public async Task StreamFromFile_ShouldBeFast()
{
var pair = "XBTUSD";
var communicator = new RawFileCommunicator();
communicator.FileNames = _rawFiles;
var client = new BitmexWebsocketClient(communicator);
var source = new BitmexOrderBookSource(client);
source.LoadSnapshotEnabled = false;
source.BufferEnabled = false;
var orderBook = new CryptoOrderBookL2(pair, source);
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
var snapshotCount = 0;
var diffCount = 0;
source.OrderBookSnapshotStream.Subscribe(x => snapshotCount++);
source.OrderBookStream.Subscribe(x => diffCount++);
var sw = Stopwatch.StartNew();
await communicator.Start();
sw.Stop();
var elapsedMs = sw.ElapsedMilliseconds;
var msg = $"Processed snapshots: {snapshotCount}, diffs: {diffCount}, elapsed time was: {elapsedMs} ms";
_output.WriteLine(msg);
Assert.True(elapsedMs < 7000, msg);
}
public async Task StreamingFromFile_ShouldHandleCorrectly()
{
var pair = "XBTUSD";
var communicator = new RawFileCommunicator();
communicator.FileNames = _rawFiles;
var client = new BitmexWebsocketClient(communicator);
var source = new BitmexOrderBookSource(client);
source.LoadSnapshotEnabled = false;
source.BufferEnabled = false;
var orderBook = new CryptoOrderBook(pair, source);
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
var receivedUpdate = 0;
IOrderBookChangeInfo lastReceivedUpdate = null;
var receivedTopLevel = 0;
IOrderBookChangeInfo lastReceivedTopLevel = null;
var receivedBidAskUpdate = 0;
IOrderBookChangeInfo lastReceivedBidAskUpdate = null;
orderBook.OrderBookUpdatedStream.Subscribe(x =>
{
receivedUpdate++;
lastReceivedUpdate = x;
});
orderBook.TopLevelUpdatedStream.Subscribe(x =>
{
receivedTopLevel++;
lastReceivedTopLevel = x;
});
orderBook.BidAskUpdatedStream.Subscribe(x =>
{
receivedBidAskUpdate++;
lastReceivedBidAskUpdate = x;
});
await communicator.Start();
Assert.Equal(3284, orderBook.BidLevels.Length);
Assert.Equal(4035, orderBook.AskLevels.Length);
Assert.Equal(6249, orderBook.BidPrice);
Assert.Equal(163556, orderBook.BidLevels.First().Amount);
Assert.Equal(6249.5, orderBook.AskPrice);
Assert.Equal(270526, orderBook.AskLevels.First().Amount);
Assert.Equal(322703, receivedUpdate);
Assert.Equal(6249, lastReceivedUpdate?.Quotes?.Bid);
Assert.Equal(6249.5, lastReceivedUpdate?.Quotes?.Ask);
Assert.Equal("8799374800", lastReceivedUpdate.Sources[0].Levels[0].Id);
Assert.Equal(6252, lastReceivedUpdate.Sources[0].Levels[0].Price);
Assert.Equal(79020, receivedTopLevel);
Assert.Equal(6249, lastReceivedTopLevel?.Quotes?.Bid);
Assert.Equal(6249.5, lastReceivedTopLevel?.Quotes?.Ask);
Assert.Equal("8799375100", lastReceivedTopLevel.Sources[0].Levels[0].Id);
Assert.Equal(6249, lastReceivedTopLevel.Sources[0].Levels[0].Price);
Assert.Equal(584, receivedBidAskUpdate);
Assert.Equal(6249, lastReceivedBidAskUpdate?.Quotes?.Bid);
Assert.Equal(6249.5, lastReceivedBidAskUpdate?.Quotes?.Ask);
Assert.Equal("8799375050", lastReceivedBidAskUpdate.Sources[0].Levels[0].Id);
Assert.Equal(6249.5, lastReceivedBidAskUpdate.Sources[0].Levels[0].Price);
var levels = orderBook.Levels;
foreach (var level in levels)
{
Assert.Equal(CryptoPairsHelper.Clean(pair), level.Pair);
}
}
