private async ValueTask <SOrderBooks> createOrderbook(SOrderBooks cob)
{
cob.result.asks.ForEach(a => a.action = "insert");
cob.result.bids.ForEach(a => a.action = "insert");
return(await Task.FromResult(cob));
}
/// <summary>
///
/// </summary>
/// <param name="cob"></param>
/// <returns></returns>
private async ValueTask <bool> mergeOrderbooks(SOrderBooks cob)
{
var _result = false;
SOrderBooks _qob;
{
if (__qOrderBooks.TryGetValue(cob.symbol, out _qob) == true)
{
_qob.stream = cob.stream;
var _settings = GetSettings(cob.symbol);
if (cob.action == "polling")
{
_result = await cleanOrderbooks(_qob, cob, _settings);
}
else
{
_result = await updateOrderbooks(_qob, cob, _settings);
}
}
else
{
if (cob.action == "snapshot")
{
_result = await insertOrderbooks(cob);
}
}
}
return(_result);
}
private async ValueTask publishOrderbook(SOrderBooks sob)
{
await Task.Delay(0);
var _json_data = JsonConvert.SerializeObject(sob);
__orderbook.Write(this, GMConfig.DealerName, _json_data);
}
private async ValueTask publishOrderbook(SOrderBooks sob)
{
await Task.Delay(0);
if (sob.result.asks.Count + sob.result.bids.Count > 0)
{
var _json_data = JsonConvert.SerializeObject(sob);
__orderbook.Write(this, BNConfig.DealerName, _json_data);
}
}
private async ValueTask <bool> modifyOrderbook(SOrderBooks qob, SOrderBooks cob, Settings settings)
{
var _result = false;
if (settings.last_orderbook_time < cob.result.timestamp)
{
settings.last_orderbook_time = cob.result.timestamp;
var _current_ask_size = cob.result.askSumQty;
var _current_bid_size = cob.result.bidSumQty;
if (settings.last_order_ask_size != _current_ask_size || settings.last_order_bid_size != _current_bid_size)
{
if (settings.before_trade_ask_size != _current_ask_size || settings.before_trade_bid_size != _current_bid_size)
{
if (settings.trades_flag == true)
{
var _t_ask = qob.result.asks.OrderByDescending(o => o.price).LastOrDefault();
var _t_bid = qob.result.bids.OrderByDescending(o => o.price).FirstOrDefault();
if (_t_ask != null && _t_bid != null)
{
cob.result.asks.RemoveAll(o => o.price < _t_ask.price);
cob.result.bids.RemoveAll(o => o.price > _t_bid.price);
var _c_ask = cob.result.asks.Where(o => o.price == _t_ask.price).SingleOrDefault();
var _c_bid = cob.result.bids.Where(o => o.price == _t_bid.price).SingleOrDefault();
if (_c_ask != null && _c_bid != null)
{
if (_t_ask.quantity != _c_ask.quantity || _t_bid.quantity != _c_bid.quantity)
{
_t_ask.quantity = _c_ask.quantity;
_t_bid.quantity = _c_bid.quantity;
}
}
}
settings.trades_flag = false;
}
_result = await updateOrderbook(qob, cob, settings);
settings.last_order_ask_size = qob.result.asks.Sum(o => o.quantity);
settings.last_order_bid_size = qob.result.bids.Sum(o => o.quantity);
}
}
}
return(_result);
}
private async ValueTask <bool> cleanOrderbooks(SOrderBooks qob, SOrderBooks cob, Settings settings)
{
qob.result.asks.Clear();
qob.result.bids.Clear();
cob.result.asks.ForEach(a => a.action = "insert");
cob.result.bids.ForEach(a => a.action = "insert");
qob.result.asks.AddRange(cob.result.asks);
qob.result.bids.AddRange(cob.result.bids);
settings.orderbook_count = 0;
await snapshotOrderbook(qob);
return(true);
}
private void cleanOrderbook(SOrderBooks qob, SOrderBooks nob, decimal price)
{
var _asks = qob.result.asks.Where(o => o.price < price);
{
foreach (var _ask in _asks)
{
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;
}
}
var _bids = qob.result.bids.Where(o => o.price > price);
{
foreach (var _bid in _bids)
{
