMexHandler missing depth snap data");
return;
}
BitMexDepthCache info = depth.data[0];
string symbol = info.symbol;
//parse into snapshot
MarketDataSnapshot snap = new MarketDataSnapshot(symbol);
foreach (object[] bid in info.bids)
{
decimal price = Convert.ToDecimal(bid[0]);
int rawQty = Convert.ToInt32(bid[1]);
snap.BidDepth.Add(new MarketDepth(price, rawQty));
}
foreach (object[] ask in info.asks)
{
decimal price = Convert.ToDecimal(ask[0]);
int rawQty = Convert.ToInt32(ask[1]);
snap.AskDepth.Add(new MarketDepth(price, rawQty));
}
//notify listeners
if (OnDepthUpdate != null)
{
OnDepthUpdate(null, snap);
}
}
catch (Exception ex)
{
Logging.Log("BitMexHandler Depth {0}", ex.Message);
}
}
//New RTD subscription callback
protected override object ConnectData(Topic topic, IList <string> topicInfo, ref bool newValues)
{
object result;
int topicId = GetTopicId(topic);
Logging.Log("ConnectData: {0} - {{{1}}}", topicId, string.Join(", ", topicInfo));
//parse and validate request
//---
//count and default parameters
if (topicInfo.Count < 2)
{
return(ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA)); //need at least a product and a datapoint
}
else if (topicInfo.Count == 2)
{
topicInfo.Add("0"); //default to top level of book
}
//parse parameters
string product = topicInfo[0];
DataPoint dataPoint;
bool dataPointOk = Enum.TryParse <DataPoint>(topicInfo[1], out dataPoint);
int level;
bool levelOk = Int32.TryParse(topicInfo[2], out level);
//return error if parameters are invalid
if (!dataPointOk || !levelOk)
{
return(ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA)); //incorrect level or datapoint request
}
if (level > 9 || level < 0)
{
return(ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA)); //level out of range
}
//store subscription request
//---
//if product has not yet been subscribed, create subscription container
if (!_topics.ContainsKey(product))
{
_topics[product] = new TopicCollection();
}
//store subscription request
_topics[product].TopicItems[Tuple.Create(dataPoint, level)] = topic;
if (_topicDetails.ContainsKey(topicId))
{
Logging.Log("ERROR: duplicate topicId: {0} {1}", topicId, _topicDetails[topicId]);
}
_topicDetails.Add(topicId, new TopicSubscriptionDetails(product, dataPoint, level));
//return data
//--
if (dataPoint == DataPoint.Last)
{
if (!_cache.Instruments.ContainsKey(product))
{
//may be empty when sheet is first loaded
result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorGettingData); //return "pending data" to Excel
}
else
{
//get data from cache
BitMexInstrument inst = _cache.Instruments[product];
switch (dataPoint)
{
case DataPoint.Last:
result = inst.lastPrice;
break;
default:
result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA);
break;
}
}
}
else //bid/ask etc
{
if (!_cache.MarketData.ContainsKey(product))
{
//if product is not yet in cache, request snapshot
//this can happen if a product doesnt update very frequently
_api.GetSnapshot(product);
result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorGettingData); //return "pending data" to Excel
}
else
{
//get data from cache
MarketDataSnapshot snap = _cache.MarketData[product];
switch (dataPoint)
{
case DataPoint.Bid:
result = snap.BidDepth[level].Price;
break;
case DataPoint.BidVol:
result = snap.BidDepth[level].Qty;
break;
case DataPoint.Ask:
result = snap.AskDepth[level].Price;
break;
case DataPoint.AskVol:
result = snap.AskDepth[level].Qty;
break;
default:
result = ExcelErrorUtil.ToComError(ExcelError.ExcelErrorNA);
break;
}
}
}
return(result);
}
//callback from the background websocket thread. Checks and updates any matching topics.
