public void StreamLargeAmount_100kIterations_ShouldBeFast() { var pair = "BTC/USD"; var data = GetOrderBookSnapshotMockData(pair, 500); var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2); var source = new OrderBookSourceMock(snapshot); var orderBook = new CryptoOrderBookL2(pair, source); source.BufferEnabled = false; source.LoadSnapshotEnabled = false; orderBook.SnapshotReloadEnabled = false; orderBook.ValidityCheckEnabled = false; source.StreamSnapshot(); var elapsedMs = StreamLevels(pair, source, 100000, 500, 500); var msg = $"Elapsed time was: {elapsedMs} ms"; _output.WriteLine(msg); Assert.True(elapsedMs < 7000, msg); }
public async Task AutoSnapshotReloading_ShouldWorkCorrectly() { var pair = "BTC/USD"; var data = GetOrderBookSnapshotMockData(pair, 500); var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2); var source = new OrderBookSourceMock(snapshot) { LoadSnapshotEnabled = true, BufferInterval = TimeSpan.FromMilliseconds(100) }; var orderBook = new CryptoOrderBook(pair, source) { SnapshotReloadTimeout = TimeSpan.FromMilliseconds(500), SnapshotReloadEnabled = true }; await Task.Delay(TimeSpan.FromSeconds(6)); Assert.Equal(pair, source.SnapshotLastPair); Assert.True(source.SnapshotCalledCount >= 4); }
public async Task ValidityChecking_ShouldWorkCorrectly() { var pair = "BTC/USD"; var data = new [] { CreateLevel(pair, 480, 50, CryptoOrderSide.Bid), CreateLevel(pair, 520, 50, CryptoOrderSide.Ask), }; var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2); var source = new OrderBookSourceMock(snapshot); source.BufferInterval = TimeSpan.FromMilliseconds(100); var orderBookUpdatedCount = 0; ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source) { ValidityCheckTimeout = TimeSpan.FromMilliseconds(200), ValidityCheckEnabled = true, ValidityCheckLimit = 2 }; orderBook.OrderBookUpdatedStream.Subscribe(x => { orderBookUpdatedCount++; }); source.StreamSnapshot(); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 500, 50, CryptoOrderSide.Bid), CreateLevel(pair, 499, 400, CryptoOrderSide.Ask) )); await Task.Delay(TimeSpan.FromMilliseconds(2000)); Assert.Equal(pair, source.SnapshotLastPair); Assert.InRange(source.SnapshotCalledCount, 4, 5); Assert.Equal(2, orderBookUpdatedCount); }
/// <inheritdoc /> protected override async Task <OrderBookLevelBulk> LoadSnapshotInternal(string pair, int count) { BookLevel[] parsed = null; var pairSafe = (pair ?? string.Empty).Trim().ToUpper(); var countSafe = count > 1000 ? 0 : count; var result = string.Empty; try { var url = $"/api/v1/orderBook/L2?symbol={pairSafe}&depth={countSafe}"; using (HttpResponseMessage response = await _httpClient.GetAsync(url)) using (HttpContent content = response.Content) { result = await content.ReadAsStringAsync(); parsed = JsonConvert.DeserializeObject <BookLevel[]>(result); if (parsed == null || !parsed.Any()) { return(null); } } } catch (Exception e) { Log.Debug($"[ORDER BOOK {ExchangeName}] Failed to load orderbook snapshot for pair '{pairSafe}'. " + $"Error: '{e.Message}'. Content: '{result}'"); return(null); } // received snapshot, convert and stream var levels = ConvertLevels(parsed); var bulk = new OrderBookLevelBulk(OrderBookAction.Insert, levels, CryptoOrderBookType.L2) { ExchangeName = ExchangeName }; return(bulk); }
private void HandleBookResponse(BookResponse bookResponse) { if (bookResponse.Action == BitmexAction.Undefined) { // weird state, do nothing return; } if (bookResponse.Action == BitmexAction.Partial) { // received snapshot, convert and stream var levels = ConvertLevels(bookResponse.Data); var bulk = new OrderBookLevelBulk(OrderBookAction.Insert, levels, CryptoOrderBookType.L2) { ExchangeName = ExchangeName }; StreamSnapshot(bulk); return; } // received difference, buffer it BufferData(bookResponse); }