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;
}
}
}
private async ValueTask snapshotOrderbook(string exchange, string symbol)
{
if (exchange == BNLogger.SNG.exchange_name)
{
SOrderBooks _sob = null;
lock (__qOrderBooks)
{
if (__qOrderBooks.ContainsKey(symbol) == true)
{
_sob = __qOrderBooks[symbol];
_sob.stream = "snapshot";
}
}
if (_sob != null)
{
await publishOrderbook(_sob);
}
}
}
private async ValueTask <bool> insertOrderbook(SOrderBooks cob)
{
var _result = false;
var _sqo = await createOrderbook(cob);
if (__qOrderBooks.TryAdd(cob.symbol, _sqo) == true)
{
var _settings = GetSettings(cob.symbol);
{
_settings.last_orderbook_time = cob.result.timestamp;
_settings.orderbook_count = 0;
}
await snapshotOrderbook(cob.symbol);
_result = true;
}
return(_result);
}
/// <summary>
///
/// </summary>
/// <param name="cob"></param>
/// <returns></returns>
private async ValueTask <bool> mergeOrderbook(SOrderBooks cob)
{
var _result = false;
SOrderBooks _qob;
{
if (__qOrderBooks.TryGetValue(cob.symbol, out _qob) == true)
{
_qob.stream = cob.stream;
var _settings = GetSettings(cob.symbol);
_result = await modifyOrderbook(_qob, cob, _settings);
}
else
{
_result = await insertOrderbook(cob);
}
}
return(_result);
}
private async ValueTask <bool> insertOrderbooks(SOrderBooks cob)
{
var _result = false;
cob.result.asks.ForEach(a => a.action = "insert");
cob.result.bids.ForEach(a => a.action = "insert");
if (__qOrderBooks.TryAdd(cob.symbol, cob) == true)
{
var _settings = GetSettings(cob.symbol);
{
_settings.last_orderbook_time = cob.result.timestamp;
_settings.orderbook_count = 0;
}
await snapshotOrderbook(cob);
_result = true;
}
return(_result);
}
/// <summary>
/// Fetch pending or registered order details
/// </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>
/// <returns></returns>
public async ValueTask <SOrderBooks> GetOrderBooks(string base_name, string quote_name)
{
var _result = new SOrderBooks();
var _params = new Dictionary <string, object>();
{
_params.Add("market", $"{quote_name}-{base_name}");
}
var _response = await publicClient.CallApiGet2Async("/orderbook", _params);
if (_response != null)
{
#if RAWJSON
_result.rawJson = _response.Content;
#endif
if (_response.IsSuccessful == true)
{
var _orderbooks = publicClient.DeserializeObject <List <UOrderBook> >(_response.Content);
{
var _orderbook = _orderbooks.FirstOrDefault();
if (_orderbook != null)
{
_result.result = _orderbook;
_result.SetSuccess();
}
}
}
else
{
var _message = publicClient.GetResponseMessage(_response);
_result.SetFailure(_message.message);
}
}
return(_result);
}
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...");
}
private async ValueTask <bool> updateOrderbook(SOrderBooks qob, BAOrderBook orderbook, Settings settings)
{
var _dqo = new SOrderBooks
{
exchange = BNLogger.SNG.exchange_name,
stream = "diffbooks",
symbol = orderbook.data.symbol,
sequentialId = orderbook.data.lastId,
result = new SOrderBook()
};
lock (__qOrderBooks)
{
foreach (var _oi in orderbook.data.asks)
{
var _ask = qob.result.asks.Where(o => o.price == _oi[0]).SingleOrDefault();
if (_ask == null)
{
var _aoi = new SOrderBookItem
{
action = "insert",
price = _oi[0],
quantity = _oi[1],
amount = _oi[0] * _oi[1],
count = 1
};
_dqo.result.asks.Add(_aoi);
qob.result.asks.Add(_aoi);
}
else if (_ask.quantity != _oi[1])
{
var _aoi = new SOrderBookItem
{
action = "update",
price = _oi[0],
quantity = _oi[1],
amount = _oi[0] * _oi[1],
count = 1
};
_dqo.result.asks.Add(_aoi);
_ask.quantity = _oi[1];
}
