public void ApplyIncrementalUpdate(OrderBookEntryType type, OrderBookUpdateType updateType, long id, string rateString, string amountString)
{
if (type == OrderBookEntryType.Ask)
{
lock (Asks) {
ApplyIncrementalUpdate(id, updateType, rateString, amountString, Asks, true);
}
if (AllowInvertedAsks)
{
lock (AsksInverted) {
ApplyIncrementalUpdate(id, updateType, rateString, amountString, AsksInverted, false);
}
}
}
else
{
lock (Bids) {
ApplyIncrementalUpdate(id, updateType, rateString, amountString, Bids, false);
}
}
LastUpdateTime = DateTime.Now;
if (UpdateCount > 0)
{
return;
}
UpdateEntries();
RaiseOnChanged(new IncrementalUpdateInfo());
}
protected override void OnOrderBookSocketMessageReceived(object sender, MessageReceivedEventArgs e)
{
base.OnOrderBookSocketMessageReceived(sender, e);
LastWebSocketRecvTime = DateTime.Now;
SocketConnectionInfo info = OrderBookSockets[(WebSocket)sender];
JObject obj = JsonConvert.DeserializeObject <JObject>(e.Message);
JArray items = obj.Value <JArray>("data");
if (items == null)
{
return;
}
OrderBookUpdateType type = String2UpdateType(obj.Value <string>("action"));
foreach (JObject item in items)
{
Ticker t = info.Ticker;
OrderBookEntryType entryType = item.Value <string>("side")[0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
string rate = type == OrderBookUpdateType.Add ? item.Value <string>("price") : null;
string size = type != OrderBookUpdateType.Remove ? item.Value <string>("size") : null;
t.OrderBook.ApplyIncrementalUpdate(entryType, type, item.Value <long>("id"), rate, size);
}
}
public void ApplyIncrementalUpdate(OrderBookEntryType type, OrderBookUpdateType updateType, long id, string rateString, string amountString)
{
if (type == OrderBookEntryType.Ask)
{
ApplyIncrementalUpdate(id, updateType, rateString, amountString, Asks, true);
ApplyIncrementalUpdate(id, updateType, rateString, amountString, AsksInverted, false);
}
else
{
ApplyIncrementalUpdate(id, updateType, rateString, amountString, Bids, false);
}
UpdateEntries();
RaiseOnChanged(new IncrementalUpdateInfo());
}
OrderBookUpdateType String2UpdateType(string action)
{
OrderBookUpdateType type = OrderBookUpdateType.Modify;
if (action == "insert")
{
type = OrderBookUpdateType.Add;
}
if (action == "delete")
{
type = OrderBookUpdateType.Remove;
}
return(type);
}
protected internal override void OnOrderBookSocketMessageReceived(object sender, MessageReceivedEventArgs e)
{
base.OnOrderBookSocketMessageReceived(sender, e);
LastWebSocketRecvTime = DateTime.Now;
SocketConnectionInfo info = OrderBookSockets.FirstOrDefault(c => c.Key == sender);
if (info == null)
{
return;
}
Ticker t = info.Ticker;
if (t.CaptureData)
{
t.CaptureDataCore(CaptureStreamType.OrderBook, CaptureMessageType.Incremental, e.Message);
}
const string incrementalUpdateStartString = "{\"table\":\"orderBookL2\",\"action\":\"";
if (e.Message.StartsWith(incrementalUpdateStartString))
{
int index = incrementalUpdateStartString.Length;
if (e.Message[index] == 'u') // update
{
index = e.Message.IndexOf("[{");
List <string[]> jsItems = JSonHelper.Default.DeserializeArrayOfObjects(Encoding.ASCII.GetBytes(e.Message), ref index, UpdateItems);
foreach (string[] item in jsItems)
{
OrderBookEntryType entryType = item[2][0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
t.OrderBook.ApplyIncrementalUpdate(entryType, OrderBookUpdateType.Modify, FastValueConverter.ConvertPositiveLong(item[1]), null, item[3]);
}
return;
}
//else if(e.Message[index] == 'i') { // insert
// index = e.Message.IndexOf("[{");
// List<string[]> jsItems = JSonHelper.Default.DeserializeArrayOfObjects(Encoding.ASCII.GetBytes(e.Message), ref index, InsertItems);
// foreach(string[] item in jsItems) {
// OrderBookEntryType entryType = item[2][0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
// t.OrderBook.ApplyIncrementalUpdate(entryType, OrderBookUpdateType.Add, FastValueConverter.ConvertPositiveLong(item[1]), item[4], item[3]);
// }
// return;
//}
else if (e.Message[index] == 'd') // delete
{
index = e.Message.IndexOf("[{");
