private void Client_NewMarketDepth(OrderBookChannelSubscribedResponse orderBook)
{
if (_depths == null)
{
_depths = new List <MarketDepth>();
}
var newDepth = new MarketDepth();
newDepth.SecurityNameCode = orderBook.CurrencyPair;
List <MarketDepthLevel> ascs = new List <MarketDepthLevel>();
List <MarketDepthLevel> bids = new List <MarketDepthLevel>();
long biggestTimeStamp = 0;
foreach (var level in orderBook.Datas)
{
if (level.order_type == OrderBookEvent.OrderType.Ask)
{
ascs.Add(new MarketDepthLevel
{
Price = ParseDecimal(level.Price),
Ask = ParseDecimal(level.Quantity),
});
}
else
{
bids.Add(new MarketDepthLevel
{
Price = ParseDecimal(level.Price),
Bid = ParseDecimal(level.Quantity),
});
}
if (level.Timestamp > biggestTimeStamp)
{
biggestTimeStamp = level.Timestamp;
}
}
newDepth.Asks = ascs;
newDepth.Bids = bids;
if (biggestTimeStamp != 0)
{
newDepth.Time = new DateTime(1970, 1, 1).AddMilliseconds(Convert.ToDouble(biggestTimeStamp));
ServerTime = newDepth.Time;
}
_depths.Add(newDepth);
if (MarketDepthEvent != null)
{
MarketDepthEvent(newDepth.GetCopy());
}
}
private void Client_NewMarketDepth(OrderBookChannelSubscribedResponse orderBook)
{
if (_depths == null)
{
_depths = new List <MarketDepth>();
}
var newDepth = new MarketDepth();
orderBook.CurrencyPair = orderBook.CurrencyPair.Replace("/", "_");
newDepth.SecurityNameCode = orderBook.CurrencyPair;
List <MarketDepthLevel> ascs = new List <MarketDepthLevel>();
List <MarketDepthLevel> bids = new List <MarketDepthLevel>();
foreach (var level in orderBook.Datas)
{
if (level.order_type == OrderBookEvent.OrderType.Ask)
{
ascs.Add(new MarketDepthLevel
{
Price = ParseDecimal(level.Price),
Ask = ParseDecimal(level.Quantity),
});
}
else
{
bids.Add(new MarketDepthLevel
{
Price = ParseDecimal(level.Price),
Bid = ParseDecimal(level.Quantity),
});
}
}
newDepth.Asks = ascs;
newDepth.Bids = bids;
newDepth.Time = DateTime.Now;
_depths.Add(newDepth);
if (MarketDepthEvent != null)
{
MarketDepthEvent(newDepth.GetCopy());
}
}
private List <MarketDepth> CreateNew(GfSubscribeDepthResponseAll jt)
{
List <MarketDepth> returnedDepth = new List <MarketDepth>();
var newDepth = new MarketDepth();
newDepth.Time = DateTime.UtcNow;
newDepth.SecurityNameCode = jt.Result.Contract;
var needDepth = _allDepths.Find(d => d.SecurityNameCode == newDepth.SecurityNameCode);
if (needDepth != null)
{
_allDepths.Remove(needDepth);
}
var bids = jt.Result.Bids;
var asks = jt.Result.Asks;
foreach (var bid in bids)
{
newDepth.Bids.Add(new MarketDepthLevel()
{
Price = Converter.StringToDecimal(bid.P),
Bid = bid.S
});
}
foreach (var ask in asks)
{
newDepth.Asks.Add(new MarketDepthLevel()
{
Price = Converter.StringToDecimal(ask.P),
Ask = ask.S
});
}
_allDepths.Add(newDepth);
SortBids(newDepth.Bids);
SortAsks(newDepth.Asks);
returnedDepth.Add(newDepth.GetCopy());
return(returnedDepth);
}
void _client_UpdateMarketDepth(MarketDepth myDepth)
{
try
{
lock (_depthLocker)
{
if (MarketDepthEvent != null)
