private async ValueTask <bool> updateTradeItem(SOrderBooks qob, List <BTradeItem> tradeItems, string stream)
{
var _rqo = new SOrderBooks
{
exchange = BNLogger.SNG.exchange_name,
stream = stream,
symbol = qob.symbol,
sequentialId = tradeItems.Max(t => t.timestamp),
result = new SOrderBook()
};
var _settings = __qSettings.ContainsKey(qob.symbol)
? __qSettings[qob.symbol]
: __qSettings[qob.symbol] = new Settings();
lock (__qOrderBooks)
{
_settings.before_trade_ask_size = qob.result.asks.Sum(o => o.quantity);
_settings.before_trade_bid_size = qob.result.bids.Sum(o => o.quantity);
foreach (var _t in tradeItems.OrderBy(t => t.timestamp))
{
if (_settings.last_trade_time >= _t.timestamp)
{
continue;
}
_settings.last_trade_time = _t.timestamp;
var _ask = qob.result.asks.Where(o => o.price == _t.price).SingleOrDefault();
if (_ask != null)
{
if (_ask.quantity <= _t.quantity)
{
var _aoi = new SOrderBookItem
{
action = "delete",
price = _ask.price,
quantity = _ask.quantity,
amount = _ask.price * _ask.quantity,
count = 1
};
_rqo.result.asks.Add(_aoi);
_ask.quantity = 0;
}
else
{
_ask.quantity -= _t.quantity;
var _aoi = new SOrderBookItem
{
action = "update",
price = _ask.price,
quantity = _ask.quantity,
amount = _ask.price * _ask.quantity,
count = 1
};
_rqo.result.asks.Add(_aoi);
}
}
var _bid = qob.result.bids.Where(o => o.price == _t.price).SingleOrDefault();
if (_bid != null)
{
if (_bid.quantity <= _t.quantity)
{
var _aoi = new SOrderBookItem
{
action = "delete",
price = _bid.price,
quantity = _bid.quantity,
amount = _bid.price * _bid.quantity,
count = 1
};
_rqo.result.bids.Add(_aoi);
_bid.quantity = 0;
}
else
{
_bid.quantity -= _t.quantity;
var _aoi = new SOrderBookItem
{
action = "update",
price = _bid.price,
quantity = _bid.quantity,
amount = _bid.price * _bid.quantity,
count = 1
};
_rqo.result.bids.Add(_aoi);
}
}
// orderbook에 해당 하는 price-level 보다 안쪽에 위치한 level들은 삭제 해야 한다.
var _strange_asks = qob.result.asks.Where(o => o.price < _t.price);
if (_strange_asks.Count() > 0)
{
foreach (var _qox in _strange_asks)
{
var _aoi = new SOrderBookItem
{
action = "delete",
price = _qox.price,
quantity = _qox.quantity,
amount = _qox.price * _qox.quantity,
count = 1
};
_rqo.result.asks.Add(_aoi);
_qox.quantity = 0;
}
}
var _strange_bids = qob.result.bids.Where(o => o.price > _t.price);
if (_strange_bids.Count() > 0)
{
foreach (var _qox in _strange_bids)
{
var _aoi = new SOrderBookItem
{
action = "delete",
price = _qox.price,
quantity = _qox.quantity,
amount = _qox.price * _qox.quantity,
count = 1
};
_rqo.result.bids.Add(_aoi);
_qox.quantity = 0;
}
}
}
qob.sequentialId = _rqo.sequentialId;
qob.result.asks.RemoveAll(o => o.quantity == 0);
qob.result.bids.RemoveAll(o => o.quantity == 0);
}
if (_rqo.result.asks.Count + _rqo.result.bids.Count > 0)
{
await publishOrderbook(_rqo);
//_settings.orderbook_count = 0;
}
return(true);
}
private async ValueTask <bool> updateOrderbook(SOrderBooks qob, SOrderBooks cob, Settings settings)
{
var _nob = new SOrderBooks
{
exchange = cob.exchange,
stream = "diffbooks",
symbol = cob.symbol,
action = cob.action,
sequentialId = cob.sequentialId,
result = new SOrderBook
{
timestamp = cob.result.timestamp,
askSumQty = 0,
bidSumQty = 0
}
};
lock (__qOrderBooks)
{
foreach (var _ci in cob.result.asks)
{
var _qi = qob.result.asks.Where(o => o.price == _ci.price).SingleOrDefault();
if (_qi == null)
{
var _ici = new SOrderBookItem
{
action = "insert",
id = _ci.id,
price = _ci.price,
quantity = _ci.quantity,
amount = _ci.price * _ci.quantity,
count = 1
};
_nob.result.asks.Add(_ici);
qob.result.asks.Add(_ici);
_nob.result.askSumQty += _ci.quantity;
}
else if (_qi.quantity != _ci.quantity)
{
_nob.result.asks.Add(new SOrderBookItem
{
action = "update",
id = _qi.id,
price = _qi.price,
quantity = _ci.quantity,
amount = _qi.price * _ci.quantity,
count = 1
});
_qi.quantity = _ci.quantity;
_qi.amount = _qi.price * _qi.quantity;
_nob.result.askSumQty += _ci.quantity;
}
}
foreach (var _ci in cob.result.bids)
{
var _qi = qob.result.bids.Where(o => o.price == _ci.price).SingleOrDefault();
if (_qi == null)
{
var _ici = new SOrderBookItem
{
action = "insert",
