/// <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);
}
}
protected override IWebSocket OnGetOrderBookDeltasWebSocket(Action <ExchangeOrderBook> callback, int maxCount = 20, params string[] symbols)
{
if (callback == null || symbols == null || !symbols.Any())
{
return(null);
}
string combined = string.Join("/", symbols.Select(s => this.NormalizeSymbol(s).ToLowerInvariant() + "@depth"));
return(ConnectWebSocket($"/stream?streams={combined}", (msg, _socket) =>
{
try
{
string json = msg.UTF8String();
var update = JsonConvert.DeserializeObject <BinanceMultiDepthStream>(json);
string symbol = update.Data.Symbol;
ExchangeOrderBook book = new ExchangeOrderBook {
SequenceId = update.Data.FinalUpdate, Symbol = symbol
};
foreach (List <object> ask in update.Data.Asks)
{
var depth = new ExchangeOrderPrice {
Price = ask[0].ConvertInvariant <decimal>(), Amount = ask[1].ConvertInvariant <decimal>()
};
book.Asks[depth.Price] = depth;
}
foreach (List <object> bid in update.Data.Bids)
{
var depth = new ExchangeOrderPrice {
Price = bid[0].ConvertInvariant <decimal>(), Amount = bid[1].ConvertInvariant <decimal>()
};
book.Bids[depth.Price] = depth;
}
callback(book);
}
catch
{
}
}));
}
/// <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>
public static ExchangeOrderBook ParseOrderBookFromJTokenDictionaries(
JToken token,
string asks = "asks",
string bids = "bids",
string price = "price",
string amount = "amount",
string sequence = "ts",
int maxCount = 100)
{
var book = new ExchangeOrderBook {
SequenceId = token[sequence].ConvertInvariant <long>()
};
foreach (JToken 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 (JToken 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);
}
protected override IWebSocket OnGetOrderBookDeltasWebSocket(
Action <ExchangeOrderBook> callback,
int maxCount = 20,
params string[] symbols)
{
if (callback == null || symbols == null || !symbols.Any())
{
return(null);
}
void innerCallback(string json)
{
#region sample json
/*
* {
* MarketName : string,
* Nonce : int,
* Buys:
* [
* {
* Type : int,
* Rate : decimal,
* Quantity : decimal
* }
* ],
* Sells:
* [
* {
* Type : int,
* Rate : decimal,
* Quantity : decimal
* }
* ],
* Fills:
* [
* {
* FillId : int,
* OrderType : string,
* Rate : decimal,
* Quantity : decimal,
* TimeStamp : date
* }
* ]
* }
*/
#endregion
var ordersUpdates = JsonConvert.DeserializeObject <BittrexStreamUpdateExchangeState>(json);
var book = new ExchangeOrderBook();
foreach (BittrexStreamOrderBookUpdateEntry ask in ordersUpdates.Sells)
{
var depth = new ExchangeOrderPrice {
Price = ask.Rate, Amount = ask.Quantity
};
book.Asks[depth.Price] = depth;
}
foreach (BittrexStreamOrderBookUpdateEntry bid in ordersUpdates.Buys)
{
var depth = new ExchangeOrderPrice {
Price = bid.Rate, Amount = bid.Quantity
};
book.Bids[depth.Price] = depth;
}
book.Symbol = ordersUpdates.MarketName;
book.SequenceId = ordersUpdates.Nonce;
callback(book);
}
return(this.SocketManager.SubscribeToExchangeDeltas(innerCallback, symbols));
}
