private void Handle(MarketByPriceUpdateMessage msg) { if (msg.Tick?.Bids != null) { for (var i = 0; i < msg.Tick.Bids.Length; ++i) { var bid = msg.Tick.Bids[i]; _logger.LogInformation($"Market by price update {msg.ParseSymbolFromTopic()} | [bid {i}: price={bid.Price} size={bid.Size}]"); } } if (msg.Tick?.Asks != null) { for (var i = 0; i < msg.Tick.Asks.Length; ++i) { var bid = msg.Tick.Asks[i]; _logger.LogInformation($"Market by price update {msg.ParseSymbolFromTopic()} | [ask {i}: price={bid.Price} size={bid.Size}]"); } } }
private OrderBookLevel[] ConvertLevels(MarketByPriceUpdateMessage response) { var symbol = response.ParseSymbolFromTopic(); return(ConvertLevels(symbol, response.Tick?.Bids, response.Tick?.Asks)); }