private void OnReceived(RealtimeReceived receivedMessage)
{
var order = new BidAskOrder {
Id = receivedMessage.OrderId,
Price = receivedMessage.Price,
Size = receivedMessage.Size
};
lock (this._spreadLock) {
if (receivedMessage.Side == "buy")
{
lock (this._bidLock) {
this._buys.Add(order);
this.Buys = this._buys.ToList();
}
}
else if (receivedMessage.Side == "sell")
{
lock (this._askLock) {
this._sells.Add(order);
this.Sells = this._sells.ToList();
}
}
}
}
private static async void Subscribe(String product, Action <RealtimeMessage> onMessageReceived)
{
if (String.IsNullOrWhiteSpace(product))
{
throw new ArgumentNullException(nameof(product));
}
if (onMessageReceived == null)
{
throw new ArgumentNullException(nameof(onMessageReceived), "Message received callback must not be null.");
}
var uri = new Uri("wss://ws-feed.exchange.coinbase.com");
var webSocketClient = new ClientWebSocket();
var cancellationToken = new CancellationToken();
var requestString = String.Format(@"{{""type"": ""subscribe"",""product_id"": ""{0}""}}", product);
var requestBytes = Encoding.UTF8.GetBytes(requestString);
await webSocketClient.ConnectAsync(uri, cancellationToken);
if (webSocketClient.State == WebSocketState.Open)
{
var subscribeRequest = new ArraySegment <Byte>(requestBytes);
var sendCancellationToken = new CancellationToken();
await webSocketClient.SendAsync(subscribeRequest, WebSocketMessageType.Text, true, sendCancellationToken);
while (webSocketClient.State == WebSocketState.Open)
{
var receiveCancellationToken = new CancellationToken();
var receiveBuffer = new ArraySegment <Byte>(new Byte[1024 * 1024 * 5]); // 5MB buffer
var webSocketReceiveResult = await webSocketClient.ReceiveAsync(receiveBuffer, receiveCancellationToken);
if (webSocketReceiveResult.Count == 0)
{
continue;
}
var jsonResponse = Encoding.UTF8.GetString(receiveBuffer.Array, 0, webSocketReceiveResult.Count);
var jToken = JToken.Parse(jsonResponse);
var typeToken = jToken["type"];
if (typeToken == null)
{
continue;
}
var type = typeToken.Value <String>();
RealtimeMessage realtimeMessage = null;
switch (type)
{
case "received":
realtimeMessage = new RealtimeReceived(jToken);
break;
case "open":
realtimeMessage = new RealtimeOpen(jToken);
break;
case "done":
realtimeMessage = new RealtimeDone(jToken);
break;
case "match":
realtimeMessage = new RealtimeMatch(jToken);
break;
case "change":
realtimeMessage = new RealtimeChange(jToken);
break;
default:
break;
}
if (realtimeMessage == null)
{
continue;
}
onMessageReceived(realtimeMessage);
}
}
}