public async Task <ExchangeOrderBook> GetOrderBookAsync(string exchange, string symbol, int maxCount = 100)
{
await new SynchronizationContextRemover();
ExchangeOrderBook book = new ExchangeOrderBook();
JToken result = await MakeJsonRequestAsync <JToken>("/markets/" + exchange.ToLowerInvariant() + "/" + symbol + "/orderbook");
int count = 0;
foreach (JArray array in result["asks"])
{
if (++count > maxCount)
{
break;
}
var depth = new ExchangeOrderPrice {
Amount = array[1].ConvertInvariant <decimal>(), Price = array[0].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
}
count = 0;
foreach (JArray array in result["bids"])
{
if (++count > maxCount)
{
break;
}
var depth = new ExchangeOrderPrice {
Amount = array[1].ConvertInvariant <decimal>(), Price = array[0].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
}
return(book);
}
protected override async Task <IEnumerable <KeyValuePair <string, ExchangeOrderBook> > > OnGetOrderBooksAsync(int maxCount = 100)
{
string symbol = "all";
List <KeyValuePair <string, ExchangeOrderBook> > books = new List <KeyValuePair <string, ExchangeOrderBook> >();
var data = await MakeRequestBithumbAsync(symbol, "/public/orderbook/$SYMBOL$");
foreach (JProperty book in data.Item1)
{
if (book.Name != "timestamp" && book.Name != "payment_currency")
{
ExchangeOrderBook orderBook = ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(book.Value);
books.Add(new KeyValuePair <string, ExchangeOrderBook>(book.Name, orderBook));
}
}
return(books);
}
protected override IWebSocket OnGetFutureOrderBookAllWebSocket(Action <ExchangeOrderBook> callback, string contractType, int maxCount = 20, params string[] symbols)
{
if (callback == null || symbols == null || symbols.Length == 0)
{
return(null);
}
return(ConnectWebSocket(string.Empty, (msg, _socket) =>
{
try
{
JToken token = JToken.Parse(msg.UTF8String());
token = token[0];
var channel = token["channel"].ToStringInvariant();
if (channel.EqualsWithOption("addChannel"))
{
return;
}
var sArray = channel.Split('_');
var symbol = sArray[3] + "_" + sArray[4];
var data = token["data"];
ExchangeOrderBook book = ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(data, sequence: "timestamp", maxCount: maxCount);
book.Symbol = symbol;
callback(book);
}
catch
{
// TODO: Handle exception
}
}, (_socket) =>
{
if (symbols.Length == 0)
{
symbols = GetSymbols().ToArray();
}
foreach (string symbol in symbols)
{
// subscribe to order book and trades channel for given symbol
string normalizedSymbol = NormalizeSymbol(symbol);
string channel = $"ok_sub_futureusd_{normalizedSymbol}_depth_{contractType}_{maxCount}";
Console.WriteLine($"[channel] {channel}");
string msg = $"{{\'event\':\'addChannel\',\'channel\':\'{channel}\'}}";
_socket.SendMessage(msg);
}
}));
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
/*
* {
* "status": "ok",
* "ch": "market.btcusdt.depth.step0",
* "ts": 1489472598812,
* "tick": {
* "id": 1489464585407,
* "ts": 1489464585407,
* "bids": [
* [7964, 0.0678], // [price, amount]
* [7963, 0.9162],
* [7961, 0.1],
* [7960, 12.8898],
* [7958, 1.2],
* [7955, 2.1009],
* [7954, 0.4708],
* [7953, 0.0564],
* [7951, 2.8031],
* [7950, 13.7785],
* [7949, 0.125],
* [7948, 4],
* [7942, 0.4337],
* [7940, 6.1612],
* [7936, 0.02],
* [7935, 1.3575],
* [7933, 2.002],
* [7932, 1.3449],
* [7930, 10.2974],
* [7929, 3.2226]
* ],
* "asks": [
* [7979, 0.0736],
* [7980, 1.0292],
* [7981, 5.5652],
* [7986, 0.2416],
* [7990, 1.9970],
* [7995, 0.88],
*/
symbol = NormalizeSymbol(symbol);
ExchangeOrderBook orders = new ExchangeOrderBook();
JToken obj = await MakeJsonRequestAsync <JToken>("/market/depth?symbol=" + symbol + "&type=step0", BaseUrl, null);
return(ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(obj["tick"], sequence: "ts", maxCount: maxCount));
}
