private void OnSubscribe(BitfinexWebSocketWrapper webSocket, ChannelSubscription data)
{
try
{
lock (_locker)
{
var channel = new Channel(data.Channel, _symbolMapper.GetLeanSymbol(data.Symbol));
BitfinexWebSocketChannels channels;
if (!_channelsByWebSocket.TryGetValue(webSocket, out channels))
{
_onSubscribeEvent.Set();
return;
}
channels.TryAdd(data.ChannelId, channel);
Log.Trace($"BitfinexSubscriptionManager.OnSubscribe(): Channel subscribed: Id:{data.ChannelId} {channel.Symbol}/{channel.Name}");
_onSubscribeEvent.Set();
webSocket.ConnectionHandler.EnableMonitoring(true);
}
}
catch (Exception e)
{
Log.Error(e);
throw;
}
}
private void ProcessOrderBookSnapshot(BitfinexChannel channel, string[][] entries)
{
try
{
var symbol = _symbolMapper.GetLeanSymbol(channel.Symbol);
DefaultOrderBook orderBook;
if (!_orderBooks.TryGetValue(symbol, out orderBook))
{
orderBook = new DefaultOrderBook(symbol);
_orderBooks[symbol] = orderBook;
}
else
{
orderBook.BestBidAskUpdated -= OnBestBidAskUpdated;
orderBook.Clear();
}
foreach (var entry in entries)
{
var price = decimal.Parse(entry[0], NumberStyles.Float, CultureInfo.InvariantCulture);
var amount = decimal.Parse(entry[2], NumberStyles.Float, CultureInfo.InvariantCulture);
if (amount > 0)
{
orderBook.UpdateBidRow(price, amount);
}
else
{
orderBook.UpdateAskRow(price, Math.Abs(amount));
}
}
orderBook.BestBidAskUpdated += OnBestBidAskUpdated;
EmitQuoteTick(symbol, orderBook.BestBidPrice, orderBook.BestBidSize, orderBook.BestAskPrice, orderBook.BestAskSize);
}
catch (Exception e)
{
Log.Error(e);
throw;
}
}
private void OnSubscribe(BitfinexWebSocketWrapper webSocket, Messages.ChannelSubscription data)
{
try
{
lock (_locker)
{
var channel = new Channel(data.Channel, _symbolMapper.GetLeanSymbol(data.Symbol));
_channels.AddOrUpdate(data.ChannelId, channel);
_onSubscribeEvent.Set();
webSocket.ConnectionHandler.EnableMonitoring(true);
}
}
catch (Exception e)
{
Log.Error(e);
throw;
}
}
/// <summary>
/// Gets all orders not yet closed
/// </summary>
/// <returns></returns>
public override List <Order> GetOpenOrders()
{
var list = new List <Order>();
var endpoint = GetEndpoint("orders");
var request = new RestRequest(endpoint, Method.POST);
JsonObject payload = new JsonObject();
payload.Add("request", endpoint);
payload.Add("nonce", GetNonce().ToStringInvariant());
request.AddJsonBody(payload.ToString());
SignRequest(request, payload.ToString());
var response = ExecuteRestRequest(request);
if (response.StatusCode != HttpStatusCode.OK)
{
throw new Exception($"BitfinexBrokerage.GetOpenOrders: request failed: [{(int)response.StatusCode}] {response.StatusDescription}, Content: {response.Content}, ErrorMessage: {response.ErrorMessage}");
}
var orders = JsonConvert.DeserializeObject <Messages.Order[]>(response.Content)
.Where(OrderFilter(_algorithm.BrokerageModel.AccountType));
foreach (var item in orders)
{
Order order;
if (item.Type.Replace("exchange", "").Trim() == "market")
{
order = new MarketOrder {
Price = item.Price
};
}
else if (item.Type.Replace("exchange", "").Trim() == "limit")
{
order = new LimitOrder {
LimitPrice = item.Price
};
}
else if (item.Type.Replace("exchange", "").Trim() == "stop")
{
order = new StopMarketOrder {
StopPrice = item.Price
};
}
else
{
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Error, (int)response.StatusCode,
"BitfinexBrokerage.GetOpenOrders: Unsupported order type returned from brokerage: " + item.Type));
continue;
}
order.Quantity = item.Side == "sell" ? -item.OriginalAmount : item.OriginalAmount;
order.BrokerId = new List <string> {
item.Id
};
order.Symbol = _symbolMapper.GetLeanSymbol(item.Symbol);
order.Time = Time.UnixTimeStampToDateTime(item.Timestamp);
order.Status = ConvertOrderStatus(item);
order.Price = item.Price;
list.Add(order);
}
foreach (var item in list)
{
if (item.Status.IsOpen())
{
var cached = CachedOrderIDs.Where(c => c.Value.BrokerId.Contains(item.BrokerId.First()));
if (cached.Any())
{
CachedOrderIDs[cached.First().Key] = item;
}
}
}
return(list);
}
/// <summary>
/// Gets all orders not yet closed
/// </summary>
/// <returns></returns>
public override List <Order> GetOpenOrders()
{
var endpoint = GetEndpoint("auth/r/orders");
var request = new RestRequest(endpoint, Method.POST);
var parameters = new JsonObject();
request.AddJsonBody(parameters.ToString());
SignRequest(request, endpoint, parameters);
var response = ExecuteRestRequest(request);
if (response.StatusCode != HttpStatusCode.OK)
{
throw new Exception($"BitfinexBrokerage.GetOpenOrders: request failed: [{(int)response.StatusCode}] {response.StatusDescription}, Content: {response.Content}, ErrorMessage: {response.ErrorMessage}");
}
var orders = JsonConvert.DeserializeObject <Messages.Order[]>(response.Content)
.Where(OrderFilter(_algorithm.BrokerageModel.AccountType));
var list = new List <Order>();
foreach (var item in orders)
{
Order order;
if (item.Type.Replace("EXCHANGE", "").Trim() == "MARKET")
{
order = new MarketOrder {
Price = item.Price
};
}
else if (item.Type.Replace("EXCHANGE", "").Trim() == "LIMIT")
{
order = new LimitOrder {
LimitPrice = item.Price
};
}
else if (item.Type.Replace("EXCHANGE", "").Trim() == "STOP")
{
order = new StopMarketOrder {
StopPrice = item.Price
};
}
else
{
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Error, (int)response.StatusCode,
"BitfinexBrokerage.GetOpenOrders: Unsupported order type returned from brokerage: " + item.Type));
continue;
}
order.Quantity = item.Amount;
order.BrokerId = new List <string> {
item.Id.ToStringInvariant()
};
order.Symbol = _symbolMapper.GetLeanSymbol(item.Symbol);
order.Time = Time.UnixMillisecondTimeStampToDateTime(item.MtsCreate);
order.Status = ConvertOrderStatus(item);
order.Price = item.Price;
list.Add(order);
}
foreach (var item in list)
{
if (item.Status.IsOpen())
{
var cached = CachedOrderIDs
.FirstOrDefault(c => c.Value.BrokerId.Contains(item.BrokerId.First()));
if (cached.Value != null)
{
CachedOrderIDs[cached.Key] = item;
}
}
}
return(list);
}