private void ProcessOrderBookUpdate(CBookParams bookParam, JArray jArrOrderBookUpdate)
{
_perf.StartOrdeBookUpd();
decimal price = (decimal)jArrOrderBookUpdate[0];
long count = (long)jArrOrderBookUpdate[1];
decimal amount = (decimal)jArrOrderBookUpdate[2];
/*
* _dictStockStor[bookParam.Instrument].Update(CBfxUtils.GetPrecInt(bookParam.Precision),
* price,count, amount);
*
*/
_dictStockStor[bookParam.Instrument].Update(
new CBfxStockStorUpdStock
{
amount = amount,
count = count,
prec = CBfxUtils.GetPrecInt(bookParam.Precision),
price = price
}
);
_perf.EndOrderBookUpd();
}
private void UpdateBookChanInstr(long chanId, CBookParams newBookParam)
{
//UpdateChanInstrDict(_dictBookChanidInstr, chanId, instrument);
//UpdateBookChanInstr(chanId, newBookParam);
bool bNeedRemove = false;
long keyRemove = 0;
//if channel changed (for example after disconnect)
//need to remove old channel first
foreach (var kvp in _dictBookChanidInstr)
{
if (kvp.Value.Instrument == newBookParam.Instrument &&
kvp.Value.Precision == newBookParam.Precision)
{
bNeedRemove = true;
keyRemove = kvp.Key;
}
}
if (bNeedRemove)
{
_dictBookChanidInstr.Remove(keyRemove);
}
_dictBookChanidInstr[chanId] = newBookParam;
}
private bool GetBookParam(long chanId, ref CBookParams bookParam)
{
if (_dictBookChanidInstr.ContainsKey(chanId))
{
bookParam = _dictBookChanidInstr[chanId];
return(true);
}
return(false);
}
private void ProcessOrderBookSnapshot(CBookParams bookParam, JArray jArrOrderBook)
{
_perf.StartOrdeBookSnapshot();
/*
* _dictStockStor[bookParam.Instrument].UpdateBySnapshot(CBfxUtils.GetPrecInt(bookParam.Precision),
* jArrOrderBook);
*/
_dictStockStor[bookParam.Instrument].UpdateBySnapshot
(new CBfxStockStorMsgUpdSnap
{
prec = CBfxUtils.GetPrecInt(bookParam.Precision),
jArrOrderBook = jArrOrderBook
});
_perf.EndOrderBookSnapshot();
}
public void ProcessData(string data)
{
LogRaw(data);
if (data[0] == '{') //event message
{
MessageBase mb = CBitfinexJsonSerializer.DeserializeObject <MessageBase>(data);
if (mb.Event == EnmMessageType.Info)
{
ProcessResponseInfo(CBitfinexJsonSerializer.DeserializeObject <ResponseInfo>(data));
}
else if (mb.Event == EnmMessageType.Auth)
{
ProcessResponseAuth(CBitfinexJsonSerializer.DeserializeObject <ResponseAuth>(data));
}
else if (mb.Event == EnmMessageType.Error)
{
ProcessResponseError(data, CBitfinexJsonSerializer.DeserializeObject <ResponseError>(data));
}
else if (mb.Event == EnmMessageType.Subscribed)
{
ResponseSubscribed rs = CBitfinexJsonSerializer.DeserializeObject <ResponseSubscribed>(data);
if (rs.Channel == "book")
{
ResponseSubscribedBook rsb = CBitfinexJsonSerializer.DeserializeObject <ResponseSubscribedBook>(data);
//string instrument = rs.Symbol[0] == 't' ? rs.Symbol.Remove(0, 1) : rs.Symbol;
CBookParams bp = new CBookParams
{
Instrument = rsb.Symbol[0] == 't' ? rsb.Symbol.Remove(0, 1) : rsb.Symbol,
Precision = rsb.Prec
};
//string instrument = rs.Symbol;
UpdateBookChanInstr(rs.ChanId, bp);
}
else if (rs.Channel == "trades")
{
UpdateTradesChanInstr(rs.ChanId, rs.Symbol);
}
}
}
else if (data[0] == '[') //channel data
{
JArray jArr = CBitfinexJsonSerializer.DeserializeObject <JArray>(data);
if (jArr.Count() < 2)
{
Error("Invalid message");
return;
}
long channelId = (int)jArr[0];
string instrument = "";
CBookParams bookParam = null;
if (channelId == _chanIdPersonalData)
{
string evnt = (string)jArr[1];
if (evnt == "ws")
{
ProcessWalletSnapshot(jArr);
}
else if (evnt == "wu")
{
ProcessWalletUpdate(jArr);
}
else if (evnt == "ps")
{
ProcessPositionsSnapshot((JArray)jArr[2]);
}
else if (evnt == "pn")
{
ProcessPositionNew((JArray)jArr[2]);
}
else if (evnt == "pu")
{
ProcessPositionUpdate((JArray)jArr[2]);
}
else if (evnt == "pc")
{
ProcessPositionClose((JArray)jArr[2]);
}
else if (evnt == "os")
{
ProcessOrdersSnapshot((JArray)jArr[2]);
}
else if (evnt == "on")
{
ProcessOrderNew((JArray)jArr[2]);
}
else if (evnt == "ou")
{
ProcessOrderUpdate((JArray)jArr[2]);
}
else if (evnt == "oc")
{
ProcessOrderCancell((JArray)jArr[2]);
}
else if (evnt == "fos")
{
ProcesFundingOrderSnapshot(jArr);
}
else if (evnt == "n")
{
ProcessNotification((JArray)jArr[2]);
}
else if (evnt == "te")
{
ProcessUserTradeExecute((JArray)jArr[2]);
}
else if (evnt == "tu")
{
ProcessUserTradeUpdate((JArray)jArr[2]);
}
else if (evnt == "hb")
{
if (_name.Contains("auth"))
{
ProcessHeartBeatAuth();
}
}
}
else if (GetBookParam(channelId, ref bookParam))
{
if (jArr.Count() == 2)
{
if (IsHeartBeat(jArr[1]))
{
return;
}
JArray arr = (JArray)jArr[1];
if (arr[0].Type == JTokenType.Array)
{
ProcessOrderBookSnapshot(bookParam, arr);
}
else
{
ProcessOrderBookUpdate(bookParam, arr);
}
}
}
else if (GetTradesInst(channelId, ref instrument))
{
if (jArr.Count() == 2)
{
if (IsHeartBeat(jArr[1]))
{
return;
}
ProcessTradesSnapshot(instrument, (JArray)jArr[1]);
}
else if (jArr.Count() == 3)
{
string evnt = (string)jArr[1];
//As we don't need trade id - use te, which must be recieved first,
//not tu using this docs:
// http://blog.bitfinex.com/api/websocket-api-update/
if (evnt == "te")
{
ProcessTradeExecute(instrument, (JArray)jArr[2]);
}
}
}
}
else
{
Error("Websocket. Unknown message");
}
}
