protected async Task HandleOrdersEventsAsync(string pair,
OrderBookEventType orderEventType,
IReadOnlyCollection <OrderBookItem> orders)
{
var orderBookSnapshot = await GetOrderBookSnapshot(pair);
switch (orderEventType)
{
case OrderBookEventType.Add:
case OrderBookEventType.Update:
orderBookSnapshot.AddOrUpdateOrders(orders);
break;
case OrderBookEventType.Delete:
orderBookSnapshot.DeleteOrders(orders);
break;
default:
throw new ArgumentOutOfRangeException(nameof(orderEventType), orderEventType, null);
}
if (await orderBookSnapshot.DetectNegativeSpread())
{
ScheduleSnapshotRefresh();
}
else
{
CancelSnapshotRefresh();
await PublishOrderBookSnapshotAsync(pair);
}
}
private async Task HandleOrderEventAsync(string productId, long orderEventSequenceNumber,
OrderBookEventType eventType, OrderBookItem orderBookItem)
{
// Queue this item if the order book is not fully populated yet
var orderBookExists =
_symbolsLastSequenceNumbers.TryGetValue(productId, out long seqNumberInOrderBook) &&
TryGetOrderBookSnapshot(productId, out var _);
if (!orderBookExists)
{
QueueItem(productId, new GdaxQueueOrderItem(orderEventSequenceNumber,
eventType, orderBookItem));
return;
}
// Dequeue all items in the order events queue
foreach (var queuedItem in DequeuOrderItems(productId)
.Where(q => q.SequenceNumber > seqNumberInOrderBook))
{
await HandleOrdersEventsAsync(productId, queuedItem.OrderBookEventType,
new[] { queuedItem.OrderBookItem });
}
// Handle the current item
if (orderEventSequenceNumber > seqNumberInOrderBook)
{
await HandleOrdersEventsAsync(productId, eventType, new[] { orderBookItem });
}
}
public GdaxQueueOrderItem(long sequenceNumber,
OrderBookEventType orderBookEventType, OrderBookItem orderBookItem)
{
SequenceNumber = sequenceNumber;
OrderBookItem = orderBookItem;
OrderBookEventType = orderBookEventType;
}
protected async Task HandleOrdersEventsAsync(string pair,
OrderBookEventType orderEventType,
IReadOnlyCollection <OrderBookItem> orders)
{
var orderBookSnapshot = await GetOrderBookSnapshot(pair);
switch (orderEventType)
{
case OrderBookEventType.Add:
case OrderBookEventType.Update:
orderBookSnapshot.AddOrUpdateOrders(orders);
break;
case OrderBookEventType.Delete:
orderBookSnapshot.DeleteOrders(orders);
break;
default:
throw new ArgumentOutOfRangeException(nameof(orderEventType), orderEventType, null);
}
if (ExchangeConfiguration.SaveOrderBooksToAzure)
{
await OrderBookEventsRepository.SaveAsync(new OrderBookEvent
{
SnapshotId = orderBookSnapshot.GeneratedId,
EventType = orderEventType,
OrderEventTimestamp = DateTime.UtcNow,
OrderItems = orders
});
}
await PublishOrderBookSnapshotAsync(pair);
}