id = _ci.id,
price = _ci.price,
quantity = _ci.quantity,
amount = _ci.price * _ci.quantity,
count = 1
};
_nob.result.bids.Add(_ici);
qob.result.bids.Add(_ici);
_nob.result.bidSumQty += _ci.quantity;
}
else if (_qi.quantity != _ci.quantity)
{
_nob.result.bids.Add(new SOrderBookItem
{
action = "update",
id = _qi.id,
price = _qi.price,
quantity = _ci.quantity,
amount = _qi.price * _ci.quantity,
count = 1
});
_qi.quantity = _ci.quantity;
_qi.amount = _qi.quantity * _qi.price;
_nob.result.bidSumQty += _ci.quantity;
}
}
foreach (var _qi in qob.result.asks)
{
var _ci = cob.result.asks.Where(o => o.price == _qi.price).SingleOrDefault();
if (_ci == null)
{
_nob.result.asks.Add(new SOrderBookItem
{
action = "delete",
id = _qi.id,
price = _qi.price,
quantity = _qi.quantity,
amount = _qi.price * _qi.quantity,
count = 1
});
_nob.result.askSumQty -= _qi.quantity;
_qi.quantity = 0;
_qi.amount = 0;
}
}
foreach (var _qi in qob.result.bids)
{
var _ci = cob.result.bids.Where(o => o.price == _qi.price).SingleOrDefault();
if (_ci == null)
{
_nob.result.bids.Add(new SOrderBookItem
{
action = "delete",
id = _qi.id,
price = _qi.price,
quantity = _qi.quantity,
amount = _qi.price * _qi.quantity,
count = 1
});
_nob.result.bidSumQty -= _qi.quantity;
_qi.quantity = 0;
_qi.amount = 0;
}
}
qob.result.asks.RemoveAll(o => o.quantity == 0);
qob.result.bids.RemoveAll(o => o.quantity == 0);
}
if (++settings.orderbook_count == __gmconfig.SnapshotSkipCounter)
{
qob.sequentialId = cob.sequentialId;
await snapshotOrderbook(_nob.symbol);
}
else
{
_nob.result.asks.RemoveAll(o => o.quantity == 0);
_nob.result.bids.RemoveAll(o => o.quantity == 0);
if (_nob.result.asks.Count > 0 || _nob.result.bids.Count > 0)
{
await publishOrderbook(_nob);
}
}
return(true);
}
private async ValueTask <bool> updateOrderbook(SOrderBooks qob, BAOrderBook orderbook, Settings settings)
{
var _dqo = new SOrderBooks
{
exchange = BNLogger.SNG.exchange_name,
stream = "diffbooks",
symbol = orderbook.data.symbol,
sequentialId = orderbook.data.lastId,
result = new SOrderBook()
};
lock (__qOrderBooks)
{
foreach (var _oi in orderbook.data.asks)
{
var _ask = qob.result.asks.Where(o => o.price == _oi[0]).SingleOrDefault();
if (_ask == null)
{
var _aoi = new SOrderBookItem
{
action = "insert",
price = _oi[0],
quantity = _oi[1],
amount = _oi[0] * _oi[1],
count = 1
};
_dqo.result.asks.Add(_aoi);
qob.result.asks.Add(_aoi);
}
else if (_ask.quantity != _oi[1])
{
var _aoi = new SOrderBookItem
{
action = "update",
price = _oi[0],
quantity = _oi[1],
amount = _oi[0] * _oi[1],
count = 1
};
_dqo.result.asks.Add(_aoi);
_ask.quantity = _oi[1];
}
}
foreach (var _oi in orderbook.data.bids)
{
var _bid = qob.result.bids.Where(o => o.price == _oi[0]).SingleOrDefault();
if (_bid == null)
{
var _boi = new SOrderBookItem
{
action = "insert",
price = _oi[0],
quantity = _oi[1],
amount = _oi[0] * _oi[1],
count = 1
};
_dqo.result.bids.Add(_boi);
qob.result.bids.Add(_boi);
}
else if (_bid.quantity != _oi[1])
{
var _boi = new SOrderBookItem
{
action = "update",
price = _oi[0],
quantity = _oi[1],
amount = _oi[0] * _oi[1],
count = 1
};
_dqo.result.bids.Add(_boi);
_bid.quantity = _oi[1];
}
}
foreach (var _qi in qob.result.asks)
{
var _ask = orderbook.data.asks.Where(o => o[0] == _qi.price).SingleOrDefault();
if (_ask == null)
{
_dqo.result.asks.Add(new SOrderBookItem
{
action = "delete",
price = _qi.price,
quantity = _qi.quantity,
amount = _qi.price * _qi.quantity,
count = 1
});
_qi.quantity = 0;
}
}
foreach (var _qi in qob.result.bids)
{
var _bid = orderbook.data.bids.Where(o => o[0] == _qi.price).SingleOrDefault();
if (_bid == null)
{
_dqo.result.bids.Add(new SOrderBookItem
{
action = "delete",
price = _qi.price,
quantity = _qi.quantity,
amount = _qi.price * _qi.quantity,
count = 1
});
_qi.quantity = 0;
}
}
qob.result.asks.RemoveAll(o => o.quantity == 0);
qob.result.bids.RemoveAll(o => o.quantity == 0);
}
if (++settings.orderbook_count == __bnconfig.OrderBookCounter)
{
settings.orderbook_count = 0;
qob.sequentialId = orderbook.data.lastId;
await snapshotOrderbook(_dqo.exchange, _dqo.symbol);
}
else
{
await publishOrderbook(_dqo);
}
return(true);
}