{
MarketDepthEvent(myDepth.GetCopy());
}
}
}
catch (Exception error)
{
SendLogMessage(error.ToString(), LogMessageType.Error);
}
}
public MarketDepth Create(JToken jt)
{
var securityNameCode = jt.SelectToken(NamePath).ToString();
var marketDepth = new MarketDepth();
var data = jt.SelectToken(DataPath);
var time = data.SelectToken(TimePath).Value <decimal>();
var bids = data.SelectTokens(BidsPath).Children();
var asks = data.SelectTokens(AsksPath).Children();
marketDepth = new MarketDepth();
marketDepth.Time = TimeManager.GetDateTimeFromTimeStampSeconds(Convert.ToInt64(time));
marketDepth.SecurityNameCode = securityNameCode;
foreach (var bid in bids)
{
marketDepth.Bids.Add(new MarketDepthLevel()
{
Price = bid[0].Value <decimal>(),
Bid = bid[1].Value <decimal>(),
});
}
foreach (var ask in asks)
{
marketDepth.Asks.Add(new MarketDepthLevel()
{
Price = ask[0].Value <decimal>(),
Ask = ask[1].Value <decimal>(),
});
}
if (_securityMarketDepths.ContainsKey(securityNameCode))
{
_securityMarketDepths[securityNameCode] = marketDepth;
}
else
{
_securityMarketDepths.Add(securityNameCode, marketDepth);
}
return(marketDepth.GetCopy());
}
private MarketDepth CreateNew(Depth quotes)
{
var newDepth = new MarketDepth();
newDepth.Time = DateTime.UtcNow;
newDepth.SecurityNameCode = quotes.Symbol;
var needDepth = _allDepths.Find(d => d.SecurityNameCode == newDepth.SecurityNameCode);
if (needDepth != null)
{
_allDepths.Remove(needDepth);
}
var bids = quotes.Data.Bids;
var asks = quotes.Data.Asks;
foreach (var bid in bids)
{
newDepth.Bids.Add(new MarketDepthLevel()
{
Price = bid[0].ToDecimal(),
Bid = bid[1].ToDecimal(),
});
}
foreach (var ask in asks)
{
newDepth.Asks.Add(new MarketDepthLevel()
{
Price = ask[0].ToDecimal(),
Ask = ask[1].ToDecimal(),
});
}
_allDepths.Add(newDepth);
return(newDepth.GetCopy());
}
private MarketDepth CreateNew(JArray quotes)
{
var newDepth = new MarketDepth();
newDepth.Time = DateTime.UtcNow;
newDepth.SecurityNameCode = quotes[2].ToString();
var needDepth = _allDepths.Find(d => d.SecurityNameCode == newDepth.SecurityNameCode);
if (needDepth != null)
{
_allDepths.Remove(needDepth);
}
var bids = quotes[1]["bids"].Children();
var asks = quotes[1]["asks"].Children();
foreach (var bid in bids)
{
newDepth.Bids.Add(new MarketDepthLevel()
{
Price = bid[0].Value <decimal>(),
Bid = bid[1].Value <decimal>(),
});
}
foreach (var ask in asks)
{
newDepth.Asks.Add(new MarketDepthLevel()
{
Price = ask[0].Value <decimal>(),
Ask = ask[1].Value <decimal>(),
});
}
_allDepths.Add(newDepth);
return(newDepth.GetCopy());
}
// depth / стакан
/// <summary>
/// got new depth
/// пришёл новый стакан
/// </summary>
void _serverDde_UpdateGlass(MarketDepth marketDepth)
{
if (ServerTime == DateTime.MinValue)
{
return;
}
marketDepth.Time = ServerTime;
if (MarketDepthEvent != null)
{
MarketDepthEvent(marketDepth);
}
// save depths in the storage /грузим стаканы в хранилище
for (int i = 0; i < _marketDepths.Count; i++)
{
