public IList <Quote> ToQuotes()
{
var quotes = new List <Quote>();
if (Asks != null)
{
quotes.AddRange(Asks?.Take(100).Select(x => new Quote
{
Broker = Broker.Coincheck,
Side = QuoteSide.Ask,
Price = x[0],
Volume = x[1]
}));
}
if (Bids != null)
{
quotes.AddRange(Bids?.Take(100).Select(x => new Quote
{
Broker = Broker.Coincheck,
Side = QuoteSide.Bid,
Price = x[0],
Volume = x[1]
}));
}
return(quotes);
}
public SynthOrderBook(AssetPair assetPair, IReadOnlyList <OrderBook> originalOrderBooks)
{
AssetPair = assetPair;
OriginalOrderBooks = originalOrderBooks;
BestBid = Bids.Any() ? Bids.First() : (VolumePrice?)null;
BestAsk = Asks.Any() ? Asks.First() : (VolumePrice?)null;
}
private void Dispatch(OrderBookModel orderBookModel)
{
Asks.Clear();
Bids.Clear();
int count = orderBookModel.Asks.Count;
int takeCount = 100;
orderBookModel.Asks.Skip(count - takeCount).Take(takeCount).ToList().ForEach(x => Asks.Add(new OrderBookEntry
{
Amount = x.Amount,
DateTime = x.DateTime,
Price = x.Price,
GroupedPrice = x.GroupedPrice,
GroupedVolume = x.GroupedVolume
}));
orderBookModel.Bids.Take(100).ToList().ForEach(x => Bids.Add(new OrderBookEntry
{
Amount = x.Amount,
DateTime = x.DateTime,
Price = x.Price,
GroupedPrice = x.GroupedPrice,
GroupedVolume = x.GroupedVolume
}));
}
public OrderBook UpdateOrder(Order mmsOrder)
{
if (mmsOrder.MarketSide == MarketSide.Ask)
{
if (Asks.All(askOrder => askOrder.MMSId != mmsOrder.MMSId))
{
throw new ApplicationException("Ask Order changed received, but no existing order found: {0}".FormatAs(mmsOrder));
}
// remove
var newAsks = Asks.Where(o => o.MMSId != mmsOrder.MMSId).ToList();
// add
newAsks.Add(mmsOrder);
return(new OrderBook(Bids, newAsks, Exchange, Pair, Time));
}
else
{
if (Bids.All(bidOrder => bidOrder.MMSId != mmsOrder.MMSId))
{
throw new ApplicationException("Bid Order changed received, but no existing order found: {0}".FormatAs(mmsOrder));
}
// remove
var newBids = Bids.Where(o => o.MMSId != mmsOrder.MMSId).ToList();
// add
newBids.Add(mmsOrder);
return(new OrderBook(newBids, Asks, Exchange, Pair, Time));
}
}
void OnRemove(OrderBookUpdateInfo info)
{
if (info.Type == OrderBookEntryType.Bid)
{
OrderBookEntry entry = Bids.FirstOrDefault((e) => e.Value == info.Entry.Value);
if (entry == null)
{
Debug.WriteLine("Error removing: '" + info.Type + "' with rate " + info.Entry.Value + " not found");
return;
}
Bids.Remove(entry);
}
else
{
OrderBookEntry entry = Asks.FirstOrDefault((e) => e.Value == info.Entry.Value);
if (entry == null)
{
Debug.WriteLine("Error removing: '" + info.Type + "' with rate " + info.Entry.Value + " not found");
return;
}
Asks.Remove(entry);
}
RaiseOnChanged(info);
OnChangedCore(info);
}
public void AddOrUpdateOrders(IEnumerable <OrderBookItem> newOrders)
{
foreach (var order in newOrders)
{
if (order.IsBuy)
{
if (Bids.TryGetValue(order.Id, out var storedOrder) && order.Price == 0) // Updates from some exchanges don't have price
{
order.Price = storedOrder.Price;
}
InvertSize(order);
Bids[order.Id] = order;
}
else
{
if (Asks.TryGetValue(order.Id, out var storedOrder) && order.Price == 0) // Updates from some exchanges don't have price
{
order.Price = storedOrder.Price;
}
InvertSize(order);
Asks[order.Id] = order;
}
}
}
public SynthOrderBook(AssetPair assetPair, IReadOnlyList <OrderBook> originalOrderBooks)
{
AssetPair = assetPair;
OriginalOrderBooks = originalOrderBooks;
BestBid = Bids.FirstOrDefault();
BestAsk = Asks.FirstOrDefault();
}
public OrderBook UpdatePair(Pair pair)
{
var bids = Bids.Select(o => o.UpdatePair(pair));
