/// <summary>
///
/// </summary>
/// <param name="cco"></param>
/// <returns></returns>
private async ValueTask <bool> mergeCompleteOrder(SCompleteOrders cco)
{
var _result = false;
if (__gmconfig.UsePublishTrade == true)
{
await publishTrading(cco);
}
if (cco.symbol != null)
{
SOrderBooks _qob;
if (__qOrderBooks.TryGetValue(cco.symbol, out _qob) == true)
{
_qob.stream = cco.stream;
if (cco.result != null)
{
var _settings = GetSettings(cco.symbol);
_result = await updateCompleteOrder(_qob, cco, _settings);
}
}
}
return(_result);
}
private async ValueTask publishTrading(SCompleteOrders sco)
{
await Task.Delay(0);
var _json_data = JsonConvert.SerializeObject(sco);
__trading.Write(this, GMConfig.DealerName, _json_data);
}
/// <summary>
/// Fetch array of recent trades data
/// </summary>
/// <param name="base_name">The type of trading base-currency of which information you want to query for.</param>
/// <param name="quote_name">The type of trading quote-currency of which information you want to query for.</param>
/// <param name="limits">maximum number of items (optional): default 20</param>
/// <returns></returns>
public async ValueTask <SCompleteOrders> GetCompleteOrders(string base_name, string quote_name, int limits = 20)
{
var _result = new SCompleteOrders
{
symbol = $"{quote_name}-{base_name}"
};
var _params = new Dictionary <string, object>();
{
_params.Add("market", _result.symbol);
_params.Add("count", limits);
}
var _response = await publicClient.CallApiGet2Async($"/trades/ticks", _params);
if (_response != null)
{
#if RAWJSON
_result.rawJson = _response.Content;
#endif
if (_response.IsSuccessful == true)
{
var _trades = publicClient.DeserializeObject <List <UACompleteOrderItem> >(_response.Content);
{
_result.sequentialId = _trades.Max(t => t.sequential_id);
_result.result = _trades.Select(t =>
{
return(new SCompleteOrderItem
{
timestamp = t.timestamp,
sideType = t.sideType,
price = t.price,
quantity = t.quantity
});
})
.ToList();
}
_result.SetSuccess();
}
else
{
var _message = publicClient.GetResponseMessage(_response);
_result.SetFailure(_message.message);
}
}
return(_result);
}
private async ValueTask <bool> updateCompleteOrder(SOrderBooks qob, SCompleteOrders cco, Settings settings)
{
var _nob = new SOrderBooks
{
exchange = cco.exchange,
stream = "difftrade",
symbol = cco.symbol,
action = cco.action,
sequentialId = cco.sequentialId,
result = new SOrderBook
{
timestamp = cco.result.Max(o => o.timestamp),
askSumQty = 0,
bidSumQty = 0
}
};
lock (__qOrderBooks)
{
settings.before_trade_ask_size = qob.result.asks.Sum(o => o.quantity);
settings.before_trade_bid_size = qob.result.bids.Sum(o => o.quantity);
foreach (var _t in cco.result.OrderBy(t => t.timestamp))
{
if (settings.last_trade_id >= _t.timestamp)
{
continue;
}
settings.last_trade_id = _t.timestamp;
var _ask = qob.result.asks.Where(o => o.price == _t.price).SingleOrDefault();
if (_ask != null)
{
if (_ask.quantity <= _t.quantity)
{
_nob.result.asks.Add(new SOrderBookItem
{
action = "delete",
id = _ask.id,
price = _ask.price,
quantity = _ask.quantity,
amount = _ask.price * _ask.quantity,
count = 1
});
_nob.result.askSumQty -= _ask.quantity;
_ask.quantity = 0;
_ask.amount = 0;
}
else
{
_ask.quantity -= _t.quantity;