if (_marketDepths[i].SecurityNameCode == marketDepth.SecurityNameCode)
{
_marketDepths[i] = marketDepth;
return;
}
}
_marketDepths.Add(marketDepth.GetCopy());
}
/// <summary>
/// пришел обновленный стакан
/// </summary>
void _client_UpdateMarketDepth(BitMexQuotes quotes)
{
try
{
lock (_quoteLock)
{
if (quotes.action == "partial")
{
if (_depth == null)
{
_depth = new MarketDepth();
}
else
{
_depth.Asks.Clear();
_depth.Bids.Clear();
}
_depth.SecurityNameCode = quotes.data[0].symbol;
List <MarketDepthLevel> ascs = new List <MarketDepthLevel>();
List <MarketDepthLevel> bids = new List <MarketDepthLevel>();
for (int i = 0; i < quotes.data.Count; i++)
{
if (quotes.data[i].price == 0)
{
continue;
}
if (quotes.data[i].side == "Sell")
{
ascs.Add(new MarketDepthLevel()
{
Ask = quotes.data[i].size,
Price = quotes.data[i].price,
Id = quotes.data[i].id
});
if (_depth.Bids != null && _depth.Bids.Count > 2 &&
quotes.data[i].price < _depth.Bids[0].Price)
{
_depth.Bids.RemoveAt(0);
}
}
else
{
bids.Add(new MarketDepthLevel()
{
Bid = quotes.data[i].size,
Price = quotes.data[i].price,
Id = quotes.data[i].id
});
if (_depth.Asks != null && _depth.Asks.Count > 2 &&
quotes.data[i].price > _depth.Asks[0].Price)
{
_depth.Asks.RemoveAt(0);
}
}
}
ascs.Reverse();
_depth.Asks = ascs;
_depth.Bids = bids;
}
if (quotes.action == "update")
{
if (_depth == null)
{
return;
}
for (int i = 0; i < quotes.data.Count; i++)
{
if (quotes.data[i].side == "Sell")
{
if (_depth.Asks.Find(asc => asc.Id == quotes.data[i].id) != null)
{
_depth.Asks.Find(asc => asc.Id == quotes.data[i].id).Ask = quotes.data[i].size;
}
else
{
if (quotes.data[i].price == 0)
{
continue;
}
long id = quotes.data[i].id;
for (int j = 0; j < _depth.Asks.Count; j++)
{
if (j == 0 && id > _depth.Asks[j].Id)
{
_depth.Asks.Insert(j, new MarketDepthLevel()
{
Ask = quotes.data[i].size,
Price = quotes.data[i].price,
Id = quotes.data[i].id
});
}
else if (j != _depth.Asks.Count - 1 && id < _depth.Asks[j].Id && id > _depth.Asks[j + 1].Id)
{
_depth.Asks.Insert(j + 1, new MarketDepthLevel()
{
Ask = quotes.data[i].size,
Price = quotes.data[i].price,
Id = quotes.data[i].id
});
}
else if (j == _depth.Asks.Count - 1 && id < _depth.Asks[j].Id)
{
_depth.Asks.Add(new MarketDepthLevel()
{
Ask = quotes.data[i].size,
Price = quotes.data[i].price,
Id = quotes.data[i].id
});
}
if (_depth.Bids != null && _depth.Bids.Count > 2 &&
quotes.data[i].price < _depth.Bids[0].Price)
{
_depth.Bids.RemoveAt(0);
}
}
}
}
else // (quotes.data[i].side == "Buy")
{
if (quotes.data[i].price == 0)
{
continue;
}
long id = quotes.data[i].id;
for (int j = 0; j < _depth.Bids.Count; j++)
{
if (j == 0 && id < _depth.Bids[i].Id)
{
_depth.Bids.Insert(j, new MarketDepthLevel()
{
Bid = quotes.data[i].size,
Price = quotes.data[i].price,
Id = quotes.data[i].id
});
}
else if (j != _depth.Bids.Count - 1 && id > _depth.Bids[i].Id && id < _depth.Bids[j + 1].Id)
{
_depth.Bids.Insert(j + 1, new MarketDepthLevel()
{
Bid = quotes.data[i].size,
