public async Task <GdaxOrderBook> GetFullOrderBook(string pair,
CancellationToken cancellationToken = default,
EventHandler <SentHttpRequest> sentHttpRequestHandler = default,
EventHandler <ReceivedHttpResponse> receivedHttpRequestHandler = default)
{
var response = await _restClient.ExecuteRestMethod <GdaxOrderBookRawResponse>(HttpMethod.Get,
string.Format(_orderBookRequestUrl, pair), new GdaxPostContentBase(), cancellationToken, sentHttpRequestHandler,
receivedHttpRequestHandler);
var orderBook = new GdaxOrderBook
{
Sequence = response.Sequence,
Asks = response.Asks.Select(ask => new GdaxOrderBookEntityRow
{
Price = decimal.Parse(ask[0], CultureInfo.InvariantCulture),
Size = decimal.Parse(ask[1], CultureInfo.InvariantCulture),
OrderId = Guid.Parse(ask[2])
}).ToList(),
Bids = response.Bids.Select(bid => new GdaxOrderBookEntityRow
{
Price = decimal.Parse(bid[0], CultureInfo.InvariantCulture),
Size = decimal.Parse(bid[1], CultureInfo.InvariantCulture),
OrderId = Guid.Parse(bid[2])
}).ToList()
};
return(orderBook);
}
private async Task HandleRetrievedOrderBook(string symbol, GdaxOrderBook orderBook)
{
var orders = orderBook.Asks.Select(order =>
_converters.GdaxOrderBookItemToOrderBookItem(symbol, false, order))
.Union(orderBook.Bids.Select(order =>
_converters.GdaxOrderBookItemToOrderBookItem(symbol, true, order)));
await HandleOrderBookSnapshotAsync(symbol, DateTime.UtcNow, orders);
_symbolsLastSequenceNumbers[symbol] = orderBook.Sequence;
}