public void FindLevel_ShouldReturnCorrectValue() { var pair1 = "BTC/USD"; var pair2 = "ETH/BTC"; var data1 = GetOrderBookSnapshotMockDataL3(pair1, 500); var data2 = GetOrderBookSnapshotMockDataL3(pair2, 200); var data = data2.Concat(data1).ToArray(); var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L3); var source = new OrderBookSourceMock(snapshot); ICryptoOrderBook orderBook = new CryptoOrderBook(pair1, source); source.StreamSnapshot(); var bids = orderBook.FindBidLevelsByPrice(0); var asks = orderBook.FindAskLevelsByPrice(99); Assert.Equal(1000, orderBook.FindBidLevelByPrice(0)?.Amount); Assert.Equal(10, bids.Length); Assert.Equal(3000, orderBook.FindAskLevelByPrice(100)?.Amount); Assert.Equal(10, asks.Length); }
public async Task StreamingData_ShouldNotifyOneByOne() { var pair = "BTC/USD"; var data = GetOrderBookSnapshotMockData(pair, 500); var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2); var source = new OrderBookSourceMock(snapshot); source.BufferInterval = TimeSpan.FromMilliseconds(10); var notificationCount = 0; var changes = new List <IOrderBookChangeInfo>(); ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source) { DebugEnabled = true }; orderBook.OrderBookUpdatedStream.Subscribe(x => { notificationCount++; changes.Add(x); Thread.Sleep(2000); }); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 499.4, 50, CryptoOrderSide.Bid), CreateLevel(pair, 500.2, 400, CryptoOrderSide.Ask) )); await Task.Delay(50); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 499.5, 600, CryptoOrderSide.Bid), CreateLevel(pair, 300.33, 3350, CryptoOrderSide.Bid) )); await Task.Delay(50); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 503.1, 3000, CryptoOrderSide.Ask), CreateLevel(pair, 800.123, 1234, CryptoOrderSide.Ask) )); await Task.Delay(50); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 504.1, 3000, CryptoOrderSide.Ask), CreateLevel(pair, 800.101, 1234, CryptoOrderSide.Ask) )); await Task.Delay(50); Assert.Equal(1, notificationCount); await Task.Delay(2100); Assert.Equal(2, notificationCount); var firstChange = changes.First(); var secondChange = changes[1]; Assert.Equal(2, firstChange.Levels.Length); Assert.Equal(499.4, firstChange.Levels.First().Price); Assert.Equal(500.2, firstChange.Levels.Last().Price); Assert.Equal(6, secondChange.Levels.Length); }
public async Task StreamingData_ShouldNotifyCorrectly() { var pair = "BTC/USD"; var data = GetOrderBookSnapshotMockData(pair, 500); var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2); var source = new OrderBookSourceMock(snapshot); var notificationCount = 0; var notificationBidAskCount = 0; var notificationTopLevelCount = 0; var amountDifferenceBid = 0.0; var amountDifferenceAsk = 0.0; var changes = new List <IOrderBookChangeInfo>(); ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source) { DebugEnabled = true }; orderBook.OrderBookUpdatedStream.Subscribe(x => { notificationCount++; changes.Add(x); foreach (var bulk in x.Sources) { amountDifferenceBid += bulk.Levels.Where(x => x.Side == CryptoOrderSide.Bid).Sum(x => x.AmountDifference); amountDifferenceAsk += bulk.Levels.Where(x => x.Side == CryptoOrderSide.Ask).Sum(x => x.AmountDifference); } }); orderBook.BidAskUpdatedStream.Subscribe(_ => notificationBidAskCount++); orderBook.TopLevelUpdatedStream.Subscribe(_ => notificationTopLevelCount++); source.StreamSnapshot(); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 499.4, 50, CryptoOrderSide.Bid), CreateLevel(pair, 500.2, 400, CryptoOrderSide.Ask) )); await Task.Delay(50); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 499.5, 600, CryptoOrderSide.Bid), CreateLevel(pair, 300.33, 3350, CryptoOrderSide.Bid) )); await Task.Delay(50); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 503.1, 3000, CryptoOrderSide.Ask), CreateLevel(pair, 800.123, 1234, CryptoOrderSide.Ask) )); await