_ask.amount = _ask.price * _ask.quantity;
_nob.result.asks.Add(new SOrderBookItem
{
action = "update",
id = _ask.id,
price = _ask.price,
quantity = _ask.quantity,
amount = _ask.price * _ask.quantity,
count = 1
});
_nob.result.askSumQty += _ask.quantity;
}
}
var _bid = qob.result.bids.Where(o => o.price == _t.price).SingleOrDefault();
if (_bid != null)
{
if (_bid.quantity <= _t.quantity)
{
_nob.result.bids.Add(new SOrderBookItem
{
action = "delete",
id = _bid.id,
price = _bid.price,
quantity = _bid.quantity,
amount = _bid.price * _bid.quantity,
count = 1
});
_nob.result.bidSumQty -= _bid.quantity;
_bid.quantity = 0;
_bid.amount = 0;
}
else
{
_bid.quantity -= _t.quantity;
_bid.amount = _bid.price * _bid.quantity;
_nob.result.bids.Add(new SOrderBookItem
{
action = "update",
id = _bid.id,
price = _bid.price,
quantity = _bid.quantity,
amount = _bid.price * _bid.quantity,
count = 1
});
_nob.result.bidSumQty += _bid.quantity;
}
}
//cleanOrderbook(qob, _nob, _t.price);
}
qob.sequentialId = _nob.sequentialId;
qob.result.asks.RemoveAll(o => o.quantity == 0);
qob.result.bids.RemoveAll(o => o.quantity == 0);
}
_nob.result.asks.RemoveAll(o => o.quantity == 0);
_nob.result.bids.RemoveAll(o => o.quantity == 0);
if (_nob.result.asks.Count + _nob.result.bids.Count > 0)
{
await publishOrderbook(_nob);
settings.orderbook_count = 0;
settings.trades_flag = true;
}
return(true);
}
public async ValueTask Start(CancellationToken cancelToken)
{
BTLogger.SNG.WriteO(this, $"processing service start...");
var _processing = Task.Run(async() =>
{
var _last_polling_trade = 0L;
while (true)
{
try
{
await Task.Delay(0);
var _message = (QMessage)null;
if (ReceiveQ.TryDequeue(out _message) == false)
{
var _cancelled = cancelToken.WaitHandle.WaitOne(0);
if (_cancelled == true)
{
break;
}
await Task.Delay(10);
continue;
}
if (_message.command == "WS")
{
if (_message.stream == "trade")
{
var _w_trade = JsonConvert.DeserializeObject <UWCompleteOrderItem>(_message.payload ?? "");
var _s_trade = new SCompleteOrders
{
exchange = _message.exchange,
symbol = _message.symbol,
stream = _message.stream,
action = _message.action,
sequentialId = _w_trade.timestamp,
result = new List <SCompleteOrderItem>
{
new SCompleteOrderItem
{
timestamp = _w_trade.timestamp,
sideType = _w_trade.sideType,
price = _w_trade.price,
quantity = _w_trade.quantity
}
}
};
if (_s_trade.result.Count() > 0)
{
_last_polling_trade = _s_trade.sequentialId;
await mergeCompleteOrder(_s_trade);
}
}
else if (_message.stream == "orderbook")
{
var _w_orderbook = JsonConvert.DeserializeObject <UWOrderBook>(_message.payload ?? "");
var _s_orderbooks = new SOrderBooks
{
exchange = _message.exchange,
symbol = _message.symbol,
stream = _message.stream,
action = _message.action,
sequentialId = _w_orderbook.timestamp,
result = new SOrderBook
{
timestamp = _w_orderbook.timestamp,
askSumQty = _w_orderbook.askSumQty,
bidSumQty = _w_orderbook.bidSumQty,
asks = _w_orderbook.asks,
bids = _w_orderbook.bids
}
};
await mergeOrderbook(_s_orderbooks);
}
}
else if (_message.command == "AP")
{
if (_message.stream == "trade")
{
var _a_trades = JsonConvert.DeserializeObject <List <UACompleteOrderItem> >(_message.payload ?? "");
var _s_trade = new SCompleteOrders
