void RefreshOrderBook(string product, OrderBookBuilder book)
{
// Coinbase doesn't give us server time together with the full order book,
// so we retrieve it with a separate request BEFORE requesting the order book.
DateTime serverTime = _restClient.SendRequest(new REST.TimeRequest()).Result.Time;
REST.OrderBookResponse snapshot =
_restClient.SendRequest(new REST.OrderBookRequest()
{
Product = product
}).Result;
DateTime received = DateTime.UtcNow;
OrderBookDelta delta = book.OnSnapshot(serverTime, snapshot); // Throws if the snapshot is malformed.
if (delta != null && (delta.Bids.Any() || delta.Asks.Any()))
{
try
{
OnOrderBook?.Invoke(
product,
new TimestampedMsg <OrderBookDelta>()
{
Received = received, Value = delta
});
}
catch (Exception e)
{
_log.Warn(e, "Ignoring exception from OnOrderBook");
}
}
}
public OrderBookDelta OnSnapshot(DateTime serverTime, REST.OrderBookResponse snapshot)
{
Condition.Requires(snapshot, "snapshot").IsNotNull();
Condition.Requires(snapshot.Sequence, "snapshot.Sequence").IsGreaterOrEqual(_seqNum);
var bids = Aggregate(snapshot.Bids);
var asks = Aggregate(snapshot.Asks);
var delta = new OrderBookDelta()
{
Time = serverTime,
Bids = Diff(_bids, bids).ToList(),
Asks = Diff(_asks, asks).ToList(),
Sequence = snapshot.Sequence,
};
delta.Bids.Reverse();
_seqNum = snapshot.Sequence;
_bids = bids;
_asks = asks;
return(delta);
}
