public void Update(Ticker ticker, IncrementalUpdateInfo info)
{
for (int i = 0; i < info.BidsUpdates.Count; i++)
{
string[] item = info.BidsUpdates[i];
ticker.OrderBook.ApplyIncrementalUpdate(OrderBookEntryType.Bid, item[1], item[2]);
}
for (int i = 0; i < info.AsksUpdates.Count; i++)
{
string[] item = info.AsksUpdates[i];
ticker.OrderBook.ApplyIncrementalUpdate(OrderBookEntryType.Ask, item[1], item[2]);
}
for (int i = 0; i < info.TradeUpdates.Count; i++)
{
string[] item = info.TradeUpdates[i];
TradeInfoItem trade = new TradeInfoItem(null, ticker)
{
Type = item[1][0] == 'S' ? TradeType.Sell : TradeType.Buy,
RateString = item[2],
AmountString = item[3],
Time = new DateTime(Convert.ToInt64(item[4])).ToLocalTime()
};
ticker.AddTradeHistoryItem(trade);//.InsertTradeHistoryItem(trade);
CandleStickChartHelper.UpdateVolumes(ticker.CandleStickData, trade, ticker.CandleStickPeriodMin);
}
ticker.OnApplyIncrementalUpdate();
}
public void Update(Ticker ticker, IncrementalUpdateInfo info)
{
for (int i = 0; i < info.Updates.Count; i++)
{
string[] item = info.Updates[i];
if (item[0][0] == 'o')
{
ticker.OrderBook.ApplyIncrementalUpdate(item[1][0] == '1' ? OrderBookEntryType.Bid : OrderBookEntryType.Ask, item[2], item[3]);
}
else if (item[0][0] == 't')
{
TradeInfoItem trade = new TradeInfoItem(null, ticker)
{
Type = item[2][0] == '0' ? TradeType.Sell : TradeType.Buy, RateString = item[3], AmountString = item[4], Time = ticker.Exchange.FromUnixTimestamp(Convert.ToInt64(item[5]))
};
if (trade.Time.Year == 1)
{
throw new InvalidOperationException();
}
ticker.AddTradeHistoryItem(trade);//.InsertTradeHistoryItem(trade);
CandleStickChartHelper.UpdateVolumes(ticker.CandleStickData, trade, ticker.CandleStickPeriodMin);
}
}
ticker.OnApplyIncrementalUpdate();
}
protected internal override void OnTradeHistorySocketMessageReceived(object sender, MessageReceivedEventArgs e)
{
LastWebSocketRecvTime = DateTime.Now;
SocketConnectionInfo info = TradeHistorySockets.FirstOrDefault(c => c.Key == sender);
if (info == null)
{
return;
}
Ticker t = info.Ticker;
if (t.IsUpdatingTrades)
{
return;
}
if (t.CaptureData)
{
t.CaptureDataCore(CaptureStreamType.TradeHistory, CaptureMessageType.Incremental, e.Message);
}
JObject obj = JsonConvert.DeserializeObject <JObject>(e.Message);
JArray items = obj.Value <JArray>("data");
if (items == null)
{
return;
}
foreach (JObject item in items)
{
TradeInfoItem ti = new TradeInfoItem(null, t);
ti.TimeString = item.Value <string>("timestamp");
ti.Type = String2TradeType(item.Value <string>("side"));
ti.AmountString = item.Value <string>("size");
ti.RateString = item.Value <string>("price");
t.AddTradeHistoryItem(ti); //.InsertTradeHistoryItem(ti);
}
if (t.HasTradeHistorySubscribers)
{
TradeHistoryChangedEventArgs ee = new TradeHistoryChangedEventArgs()
{
NewItem = t.TradeHistory.First()
};
t.RaiseTradeHistoryChanged(ee);
}
}
public TickerDownloadData DownloadItem(TickerInputInfo info, bool downloadCandle)
{
Ticker ticker = info.Ticker;
SimulationStrategyDataProvider provider = new SimulationStrategyDataProvider();
provider.DownloadProgressChanged += DownloadProgressChanged;
if (downloadCandle)
{
ResizeableArray <CandleStickData> kline = provider.DownloadCandleStickData(info);
if (kline == null)
{
LogManager.Default.Error("Cannot download candlesticks for " + ticker.Name);
return(null);
}
LogManager.Default.Success("Downloaded candlesticks for " + ticker.Name);
ticker.CandleStickData.AddRange(kline);
}
ResizeableArray <TradeInfoItem> trades = provider.DownloadTradeHistory(info, info.StartDate);
if (trades == null)
{
LogManager.Default.Error("Cannot download trade history for " + ticker.Name);
return(null);
}
LogManager.Default.Success("Downloaded trade history for " + ticker.Name);
ticker.AddTradeHistoryItem(trades);
TickerDownloadData tradeInfo = new TickerDownloadData()
{
Ticker = ticker
};
tradeInfo.HistogrammIntervalSec = HistogrammIntervalSec;
return(tradeInfo);
}
public void ApplySnapshot(JObject jObject, Ticker ticker)
{
ticker.OrderBook.BeginUpdate();
try {
ticker.OrderBook.Clear();
OrderBook orderBook = ticker.OrderBook;
JArray jbids = jObject.Value <JArray>("Z");
JArray jasks = jObject.Value <JArray>("S");
List <OrderBookEntry> entries = orderBook.Asks;
List <OrderBookEntry> entriesInverted = orderBook.AsksInverted;
for (int i = 0; i < jasks.Count; i++)
{
JObject item = (JObject)jasks[i];
entries.Add(new OrderBookEntry()
{
ValueString = item.Value <string>("R"), AmountString = item.Value <string>("Q")
});
if (entriesInverted != null)
{
entriesInverted.Insert(0, new OrderBookEntry()
{
ValueString = item.Value <string>("R"), AmountString = item.Value <string>("Q")
});
}
}
entries = orderBook.Bids;
for (int i = 0; i < jbids.Count; i++)
{
JObject item = (JObject)jbids[i];
entries.Add(new OrderBookEntry()
{
ValueString = item.Value <string>("R"), AmountString = item.Value <string>("Q")
});
}
}
finally {
ticker.OrderBook.IsDirty = false;
ticker.OrderBook.EndUpdate();
}
ticker.ClearTradeHistory();
JArray jtrades = jObject.Value <JArray>("f");
foreach (JObject item in jtrades)
{
TradeInfoItem t = new TradeInfoItem(null, ticker);
t.AmountString = item.Value <string>("Q");
t.RateString = item.Value <string>("P");
t.Time = new DateTime(Convert.ToInt64(item.Value <string>("T"))).ToLocalTime();
t.TimeString = t.Time.ToLongTimeString();
t.Type = (item.Value <string>("OT")) == "BUY" ? TradeType.Buy : TradeType.Sell;
ticker.AddTradeHistoryItem(t);
}
if (ticker.HasTradeHistorySubscribers)
{
ticker.RaiseTradeHistoryChanged(new TradeHistoryChangedEventArgs()
{
NewItems = ticker.TradeHistory
});
}
}