{
exchange = _message.exchange,
symbol = _message.symbol,
stream = _message.stream,
action = _message.action,
sequentialId = _a_trades.Max(t => t.timestamp),
result = _a_trades.Where(t => t.timestamp > _last_polling_trade).Select(t =>
{
return(new SCompleteOrderItem
{
timestamp = t.timestamp,
sideType = t.sideType,
price = t.price,
quantity = t.quantity
});
})
.ToList()
};
if (_s_trade.result.Count() > 0)
{
_last_polling_trade = _s_trade.sequentialId;
await mergeCompleteOrder(_s_trade);
}
}
else if (_message.stream == "orderbook")
{
var _a_orderbooks = JsonConvert.DeserializeObject <List <UAOrderBook> >(_message.payload ?? "");
var _timestamp = _a_orderbooks.Max(o => o.timestamp);
var _asks = _a_orderbooks[0].asks;
var _bids = _a_orderbooks[0].bids;
var _s_orderbooks = new SOrderBooks
{
exchange = _message.exchange,
symbol = _message.symbol,
stream = _message.stream,
action = _message.action,
sequentialId = _a_orderbooks.Max(t => t.timestamp),
result = new SOrderBook
{
timestamp = _timestamp,
askSumQty = _asks.Sum(o => o.quantity),
bidSumQty = _bids.Sum(o => o.quantity),
asks = _asks,
bids = _bids
}
};
await mergeOrderbook(_s_orderbooks);
}
else if (_message.stream == "ticker")
{
var _a_ticker_data = JsonConvert.DeserializeObject <List <UAOrderBook> >(_message.payload ?? "");
await publishTicker(new STickers
{
exchange = _message.exchange,
symbol = _message.symbol,
stream = _message.stream,
action = _message.action,
sequentialId = _message.sequentialId,
timestamp = _a_ticker_data.Max(o => o.timestamp),
totalAskSize = _a_ticker_data.Sum(o => o.askSumQty),
totalBidSize = _a_ticker_data.Sum(o => o.bidSumQty),
result = _a_ticker_data.Select(o =>
{
var _ask = o.asks.OrderBy(a => a.price).First();
var _bid = o.bids.OrderBy(a => a.price).Last();
return(new STickerItem
{
askPrice = _ask.price,
askSize = _ask.quantity,
bidPrice = _bid.price,
bidSize = _bid.quantity
});
})
.ToList()
});
}
}
else if (_message.command == "SS")
{
await snapshotOrderbook(_message.symbol);
}
#if DEBUG
else
{
BTLogger.SNG.WriteO(this, _message.payload);
}
#endif
if (cancelToken.IsCancellationRequested == true)
{
break;
}
}
catch (TaskCanceledException)
{
}
catch (Exception ex)
{
BTLogger.SNG.WriteX(this, ex.ToString());
}
}
},
cancelToken
);
await Task.WhenAll(_processing);
BTLogger.SNG.WriteO(this, $"processing service stop...");
}
public async ValueTask Start(CancellationToken cancelToken)
{
BMLogger.SNG.WriteO(this, $"processing service start...");
var _processing = Task.Run(async() =>
{
var _last_polling_trade = 0L;
while (true)
{
try
{
await Task.Delay(0);
var _message = (QMessage)null;
if (ReceiveQ.TryDequeue(out _message) == false)
{
var _cancelled = cancelToken.WaitHandle.WaitOne(0);
if (_cancelled == true)
{
break;
}
await Task.Delay(10);
continue;
}
if (_message.command == "WS")
{
if (_message.stream == "order")
{
var _w_orders = JsonConvert.DeserializeObject <List <BMyOrderItem> >(_message.payload ?? "");
var _s_order = new SMyOrders
{
exchange = _message.exchange,
stream = _message.stream,
symbol = _message.symbol,
action = _message.action,
sequentialId = _w_orders.Max(t => t.timestamp),
result = _w_orders.Select(o =>
{
return(new SMyOrderItem
{
orderId = o.orderId ?? "",