}
foreach (var _oi in orderbook.data.bids)
{
var _bid = qob.result.bids.Where(o => o.price == _oi[0]).SingleOrDefault();
if (_bid == null)
{
var _boi = new SOrderBookItem
{
action = "insert",
price = _oi[0],
quantity = _oi[1],
amount = _oi[0] * _oi[1],
count = 1
};
_dqo.result.bids.Add(_boi);
qob.result.bids.Add(_boi);
}
else if (_bid.quantity != _oi[1])
{
var _boi = new SOrderBookItem
{
action = "update",
price = _oi[0],
quantity = _oi[1],
amount = _oi[0] * _oi[1],
count = 1
};
_dqo.result.bids.Add(_boi);
_bid.quantity = _oi[1];
}
}
foreach (var _qi in qob.result.asks)
{
var _ask = orderbook.data.asks.Where(o => o[0] == _qi.price).SingleOrDefault();
if (_ask == null)
{
_dqo.result.asks.Add(new SOrderBookItem
{
action = "delete",
price = _qi.price,
quantity = _qi.quantity,
amount = _qi.price * _qi.quantity,
count = 1
});
_qi.quantity = 0;
}
}
foreach (var _qi in qob.result.bids)
{
var _bid = orderbook.data.bids.Where(o => o[0] == _qi.price).SingleOrDefault();
if (_bid == null)
{
_dqo.result.bids.Add(new SOrderBookItem
{
action = "delete",
price = _qi.price,
quantity = _qi.quantity,
amount = _qi.price * _qi.quantity,
count = 1
});
_qi.quantity = 0;
}
}
qob.result.asks.RemoveAll(o => o.quantity == 0);
qob.result.bids.RemoveAll(o => o.quantity == 0);
}
if (++settings.orderbook_count == __bnconfig.OrderBookCounter)
{
settings.orderbook_count = 0;
qob.sequentialId = orderbook.data.lastId;
await snapshotOrderbook(_dqo.exchange, _dqo.symbol);
}
else
{
await publishOrderbook(_dqo);
}
return(true);
}
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);
}
private async ValueTask <bool> updateOrderbook(SOrderBooks qob, SOrderBooks cob, Settings settings)
{
var _nob = new SOrderBooks
{
exchange = cob.exchange,
stream = "diffbooks",
symbol = cob.symbol,
action = cob.action,
sequentialId = cob.sequentialId,
result = new SOrderBook
{
timestamp = cob.result.timestamp,
askSumQty = 0,
bidSumQty = 0
}
};
lock (__qOrderBooks)
{
foreach (var _ci in cob.result.asks)
{
var _qi = qob.result.asks.Where(o => o.price == _ci.price).SingleOrDefault();
if (_qi == null)
{
var _ici = new SOrderBookItem
{
action = "insert",
id = _ci.id,
price = _ci.price,
quantity = _ci.quantity,
amount = _ci.price * _ci.quantity,
count = 1
};
_nob.result.asks.Add(_ici);
qob.result.asks.Add(_ici);
_nob.result.askSumQty += _ci.quantity;
}
else if (_qi.quantity != _ci.quantity)
{
_nob.result.asks.Add(new SOrderBookItem
{
action = "update",
id = _qi.id,
price = _qi.price,
quantity = _ci.quantity,
amount = _qi.price * _ci.quantity,
count = 1
});
_qi.quantity = _ci.quantity;
_qi.amount = _qi.price * _qi.quantity;
_nob.result.askSumQty += _ci.quantity;
}
}
foreach (var _ci in cob.result.bids)
{
var _qi = qob.result.bids.Where(o => o.price == _ci.price).SingleOrDefault();
if (_qi == null)
{
var _ici = new SOrderBookItem
{
action = "insert",
id = _ci.id,
price = _ci.price,
quantity = _ci.quantity,
amount = _ci.price * _ci.quantity,
count = 1
};
_nob.result.bids.Add(_ici);
qob.result.bids.Add(_ici);
_nob.result.bidSumQty += _ci.quantity;
}
else if (_qi.quantity != _ci.quantity)
{
_nob.result.bids.Add(new SOrderBookItem
{
action = "update",
id = _qi.id,
price = _qi.price,
quantity = _ci.quantity,
amount = _qi.price * _ci.quantity,
count = 1
});
_qi.quantity = _ci.quantity;
_qi.amount = _qi.quantity * _qi.price;
_nob.result.bidSumQty += _ci.quantity;
}
}
foreach (var _qi in qob.result.asks)
{
var _ci = cob.result.asks.Where(o => o.price == _qi.price).SingleOrDefault();
if (_ci == null)