var asks = Asks.Select(o => o.UpdatePair(pair));
return(new OrderBook(bids, asks, Exchange, pair, Time));
}
public OrderBook AddOrder(Order mmsOrder)
{
if (mmsOrder.MarketSide == MarketSide.Ask)
{
if (Asks.Any(askOrder => askOrder.MMSId == mmsOrder.MMSId))
{
throw new ApplicationException("Ask Order added received, but existing order found: {0}".FormatAs(mmsOrder));
}
List <Order> newAsks = Asks.ToList();
newAsks.Add(mmsOrder);
return(new OrderBook(Bids, newAsks, Exchange, Pair, Time));
}
else
{
if (Bids.Any(bidOrder => bidOrder.MMSId == mmsOrder.MMSId))
{
throw new ApplicationException("Bid Order added received, but existing order found: {0}".FormatAs(mmsOrder));
}
List <Order> newBids = Bids.ToList();
newBids.Add(mmsOrder);
return(new OrderBook(newBids, Asks, Exchange, Pair, Time));
}
}
private bool AddOrder(OrderTracker tracker, double price)
{
bool matched = false;
Order order = tracker.Order;
if (order.IsBuy)
{
matched = MatchBidOrder(tracker, price, Asks);
}
else
{
matched = MatchAskOrder(tracker, price, Bids);
}
if (tracker.Open != 0 && !tracker.IsImmediate)
{
if (order.IsBuy)
{
Bids.Add(price, tracker);
}
else
{
Asks.Add(price, tracker);
}
}
return(matched);
}
public void ProcessOrder(OrderType orderType)
{
var orderList = Asks.Merge(Bids);
Order order = orderList.GetNext(orderType);
while (order != null)
{
var matchingOrders = GetMatchingOrderList(order);
if (matchingOrders.Count != 0)
{
if (order.Transaction == TransactionType.Buy)
{
ExecuteTrade(order, matchingOrders.OrderBy(x => x.Price).ToList());
}
else
{
ExecuteTrade(order, matchingOrders.OrderByDescending(x => x.Price).ToList());
}
OrderProcessed++;
}
else
{
break;
}
order = orderList.GetNext(orderType);
}
}
/// <summary>
/// Печатает строку в процесс движка.
/// </summary>
/// <param name="line">Строка запроса.</param>
/// <param name="waitFor">Строка ответа.</param>
/// <param name="printAll">Печатать ли весь вывод или только ответ ?</param>
private static void Send(string line, string waitFor = null, bool printAll = true)
{
PrintAll = printAll;
Asks.Enqueue(new Quest()
{
Ask = line, Answer = waitFor
});
}
public RPCClient(IClient client, ISerializer serializer)
{
_client = client;
_stub = new Stub(serializer);
_ask = new Asks(_stub, serializer);
_hasher = new AskHasher();
}
public List <Offer> GetOffers(string wallet)
{
var result = new List <Offer>();
result.AddRange(Bids.FindAll(o => o.Wallet == wallet));
result.AddRange(Asks.FindAll(o => o.Wallet == wallet));
return(result);
}
public void Clear()
{
Bids.Clear();
Asks.Clear();
if (AllowInvertedAsks)
{
AsksInverted.Clear();
}
}
public OrderBook Invert()
{
var newBids = Asks.Select(x => x.Reciprocal()).ToList();
var newAsks = Bids.Select(x => x.Reciprocal()).ToList();
var result = new OrderBook(Source, AssetPair.Invert(), newBids, newAsks, Timestamp);
return(result);
}
public void Clear()
{
ChartAsks.Clear();
ChartBids.Clear();
ChartAggregatedAsks.Clear();
ChartAggregatedBids.Clear();
Asks.Clear();
Bids.Clear();
TopAsks.Clear();
TopBids.Clear();
}
protected internal void OnAddAsk(OrderBookUpdateInfo info)
{
OrderBookEntry before = Asks.FirstOrDefault((e) => e.Value < info.Entry.Value);
if (before == null)
{
Asks.Insert(0, info.Entry);
return;
}
Asks.Insert(Asks.IndexOf(before), info.Entry);
}
public OrderBook Reverse()
{
var result = new OrderBook(Source, AssetPair,
Asks.Select(x => x.Reciprocal()).OrderBy(x => x.Price).ToList(),
Bids.Select(x => x.Reciprocal()).OrderByDescending(x => x.Price).ToList(),
Timestamp);
result.AssetPair = AssetPair.Invert();
return(result);
}