symbol = o.symbol ?? "",
sideType = o.sideType,
timestamp = o.timestamp,
makerType = MakerType.Maker,
orderStatus = o.orderStatus,
orderType = o.orderType,
quantity = o.quantity,
price = o.price,
amount = o.amount,
filled = o.filled,
remaining = o.remaining,
workingIndicator = o.workingIndicator,
avgPx = o.avgPx.HasValue ? o.avgPx.Value : 0,
fee = o.fee,
cost = o.cost,
count = o.count
});
})
.ToList <ISMyOrderItem>()
};
await mergeMyOrder(_s_order);
}
else if (_message.stream == "trade")
{
var _w_trades = JsonConvert.DeserializeObject <List <BCompleteOrderItem> >(_message.payload ?? "");
var _s_trade = new SCompleteOrders
{
exchange = _message.exchange,
stream = _message.stream,
symbol = _message.symbol,
action = _message.action,
sequentialId = _w_trades.Max(t => t.timestamp),
result = _w_trades.Select(t =>
{
return(new SCompleteOrderItem
{
timestamp = t.timestamp,
sideType = t.sideType,
price = t.price,
quantity = t.quantity
});
})
.ToList()
};
if (_s_trade.result.Count() > 0)
{
_last_polling_trade = _s_trade.sequentialId;
await mergeCompleteOrder(_s_trade);
}
}
else if (_message.stream == "orderbook")
{
var _w_orderbooks = JsonConvert.DeserializeObject <List <BOrderBookItem> >(_message.payload ?? "");
var _timestamp = CUnixTime.NowMilli;
var _asks = _w_orderbooks.Where(o => o.sideType == SideType.Ask);
var _bids = _w_orderbooks.Where(o => o.sideType == SideType.Bid);
var _s_orderbooks = new SOrderBooks
{
exchange = _message.exchange,
symbol = _message.symbol,
stream = _message.stream,
action = _message.action,
sequentialId = _timestamp,
result = new SOrderBook
{
timestamp = _timestamp,
askSumQty = _asks.Sum(o => o.quantity),
bidSumQty = _bids.Sum(o => o.quantity),
asks = _asks.Select(o =>
{
return(new SOrderBookItem
{
quantity = o.quantity,
price = o.price,
amount = o.quantity * o.price,
id = o.id,
count = 1
});
}).ToList(),
bids = _bids.Select(o =>
{
return(new SOrderBookItem
{
quantity = o.quantity,
price = o.price,
amount = o.quantity * o.price,
id = o.id,
count = 1
});
}).ToList()
}
};
await mergeOrderbook(_s_orderbooks);
}
}
else if (_message.command == "AP")
{
if (_message.stream == "order")
{
var _w_orders = JsonConvert.DeserializeObject <List <BMyOrderItem> >(_message.payload ?? "");
var _s_order = new SMyOrders
{
exchange = _message.exchange,
stream = _message.stream,
symbol = _message.symbol,
action = _message.action,
sequentialId = _w_orders.Max(t => t.timestamp),
result = _w_orders.Select(o =>
{
return(new SMyOrderItem
{
orderId = o.orderId ?? "",
symbol = o.symbol ?? "",
sideType = o.sideType,
timestamp = o.timestamp,
makerType = o.makerType,
orderStatus = o.orderStatus,
orderType = o.orderType,
quantity = o.quantity,
price = o.price,
amount = o.amount,
filled = o.filled,
remaining = o.remaining,
workingIndicator = o.workingIndicator,
avgPx = o.avgPx.HasValue ? o.avgPx.Value : 0,
fee = o.fee,
cost = o.cost,
count = o.count
});
})
.ToList <ISMyOrderItem>()
};
await mergeMyOrder(_s_order);
}
else if (_message.stream == "trade")
{
var _a_trades = JsonConvert.DeserializeObject <List <BCompleteOrderItem> >(_message.payload ?? "");
var _s_trade = new SCompleteOrders
{
exchange = _message.exchange,
symbol = _message.symbol,
stream = _message.stream,
action = _message.action,