{
_nob.result.asks.Add(new SOrderBookItem
{
action = "delete",
id = _qi.id,
price = _qi.price,
quantity = _qi.quantity,
amount = _qi.price * _qi.quantity,
count = 1
});
_nob.result.askSumQty -= _qi.quantity;
_qi.quantity = 0;
_qi.amount = 0;
}
}
foreach (var _qi in qob.result.bids)
{
var _ci = cob.result.bids.Where(o => o.price == _qi.price).SingleOrDefault();
if (_ci == null)
{
_nob.result.bids.Add(new SOrderBookItem
{
action = "delete",
id = _qi.id,
price = _qi.price,
quantity = _qi.quantity,
amount = _qi.price * _qi.quantity,
count = 1
});
_nob.result.bidSumQty -= _qi.quantity;
_qi.quantity = 0;
_qi.amount = 0;
}
}
qob.result.asks.RemoveAll(o => o.quantity == 0);
qob.result.bids.RemoveAll(o => o.quantity == 0);
}
if (++settings.orderbook_count == __gmconfig.SnapshotSkipCounter)
{
qob.sequentialId = cob.sequentialId;
await snapshotOrderbook(_nob.symbol);
}
else
{
_nob.result.asks.RemoveAll(o => o.quantity == 0);
_nob.result.bids.RemoveAll(o => o.quantity == 0);
if (_nob.result.asks.Count > 0 || _nob.result.bids.Count > 0)
{
await publishOrderbook(_nob);
}
}
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...");
}
private async ValueTask <bool> mergeOrderbook(BAOrderBook orderbook)
{
var _result = false;
var _settings = __qSettings.ContainsKey(orderbook.data.symbol)
? __qSettings[orderbook.data.symbol]
: __qSettings[orderbook.data.symbol] = new Settings();
if (__qOrderBooks.ContainsKey(orderbook.data.symbol) == false)
{
_settings.last_orderbook_id = orderbook.data.lastId;
var _sqo = new SOrderBooks
{
exchange = BNLogger.SNG.exchange_name,
stream = "snapshot",
symbol = orderbook.data.symbol,
sequentialId = orderbook.data.lastId,
result = new SOrderBook()
};
foreach (var _oi in orderbook.data.asks)
{
_sqo.result.asks.Add(new SOrderBookItem
{
action = "insert",
price = _oi[0],
quantity = _oi[1],
amount = _oi[0] * _oi[1],
count = 1
});
}
foreach (var _oi in orderbook.data.bids)
{
_sqo.result.bids.Add(new SOrderBookItem
{
action = "insert",
price = _oi[0],
quantity = _oi[1],
amount = _oi[0] * _oi[1],
count = 1
});
}
__qOrderBooks[_sqo.symbol] = _sqo;
await publishOrderbook(_sqo);
_settings.orderbook_count = 0;
_result = true;
}
else if (_settings.last_orderbook_id < orderbook.data.lastId)
{
_settings.last_orderbook_id = orderbook.data.lastId;
var _qob = __qOrderBooks[orderbook.data.symbol];
var _current_ask_size = orderbook.data.asks.Sum(o => o[1]);
var _current_bid_size = orderbook.data.bids.Sum(o => o[1]);
if (_settings.last_order_ask_size != _current_ask_size || _settings.last_order_bid_size != _current_bid_size)
{
if (_settings.before_trade_ask_size != _current_ask_size || _settings.before_trade_bid_size != _current_bid_size)
{
_result = await updateOrderbook(_qob, orderbook, _settings);
_settings.last_order_ask_size = _qob.result.asks.Sum(o => o.quantity);
_settings.last_order_bid_size = _qob.result.bids.Sum(o => o.quantity);
#if DEBUG
// modified check
if (_current_ask_size != _settings.last_order_ask_size || _current_bid_size != _settings.last_order_bid_size)
{
BNLogger.SNG.WriteQ(this, $"diffb-{orderbook.stream}: timestamp => {_settings.last_orderbook_id}, symbol => {orderbook.data.symbol}, ask_size => {_current_ask_size}, {_settings.last_order_ask_size}, bid_size => {_current_bid_size}, {_settings.last_order_bid_size}");
}
if (_qob.result.asks.Count + _qob.result.bids.Count != 40)
{
var _ask_count = _qob.result.asks.Count();
var _bid_count = _qob.result.bids.Count();