Task.Delay(50); source.StreamBulk(GetUpdateBulkL2( CreateLevel(pair, 499, 33, CryptoOrderSide.Bid), CreateLevel(pair, 450, 33, CryptoOrderSide.Bid), CreateLevel(pair, 501, 32, CryptoOrderSide.Ask), CreateLevel(pair, 503.1, 32, CryptoOrderSide.Ask), CreateLevel(pair, 100, null, CryptoOrderSide.Bid), CreateLevel(pair, 900, null, CryptoOrderSide.Ask) )); await Task.Delay(50); source.StreamBulk(GetUpdateBulkL2( CreateLevel(pair, 499.5, 100, CryptoOrderSide.Bid) )); await Task.Delay(50); source.StreamBulk(GetUpdateBulkL2( CreateLevel(pair, 499.5, 200, CryptoOrderSide.Bid) )); await Task.Delay(50); source.StreamBulk(GetUpdateBulkL2( CreateLevel(pair, 500.2, 22, CryptoOrderSide.Ask) )); await Task.Delay(50); source.StreamBulk(GetDeleteBulkL2( CreateLevel(pair, 0, CryptoOrderSide.Bid), CreateLevel(pair, 1, CryptoOrderSide.Bid), CreateLevel(pair, 1000, CryptoOrderSide.Ask), CreateLevel(pair, 999, CryptoOrderSide.Ask) )); await Task.Delay(50); Assert.Equal(9, notificationCount); Assert.Equal(3, notificationBidAskCount); Assert.Equal(6, notificationTopLevelCount); var firstChange = changes.First(); var secondChange = changes[1]; Assert.Equal(0, firstChange.Levels.First().Price); Assert.Equal(501, firstChange.Levels.Last().Price); Assert.Equal(499.4, secondChange.Levels.First().Price); Assert.Equal(500.2, secondChange.Levels.Last().Price); Assert.Equal(623466, amountDifferenceBid); Assert.Equal(1368070, amountDifferenceAsk); }
public async Task StreamingDiff_TwoPairs_ShouldHandleCorrectly() { var pair1 = "BTC/USD"; var pair2 = "ETH/USD"; var data1 = GetOrderBookSnapshotMockData(pair1, 500); var data2 = GetOrderBookSnapshotMockData(pair2, 200); var data = data2.Concat(data1).ToArray(); var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2); var source = new OrderBookSourceMock(snapshot); ICryptoOrderBook orderBook1 = new CryptoOrderBook(pair1, source) { DebugEnabled = true }; ICryptoOrderBook orderBook2 = new CryptoOrderBook(pair2, source) { DebugEnabled = true }; source.StreamSnapshot(); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair2, 199.4, 50, CryptoOrderSide.Bid), CreateLevel(pair2, 198.3, 600, CryptoOrderSide.Bid), CreateLevel(pair2, 50.33, 3350, CryptoOrderSide.Bid), CreateLevel(pair1, 500.2, 400, CryptoOrderSide.Ask), CreateLevel(pair1, 503.1, 3000, CryptoOrderSide.Ask), CreateLevel(pair1, 800.123, 1234, CryptoOrderSide.Ask), CreateLevel(null, 101.1, null, CryptoOrderSide.Bid), CreateLevel(null, 901.1, null, CryptoOrderSide.Ask) )); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair1, 499.4, 50, CryptoOrderSide.Bid), CreateLevel(pair1, 498.3, 600, CryptoOrderSide.Bid), CreateLevel(pair1, 300.33, 3350, CryptoOrderSide.Bid), CreateLevel(pair2, 200.2, 400, CryptoOrderSide.Ask), CreateLevel(pair2, 203.1, 3000, CryptoOrderSide.Ask), CreateLevel(pair2, 250.123, 1234, CryptoOrderSide.Ask) )); source.StreamBulk(GetUpdateBulkL2( CreateLevel(pair1, 499, 33, CryptoOrderSide.Bid), CreateLevel(pair1, 450, 33, CryptoOrderSide.Bid), CreateLevel(pair1, 501, 32, CryptoOrderSide.Ask), CreateLevel(pair1, 503.1, 32, CryptoOrderSide.Ask), CreateLevel(pair1, 100, null, CryptoOrderSide.Bid), CreateLevel(pair1, 900, null, CryptoOrderSide.Ask) )); source.StreamBulk(GetDeleteBulkL2( CreateLevel(pair1, 0, CryptoOrderSide.Bid), CreateLevel(pair1, 1, CryptoOrderSide.Bid), CreateLevel(pair2, 0, CryptoOrderSide.Bid), CreateLevel(pair2, 1, CryptoOrderSide.Bid) )); source.StreamBulk(GetDeleteBulkL2( CreateLevel(pair2, 400, CryptoOrderSide.Ask), CreateLevel(pair2, 399, CryptoOrderSide.Ask), CreateLevel(pair1, 1000, CryptoOrderSide.Ask), CreateLevel(pair1, 999, CryptoOrderSide.Ask) )); await