protected override IWebSocket OnGetOrderBookDeltasWebSocket(Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] symbols)
{
if (callback == null || symbols == null || !symbols.Any())
{
return(null);
}
string combined = string.Join("/", symbols.Select(s => this.NormalizeSymbol(s).ToLowerInvariant() + "@depth"));
return(ConnectWebSocket($"/stream?streams={combined}", (msg, _socket) =>
{
try
{
string json = msg.UTF8String();
var update = JsonConvert.DeserializeObject <BinanceMultiDepthStream>(json);
string symbol = update.Data.Symbol;
ExchangeOrderBook book = new ExchangeOrderBook {
SequenceId = update.Data.FinalUpdate, Symbol = symbol
};
foreach (List <object> ask in update.Data.Asks)
{
var depth = new ExchangeOrderPrice {
Price = ask[0].ConvertInvariant <decimal>(), Amount = ask[1].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
}
foreach (List <object> bid in update.Data.Bids)
{
var depth = new ExchangeOrderPrice {
Price = bid[0].ConvertInvariant <decimal>(), Amount = bid[1].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
}
callback(book);
}
catch
{
}
}));
}
/// <summary>Common order book parsing method, checks for "amount" or "quantity" and "price"
/// elements</summary>
/// <param name="token">Token</param>
/// <param name="asks">Asks key</param>
/// <param name="bids">Bids key</param>
/// <param name="price">Price key</param>
/// <param name="amount">Quantity key</param>
/// <param name="sequence">Sequence key</param>
/// <param name="maxCount">Max count</param>
/// <returns>Order book</returns>
public static ExchangeOrderBook ParseOrderBookFromJTokenDictionaries(
JToken token,
string asks = "asks",
string bids = "bids",
string price = "price",
string amount = "amount",
string sequence = "ts",
int maxCount = 100)
{
var book = new ExchangeOrderBook {
SequenceId = token[sequence].ConvertInvariant <long>()
};
foreach (JToken ask in token[asks])
{
var depth = new ExchangeOrderPrice {
Price = ask[price].ConvertInvariant <decimal>(), Amount = ask[amount].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
if (book.Asks.Count == maxCount)
{
break;
}
}
foreach (JToken bid in token[bids])
{
var depth = new ExchangeOrderPrice {
Price = bid[price].ConvertInvariant <decimal>(), Amount = bid[amount].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
if (book.Bids.Count == maxCount)
{
break;
}
}
return(book);
}
protected override async Task <ExchangeOrderBook> OnGetOrderBookAsync(string symbol, int maxCount = 100)
{
symbol = NormalizeSymbol(symbol);
ExchangeOrderBook orders = new ExchangeOrderBook();
decimal[][] books = await MakeJsonRequestAsync <decimal[][]>("/book/t" + symbol + "/P0?len=" + maxCount);
foreach (decimal[] book in books)
{
if (book[2] > 0m)
{
orders.Bids[book[0]] = new ExchangeOrderPrice {
Amount = book[2], Price = book[0]
};
}
else
{
orders.Asks[book[0]] = new ExchangeOrderPrice {
Amount = -book[2], Price = book[0]
};
}
}
return(orders);
}
protected override IWebSocket OnGetOrderBookDeltasWebSocket(Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] symbols)
{
if (callback == null || symbols == null || symbols.Length == 0)
{
return(null);
}
return(ConnectWebSocket(string.Empty, (msg, _socket) =>
{
/*
* {{
* "id": "id1",
* "status": "ok",
* "subbed": "market.btcusdt.depth.step0",
* "ts": 1526749164133
* }}
*
*
* {{
* "ch": "market.btcusdt.depth.step0",
* "ts": 1526749254037,
* "tick": {
* "bids": [
* [
* 8268.3,
* 0.101
* ],
* [
* 8268.29,
* 0.8248
* ],
*
* ],
* "asks": [
* [
* 8275.07,
* 0.1961
* ],
*
* [
* 8337.1,
* 0.5803
* ]
* ],
* "ts": 1526749254016,
* "version": 7664175145
* }
* }}
*/
try
{
var str = msg.UTF8StringFromGzip();
JToken token = JToken.Parse(str);
if (token["status"] != null)
{
return;
}
else if (token["ping"] != null)
{
_socket.SendMessage(str.Replace("ping", "pong"));