List <string[]> jsItems = JSonHelper.Default.DeserializeArrayOfObjects(Encoding.ASCII.GetBytes(e.Message), ref index, DeleteItems);
foreach (string[] item in jsItems)
{
OrderBookEntryType entryType = item[2][0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
t.OrderBook.ApplyIncrementalUpdate(entryType, OrderBookUpdateType.Remove, FastValueConverter.ConvertPositiveLong(item[1]), null, null);
}
return;
}
}
JObject obj = JsonConvert.DeserializeObject <JObject>(e.Message);
JArray items = obj.Value <JArray>("data");
if (items == null)
{
return;
}
OrderBookUpdateType type = String2UpdateType(obj.Value <string>("action"));
lock (t.OrderBook.Bids) {
lock (t.OrderBook.Asks) {
if (type == OrderBookUpdateType.RefreshAll)
{
t.OrderBook.Clear();
t.OrderBook.BeginUpdate();
}
for (int i = 0; i < items.Count; i++)
{
JObject item = (JObject)items[i];
OrderBookEntryType entryType = item.Value <string>("side")[0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
string rate = null;
if (type == OrderBookUpdateType.Add || type == OrderBookUpdateType.RefreshAll)
{
rate = item.Value <string>("price");
}
string size = null;
if (type != OrderBookUpdateType.Remove)
{
size = item.Value <string>("size");
}
t.OrderBook.ApplyIncrementalUpdate(entryType, type, item.Value <long>("id"), rate, size);
}
}
}
if (type == OrderBookUpdateType.RefreshAll)
{
t.OrderBook.EndUpdate();
}
}
protected void ApplyIncrementalUpdate(long id, OrderBookUpdateType type, string rateString, string amountString, List <OrderBookEntry> list, bool ascending)
{
int index = 0;
if (type == OrderBookUpdateType.Remove)
{
for (int i = 0; i < list.Count; i++)
{
OrderBookEntry e = list[i];
if (e.Id == id)
{
list.Remove(e);
return;
}
}
if (EnableValidationOnRemove)
{
IsDirty = true;
}
return;
}
double amount = FastValueConverter.Convert(amountString);
if (type == OrderBookUpdateType.Modify)
{
for (int i = 0; i < list.Count; i++)
{
OrderBookEntry e = list[i];
if (e.Id == id)
{
e.Amount = amount;
return;
}
}
if (EnableValidationOnRemove)
{
IsDirty = true;
}
return;
}
double value = FastValueConverter.Convert(rateString);
if (ascending)
{
for (int i = 0; i < list.Count; i++)
{
OrderBookEntry e = list[i];
if (e.Value > value)
{
OrderBookEntry ee = new OrderBookEntry()
{
ValueString = rateString, AmountString = amountString, Id = id
};
list.Insert(index, ee);
return;
}
index++;
}
}
else
{
for (int i = 0; i < list.Count; i++)
{
OrderBookEntry e = list[i];
if (e.Value < value)
{
OrderBookEntry ee = new OrderBookEntry()
{
ValueString = rateString, AmountString = amountString, Id = id
};
list.Insert(index, ee);
return;
}
index++;
}
}
OrderBookEntry addE = new OrderBookEntry()
{
ValueString = rateString, AmountString = amountString, Id = id
};
list.Add(addE);
}
protected void ApplyIncrementalUpdate(long id, OrderBookUpdateType type, string rateString, string amountString, List <OrderBookEntry> list, bool ascending)
{
int index = 0;
if (type == OrderBookUpdateType.Remove)
{
foreach (OrderBookEntry e in list)
{
if (e.Id == id)
{
list.Remove(e);
return;
}
}
//throw new DllNotFoundException("entry not found -> with value " + value + " and amount " + amount);
return;
}
double amount = FastValueConverter.Convert(amountString);
if (type == OrderBookUpdateType.Modify)
{
foreach (OrderBookEntry e in list)
{
if (e.Id == id)
{
e.Amount = amount;
return;
}
}
//throw new DllNotFoundException("entry not found -> with value " + value + " and amount " + amount);
return;
}
double value = FastValueConverter.Convert(rateString);
if (ascending)
{
foreach (OrderBookEntry e in list)
{
if (e.Value > value)
{
OrderBookEntry ee = new OrderBookEntry()
{
ValueString = rateString, AmountString = amountString, Id = id
};
list.Insert(index, ee);
return;
}
index++;
}
}
else
{
foreach (OrderBookEntry e in list)
{
if (e.Value < value)
{
OrderBookEntry ee = new OrderBookEntry()
{
ValueString = rateString, AmountString = amountString, Id = id
};
list.Insert(index, ee);
return;
}
index++;
}
}
OrderBookEntry addE = new OrderBookEntry()
{
ValueString = rateString, AmountString = amountString, Id = id
};
list.Add(addE);
}