sequentialId = _a_trades.Max(t => t.timestamp),
result = _a_trades.Where(t => t.timestamp > _last_polling_trade).Select(t =>
{
return(new SCompleteOrderItem
{
timestamp = t.timestamp,
sideType = t.sideType,
price = t.price,
quantity = t.quantity
});
})
.ToList()
};
if (_s_trade.result.Count() > 0)
{
_last_polling_trade = _s_trade.sequentialId;
await mergeCompleteOrder(_s_trade);
}
}
else if (_message.stream == "orderbook")
{
var _a_orderbooks = JsonConvert.DeserializeObject <List <BOrderBookItem> >(_message.payload ?? "");
var _timestamp = CUnixTime.NowMilli;
var _asks = _a_orderbooks.Where(o => o.sideType == SideType.Ask);
var _bids = _a_orderbooks.Where(o => o.sideType == SideType.Bid);
var _s_orderbooks = new SOrderBooks
{
exchange = _message.exchange,
symbol = _message.symbol,
stream = _message.stream,
action = _message.action,
sequentialId = _timestamp,
result = new SOrderBook
{
timestamp = _timestamp,
askSumQty = _asks.Sum(o => o.quantity),
bidSumQty = _bids.Sum(o => o.quantity),
asks = _asks.Select(o =>
{
return(new SOrderBookItem
{
quantity = o.quantity,
price = o.price,
amount = o.quantity * o.price,
id = o.id,
count = 1
});
}).ToList(),
bids = _bids.Select(o =>
{
return(new SOrderBookItem
{
quantity = o.quantity,
price = o.price,
amount = o.quantity * o.price,
id = o.id,
count = 1
});
}).ToList()
}
};
await mergeOrderbook(_s_orderbooks);
}
}
else if (_message.command == "SS")
{
await snapshotOrderbook(_message.exchange);
}
#if DEBUG
else
{
BMLogger.SNG.WriteO(this, _message.payload);
}
#endif
if (cancelToken.IsCancellationRequested == true)
{
break;
}
}
catch (TaskCanceledException)
{
}
catch (Exception ex)
{
BMLogger.SNG.WriteX(this, ex.ToString());
}
}
},
cancelToken
);
await Task.WhenAll(_processing);
BMLogger.SNG.WriteO(this, $"processing service stop...");
}
public async ValueTask Start(CancellationTokenSource cancelTokenSource)
{
DRLogger.SNG.WriteO(this, $"processing service start...");
var _processing = Task.Run(async() =>
{
var _last_polling_trade = 0L;
var _orderbook_size = 25;
while (true)
{
try
{
await Task.Delay(0);
var _message = (QMessage)null;
if (ReceiveQ.TryDequeue(out _message) == false)
{
var _cancelled = cancelTokenSource.Token.WaitHandle.WaitOne(0);
if (_cancelled == true)
{
break;
}
await Task.Delay(10);
continue;
}
if (_message.command == "WS")
{
if (_message.stream == "trade")
{
var _w_trades = JsonConvert.DeserializeObject <List <DCompleteOrderItem> >(_message.payload ?? "");
var _s_trades = new SCompleteOrders
{
exchange = _message.exchange, // deribit
stream = _message.stream, // trade
symbol = _message.symbol, // BTC-PERPETUAL
action = _message.action, // pushing
sequentialId = _w_trades.Max(t => t.timestamp),
result = _w_trades.Select(t =>
{
return(new SCompleteOrderItem
{
timestamp = t.timestamp,
sideType = t.sideType,
price = t.price,
quantity = t.quantity
});
})
.ToList()
};
if (_s_trades.result.Count() > 0)
{
_last_polling_trade = _s_trades.sequentialId;
await mergeTrades(_s_trades);
}
}
else if (_message.stream == "orderbook")
{
var _w_orderbooks = JsonConvert.DeserializeObject <DWsOrderBook>(_message.payload ?? "");
if (_w_orderbooks.asks.Count() > 0 || _w_orderbooks.bids.Count() > 0)
{
var _timestamp = _w_orderbooks.timestamp;