BNLogger.SNG.WriteQ(this, $"diffb-{orderbook.stream}: timestamp => {_settings.last_orderbook_id}, symbol => {orderbook.data.symbol}, ask_count => {_ask_count}, bid_count => {_bid_count}");
}
#endif
}
else
{
BNLogger.SNG.WriteQ(this, $"trade-{orderbook.stream}: timestamp => {_settings.last_orderbook_id}, symbol => {orderbook.data.symbol}, ask_size => {_current_ask_size}, bid_size => {_current_bid_size}");
}
}
else
{
BNLogger.SNG.WriteQ(this, $"equal-{orderbook.stream}: timestamp => {_settings.last_orderbook_id}, symbol => {orderbook.data.symbol}, ask_size => {_current_ask_size}, bid_size => {_current_bid_size}");
}
}
return(_result);
}
private async ValueTask snapshotOrderbook(SOrderBooks qob)
{
qob.stream = "snapshot";
await publishOrderbook(qob);
}
private async ValueTask <bool> updateTradeItem(SOrderBooks qob, List <BTradeItem> tradeItems, string stream)
{
var _rqo = new SOrderBooks
{
exchange = BNLogger.SNG.exchange_name,
stream = stream,
symbol = qob.symbol,
sequentialId = tradeItems.Max(t => t.timestamp),
result = new SOrderBook()
};
var _settings = __qSettings.ContainsKey(qob.symbol)
? __qSettings[qob.symbol]
: __qSettings[qob.symbol] = new Settings();
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 tradeItems.OrderBy(t => t.timestamp))
{
if (_settings.last_trade_time >= _t.timestamp)
{
continue;
}
_settings.last_trade_time = _t.timestamp;
var _ask = qob.result.asks.Where(o => o.price == _t.price).SingleOrDefault();
if (_ask != null)
{
if (_ask.quantity <= _t.quantity)
{
var _aoi = new SOrderBookItem
{
action = "delete",
price = _ask.price,
quantity = _ask.quantity,
amount = _ask.price * _ask.quantity,
count = 1
};
_rqo.result.asks.Add(_aoi);
_ask.quantity = 0;
}
else
{
_ask.quantity -= _t.quantity;
var _aoi = new SOrderBookItem
{
action = "update",
price = _ask.price,
quantity = _ask.quantity,
amount = _ask.price * _ask.quantity,
count = 1
};
_rqo.result.asks.Add(_aoi);
}
}
var _bid = qob.result.bids.Where(o => o.price == _t.price).SingleOrDefault();
if (_bid != null)
{
if (_bid.quantity <= _t.quantity)
{
var _aoi = new SOrderBookItem
{
action = "delete",
price = _bid.price,
quantity = _bid.quantity,
amount = _bid.price * _bid.quantity,
count = 1
};
_rqo.result.bids.Add(_aoi);
_bid.quantity = 0;
}
else
{
_bid.quantity -= _t.quantity;
var _aoi = new SOrderBookItem
{
action = "update",
price = _bid.price,
quantity = _bid.quantity,
amount = _bid.price * _bid.quantity,
count = 1
};
_rqo.result.bids.Add(_aoi);
}
}
// orderbook에 해당 하는 price-level 보다 안쪽에 위치한 level들은 삭제 해야 한다.
var _strange_asks = qob.result.asks.Where(o => o.price < _t.price);
if (_strange_asks.Count() > 0)
{
foreach (var _qox in _strange_asks)
{
var _aoi = new SOrderBookItem
{
action = "delete",
price = _qox.price,
quantity = _qox.quantity,
amount = _qox.price * _qox.quantity,
count = 1
};
_rqo.result.asks.Add(_aoi);
_qox.quantity = 0;
}
}
var _strange_bids = qob.result.bids.Where(o => o.price > _t.price);
if (_strange_bids.Count() > 0)
{
foreach (var _qox in _strange_bids)
{
var _aoi = new SOrderBookItem
{
action = "delete",
price = _qox.price,
quantity = _qox.quantity,
amount = _qox.price * _qox.quantity,
count = 1
};
_rqo.result.bids.Add(_aoi);
_qox.quantity = 0;
}
}
}
qob.sequentialId = _rqo.sequentialId;
qob.result.asks.RemoveAll(o => o.quantity == 0);
qob.result.bids.RemoveAll(o => o.quantity == 0);
}
if (_rqo.result.asks.Count + _rqo.result.bids.Count > 0)
{
await publishOrderbook(_rqo);
//_settings.orderbook_count = 0;
}
return(true);
}
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...");
}
