protected OrderBook DownloadOrderBook(TickerInputInfo ti)
{
int orderBookDepth = ti.OrderBookDepth == 0 ? OrderBook.Depth : ti.OrderBookDepth;
if (!ti.Ticker.UpdateOrderBook(orderBookDepth))
{
return(null);
}
OrderBook ob = new OrderBook(null);
ob.Assign(ti.Ticker.OrderBook);
return(ob);
}
private async void OnOrderBook3(Binance.WsDepth depth)
{
try
{
await _lock.WaitAsync();
if ((orderBook.Asks.IsEmpty && orderBook.Bids.IsEmpty) ||
(orderBook.MergeDecimals != (int)cmbMergeDecimals.SelectedValue))
{
var result = await client.GetDepthAsync(depth.symbol, (int)cmbBookSize.SelectedValue);
if (result.Success)
{
var tmp = Convert(result.Data, si);
orderBook.MergeDecimals = (int)cmbMergeDecimals.SelectedValue;
orderBook.Assign(tmp);
lastUpdateId = result.Data.lastUpdateId;
//Debug.Print($"{lastUpdateId}");
}
}
if (depth.finalUpdateId <= lastUpdateId)
{
Debug.Print($"{depth.firstUpdateId} : {depth.finalUpdateId} dropped");
return;
}
if (depth.firstUpdateId <= lastUpdateId + 1 && depth.finalUpdateId >= lastUpdateId + 1)
{
var sw = Stopwatch.StartNew();
var bookUpdates = Convert(depth, si);
foreach (var e in bookUpdates)
{
//Debug.Print($"Got {e.Price} : {e.Quantity}.");
orderBook.Update(e);
}
lastUpdateId = depth.finalUpdateId;
Debug.Print($"Update {lastUpdateId} took {sw.ElapsedMilliseconds}ms.");
//if (true)
//{
// // remove items which are out of size
// var item = orderBook.FirstOrDefault(x => x.Side == TradeSide.Buy);
// var idx = orderBook.IndexOf(item);
// var count = (int)cmbBookSize.SelectedValue;
// var askCount = idx > count ? count : idx;
// var bidCount = count;
// orderBookCopy.Clear();
// orderBookCopy.AddRange(orderBook.Skip(idx - askCount).Take(askCount + bidCount));
//}
}
else
{
Debug.Print($"{depth.firstUpdateId} : {depth.finalUpdateId} dropped");
}
}
finally
{
_lock.Release();
}
}