Price = quotes.data[i].price,
Id = quotes.data[i].id
});
}
else if (j == _depth.Bids.Count - 1 && id > _depth.Bids[j].Id)
{
_depth.Bids.Add(new MarketDepthLevel()
{
Bid = quotes.data[i].size,
Price = quotes.data[i].price,
Id = quotes.data[i].id
});
}
if (_depth.Asks != null && _depth.Asks.Count > 2 &&
quotes.data[i].price > _depth.Asks[0].Price)
{
_depth.Asks.RemoveAt(0);
}
}
}
}
_depth.Time = ServerTime;
}
if (quotes.action == "delete")
{
if (_depth == null)
{
return;
}
for (int i = 0; i < quotes.data.Count; i++)
{
if (quotes.data[i].side == "Sell")
{
_depth.Asks.Remove(_depth.Asks.Find(asc => asc.Id == quotes.data[i].id));
}
else
{
_depth.Bids.Remove(_depth.Bids.Find(bid => bid.Id == quotes.data[i].id));
}
}
_depth.Time = ServerTime;
}
}
if (quotes.action == "insert")
{
if (_depth == null)
{
return;
}
for (int i = 0; i < quotes.data.Count; i++)
{
if (quotes.data[0].price == 0)
{
continue;
}
if (quotes.data[i].side == "Sell")
{
long id = quotes.data[i].id;
for (int j = 0; j < _depth.Asks.Count; j++)
{
if (j == 0 && id > _depth.Asks[j].Id)
{
_depth.Asks.Insert(j, new MarketDepthLevel()
{
Ask = quotes.data[i].size,
Price = quotes.data[i].price,
Id = quotes.data[i].id
});
}
else if (j != _depth.Asks.Count - 1 && id < _depth.Asks[j].Id && id > _depth.Asks[j + 1].Id)
{
_depth.Asks.Insert(j + 1, new MarketDepthLevel()
{
Ask = quotes.data[i].size,
Price = quotes.data[i].price,
Id = quotes.data[i].id
});
}
else if (j == _depth.Asks.Count - 1 && id < _depth.Asks[j].Id)
{
_depth.Asks.Add(new MarketDepthLevel()
{
Ask = quotes.data[i].size,
Price = quotes.data[i].price,
Id = quotes.data[i].id
});
}
if (_depth.Bids != null && _depth.Bids.Count > 2 &&
quotes.data[i].price < _depth.Bids[0].Price)
{
_depth.Bids.RemoveAt(0);
}
}
}
else // quotes.data[i].side == "Buy"
{
long id = quotes.data[i].id;
for (int j = 0; j < _depth.Bids.Count; j++)
{
if (j == 0 && id < _depth.Bids[j].Id)
{
_depth.Bids.Insert(j, new MarketDepthLevel()
{
Bid = quotes.data[i].size,
Price = quotes.data[i].price,
Id = quotes.data[i].id
});
}
else if (j != _depth.Bids.Count - 1 && id > _depth.Bids[j].Id && id < _depth.Bids[j + 1].Id)
{
_depth.Bids.Insert(j + 1, new MarketDepthLevel()
{
Bid = quotes.data[i].size,
Price = quotes.data[i].price,
Id = quotes.data[i].id
});
}
else if (j == _depth.Bids.Count - 1 && id > _depth.Bids[j].Id)
{
_depth.Bids.Add(new MarketDepthLevel()
{
Bid = quotes.data[i].size,
Price = quotes.data[i].price,
Id = quotes.data[i].id
});
}
if (_depth.Asks != null && _depth.Asks.Count > 2 &&
quotes.data[i].price > _depth.Asks[0].Price)
{
_depth.Asks.RemoveAt(0);
}
}
}
}
while (_depth.Asks != null && _depth.Asks.Count > 200)
{
_depth.Asks.RemoveAt(200);
}
while (_depth.Bids != null && _depth.Bids.Count > 200)
{
_depth.Bids.RemoveAt(200);
}
_depth.Time = ServerTime;
if (MarketDepthEvent != null)
{
MarketDepthEvent(_depth.GetCopy());
}
}
}
catch (Exception error)
{
_client_SendLogMessage(error.ToString(), LogMessageType.Error);
}
}