Task.Delay(500); Assert.NotEmpty(orderBook1.BidLevels); Assert.NotEmpty(orderBook1.AskLevels); Assert.Equal(501, orderBook1.BidLevels.Length); Assert.Equal(501, orderBook1.AskLevels.Length); Assert.Equal(201, orderBook2.BidLevels.Length); Assert.Equal(201, orderBook2.AskLevels.Length); Assert.Equal(499.4, orderBook1.BidPrice); Assert.Equal(500.2, orderBook1.AskPrice); Assert.Equal(199.4, orderBook2.BidPrice); Assert.Equal(200.2, orderBook2.AskPrice); Assert.Equal(33, orderBook1.FindBidLevelByPrice(499)?.Amount); Assert.Equal(33, orderBook1.FindBidLevelByPrice(450)?.Amount); Assert.Equal(32, orderBook1.FindAskLevelByPrice(501)?.Amount); Assert.Equal(32, orderBook1.FindAskLevelByPrice(503.1)?.Amount); var notCompleteBid = orderBook1.FindBidLevelByPrice(100); Assert.Equal(CryptoPairsHelper.Clean(pair1), notCompleteBid.Pair); Assert.Equal(1100, notCompleteBid.Amount); Assert.Equal(3, notCompleteBid.Count); var notCompleteAsk = orderBook1.FindAskLevelByPrice(900); Assert.Equal(CryptoPairsHelper.Clean(pair1), notCompleteAsk.Pair); Assert.Equal(2900, notCompleteAsk.Amount); Assert.Equal(3, notCompleteAsk.Count); Assert.Null(orderBook1.FindBidLevelByPrice(0)); Assert.Null(orderBook1.FindBidLevelByPrice(1)); Assert.Null(orderBook1.FindAskLevelByPrice(1000)); Assert.Null(orderBook1.FindAskLevelByPrice(999)); Assert.Null(orderBook1.FindBidLevelByPrice(101.1)); Assert.Null(orderBook1.FindAskLevelByPrice(901.1)); Assert.Null(orderBook2.FindBidLevelByPrice(101.1)); Assert.Null(orderBook2.FindAskLevelByPrice(901.1)); }
public async Task StreamingDiff_ShouldHandleCorrectly() { var pair = "BTC/USD"; var data = GetOrderBookSnapshotMockData(pair, 500); var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2); var source = new OrderBookSourceMock(snapshot); ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source); source.StreamSnapshot(); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 499.4, 50, CryptoOrderSide.Bid), CreateLevel(pair, 498.3, 600, CryptoOrderSide.Bid), CreateLevel(pair, 300.33, 3350, CryptoOrderSide.Bid), CreateLevel(pair, 500.2, 400, CryptoOrderSide.Ask), CreateLevel(pair, 503.1, 3000, CryptoOrderSide.Ask), CreateLevel(pair, 800.123, 1234, CryptoOrderSide.Ask), CreateLevel(null, 101.1, null, CryptoOrderSide.Bid), CreateLevel(null, 901.1, null, CryptoOrderSide.Ask) )); source.StreamBulk(GetUpdateBulkL2( CreateLevel(pair, 499, 33, CryptoOrderSide.Bid), CreateLevel(pair, 450, 33, CryptoOrderSide.Bid), CreateLevel(pair, 501, 32, CryptoOrderSide.Ask), CreateLevel(pair, 503.1, 32, CryptoOrderSide.Ask), CreateLevel(pair, 100, null, CryptoOrderSide.Bid), CreateLevel(pair, 900, null, CryptoOrderSide.Ask) )); source.StreamBulk(GetDeleteBulkL2( CreateLevel(pair, 0, CryptoOrderSide.Bid), CreateLevel(pair, 1, CryptoOrderSide.Bid), CreateLevel(pair, 1000, CryptoOrderSide.Ask), CreateLevel(pair, 999, CryptoOrderSide.Ask) )); await Task.Delay(500); Assert.NotEmpty(orderBook.BidLevels); Assert.NotEmpty(orderBook.AskLevels); Assert.Equal(501, orderBook.BidLevels.Length); Assert.Equal(501, orderBook.AskLevels.Length); Assert.Equal(499.4, orderBook.BidPrice); Assert.Equal(500.2, orderBook.AskPrice); Assert.Equal(33, orderBook.FindBidLevelByPrice(499)?.Amount); Assert.Equal(33, orderBook.FindBidLevelByPrice(450)?.Amount); Assert.Equal(32, orderBook.FindAskLevelByPrice(501)?.Amount); Assert.Equal(32, orderBook.FindAskLevelByPrice(503.1)?.Amount); var notCompleteBid = orderBook.FindBidLevelByPrice(100); Assert.Equal(CryptoPairsHelper.Clean(pair), notCompleteBid.Pair); Assert.Equal(1100, notCompleteBid.Amount); Assert.Equal(3, notCompleteBid.Count); var notCompleteAsk = orderBook.FindAskLevelByPrice(900); Assert.Equal(CryptoPairsHelper.Clean(pair), notCompleteAsk.Pair); Assert.Equal(2900, notCompleteAsk.Amount); Assert.Equal(3, notCompleteAsk.Count); Assert.Null(orderBook.FindBidLevelByPrice(0)); Assert.Null(orderBook.FindBidLevelByPrice(1)); Assert.Null(orderBook.FindAskLevelByPrice(1000)); Assert.Null(orderBook.FindAskLevelByPrice(999)); Assert.Null(orderBook.FindBidLevelByPrice(101.1)); Assert.Null(orderBook.FindAskLevelByPrice(901.1)); }
