private void ProcessOrderBookUpdate(BitfinexChannel channel, string[] entries)
{
try
{
var symbol = _symbolMapper.GetLeanSymbol(channel.Symbol);
var orderBook = _orderBooks[symbol];
var price = decimal.Parse(entries[0], NumberStyles.Float, CultureInfo.InvariantCulture);
var count = int.Parse(entries[1]);
var amount = decimal.Parse(entries[2], NumberStyles.Float, CultureInfo.InvariantCulture);
if (count == 0)
{
orderBook.RemovePriceLevel(price);
}
else
{
if (amount > 0)
{
orderBook.UpdateBidRow(price, amount);
}
else if (amount < 0)
{
orderBook.UpdateAskRow(price, Math.Abs(amount));
}
}
}
catch (Exception e)
{
Log.Error(e);
throw;
}
}
private void OnSubscribe(Messages.ChannelSubscription data)
{
try
{
Channel existing = null;
lock (channelLocker)
{
if (!ChannelList.TryGetValue(data.ChannelId, out existing))
{
ChannelList[data.ChannelId] = new BitfinexChannel()
{
ChannelId = data.ChannelId, Name = data.Channel, Symbol = data.Symbol
};;
}
else
{
BitfinexChannel typedChannel = existing as BitfinexChannel;
typedChannel.Name = data.Channel;
typedChannel.ChannelId = data.ChannelId;
typedChannel.Symbol = data.Symbol;
}
}
}
catch (Exception e)
{
Log.Error(e);
throw;
}
}
private void OnUpdate(string channelId, string[] entries)
{
try
{
BitfinexChannel channel = ChannelList[channelId] as BitfinexChannel;
if (channel == null)
{
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, -1, $"Message recieved from unknown channel Id {channelId}"));
return;
}
switch (channel.Name.ToLower())
{
case "book":
ProcessOrderBookUpdate(channel, entries);
return;
case "trades":
ProcessTradeUpdate(channel, entries);
return;
}
}
catch (Exception e)
{
Log.Error(e);
throw;
}
}
private BitfinexWebSocketWrapper GetFreeWebSocket(BitfinexChannel channel)
{
int count;
lock (_locker)
{
foreach (var kvp in _channelsByWebSocket)
{
if (kvp.Value.Count < MaximumSubscriptionsPerSocket)
{
kvp.Value.Add(channel);
count = _channelsByWebSocket.Sum(x => x.Value.Count);
Log.Trace($"BitfinexSubscriptionManager.GetFreeWebSocket(): Channel added: Total channels:{count}");
return(kvp.Key);
}
}
}
if (!_connectionRateLimiter.WaitToProceed(TimeSpan.Zero))
{
_connectionRateLimiter.WaitToProceed();
}
var webSocket = new BitfinexWebSocketWrapper(
new DefaultConnectionHandler
{
MaximumIdleTimeSpan = TimeSpan.FromSeconds(15)
});
lock (_locker)
{
_channelsByWebSocket.TryAdd(webSocket, new List <BitfinexChannel> {
channel
});
count = _channelsByWebSocket.Sum(x => x.Value.Count);
Log.Trace($"BitfinexSubscriptionManager.GetFreeWebSocket(): Channel added: Total channels:{count}");
}
webSocket.Initialize(_wssUrl);
webSocket.Message += OnMessage;
webSocket.Error += OnError;
Connect(webSocket);
webSocket.ConnectionHandler.ConnectionLost += OnConnectionLost;
webSocket.ConnectionHandler.ConnectionRestored += OnConnectionRestored;
webSocket.ConnectionHandler.ReconnectRequested += OnReconnectRequested;
webSocket.ConnectionHandler.Initialize(webSocket.ConnectionId);
Log.Trace("BitfinexSubscriptionManager.GetFreeWebSocket(): New websocket added: " +
$"Hashcode: {webSocket.GetHashCode()}, " +
$"WebSocket connections: {_channelsByWebSocket.Count}");
return(webSocket);
}
private void ProcessTradesSnapshot(BitfinexChannel channel, string[][] entries)
{
try
{
var symbol = _symbolMapper.GetLeanSymbol(channel.Symbol);
foreach (var entry in entries)
{
// pass time, price, amount
EmitTradeTick(symbol, entry.Skip(1).ToArray());
}
}
catch (Exception e)
{
Log.Error(e);
throw;
}
}
private BitfinexWebSocketWrapper SubscribeChannel(string channelName, Symbol symbol)
{
var ticker = _symbolMapper.GetBrokerageSymbol(symbol);
var channel = new BitfinexChannel {
Name = channelName, Symbol = ticker, ChannelId = string.Empty
};
var webSocket = GetFreeWebSocket(channel);
webSocket.Send(JsonConvert.SerializeObject(new
{
@event = "subscribe",
channel = channelName,
pair = ticker
}));
return(webSocket);
}
private void ProcessTradeUpdate(BitfinexChannel channel, string[] entries)
{
try
{
var symbol = _symbolMapper.GetLeanSymbol(channel.Symbol);
var time = Time.UnixMillisecondTimeStampToDateTime(double.Parse(entries[1], NumberStyles.Float, CultureInfo.InvariantCulture));
var amount = decimal.Parse(entries[2], NumberStyles.Float, CultureInfo.InvariantCulture);
var price = decimal.Parse(entries[3], NumberStyles.Float, CultureInfo.InvariantCulture);
EmitTradeTick(symbol, time, price, amount);
}
catch (Exception e)
{
Log.Error(e);
throw;
}
}
private void ProcessTradeUpdate(BitfinexChannel channel, string[] entries)
{
try
{
string eventType = entries[0];
if (eventType == "tu")
{
var symbol = _symbolMapper.GetLeanSymbol(channel.Symbol);
// pass time, price, amount
EmitTradeTick(symbol, new[] { entries[3], entries[4], entries[5] });
}
}
catch (Exception e)
{
Log.Error(e);
throw;
}
}
private void ProcessOrderBookSnapshot(BitfinexChannel channel, string[][] entries)
{
try
{
var symbol = _symbolMapper.GetLeanSymbol(channel.Symbol);
OrderBook orderBook;
if (!_orderBooks.TryGetValue(symbol, out orderBook))
{
orderBook = new OrderBook(symbol);
_orderBooks[symbol] = orderBook;
}
else
{
orderBook.BestBidAskUpdated -= OnBestBidAskUpdated;
orderBook.Clear();
}
foreach (var entry in entries)
{
var price = decimal.Parse(entry[0], NumberStyles.Float, CultureInfo.InvariantCulture);
var amount = decimal.Parse(entry[2], NumberStyles.Float, CultureInfo.InvariantCulture);
if (amount > 0)
{
orderBook.UpdateBidRow(price, amount);
}
else
{
orderBook.UpdateAskRow(price, Math.Abs(amount));
}
}
orderBook.BestBidAskUpdated += OnBestBidAskUpdated;
EmitQuoteTick(symbol, orderBook.BestBidPrice, orderBook.BestBidSize, orderBook.BestAskPrice, orderBook.BestAskSize);
}
catch (Exception e)
{
Log.Error(e);
throw;
}
}