var _s_orderbooks = new SOrderBooks
{
exchange = _message.exchange, // deribit
symbol = _message.symbol, // BTC-PERPETUAL
stream = _message.stream, // orderbook
action = _w_orderbooks.type, // snapshot, change
sequentialId = _timestamp,
result = new SOrderBook
{
timestamp = _timestamp,
askSumQty = 0,
bidSumQty = 0,
asks = new List <SOrderBookItem>(),
bids = new List <SOrderBookItem>()
}
};
foreach (var _a in _w_orderbooks.asks.OrderBy(a => a[1]).Take(_orderbook_size))
{
_s_orderbooks.result.asks.Add(new SOrderBookItem
{
action = _a[0].ToString(),
quantity = Convert.ToDecimal(_a[2]),
price = Convert.ToDecimal(_a[1]),
amount = 0,
id = 0,
count = 1
});
}
foreach (var _b in _w_orderbooks.bids.OrderByDescending(b => b[1]).Take(_orderbook_size))
{
_s_orderbooks.result.bids.Add(new SOrderBookItem
{
action = _b[0].ToString(),
quantity = Convert.ToDecimal(_b[2]),
price = Convert.ToDecimal(_b[1]),
amount = 0,
id = 0,
count = 1
});
}
await mergeOrderbooks(_s_orderbooks);
}
}
}
else if (_message.command == "AP")
{
if (_message.stream == "trade")
{
var _a_trades = JsonConvert.DeserializeObject <DRResults <DCompleteOrders> >(_message.payload ?? "");
if (_a_trades.result.trades.Count > 0)
{
var _s_trades = new SCompleteOrders
{
exchange = _message.exchange, // deribit
symbol = _message.symbol, // BTC-PERPETUAL
stream = _message.stream, // trade
action = _message.action, // polling
sequentialId = _a_trades.result.trades.Max(t => t.timestamp),
result = _a_trades.result.trades.Where(t => t.timestamp > _last_polling_trade).Select(t =>
{
return(new SCompleteOrderItem
{
timestamp = t.timestamp,
sideType = t.sideType,
price = t.price,
quantity = t.quantity
});
})
.ToList()
};
if (_s_trades.result.Count() > 0)
{
_last_polling_trade = _s_trades.sequentialId;
await mergeTrades(_s_trades);
}
}
}
else if (_message.stream == "orderbook")
{
var _a_orderbooks = JsonConvert.DeserializeObject <DRResults <DOrderBook> >(_message.payload ?? "");
if (_a_orderbooks.result.asks.Count > 0 || _a_orderbooks.result.bids.Count > 0)
{
var _timestamp = _a_orderbooks.result.timestamp;
var _s_orderbooks = new SOrderBooks
{
exchange = _message.exchange, // deribit
symbol = _message.symbol, // BTC-PERPETUAL
stream = _message.stream, // orderbook
action = _message.action, // polling
sequentialId = _timestamp,
result = new SOrderBook
{
timestamp = _timestamp,
askSumQty = 0,
bidSumQty = 0,
asks = _a_orderbooks.result.asks.Select(o =>
{
return(new SOrderBookItem
{
quantity = o.quantity,
price = o.price,
amount = 0,
id = 0,
count = 1
});
})
.ToList(),
bids = _a_orderbooks.result.bids.Select(o =>
{
return(new SOrderBookItem
{
quantity = o.quantity,
price = o.price,
amount = 0,
id = 0,
count = 1
});
})
.ToList()
}
};
await mergeOrderbooks(_s_orderbooks);
}
}
}
else if (_message.command == "SS")
{
await snapshotOrderbook(_message.exchange);
}
#if DEBUG
else
{
DRLogger.SNG.WriteO(this, _message.payload);
}
#endif
if (cancelTokenSource.Token.IsCancellationRequested == true)
{
break;
}
}
catch (TaskCanceledException)
{
}
catch (Exception ex)
{
DRLogger.SNG.WriteX(this, ex.ToString());
}
}
},
cancelTokenSource.Token
);
await Task.WhenAll(_processing);
DRLogger.SNG.WriteO(this, $"processing service stop...");
}
