private void OnSnapshot(string data)
{
try
{
var message = JsonConvert.DeserializeObject <Messages.Snapshot>(data);
var symbol = _symbolMapper.GetLeanSymbol(message.ProductId, SecurityType.Crypto, Market.GDAX);
DefaultOrderBook orderBook;
if (!_orderBooks.TryGetValue(symbol, out orderBook))
{
orderBook = new DefaultOrderBook(symbol);
_orderBooks[symbol] = orderBook;
}
else
{
orderBook.BestBidAskUpdated -= OnBestBidAskUpdated;
orderBook.Clear();
}
foreach (var row in message.Bids)
{
var price = decimal.Parse(row[0], NumberStyles.Float, CultureInfo.InvariantCulture);
var size = decimal.Parse(row[1], NumberStyles.Float, CultureInfo.InvariantCulture);
orderBook.UpdateBidRow(price, size);
}
foreach (var row in message.Asks)
{
var price = decimal.Parse(row[0], NumberStyles.Float, CultureInfo.InvariantCulture);
var size = decimal.Parse(row[1], NumberStyles.Float, CultureInfo.InvariantCulture);
orderBook.UpdateAskRow(price, size);
}
orderBook.BestBidAskUpdated += OnBestBidAskUpdated;
if (_isDataQueueHandler)
{
EmitQuoteTick(symbol, orderBook.BestBidPrice, orderBook.BestBidSize, orderBook.BestAskPrice, orderBook.BestAskSize);
}
}
catch (Exception e)
{
Log.Error(e);
throw;
}
}
private void ProcessOrderBookSnapshot(Channel channel, string[][] entries)
{
try
{
var symbol = channel.Symbol;
DefaultOrderBook orderBook;
if (!_orderBooks.TryGetValue(symbol, out orderBook))
{
orderBook = new DefaultOrderBook(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;
}
}