public void StreamingSnapshot_DifferentPairsSeparately_ShouldHandleCorrectly() { var pair1 = "BTC/USD"; var pair2 = "ETH/BTC"; var data1 = GetOrderBookSnapshotMockData(pair1, 500); var data2 = GetOrderBookSnapshotMockData(pair2, 200); var now = CryptoDateUtils.ConvertFromUnixSeconds(1577575307.123451); var snapshot1 = new OrderBookLevelBulk(OrderBookAction.Insert, data1, CryptoOrderBookType.L2) { ExchangeName = "test", ServerSequence = 4, ServerTimestamp = now.AddMilliseconds(1) }; var snapshot2 = new OrderBookLevelBulk(OrderBookAction.Insert, data2, CryptoOrderBookType.L2) { ExchangeName = "test", ServerSequence = 5, ServerTimestamp = now.AddMilliseconds(2) }; var source = new OrderBookSourceMock(); ICryptoOrderBook orderBook1 = new CryptoOrderBook(pair1, source); ICryptoOrderBook orderBook2 = new CryptoOrderBook(pair2, source); orderBook1.OrderBookUpdatedStream.Subscribe(x => { Assert.Equal("test", x.ExchangeName); Assert.Equal(4, x.ServerSequence); Assert.Equal("1577575307.124451", x.ServerTimestamp.ToUnixSecondsString()); }); orderBook2.OrderBookUpdatedStream.Subscribe(x => { Assert.Equal("test", x.ExchangeName); Assert.Equal(5, x.ServerSequence); Assert.Equal("1577575307.125451", x.ServerTimestamp.ToUnixSecondsString()); }); source.StreamSnapshotRaw(snapshot1); source.StreamSnapshotRaw(snapshot2); Assert.Equal(500, orderBook1.BidLevels.Length); Assert.Equal(500, orderBook1.AskLevels.Length); Assert.Equal(200, orderBook2.BidLevels.Length); Assert.Equal(200, orderBook2.AskLevels.Length); Assert.Equal(499, orderBook1.BidLevels.First().Price); Assert.Equal(1499, orderBook1.BidLevels.First().Amount); Assert.Equal(199, orderBook2.BidLevels.First().Price); Assert.Equal(599, orderBook2.BidLevels.First().Amount); Assert.Equal(501, orderBook1.AskLevels.First().Price); Assert.Equal(2501, orderBook1.AskLevels.First().Amount); Assert.Equal(201, orderBook2.AskLevels.First().Price); Assert.Equal(1001, orderBook2.AskLevels.First().Amount); var levels = orderBook1.Levels; foreach (var level in levels) { Assert.Equal(CryptoPairsHelper.Clean(pair1), level.Pair); } }
public void StreamingData_ShouldComputeIndexesCorrectly() { var pair = "BTC/USD"; var data = GetOrderBookSnapshotMockData(pair, 500); var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2); var source = new OrderBookSourceMock(snapshot); source.BufferEnabled = false; ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source) { DebugEnabled = true }; orderBook.SnapshotReloadEnabled = false; orderBook.ValidityCheckEnabled = false; orderBook.IgnoreDiffsBeforeSnapshot = false; orderBook.IsIndexComputationEnabled = true; var updatedBidLevels = new List <OrderBookLevel>(); var updatedAskLevels = new List <OrderBookLevel>(); orderBook.OrderBookUpdatedStream.Subscribe(x => { foreach (var bulk in x.Sources) { var bidLevels = bulk.Levels.Where(x => x.Side == CryptoOrderSide.Bid).ToArray(); var askLevels = bulk.Levels.Where(x => x.Side == CryptoOrderSide.Ask).ToArray(); updatedBidLevels.AddRange(bidLevels); updatedAskLevels.AddRange(askLevels); } }); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 100, 50, CryptoOrderSide.Bid), CreateLevel(pair, 101, 500, CryptoOrderSide.Ask) )); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 99, 10, CryptoOrderSide.Bid), CreateLevel(pair, 98, 20, CryptoOrderSide.Bid) )); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 102, 100, CryptoOrderSide.Ask), CreateLevel(pair, 103, 200, CryptoOrderSide.Ask) )); source.StreamBulk(GetUpdateBulkL2( CreateLevel(pair, 100, 25, CryptoOrderSide.Bid), CreateLevel(pair, 99, 5, CryptoOrderSide.Bid), CreateLevel(pair, 101, 250, CryptoOrderSide.Ask), CreateLevel(pair, 103, 