//We update an orderBook in memory and publish
protected void UpdateOrderBook(WebSocketSubscriptionEvent subscrEvent)
{
if (subscrEvent is WebSocketErrorMessage)
{
ProcessSubscrError((WebSocketErrorMessage)subscrEvent);
return;
}
WebSocketOrderBookL2Event orderBookEvent = (WebSocketOrderBookL2Event)subscrEvent;
try
{
zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.OrderBookEntry[] bids = orderBookEvent.data.Where(x => x.IsBuy()).OrderByDescending(x => x.price).ToArray();
zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.OrderBookEntry[] asks = orderBookEvent.data.Where(x => x.IsSell()).OrderBy(x => x.price).ToArray();
SendOrderBookEntries(orderBookEvent.action, bids, asks);
OrderBookHandler.DoUpdateOrderBooks(orderBookEvent.action, bids, asks);
//string symbol = "";
//if (bids.Length > 0)
// symbol = bids[0].symbol;
//else if (asks.Length > 0)
// symbol = asks[0].symbol;
//else
// return;
//if (ActiveSecuritiesQuotes.Values.Any(x => x.Symbol == symbol) && OrderBookHandler.OrderBooks.ContainsKey(symbol))
//{
// Security sec = ActiveSecuritiesQuotes.Values.Where(x => x.Symbol == symbol).FirstOrDefault();
// OrderBookDictionary dict = OrderBookHandler.OrderBooks[symbol];
// zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.OrderBookEntry bestBid = dict.Entries.Values.Where(x => x.IsBuy() && x.size > 0).OrderByDescending(x => x.price).FirstOrDefault();
// zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.OrderBookEntry bestAsk = dict.Entries.Values.Where(x => x.IsSell() && x.size > 0).OrderBy(x => x.price).FirstOrDefault();
// sec.MarketData.BestBidPrice = Convert.ToDouble(bestBid.price);
// sec.MarketData.BestBidSize = Convert.ToInt64(bestBid.size);
// sec.MarketData.BestAskPrice = Convert.ToDouble(bestAsk.price);
// sec.MarketData.BestAskSize = Convert.ToInt64(bestAsk.size);
// //DoLog(string.Format("@{5}:Publishing Market Data for symbol {0}: Best Bid Size={1} Best Bid Price={2} Best Ask Size={3} Best Ask Price={4}",
// // symbol, bestBid.size.ToString("##.########"), bestBid.price.ToString("##.##"),
// // bestAsk.size.ToString("##.########"), bestAsk.price.ToString("##.##"),
// // BitmexConfiguration.Name), Main.Common.Util.Constants.MessageType.Information);
// MarketDataWrapper wrapper = new MarketDataWrapper(sec, GetConfig());
// OnMessageRcv(wrapper);
//}
}
catch (Exception ex)
{
DoLog(string.Format("@{0}:Error processing order book :{1}", BitmexConfiguration.Name, ex.Message), Main.Common.Util.Constants.MessageType.Error);
}
}
protected override void DoRunLoopSubscriptions(string resp)
{
WebSocketSubscriptionEvent eventSubscr = JsonConvert.DeserializeObject <WebSocketSubscriptionEvent>(resp);
if (ResponseRequestSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
if (eventSubscr.table == _ORDERBOOK_L2 && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
WebSocketOrderBookL2Event orderBookL2Event = JsonConvert.DeserializeObject <WebSocketOrderBookL2Event>(resp);
WebSocketSubscriptionEvent subscrEvent = EventSubscriptions[eventSubscr.GetSubscriptionEvent()];
subscrEvent.RunEvent(orderBookL2Event);
}
else if (eventSubscr.table == _TRADE && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
WebSocketTradeEvent tradeEvent = JsonConvert.DeserializeObject <WebSocketTradeEvent>(resp);
WebSocketSubscriptionEvent subscrEvent = EventSubscriptions[eventSubscr.GetSubscriptionEvent()];
subscrEvent.RunEvent(tradeEvent);
}
else if (eventSubscr.table == _QUOTE && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
WebSocketQuoteEvent quoteEvent = JsonConvert.DeserializeObject <WebSocketQuoteEvent>(resp);
WebSocketSubscriptionEvent subscrEvent = EventSubscriptions[eventSubscr.GetSubscriptionEvent()];
subscrEvent.RunEvent(quoteEvent);
}
else if (eventSubscr.table == _1_DAY_TRADE_BINS && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
//TODO: I have to ask BitMex why aren't they retrieveing high and low for the 1 day bin
//and they are for the 1 hour bin
}
else
{
//Log what we are receiving here because we are getting events that we didn't expect
}
}
}
