private void Handle(MarketDepthUpdateMessage msg)
{
var len = Math.Min(Math.Min(10, msg.Tick?.Bids.Length ?? 0), msg.Tick?.Asks.Length ?? 0);
for (var i = 0; i < len; ++i)
{
var bid = msg.Tick !.Bids[i];
var ask = msg.Tick !.Asks[i];
_logger.LogInformation(
$"Market depth update {msg.ParseSymbolFromTopic()} | [bid {i}: price={bid.Price} size={bid.Size}] [ask {i}: price={ask.Price} size={ask.Size}]");
}
}
private bool TryHandleUpdateMessages(string message)
{
if (MarketCandlestickUpdateMessage.TryParse(Serializer, message, out var marketCandlestick))
{
Streams.CandlestickUpdateSubject.OnNext(marketCandlestick);
return(true);
}
if (MarketDepthUpdateMessage.TryParse(Serializer, message, out var marketDepth))
{
Streams.DepthUpdateSubject.OnNext(marketDepth);
return(true);
}
if (MarketByPriceRefreshUpdateMessage.TryParse(Serializer, message, out var marketByPriceRefresh))
{
Streams.MarketByPriceRefreshUpdateSubject.OnNext(marketByPriceRefresh);
return(true);
}
if (MarketBestBidOfferUpdateMessage.TryParse(Serializer, message, out var marketBestBidOffer))
{
Streams.BestBidOfferUpdateSubject.OnNext(marketBestBidOffer);
return(true);
}
if (MarketTradeDetailUpdateMessage.TryParse(Serializer, message, out var marketTradeDetail))
{
Streams.TradeDetailUpdateSubject.OnNext(marketTradeDetail);
return(true);
}
if (MarketDetailsUpdateMessage.TryParse(Serializer, message, out var marketDetails))
{
Streams.MarketDetailsUpdateSubject.OnNext(marketDetails);
return(true);
}
return(false);
}