100, CryptoOrderSide.Ask), CreateLevel(pair, 100, null, CryptoOrderSide.Bid), CreateLevel(pair, 102, null, CryptoOrderSide.Ask) )); source.StreamBulk(GetUpdateBulkL2( CreateLevel(pair, 98, 10, CryptoOrderSide.Bid) )); source.StreamBulk(GetUpdateBulkL2( CreateLevel(pair, 99, 10, CryptoOrderSide.Bid) )); source.StreamBulk(GetUpdateBulkL2( CreateLevel(pair, 103, 400, CryptoOrderSide.Ask) )); source.StreamBulk(GetDeleteBulkL2( CreateLevel(pair, 98, CryptoOrderSide.Bid), CreateLevel(pair, 102, CryptoOrderSide.Ask), CreateLevel(pair, 103, CryptoOrderSide.Ask) )); source.StreamBulk(GetDeleteBulkL2( CreateLevel(pair, 100, CryptoOrderSide.Bid) )); source.StreamBulk(GetDeleteBulkL2( CreateLevel(pair, 99, CryptoOrderSide.Bid) )); Assert.Equal(0, updatedBidLevels[0].Index); Assert.Equal(1, updatedBidLevels[1].Index); Assert.Equal(2, updatedBidLevels[2].Index); Assert.Equal(0, updatedBidLevels[3].Index); Assert.Equal(1, updatedBidLevels[4].Index); Assert.Equal(0, updatedBidLevels[5].Index); Assert.Equal(2, updatedBidLevels[6].Index); Assert.Equal(1, updatedBidLevels[7].Index); Assert.Equal(2, updatedBidLevels[8].Index); Assert.Equal(0, updatedBidLevels[9].Index); Assert.Equal(0, updatedBidLevels[10].Index); Assert.Equal(0, updatedAskLevels[0].Index); Assert.Equal(1, updatedAskLevels[1].Index); Assert.Equal(2, updatedAskLevels[2].Index); Assert.Equal(0, updatedAskLevels[3].Index); Assert.Equal(2, updatedAskLevels[4].Index); Assert.Equal(1, updatedAskLevels[5].Index); Assert.Equal(2, updatedAskLevels[6].Index); Assert.Equal(1, updatedAskLevels[7].Index); Assert.Equal(2, updatedAskLevels[8].Index); }
public void StreamBulk(OrderBookLevelBulk bulk) { BufferData(bulk); }
public void InvalidBidAsk_ShouldBePreserved() { var pair = "BTC/USD"; var data = GetOrderBookSnapshotMockData(pair, 500); var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2); var source = new OrderBookSourceMock(snapshot); source.BufferEnabled = false; ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source) { DebugEnabled = true }; orderBook.IgnoreDiffsBeforeSnapshot = false; var changesTopLevel = new List <IOrderBookChangeInfo>(); orderBook.BidAskUpdatedStream.Subscribe(x => changesTopLevel.Add(x)); var changes = new List <IOrderBookChangeInfo>(); orderBook.OrderBookUpdatedStream.Subscribe(x => changes.Add(x)); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 100, 50, CryptoOrderSide.Bid), CreateLevel(pair, 200, 400, CryptoOrderSide.Ask), CreateLevel(pair, 300, 600, CryptoOrderSide.Ask) )); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 205, 60, CryptoOrderSide.Bid), CreateLevel(pair, 211, 333, CryptoOrderSide.Bid) )); Assert.Equal(211, orderBook.BidPrice); Assert.Equal(333, orderBook.BidAmount); Assert.Equal(200, orderBook.AskPrice); Assert.Equal(400, orderBook.AskAmount); Assert.False(orderBook.IsValid()); source.StreamBulk(GetDeleteBulkL2( CreateLevel(pair, 200, CryptoOrderSide.Ask) )); Assert.Equal(211, orderBook.BidPrice); Assert.Equal(333, orderBook.BidAmount); Assert.Equal(300, orderBook.AskPrice); Assert.Equal(600, orderBook.AskAmount); Assert.True(orderBook.IsValid()); Assert.Equal(3, changesTopLevel.Count); Assert.True(changesTopLevel[0].Quotes.IsValid()); Assert.False(changesTopLevel[1].Quotes.IsValid()); Assert.True(changesTopLevel[2].Quotes.IsValid()); Assert.Equal(3, changes.Count); Assert.True(changes[0].Quotes.IsValid()); Assert.False(changes[1].Quotes.IsValid()); Assert.True(changes[2].Quotes.IsValid()); }
public MockSource(OrderBookLevelBulk snapshot, OrderBookLevelBulk[] bulks) { _snapshot = snapshot; _bulks = bulks; }
private MockSource GetMock(OrderBookLevelBulk snapshot, OrderBookLevelBulk[] bulks) { return(new MockSource(snapshot, bulks)); }
