public async Task <OrderBook> GetOrderBookAsync(OrderBookContext context)
{
var api = GdaxApiProvider.GetApi(context);
var pairCode = context.Pair.ToTicker(this);
var r = await api.GetProductOrderBookAsync(pairCode, OrderBookDepthLevel.FullNonAggregated).ConfigureAwait(false);
var bids = context.MaxRecordsCount == Int32.MaxValue
? r.bids.ToArray()
: r.bids.Take(context.MaxRecordsCount).ToArray();
var asks = context.MaxRecordsCount == Int32.MaxValue
? r.asks.ToArray()
: r.asks.Take(context.MaxRecordsCount).ToArray();
var orderBook = new OrderBook(Network, context.Pair);
foreach (var i in bids.Select(ConvertToOrderBookRecord))
{
orderBook.AddBid(i.Price, i.Size);
}
foreach (var i in asks.Select(ConvertToOrderBookRecord))
{
orderBook.AddAsk(i.Price, i.Size);
}
return(orderBook);
}
public async Task <OhlcDataResponse> GetOhlcAsync(OhlcContext context)
{
var api = GdaxApiProvider.GetApi(context);
var currencyCode = context.Pair.ToTicker(this);
var ohlc = new OhlcDataResponse(context.Resolution);
var seriesId = OhlcUtilities.GetHash(context.Pair, context.Resolution, Network);
var granularitySeconds = GetSeconds(context.Resolution);
var maxNumberOfCandles = 200;
var tsFrom = (long)context.Range.UtcFrom.ToUnixTimeStamp();
var tsTo = (long)context.Range.UtcTo.ToUnixTimeStamp();
var tsStep = maxNumberOfCandles * granularitySeconds;
var currTsTo = tsTo;
var currTsFrom = tsTo - tsStep;
while (currTsTo > tsFrom)
{
var candles = await api.GetCandlesAsync(currencyCode, currTsFrom.ToUtcDateTime(), currTsTo.ToUtcDateTime(), granularitySeconds).ConfigureAwait(false);
foreach (var candle in candles)
{
var dateTime = ((long)candle[0]).ToUtcDateTime();
ohlc.Add(new OhlcEntry(seriesId, dateTime, this)
{
Low = candle[1],
High = candle[2],
Open = candle[3],
Close = candle[4],
VolumeTo = candle[5],
VolumeFrom = candle[5],
WeightedAverage = 0 // Is not provided by API.
});
}
currTsTo = currTsFrom;
if (currTsTo - tsStep >= tsFrom)
{
currTsFrom -= tsStep;
}
else
{
currTsFrom = tsFrom;
}
ApiHelpers.EnterRate(this, context);
}
return(ohlc);
}
public async Task <AssetPairs> GetAssetPairsAsync(NetworkProviderContext context)
{
var api = GdaxApiProvider.GetApi(context);
var r = await api.GetProductsAsync().ConfigureAwait(false);
var pairs = new AssetPairs();
foreach (var rProduct in r)
{
pairs.Add(new AssetPair(rProduct.base_currency, rProduct.quote_currency));
}
return(pairs);
}