public async Task EnqueueUpdateAndProcessSafeAsync(OrderBookUpdate update)
{
await Task.Run(() => {
lock (queueLock)
{
UpdateList.Enqueue(update);
}
ProcessUpdatesSafe();
});
}
public OrderBookUpdate dequeueUpdateSafe()
{
OrderBookUpdate upd = null;
lock (queueLock)
{
if (UpdateList.Count > 0)
{
upd = UpdateList.Dequeue();
}
}
return(upd);
}
public void ReqMarketDepth(int reqId, Contract contract, double ratio)
{
var orderBookUpdate = new OrderBookUpdate
{
Ratio = ratio,
OrderBookLines = new OrderBookLine[20]
};
for (int iterator = 0; iterator < orderBookUpdate.OrderBookLines.Length; iterator++)
{
orderBookUpdate.OrderBookLines[iterator] = new OrderBookLine();
}
_orderBookUpdates.Add(reqId, orderBookUpdate);
ClientSocket.reqMarketDepth(reqId, contract, 10, false, null);
Notify($"Subscribed to {contract.Symbol} marketDepth");
}
private void ProcessUpdate(OrderBookUpdate upd)
{
if (_previousUpdateEventTime < upd.EventTime)
{
foreach (var updAsk in upd.Asks)
{
if (updAsk.Value == 0)
{
AskBook.Remove(updAsk.Key);
}
else
{
AskBook[updAsk.Key] = updAsk.Value;
}
}
foreach (var updBid in upd.Bids)
{
if (updBid.Value == 0)
{
BidBook.Remove(updBid.Key);
}
else
{
BidBook[updBid.Key] = updBid.Value;
}
}
_previousUpdateEventTime = upd.EventTime;
var handler = OnOrderbookUpdated;;
if (handler != null)
{
var arg = new OrderBookUpdatedArgs {
UpdateTime = upd.EventTime
};
handler(this, arg);
}
}
else
{
SetState(RealtimeOrderBookState.OutOfSync);
throw new WebsocketStreamOutOfSyncException(string.Format("Websocket stream out of sync for {0}", Symbol));
}
}
private void ApplyEventToOrderBook(OrderBookUpdate update)
{
if (update == null)
{
throw new ArgumentNullException(nameof(update));
}
var newOrderbook = OrderBook.Clone(DateTime.UtcNow);
foreach (var ask in update.Asks)
{
newOrderbook.UpdateAsk(ask[0], ask[1]);
}
foreach (var bid in update.Bids)
{
newOrderbook.UpdateBid(bid[0], bid[1]);
}
OrderBook = newOrderbook;
}
internal OrderBookChangedEventArgs(CurrencyPair pair, OrderBookUpdate update)
{
Pair = pair;
Update = update;
}
