private void CacheTick(BinanceStreamTick data)
{
var instrument = data.Symbol;
lock (_subMgr)
{
CacheResult(BINANCE, instrument, RtdFields.FIRST_ID, data.FirstTradeId);
CacheResult(BINANCE, instrument, RtdFields.LAST_ID, data.LastTradeId);
CacheResult(BINANCE, instrument, RtdFields.QUOTE_VOL, data.TotalTradedQuoteAssetVolume);
CacheResult(BINANCE, instrument, RtdFields.VOL, data.TotalTradedBaseAssetVolume);
CacheResult(BINANCE, instrument, RtdFields.ASK, data.BestAskPrice);
CacheResult(BINANCE, instrument, RtdFields.ASK_SIZE, data.BestAskQuantity);
CacheResult(BINANCE, instrument, RtdFields.BID, data.BestBidPrice);
CacheResult(BINANCE, instrument, RtdFields.BID_SIZE, data.BestBidQuantity);
CacheResult(BINANCE, instrument, RtdFields.LOW, data.LowPrice);
CacheResult(BINANCE, instrument, RtdFields.HIGH, data.HighPrice);
CacheResult(BINANCE, instrument, RtdFields.VWAP, data.WeightedAverage);
CacheResult(BINANCE, instrument, RtdFields.PRICE_PCT, data.PriceChangePercentage / 100);
CacheResult(BINANCE, instrument, RtdFields.PRICE_CHG, data.PriceChange);
CacheResult(BINANCE, instrument, RtdFields.TRADES, data.TotalTrades);
CacheResult(BINANCE, instrument, RtdFields.OPEN_TIME, data.StatisticsOpenTime.ToLocalTime());
CacheResult(BINANCE, instrument, RtdFields.CLOSE_TIME, data.StatisticsCloseTime.ToLocalTime());
// A calculated field
CacheResult(BINANCE, instrument, RtdFields.SPREAD, data.BestAskPrice - data.BestBidPrice);
}
}
private void PriceTicksHandler(BinanceStreamTick obj)
{
var startTime = DateTime.UtcNow;
MamaBot.GlobalShared.Vars.TickChannel.Queue.Enqueue(obj);
Debug.WriteLine((DateTime.UtcNow - startTime).TotalMilliseconds + "ms");
}
private void TT5(BinanceStreamTick obj)
{
//TBD
Logger.Info(string.Format("CVD : {0}", CurrentCumulativeDelta));
Logger.Info(string.Format("WAP : {0}", obj.WeightedAveragePrice));
CurrentCumulativeDelta -= obj.AskQuantity;
CurrentCumulativeDelta += obj.BidQuantity;
}
public void SubscribingToSymbolTicker_Should_TriggerWhenSymbolTickerStreamMessageIsReceived()
{
// arrange
var socket = new Mock <IWebsocket>();
socket.Setup(s => s.Close());
socket.Setup(s => s.Connect()).Returns(Task.FromResult(true));
socket.Setup(s => s.SetEnabledSslProtocols(It.IsAny <System.Security.Authentication.SslProtocols>()));
var factory = new Mock <IWebsocketFactory>();
factory.Setup(s => s.CreateWebsocket(It.IsAny <Log>(), It.IsAny <string>())).Returns(socket.Object);
BinanceStreamTick result = null;
var client = new BinanceSocketClient {
SocketFactory = factory.Object
};
client.SubscribeToSymbolTicker("test", (test) => result = test);
var data = new BinanceStreamTick()
{
BestAskPrice = 0.1m,
BestAskQuantity = 0.2m,
BestBidPrice = 0.3m,
BestBidQuantity = 0.4m,
CloseTradesQuantity = 0.5m,
CurrentDayClosePrice = 0.6m,
FirstTradeId = 1,
HighPrice = 0.7m,
LastTradeId = 2,
LowPrice = 0.8m,
OpenPrice = 0.9m,
PrevDayClosePrice = 1.0m,
PriceChange = 1.1m,
PriceChangePercentage = 1.2m,
StatisticsCloseTime = new DateTime(2017, 1, 2),
StatisticsOpenTime = new DateTime(2017, 1, 1),
Symbol = "test",
TotalTradedBaseAssetVolume = 1.3m,
TotalTradedQuoteAssetVolume = 1.4m,
TotalTrades = 3,
WeightedAverage = 1.5m
};
// act
socket.Raise(r => r.OnMessage += null, JsonConvert.SerializeObject(data));
// assert
Assert.IsNotNull(result);
Assert.IsTrue(TestHelpers.PublicInstancePropertiesEqual(data, result));
}
public void SubscribingToSymbolTicker_Should_TriggerWhenSymbolTickerStreamMessageIsReceived()
{
// arrange
var socket = new TestSocket();
var client = TestHelpers.CreateSocketClient(socket);
BinanceStreamTick result = null;
client.SubscribeToSymbolTickerUpdates("ETHBTC", (test) => result = test);
var data = new BinanceStreamTick()
{
