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);
}
}
protected internal override void OnOrderBookSocketMessageReceived(object sender, MessageReceivedEventArgs e)
{
base.OnOrderBookSocketMessageReceived(sender, e);
LastWebSocketRecvTime = DateTime.Now;
SocketConnectionInfo info = OrderBookSockets.FirstOrDefault(c => c.Key == sender);
if (info == null)
{
return;
}
Ticker t = info.Ticker;
if (t.CaptureData)
{
t.CaptureDataCore(CaptureStreamType.OrderBook, CaptureMessageType.Incremental, e.Message);
}
const string incrementalUpdateStartString = "{\"table\":\"orderBookL2\",\"action\":\"";
if (e.Message.StartsWith(incrementalUpdateStartString))
{
int index = incrementalUpdateStartString.Length;
if (e.Message[index] == 'u') // update
{
index = e.Message.IndexOf("[{");
List <string[]> jsItems = JSonHelper.Default.DeserializeArrayOfObjects(Encoding.ASCII.GetBytes(e.Message), ref index, UpdateItems);
foreach (string[] item in jsItems)
{
OrderBookEntryType entryType = item[2][0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
t.OrderBook.ApplyIncrementalUpdate(entryType, OrderBookUpdateType.Modify, FastValueConverter.ConvertPositiveLong(item[1]), null, item[3]);
}
return;
}
//else if(e.Message[index] == 'i') { // insert
// index = e.Message.IndexOf("[{");
// List<string[]> jsItems = JSonHelper.Default.DeserializeArrayOfObjects(Encoding.ASCII.GetBytes(e.Message), ref index, InsertItems);
// foreach(string[] item in jsItems) {
// OrderBookEntryType entryType = item[2][0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
// t.OrderBook.ApplyIncrementalUpdate(entryType, OrderBookUpdateType.Add, FastValueConverter.ConvertPositiveLong(item[1]), item[4], item[3]);
// }
// return;
//}
else if (e.Message[index] == 'd') // delete
{
index = e.Message.IndexOf("[{");
List <string[]> jsItems = JSonHelper.Default.DeserializeArrayOfObjects(Encoding.ASCII.GetBytes(e.Message), ref index, DeleteItems);
foreach (string[] item in jsItems)
{
OrderBookEntryType entryType = item[2][0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
t.OrderBook.ApplyIncrementalUpdate(entryType, OrderBookUpdateType.Remove, FastValueConverter.ConvertPositiveLong(item[1]), null, null);
}
return;
}
}
JObject obj = JsonConvert.DeserializeObject <JObject>(e.Message);
JArray items = obj.Value <JArray>("data");
if (items == null)
{
return;
}
OrderBookUpdateType type = String2UpdateType(obj.Value <string>("action"));
lock (t.OrderBook.Bids) {
lock (t.OrderBook.Asks) {
if (type == OrderBookUpdateType.RefreshAll)
{
t.OrderBook.Clear();
t.OrderBook.BeginUpdate();
}
for (int i = 0; i < items.Count; i++)
{
JObject item = (JObject)items[i];
OrderBookEntryType entryType = item.Value <string>("side")[0] == 'S' ? OrderBookEntryType.Ask : OrderBookEntryType.Bid;
string rate = null;
if (type == OrderBookUpdateType.Add || type == OrderBookUpdateType.RefreshAll)
{
rate = item.Value <string>("price");
}
string size = null;
if (type != OrderBookUpdateType.Remove)
{
size = item.Value <string>("size");
}
t.OrderBook.ApplyIncrementalUpdate(entryType, type, item.Value <long>("id"), rate, size);
}
}
}
if (type == OrderBookUpdateType.RefreshAll)
{
t.OrderBook.EndUpdate();
}
}
internal void OnUpdateOrderBook(Ticker ticker, byte[] bytes)
{
int startIndex = 0;
string[] updateId = JSonHelper.Default.StartDeserializeObject(bytes, ref startIndex, OrderBookStartItems);
if (ticker.CaptureData)
{
ticker.CaptureDataCore(CaptureStreamType.OrderBook, CaptureMessageType.Snapshot, System.Text.ASCIIEncoding.Default.GetString(bytes));
}
const string bidString = "\"bids\":";
const string askString = "\"asks\":";
startIndex += bidString.Length + 1;
List <string[]> jbids = JSonHelper.Default.DeserializeArrayOfArrays(bytes, ref startIndex, 2);
startIndex += askString.Length + 1;
List <string[]> jasks = JSonHelper.Default.DeserializeArrayOfArrays(bytes, ref startIndex, 2);
ticker.OrderBook.BeginUpdate();
try {
List <OrderBookEntry> bids = ticker.OrderBook.Bids;
List <OrderBookEntry> asks = ticker.OrderBook.Asks;
List <OrderBookEntry> iasks = ticker.OrderBook.AsksInverted;
bids.Clear();
asks.Clear();
if (iasks != null)
{
iasks.Clear();
}
if (jbids != null)
{
for (int i = 0; i < jbids.Count; i++)
{
string[] item = jbids[i];
bids.Add(new OrderBookEntry()
{
ValueString = item[0], AmountString = item[1]
});
}
}
if (jasks != null)
{
for (int i = 0; i < jasks.Count; i++)
{
string[] item = jasks[i];
OrderBookEntry e = new OrderBookEntry()
{
ValueString = item[0], AmountString = item[1]
};
asks.Add(e);
if (iasks != null)
{
iasks.Insert(0, e);
}
}
}
ticker.OrderBook.Updates.Clear(FastValueConverter.ConvertPositiveLong(updateId[0]) + 1);
}
finally {
ticker.OrderBook.IsDirty = false;
ticker.OrderBook.EndUpdate();
}
ticker.RaiseChanged();
}
