private List <ExchangeTrade> ParseTradesWebSocket(JToken token)
{
var trades = new List <ExchangeTrade>();
foreach (var t in token)
{
var ts = TimeSpan.Parse(t[3].ToStringInvariant()) + ChinaTimeOffset;
if (ts < TimeSpan.FromHours(0))
{
ts += TimeSpan.FromHours(24);
}
var dt = CryptoUtility.UtcNow.Date.Add(ts);
var trade = new ExchangeTrade()
{
Id = t[0].ToStringInvariant(),
Price = t[1].ConvertInvariant <decimal>(),
Amount = t[2].ConvertInvariant <decimal>(),
DateTime = dt, //todo: 这里处理方式有问题
IsBuy = t[4].ToStringInvariant().EqualsWithOption("bid"),
};
trades.Add(trade);
}
return(trades);
}
protected override IWebSocket GetTradesWebSocket(Action<ExchangeTrade> callback, params Symbol[] symbols)
{
Dictionary<int, string> channelIdToSymbol = new Dictionary<int, string>();
return ConnectWebSocket("/2", (_socket, msg) => //use websocket V2 (beta, but millisecond timestamp)
{
JToken token = JToken.Parse(msg.ToStringFromUTF8());
if (token is JArray array)
{
if (token[1].ToStringInvariant() == "hb")
{
// heartbeat
}
else if (token.Last.Last.HasValues == false)
{
//[29654, "tu", [270343572, 1532012917722, -0.003, 7465.636738]] "te"=temp/intention to execute "tu"=confirmed and ID is definitive
//chan id, -- , [ID , timestamp , amount, price ]]
if (channelIdToSymbol.TryGetValue(array[0].ConvertInvariant<int>(), out string symbol))
{
if (token[1].ToStringInvariant() == "tu")
{
ExchangeTrade trade = ParseTradeWebSocket(token.Last);
if (trade != null)
{
callback(new KeyValuePair<string, ExchangeTrade>(symbol, trade));
}
}
}
}
else
{
//parse snapshot here if needed
}
}
else if (token["event"].ToStringInvariant() == "subscribed" && token["channel"].ToStringInvariant() == "trades")
{
//{"event": "subscribed","channel": "trades","chanId": 29654,"symbol": "tBTCUSD","pair": "BTCUSD"}
int channelId = token["chanId"].ConvertInvariant<int>();
channelIdToSymbol[channelId] = token["pair"].ToStringInvariant();
}
return Task.CompletedTask;
}, async (_socket) =>
{
foreach (var marketSymbol in symbols)
{
await _socket.SendMessageAsync(new { @event = "subscribe", channel = "trades", symbol = marketSymbol });
}
});
}
/// <summary>
/// Parse a trade
/// </summary>
/// <param name="token">Token</param>
/// <param name="symbol"></param>
/// <param name="formatter"></param>
/// <returns>Trade</returns>
internal static ExchangeTrade ParseTrade(this JToken token, Symbol symbol, TradeFormatter formatter)
{
DateTime date = token.ParseDatetime(formatter.TimestampFormatter);
var trade = new ExchangeTrade
{
Symbol = symbol,
Amount = token[formatter.AmountKey].ConvertInvariant <decimal>(),
Price = token[formatter.PriceKey].ConvertInvariant <decimal>(),
IsBuy = token[formatter.DirectionKey].ToStringInvariant().EqualsWithOption(formatter.DirectionIsBuyValue),
DateTime = date
};
trade.Id = formatter.IdKey == null
? trade.DateTime.Ticks.ToString()
: token[formatter.IdKey].ToStringInvariant();
return(trade);
}