public async Task Buffering_ShouldBeEnabledByDefault_StreamDataAfterSomeTime() { var now = CryptoDateUtils.ConvertFromUnixSeconds(1577575307.123451); var snapshotLevels = new[] { new OrderBookLevel("1", CryptoOrderSide.Bid, 100, 5, 1, "BTCUSD"), new OrderBookLevel("2", CryptoOrderSide.Ask, 101, 50, 2, "BTCUSD"), }; var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, snapshotLevels, CryptoOrderBookType.L2) { ServerSequence = 3, ServerTimestamp = now, ExchangeName = "test" }; var bulks = new[] { new OrderBookLevelBulk(OrderBookAction.Update, snapshotLevels, CryptoOrderBookType.L2) { ServerSequence = 4, ServerTimestamp = now.AddMilliseconds(1), ExchangeName = "test" }, new OrderBookLevelBulk(OrderBookAction.Delete, snapshotLevels, CryptoOrderBookType.L2) { ServerSequence = 5, ServerTimestamp = now.AddMilliseconds(2), ExchangeName = "test" } }; var source = GetMock(snapshot, bulks); source.BufferInterval = TimeSpan.FromMilliseconds(100); OrderBookLevelBulk receivedSnapshot = null; OrderBookLevelBulk[] receivedBulks = null; source.OrderBookSnapshotStream.Subscribe(x => receivedSnapshot = x); source.OrderBookStream.Subscribe(x => receivedBulks = x); await source.LoadSnapshot("BTCUSD"); source.StreamData(); Assert.NotNull(receivedSnapshot); Assert.Equal("test", receivedSnapshot.ExchangeName); Assert.Equal(3, receivedSnapshot.ServerSequence); Assert.Equal(now, receivedSnapshot.ServerTimestamp); Assert.Null(receivedBulks); await Task.Delay(500); Assert.NotNull(receivedSnapshot); Assert.NotNull(receivedBulks); Assert.Equal("test", receivedBulks[1].ExchangeName); Assert.Equal(5, receivedBulks[1].ServerSequence); Assert.Equal("1577575307.125451", receivedBulks[1].ServerTimestamp.ToUnixSecondsString()); }
public async Task Buffering_ShouldStreamOneByOne() { var now = CryptoDateUtils.ConvertFromUnixSeconds(1577575307.123456); var snapshotLevels = new[] { new OrderBookLevel("1", CryptoOrderSide.Bid, 100, 5, 1, "BTCUSD"), new OrderBookLevel("2", CryptoOrderSide.Ask, 101, 50, 2, "BTCUSD"), }; var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, snapshotLevels, CryptoOrderBookType.L2) { ServerSequence = 3, ServerTimestamp = now, ExchangeName = "test" }; var bulks = new[] { new OrderBookLevelBulk(OrderBookAction.Update, snapshotLevels, CryptoOrderBookType.L2) { ServerSequence = 4, ServerTimestamp = now.AddMilliseconds(1), ExchangeName = "test" }, new OrderBookLevelBulk(OrderBookAction.Delete, snapshotLevels, CryptoOrderBookType.L2) { ServerSequence = 5, ServerTimestamp = now.AddMilliseconds(2), ExchangeName = "test" } }; var source = GetMock(snapshot, bulks); source.BufferInterval = TimeSpan.FromMilliseconds(50); OrderBookLevelBulk receivedSnapshot = null; OrderBookLevelBulk[] receivedBulks = null; var receivedCount = 0; source.OrderBookSnapshotStream.Subscribe(x => receivedSnapshot = x); source.OrderBookStream.Subscribe(x => { receivedBulks = x; receivedCount++; Thread.Sleep(2000); }); await source.LoadSnapshot("BTCUSD"); source.StreamData(); Assert.NotNull(receivedSnapshot); Assert.Null(receivedBulks); Assert.Equal(0, receivedCount); await Task.Delay(100); Assert.NotNull(receivedSnapshot); Assert.NotNull(receivedBulks); Assert.Equal(1, receivedCount); source.StreamData(); source.StreamData(); await Task.Delay(100); Assert.Equal(1, receivedCount); source.StreamData(); await Task.Delay(2200); Assert.Equal(2, receivedCount); }
private void FillBulk(ResponseBase response, OrderBookLevelBulk bulk) { bulk.ExchangeName = ExchangeName; bulk.ServerSequence = response.Sequence; bulk.ServerTimestamp = response.Time; }
public OrderBookSourceMock(OrderBookLevelBulk snapshot) { BufferInterval = TimeSpan.FromMilliseconds(10); _snapshot = snapshot; }
public void StreamSnapshotRaw(OrderBookLevelBulk snapshot) { StreamSnapshot(snapshot); }
