/// <summary>
/// Common order book parsing method, most exchanges use "asks" and "bids" with
/// arrays of length 2 for price and amount (or amount and price)
/// </summary>
/// <param name="token">Token</param>
/// <param name="symbol"></param>
/// <param name="asks">Asks key</param>
/// <param name="bids">Bids key</param>
/// <param name="timestampType"></param>
/// <param name="maxCount">Max count</param>
/// <param name="sequence"></param>
/// <returns>Order book</returns>
internal static ExchangeDepth ParseDepthFromJTokenArrays
(
this JToken token,
Symbol symbol,
string asks = "asks",
string bids = "bids",
string sequence = "ts",
TimestampType timestampType = TimestampType.None,
int maxCount = 100
)
{
var book = new ExchangeDepth
{
SequenceId = token[sequence].ConvertInvariant <long>(),
LastUpdatedUtc = CryptoUtility.ParseTimestamp(token[sequence], timestampType),
Symbol = symbol
};
foreach (JArray array in token[asks])
{
var depth = new ExchangeOrderPrice
{
Price = array[0].ConvertInvariant <decimal>(),
Amount = array[1].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
if (book.Asks.Count == maxCount)
{
break;
}
}
foreach (JArray array in token[bids])
{
var depth = new ExchangeOrderPrice
{
Price = array[0].ConvertInvariant <decimal>(),
Amount = array[1].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
if (book.Bids.Count == maxCount)
{
break;
}
}
return(book);
}
/// <summary>
/// Common order book parsing method, checks for "amount" or "quantity" and "price"
/// elements
/// </summary>
/// <param name="token">Token</param>
/// <param name="asks">Asks key</param>
/// <param name="bids">Bids key</param>
/// <param name="price">Price key</param>
/// <param name="amount">Quantity key</param>
/// <param name="sequence">Sequence key</param>
/// <param name="maxCount">Max count</param>
/// <returns>Order book</returns>
internal static ExchangeDepth ParseDepthFromJTokenDictionaries
(
this JToken token,
string asks = "asks",
string bids = "bids",
string price = "price",
string amount = "amount",
string sequence = "ts",
int maxCount = 100
)
{
var book = new ExchangeDepth {
SequenceId = token[sequence].ConvertInvariant <long>()
};
foreach (var ask in token[asks])
{
var depth = new ExchangeOrderPrice
{
Price = ask[price].ConvertInvariant <decimal>(),
Amount = ask[amount].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
if (book.Asks.Count == maxCount)
{
break;
}
}
foreach (var bid in token[bids])
{
var depth = new ExchangeOrderPrice
{
Price = bid[price].ConvertInvariant <decimal>(),
Amount = bid[amount].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
if (book.Bids.Count == maxCount)
{
break;
}
}
return(book);
}
/// <summary>
/// Read from a binary reader
/// </summary>
/// <param name="reader">Binary reader</param>
public void FromBinary(BinaryReader reader)
{
Asks.Clear();
Bids.Clear();
int askCount = reader.ReadInt32();
int bidCount = reader.ReadInt32();
while (askCount-- > 0)
{
var exchangeOrderPrice = new ExchangeOrderPrice(reader);
Asks.Add(exchangeOrderPrice.Price, exchangeOrderPrice);
}
while (bidCount-- > 0)
{
var exchangeOrderPrice = new ExchangeOrderPrice(reader);
Bids.Add(exchangeOrderPrice.Price, exchangeOrderPrice);
}
}