public OrderBook ApplySpread(decimal bidSpread, decimal askSpread)
{
return(new OrderBook(
Bids.Select(o => o.TransformPrice(bidSpread, 0)).ToList(),
Asks.Select(o => o.TransformPrice(askSpread, 0)).ToList(),
Exchange,
Pair,
Time)
{
IsStored = this.IsStored
});
}
public override string ToString()
{
return(string.Format("ExchOB {0} {1} Asks({2}) {3:f4}@{4:f4} Bids({5}) {6:f4}@{7:f4}",
Exchange,
Pair,
Asks.Count,
Asks.Count == 0 ? 0 : Asks.First().Amount,
Asks.Count == 0 ? 0 : Asks.First().Price,
Bids.Count,
Bids.Count == 0 ? 0 : Bids.First().Amount,
Bids.Count == 0 ? 0 : Bids.First().Price));
}
public bool Equals(OrderBook other)
{
bool equal = Asks.SequenceEqual(other.Asks) && Bids.SequenceEqual(other.Bids);
// Trace.WriteLine("Equals {0} {1},{2}".FormatAs(equal,this,other));
return(equal);
//return !(
// Asks.Except(other.Asks).Any() ||
// other.Asks.Except(Asks).Any() ||
// Bids.Except(other.Bids).Any() ||
// other.Bids.Except(Bids).Any());
}
public OrderBook GetFixedTop(int numberOfRecords)
{
return(new OrderBook(
Bids.Take(numberOfRecords).ToList(),
Asks.Take(numberOfRecords).ToList(),
Exchange,
Pair,
Time)
{
IsStored = this.IsStored
});
}
public ConnectedClient(
TcpClient client,
ServerStub stub,
AskHasher hasher,
ISerializer serializer
)
{
Guid = System.Guid.NewGuid().ToString();
_connection = new Connection(client);
_hasher = hasher;
_stub = stub;
_ask = new Asks(_stub, serializer);
}
public static void Asks_Add(string symbol, tapeStream.Shared.Data.BookDataItem ask)
{
var asked = new Asks()
{
Symbol = symbol,
RunDateTime = ask.dateTime,
Price = (decimal)ask.Price,
Size = (int)ask.Size
};
db.Asks.Add(asked);
db.SaveChanges();
}
public Offer GetOffer(string hash)
{
Offer result = null;
result = Bids.FirstOrDefault(o => o.HashStr == hash);
if (result == null)
{
result = Asks.FirstOrDefault(o => o.HashStr == hash);
}
return(result);
}
public void DeleteOrders(IEnumerable <OrderBookItem> orders)
{
foreach (var order in orders)
{
if (order.IsBuy)
{
Bids.Remove(order.Id);
}
else
{
Asks.Remove(order.Id);
}
}
}
protected int FindAsk(Order order)
{
double searchPrice = SortPrice(order);
int index = Asks.IndexOfKey(searchPrice);
do
{
if (Asks.Values[index].Order == order)
{
return(index);
}
}while (Asks.Keys[++index] == searchPrice);
return(-1);
}
public void UpdateEntries()
{
double MaxVolume = 0;
double vt = 0;
foreach (OrderBookEntry e in Bids)
{
e.Volume = e.Value * e.Amount;
vt += e.Volume;
e.VolumeTotal = vt;
MaxVolume = Math.Max(MaxVolume, e.Volume);
}
vt = 0;
foreach (OrderBookEntry e in Asks)
{
e.Volume = e.Value * e.Amount;
vt += e.Volume;
e.VolumeTotal = vt;
MaxVolume = Math.Max(MaxVolume, e.Volume);
}
double mv = Asks.Count == 0 ? 0: Asks.Last().VolumeTotal;
vt = 0;
foreach (OrderBookEntry e in AsksInverted)
{
e.Volume = e.Value * e.Amount;
vt += e.Volume;
e.VolumeTotal = mv - vt;
}
if (MaxVolume == 0)
{
return;
}
MaxVolume = 1 / MaxVolume;
foreach (OrderBookEntry e in Bids)
{
e.VolumePercent = e.Volume * MaxVolume;
}
foreach (OrderBookEntry e in Asks)
{
e.VolumePercent = e.Volume * MaxVolume;
}
foreach (OrderBookEntry e in AsksInverted)
{
e.VolumePercent = e.Volume * MaxVolume;
}
}
/// <summary>
/// Создать копию объекта.
/// </summary>
/// <returns>Копия.</returns>
public override Message Clone()
{
var clone = new QuoteChangeMessage
{
LocalTime = LocalTime,
SecurityId = SecurityId,
Bids = Bids.Select(q => q.Clone()).ToArray(),
Asks = Asks.Select(q => q.Clone()).ToArray(),
ServerTime = ServerTime,
IsSorted = IsSorted
};
this.CopyExtensionInfo(clone);
return(clone);
}