return;
}
var ch = token["ch"].ToStringInvariant();
var sArray = ch.Split('.');
var symbol = sArray[1].ToStringInvariant();
ExchangeOrderBook book = ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(token["tick"], maxCount: maxCount);
book.Symbol = symbol;
callback(book);
}
catch
{
// TODO: Handle exception
}
}, (_socket) =>
{
if (symbols.Length == 0)
{
symbols = GetSymbols().ToArray();
}
// request all symbols, this does not work sadly, only the first is pulled
foreach (string symbol in symbols)
{
long id = System.Threading.Interlocked.Increment(ref webSocketId);
////var normalizedSymbol = NormalizeSymbol(symbols[0]);
var normalizedSymbol = NormalizeSymbol(symbol);
// subscribe to order book and trades channel for given symbol
string channel = $"market.{normalizedSymbol}.depth.step0";
string msg = $"{{\"sub\":\"{channel}\",\"id\":\"id{id}\"}}";
_socket.SendMessage(msg);
}
}));
}
protected override IWebSocket OnGetOrderBookDeltasWebSocket(Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] symbols)
{
if (callback == null || symbols == null || symbols.Length == 0)
{
return(null);
}
return(ConnectWebSocket(string.Empty, (msg, _socket) =>
{
/*
* {[
* {
* "binary": 0,
* "channel": "addChannel",
* "data": {
* "result": true,
* "channel": "ok_sub_spot_bch_btc_depth_5"
* }
* }
* ]}
*
*
*
* {[
* {
* "data": {
* "asks": [
* [
* "8364.1163",
* "0.005"
* ],
*
* ],
* "bids": [
* [
* "8335.99",
* "0.01837999"
* ],
* [
* "8335.9899",
* "0.06"
* ],
* ],
* "timestamp": 1526734386064
* },
* "binary": 0,
* "channel": "ok_sub_spot_btc_usdt_depth_20"
* }
* ]}
*
*/
try
{
JToken token = JToken.Parse(msg.UTF8String());
token = token[0];
var channel = token["channel"].ToStringInvariant();
if (channel.EqualsWithOption("addChannel"))
{
return;
}
var sArray = channel.Split('_');
var symbol = sArray[3] + "_" + sArray[4];
var data = token["data"];
ExchangeOrderBook book = ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(data, sequence: "timestamp", maxCount: maxCount);
book.Symbol = symbol;
callback(book);
}
catch
{
// TODO: Handle exception
}
}, (_socket) =>
{
if (symbols.Length == 0)
{
symbols = GetSymbols().ToArray();
}
foreach (string symbol in symbols)
{
// subscribe to order book and trades channel for given symbol
string normalizedSymbol = NormalizeSymbol(symbol);
string channel = $"ok_sub_spot_{normalizedSymbol}_depth_{maxCount}";
string msg = $"{{\'event\':\'addChannel\',\'channel\':\'{channel}\'}}";
_socket.SendMessage(msg);
}
}));
}
protected override IWebSocket OnGetOrderBookDeltasWebSocket(
Action <ExchangeOrderBook> callback,
int maxCount = 20,
params string[] symbols)
{
if (callback == null || symbols == null || !symbols.Any())
{
return(null);
}
void innerCallback(string json)
{
#region sample json
/*
* {
* MarketName : string,
* Nonce : int,
* Buys:
* [
* {
* Type : int,
* Rate : decimal,
* Quantity : decimal
* }
* ],
* Sells:
* [
* {
* Type : int,
* Rate : decimal,
* Quantity : decimal
* }
* ],
* Fills:
* [
* {
* FillId : int,
* OrderType : string,
* Rate : decimal,
* Quantity : decimal,
* TimeStamp : date
* }
* ]
* }
*/
#endregion
var ordersUpdates = JsonConvert.DeserializeObject <BittrexStreamUpdateExchangeState>(json);
var book = new ExchangeOrderBook();
foreach (BittrexStreamOrderBookUpdateEntry ask in ordersUpdates.Sells)
{
var depth = new ExchangeOrderPrice {
Price = ask.Rate, Amount = ask.Quantity
};
book.Asks[depth.Price] = depth;
}
foreach (BittrexStreamOrderBookUpdateEntry bid in ordersUpdates.Buys)
{
var depth = new ExchangeOrderPrice {
Price = bid.Rate, Amount = bid.Quantity
};
book.Bids[depth.Price] = depth;
}
book.Symbol = ordersUpdates.MarketName;
book.SequenceId = ordersUpdates.Nonce;
callback(book);
}
return(this.SocketManager.SubscribeToExchangeDeltas(innerCallback, symbols));
}