public void StreamingData_ShouldComputeDifferenceCorrectly() { var pair = "BTC/USD"; var data = GetOrderBookSnapshotMockData(pair, 500); var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2); var source = new OrderBookSourceMock(snapshot); source.BufferEnabled = false; var amountDifferenceBid = 0.0; var amountDifferenceAsk = 0.0; ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source) { DebugEnabled = true }; orderBook.SnapshotReloadEnabled = false; orderBook.ValidityCheckEnabled = false; orderBook.IgnoreDiffsBeforeSnapshot = false; orderBook.OrderBookUpdatedStream.Subscribe(x => { foreach (var bulk in x.Sources) { amountDifferenceBid += bulk.Levels.Where(x => x.Side == CryptoOrderSide.Bid).Sum(x => x.AmountDifference); amountDifferenceAsk += bulk.Levels.Where(x => x.Side == CryptoOrderSide.Ask).Sum(x => x.AmountDifference); } }); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 100, 50, CryptoOrderSide.Bid), CreateLevel(pair, 101, 500, CryptoOrderSide.Ask) )); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 99, 10, CryptoOrderSide.Bid), CreateLevel(pair, 98, 20, CryptoOrderSide.Bid) )); source.StreamBulk(GetInsertBulkL2( CreateLevel(pair, 102, 100, CryptoOrderSide.Ask), CreateLevel(pair, 103, 200, CryptoOrderSide.Ask) )); source.StreamBulk(GetUpdateBulkL2( CreateLevel(pair, 100, 25, CryptoOrderSide.Bid), CreateLevel(pair, 99, 5, CryptoOrderSide.Bid), CreateLevel(pair, 101, 250, CryptoOrderSide.Ask), CreateLevel(pair, 103, 100, CryptoOrderSide.Ask), CreateLevel(pair, 100, null, CryptoOrderSide.Bid), CreateLevel(pair, 102, null, CryptoOrderSide.Ask) )); source.StreamBulk(GetUpdateBulkL2( CreateLevel(pair, 98, 10, CryptoOrderSide.Bid) )); source.StreamBulk(GetUpdateBulkL2( CreateLevel(pair, 99, 10, CryptoOrderSide.Bid) )); source.StreamBulk(GetUpdateBulkL2( CreateLevel(pair, 103, 400, CryptoOrderSide.Ask) )); source.StreamBulk(GetDeleteBulkL2( CreateLevel(pair, 98, CryptoOrderSide.Bid), CreateLevel(pair, 102, CryptoOrderSide.Ask), CreateLevel(pair, 103, CryptoOrderSide.Ask) )); Assert.Equal(35, amountDifferenceBid); Assert.Equal(250, amountDifferenceAsk); }
public void UpdateDeleteComplex_ShouldConstructCorrectOrderBook() { var pair1 = "BTC/USD"; var data = GetOrderBookSnapshotMockDataL3(pair1, 200); var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L3); var source = new OrderBookSourceMock(snapshot); source.BufferEnabled = false; var orderBook = new CryptoOrderBook(pair1, source); orderBook.IgnoreDiffsBeforeSnapshot = true; source.StreamBulk( GetInsertBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 100.111, 0.123, CryptoOrderSide.Ask, null, "ASK1")) ); Assert.Equal(0, orderBook.BidPrice); Assert.Equal(0, orderBook.BidAmount); Assert.Equal(0, orderBook.AskPrice); Assert.Equal(0, orderBook.AskAmount); source.StreamSnapshot(); Assert.Equal(19, orderBook.BidPrice); Assert.Equal(590, orderBook.BidAmount); Assert.Equal(20, orderBook.AskPrice); Assert.Equal(1009, orderBook.AskAmount); var asks = orderBook.FindAskLevelsByPrice(20); var levelsToDelete = asks .Select(x => CreateLevel(x.Pair, null, x.Side, x.Id)) .ToArray(); source.StreamBulk( GetDeleteBulk(CryptoOrderBookType.L3, levelsToDelete) ); source.StreamBulk( GetUpdateBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 20, 0.123, CryptoOrderSide.Bid, null, "BID1")) ); Assert.Equal(20, orderBook.BidPrice); Assert.Equal(0.123, orderBook.BidAmount); Assert.Equal(21, orderBook.AskPrice); Assert.Equal(1019, orderBook.AskAmount); var bids = orderBook.BidLevelsPerPrice; foreach (var bidLevel in bids[19]) { source.StreamBulk( GetDeleteBulk(CryptoOrderBookType.L3, CreateLevel(pair1, bidLevel.Price, bidLevel.Amount, bidLevel.Side, null, bidLevel.Id)) ); } source.StreamBulk( GetDeleteBulk(CryptoOrderBookType.L3, CreateLevel(pair1, null, CryptoOrderSide.Bid, "BID1")) ); Assert.Equal(18, orderBook.BidPrice); Assert.Equal(580, orderBook.BidAmount); Assert.Equal(21, orderBook.AskPrice); Assert.Equal(1019, orderBook.AskAmount); }