private void RaiseNewSecurity(Security security)
{
var arr = new[] { security };
_added?.Invoke(arr);
NewSecurity?.Invoke(security);
NewSecurities?.Invoke(arr);
}
private void SearchCallback(List <Instrument> instruments, bool hasMoreResults)
{
var lastAddedInstrumentId = 0;
lock (Securities)
{
foreach (var instrument in instruments)
{
if (_securities.ContainsKey((int)instrument.Id) || instrument.Name.Contains("weekend"))
{
continue;
}
var security = new Security
{
DataFeed = Name,
Symbol = instrument.Underlying.Symbol,
Name = instrument.Name,
SecurityId = (int)instrument.Id,
AssetClass = instrument.Underlying.AssetClass,
BaseCurrency = instrument.Contract.Currency,
UnitOfMeasure = instrument.Contract.UnitOfMeasure,
ContractSize = instrument.Contract.ContractSize,
Digit = Math.Max(instrument.OrderBook.PriceIncrement.ToString().Length - 2, 1),
PriceIncrement = instrument.OrderBook.PriceIncrement,
MarginRate = instrument.Risk.MarginRate,
MaxPosition = instrument.Risk.MaximumPosition,
UnitPrice = instrument.Contract.UnitPrice,
QtyIncrement = instrument.OrderBook.QuantityIncrement,
MarketOpen = instrument.Calendar.Open,
MarketClose = instrument.Calendar.Close
};
Securities.Add(security);
NewSecurity?.Invoke(security);
_securities[security.SecurityId] = security;
Subscribe(security);
lastAddedInstrumentId = security.SecurityId;
_session.Subscribe(new OrderBookSubscriptionRequest(instrument.Id), () => { }, FailureCallback);
_session.Subscribe(new OrderBookStatusSubscriptionRequest(instrument.Id), () => { }, FailureCallback);
}
}
if (hasMoreResults && lastAddedInstrumentId > 0)
{
_session.SearchInstruments(new SearchRequest("", lastAddedInstrumentId), SearchCallback, FailureCallback);
}
}
public void Start()
{
//start live stream
_api = new PoloniexClient(Url, PublicKey, PrivateKey);
//get latest quotes to populate securities list
List <Quote> quotes = null;
Task.Run(async() => quotes = await _api.Markets.GetSummary()).Wait();
if (quotes != null && quotes.Count > 0)
{
foreach (var q in quotes)
{
if (Securities.All(i => i.Symbol != q.Symbol.ToString()))
{
var security = GetSecurityFromCurrencyPair(q.Symbol);
Securities.Add(security);
NewSecurity?.Invoke(security);
_securities[q.Symbol] = security;
_securitiesById[q.Symbol.Id] = security;
Subscribe(security);
}
}
}
else
{
throw new Exception($"No securities defined for {Name} data feed");
}
_api.Live.OnOrderBookUpdate += Api_OnOrderBookUpdate;
_api.Live.OnTickerUpdate += Api_OnTickerUpdate;
_api.Live.OnSessionError += Api_OnSessionError;
_api.Live.Start();
IsStarted = true;
Task.Run(async() =>
{
var books = await _api.Markets.GetOrderBooks();
lock (_orderBooks)
{
_orderBooks.Clear();
foreach (var book in books)
{
_orderBooks.Add(book.Key, book.Value);
}
}
});
}