void _api_OnDataUpdate(object sender, MarketDataSnapshot snap)
{
//update data cache
_cache.MarketData[snap.Product] = snap;
//no current subscription for this product
if (!_topics.ContainsKey(snap.Product))
return;
Dictionary<Tuple<DataPoint, int>, Topic> productTopics = _topics[snap.Product].TopicItems;
//iterate down the depth on the bid side, updating any currently subscribed topics
for (int level = 0; level < snap.BidDepth.Count; level++)
{
//update bid
Tuple<DataPoint, int> key = Tuple.Create(DataPoint.Bid, level);
if (productTopics.ContainsKey(key))
productTopics[key].UpdateValue(snap.BidDepth[level].Price);
//update bidvol
key = Tuple.Create(DataPoint.BidVol, level);
if (productTopics.ContainsKey(key))
productTopics[key].UpdateValue(snap.BidDepth[level].Qty);
}
//iterate down the depth on the ask side, updating any currently subscribed topics
for (int level = 0; level < snap.AskDepth.Count; level++)
{
//update ask
Tuple<DataPoint, int> key = Tuple.Create(DataPoint.Ask, level);
if (productTopics.ContainsKey(key))
productTopics[key].UpdateValue(snap.AskDepth[level].Price);
//update askvol
key = Tuple.Create(DataPoint.AskVol, level);
if (productTopics.ContainsKey(key))
productTopics[key].UpdateValue(snap.AskDepth[level].Qty);
}
}
private void ProcessDepth(string data)
{
try
{
BitMexStreamDepth depth = JSON.ToObject<BitMexStreamDepth>(data);
if (depth.data.Count <= 0)
return;
string symbol = depth.data[0].symbol;
//create cache container if not already available
MarketDataSnapshot snap = new MarketDataSnapshot(symbol);
//normally returns "partial" on response to getSymbol
if( depth.action.Equals("partial"))
{
foreach (BitMexDepth info in depth.data)
{
int level = info.level;
//extend depth if new levels added
if ((info.bidPrice.HasValue || info.bidSize.HasValue) && snap.BidDepth.Count < level + 1)
for (int i = snap.BidDepth.Count; i < level + 1; i++)
snap.BidDepth.Add(new MarketDepth());
if ((info.askPrice.HasValue || info.askSize.HasValue) && snap.AskDepth.Count < level + 1)
for (int i = snap.AskDepth.Count; i < level + 1; i++)
snap.AskDepth.Add(new MarketDepth());
//update values, or blank out if values are null
if (info.bidPrice.HasValue || info.bidSize.HasValue)
{
if (info.bidPrice.HasValue)
snap.BidDepth[level].Price = info.bidPrice.Value;
if (info.bidSize.HasValue)
snap.BidDepth[level].Qty = info.bidSize.Value;
}
if (info.askPrice.HasValue || info.askSize.HasValue)
{
if (info.askPrice.HasValue)
snap.AskDepth[level].Price = info.askPrice.Value;
if (info.askSize.HasValue)
snap.AskDepth[level].Qty = info.askSize.Value;
}
}
//notify listeners
if (OnDepthUpdate != null)
OnDepthUpdate(null, snap);
}
}
catch (Exception ex)
{
Logging.Log("BitMexHandler Depth", ex);
}
}
private void ProcessDepthSnapshot(string data)
{
try
{
BitMexStreamDepthSnap depth = JSON.ToObject<BitMexStreamDepthSnap>(data);
if (depth.data.Count != 1)
{
Logging.Log("BitMexHandler missing depth snap data");
return;
}
BitMexDepthCache info = depth.data[0];
string symbol = info.symbol;
//parse into snapshot
MarketDataSnapshot snap = new MarketDataSnapshot(symbol);
foreach (object[] bid in info.bids)
{
decimal price = Convert.ToDecimal(bid[0]);
int rawQty = Convert.ToInt32(bid[1]);
snap.BidDepth.Add(new MarketDepth(price, rawQty));
}
foreach (object[] ask in info.asks)
{
decimal price = Convert.ToDecimal(ask[0]);
int rawQty = Convert.ToInt32(ask[1]);
snap.AskDepth.Add(new MarketDepth(price, rawQty));
}
//notify listeners
if(OnDepthUpdate != null)
OnDepthUpdate(null, snap);
}
catch (Exception ex)
{
Logging.Log("BitMexHandler Depth {0}", ex.Message);
}
}
private void ProcessDepth(string data)
{
try
{
BitMexStreamDepth depth = JSON.ToObject <BitMexStreamDepth>(data);
if (depth.data.Count <= 0)
{
return;
}
string symbol = depth.data[0].symbol;
//create cache container if not already available
MarketDataSnapshot snap = new MarketDataSnapshot(symbol);
//normally returns "partial" on response to getSymbol
if (depth.action.Equals("partial"))
{
foreach (BitMexDepth info in depth.data)
{
int level = info.level;
//extend depth if new levels added
if ((info.bidPrice.HasValue || info.bidSize.HasValue) && snap.BidDepth.Count < level + 1)
{
for (int i = snap.BidDepth.Count; i < level + 1; i++)
{
snap.BidDepth.Add(new MarketDepth());
}
}
if ((info.askPrice.HasValue || info.askSize.HasValue) && snap.AskDepth.Count < level + 1)
{
for (int i = snap.AskDepth.Count; i < level + 1; i++)
{
snap.AskDepth.Add(new MarketDepth());
}
}
//update values, or blank out if values are null
if (info.bidPrice.HasValue || info.bidSize.HasValue)
{
if (info.bidPrice.HasValue)
{
snap.BidDepth[level].Price = info.bidPrice.Value;
}
if (info.bidSize.HasValue)
{
snap.BidDepth[level].Qty = info.bidSize.Value;
}
}
if (info.askPrice.HasValue || info.askSize.HasValue)
{
if (info.askPrice.HasValue)
{
snap.AskDepth[level].Price = info.askPrice.Value;
}
if (info.askSize.HasValue)
{
snap.AskDepth[level].Qty = info.askSize.Value;
}
}
}
//notify listeners
if (OnDepthUpdate != null)
{
OnDepthUpdate(null, snap);
}
}
}
catch (Exception ex)
{
Logging.Log("BitMexHandler Depth", ex);
}
}
