private static long StreamLevels(string pair, OrderBookSourceMock source, ICryptoOrderBook book, int iterations, int maxBidPrice, int maxAskPrice, bool slowDown = false)
{
var bid = book.BidLevels[0];
var ask = book.AskLevels[0];
var sw = new Stopwatch();
var iterationsSafe = iterations * 13;
for (int i = 0; i < iterationsSafe; i += 13)
{
var newBidPrice = i % maxBidPrice;
var newAskPrice = maxBidPrice + (i % maxAskPrice);
// update levels
var bulk = GetUpdateBulkL2(
CreateLevel(pair, newBidPrice, CryptoOrderSide.Bid, bid.Id),
CreateLevel(pair, newAskPrice, CryptoOrderSide.Ask, ask.Id)
);
sw.Start();
source.StreamBulk(bulk);
sw.Stop();
if (slowDown && i % 1000 == 0)
{
Thread.Sleep(10);
}
}
return(sw.ElapsedMilliseconds);
}
private static void HandleQuoteChanged(ICryptoOrderBook ob)
{
var bids = ob.BidLevels.Take(10).ToArray();
var asks = ob.AskLevels.Take(10).ToArray();
var max = Math.Max(bids.Length, asks.Length);
var msg = string.Empty;
for (int i = 0; i < max; i++)
{
var bid = bids.Length > i ? bids[i] : null;
var ask = asks.Length > i ? asks[i] : null;
var bidMsg =
bid != null ? $"#{i+1} " +
$"{"p: " + (bid?.Price ?? 0).ToString("#.00##") + " a: " + (bid?.Amount ?? 0).ToString("0.00#")} " +
$"[{bid.AmountUpdatedCount}]"
: " ";
var askMsg =
ask != null ? $"#{i+1} " +
$"{"p: " + (ask?.Price ?? 0).ToString("#.00##") + " a: " + (ask?.Amount ?? 0).ToString("0.00#")} " +
$"[{ask.AmountUpdatedCount}]"
: " ";
bidMsg = $"{bidMsg,50}";
askMsg = $"{askMsg,50}";
msg+= $"{Environment.NewLine}{bidMsg} {askMsg}";
}
Log.Information($"ORDER BOOK {ob.ExchangeName} {ob.TargetPairOriginal}: {msg}{Environment.NewLine}");
}
private static void ConfigureOptimized(IOrderBookSource source, ICryptoOrderBook orderBook)
{
source.BufferEnabled = true;
source.BufferInterval = TimeSpan.FromMilliseconds(0);
orderBook.DebugEnabled = false;
orderBook.DebugLogEnabled = false;
orderBook.ValidityCheckEnabled = false;
}