BestAskPrice = 0.1m,
BestAskQuantity = 0.2m,
BestBidPrice = 0.3m,
BestBidQuantity = 0.4m,
CloseTradesQuantity = 0.5m,
CurrentDayClosePrice = 0.6m,
FirstTradeId = 1,
HighPrice = 0.7m,
LastTradeId = 2,
LowPrice = 0.8m,
OpenPrice = 0.9m,
PrevDayClosePrice = 1.0m,
PriceChange = 1.1m,
PriceChangePercentage = 1.2m,
StatisticsCloseTime = new DateTime(2017, 1, 2),
StatisticsOpenTime = new DateTime(2017, 1, 1),
Symbol = "test",
TotalTradedBaseAssetVolume = 1.3m,
TotalTradedQuoteAssetVolume = 1.4m,
TotalTrades = 3,
WeightedAverage = 1.5m
};
// act
socket.InvokeMessage(data);
// assert
Assert.IsNotNull(result);
Assert.IsTrue(TestHelpers.AreEqual(data, result));
}
private object DecodeTick(BinanceStreamTick data, string field)
{
var instrument = data.Symbol;
switch (field)
{
case RtdFields.FIRST_ID: return(data.FirstTradeId);
case RtdFields.LAST_ID: return(data.LastTradeId);
case RtdFields.QUOTE_VOL: return(data.TotalTradedQuoteAssetVolume);
case RtdFields.VOL: return(data.TotalTradedBaseAssetVolume);
case RtdFields.ASK: return(data.BestAskPrice);
case RtdFields.ASK_SIZE: return(data.BestAskQuantity);
case RtdFields.BID: return(data.BestBidPrice);
case RtdFields.BID_SIZE: return(data.BestBidQuantity);
case RtdFields.LOW: return(data.LowPrice);
case RtdFields.HIGH: return(data.HighPrice);
case RtdFields.VWAP: return(data.WeightedAverage);
case RtdFields.PRICE_PCT: return(data.PriceChangePercentage / 100);
case RtdFields.PRICE_CHG: return(data.PriceChange);
case RtdFields.TRADES: return(data.TotalTrades);
case RtdFields.SPREAD: return(data.BestAskPrice - data.BestBidPrice);
default:
return(SubscriptionManager.UnsupportedField);
}
}
public void SubscribingToSymbolTicker_Should_TriggerWhenSymbolTickerStreamMessageIsReceived()
{
// arrange
var socket = new TestSocket();
var client = TestHelpers.CreateSocketClient(socket, new BinanceSocketClientOptions()
{
LogVerbosity = LogVerbosity.Debug
});
BinanceStreamTick result = null;
client.Spot.SubscribeToSymbolTickerUpdates("ETHBTC", (test) => result = test);
var data = new BinanceCombinedStream <BinanceStreamTick>()
{
Stream = "test",
Data = new BinanceStreamTick()
{
FirstTradeId = 1,
HighPrice = 0.7m,
LastTradeId = 2,
LowPrice = 0.8m,
OpenPrice = 0.9m,
PrevDayClosePrice = 1.0m,
PriceChange = 1.1m,
Symbol = "test",
Volume = 1.3m,
TotalTradedAlternateAssetVolume = 1.4m,
TotalTrades = 3
}
};
// act
socket.InvokeMessage(data);
// assert
Assert.IsNotNull(result);
Assert.IsTrue(TestHelpers.AreEqual(data.Data, result));
}
private void CacheTick(BinanceStreamTick data)
{
var instrument = data.Symbol;
CacheResult(BINANCE, instrument, RtdFields.FIRST_ID, data.FirstTradeId);
CacheResult(BINANCE, instrument, RtdFields.LAST_ID, data.LastTradeId);
CacheResult(BINANCE, instrument, RtdFields.QUOTE_VOL, data.TotalTradedQuoteAssetVolume);
CacheResult(BINANCE, instrument, RtdFields.VOL, data.TotalTradedBaseAssetVolume);
CacheResult(BINANCE, instrument, RtdFields.ASK, data.BestAskPrice);
CacheResult(BINANCE, instrument, RtdFields.ASK_SIZE, data.BestAskQuantity);
CacheResult(BINANCE, instrument, RtdFields.BID, data.BestBidPrice);
CacheResult(BINANCE, instrument, RtdFields.BID_SIZE, data.BestBidQuantity);
CacheResult(BINANCE, instrument, RtdFields.LOW, data.LowPrice);
CacheResult(BINANCE, instrument, RtdFields.HIGH, data.HighPrice);
CacheResult(BINANCE, instrument, RtdFields.VWAP, data.WeightedAverage);
CacheResult(BINANCE, instrument, RtdFields.PRICE_PCT, data.PriceChangePercentage / 100);
CacheResult(BINANCE, instrument, RtdFields.PRICE_CHG, data.PriceChange);
CacheResult(BINANCE, instrument, RtdFields.TRADES, data.TotalTrades);
CacheResult(BINANCE, instrument, RtdFields.SPREAD, data.BestAskPrice - data.BestBidPrice);
}
