/// <summary>
/// Cryptocurrency order book.
/// Process order book data from one source per one target pair.
/// </summary>
/// <param name="targetPair">Select target pair</param>
/// <param name="source">Provide order book data source</param>
/// <param name="targetType">Select target precision (default: All - accepts every type of data)</param>
public CryptoOrderBook(string targetPair, IOrderBookSource source, CryptoOrderBookType targetType = CryptoOrderBookType.All)
{
CryptoValidations.ValidateInput(targetPair, nameof(targetPair));
CryptoValidations.ValidateInput(source, nameof(source));
TargetPairOriginal = targetPair;
TargetPair = CryptoPairsHelper.Clean(targetPair);
_source = source;
TargetType = targetType;
if (targetType == CryptoOrderBookType.L1 || targetType == CryptoOrderBookType.L2)
{
// save memory, only one order at price level
_priceLevelInitialCapacity = 1;
}
else if (targetType == CryptoOrderBookType.L3)
{
// better performance, could be multiple orders at price level
_priceLevelInitialCapacity = 5;
}
Subscribe();
RestartAutoSnapshotReloading();
RestartValidityChecking();
}
public static OrderBookLevelBulk GetDeleteBulk(CryptoOrderBookType type, params OrderBookLevel[] levels)
{
return new OrderBookLevelBulk(OrderBookAction.Delete, levels, type);
}
public static OrderBookLevelBulk GetInsertBulk(CryptoOrderBookType type, params OrderBookLevel[] levels)
{
return new OrderBookLevelBulk(OrderBookAction.Insert, levels, type);
}
/// <inheritdoc />
public OrderBookLevelBulk(OrderBookAction action, OrderBookLevel[] levels, CryptoOrderBookType orderBookType)
{
Action = action;
OrderBookType = orderBookType;
Levels = levels ?? new OrderBookLevel[0];
}
public static OrderBookLevelBulk GetUpdateBulk(CryptoOrderBookType type, params OrderBookLevel[] levels)
{
return(new OrderBookLevelBulk(OrderBookAction.Update, levels, type));
}
