private void Snapshot(dynamic data)
{
var currencyPair = _currencyMapper.GetCurrency((string)data.product_id);
var orderBook = new OrderBook
{
CurrencyPair = currencyPair
};
foreach (var bid in data.bids)
{
var bookItem = new OrderBookItem()
{
Price = DecimalHelper.Get((string)bid[0]),
Volume = DecimalHelper.Get((string)bid[1]),
};
orderBook.Bids.Add(bookItem);
}
foreach (var ask in data.asks)
{
var bookItem = new OrderBookItem()
{
Price = DecimalHelper.Get((string)ask[0]),
Volume = DecimalHelper.Get((string)ask[1]),
};
orderBook.Asks.Add(bookItem);
}
SortBids(orderBook);
SortAsks(orderBook);
_orderBookDict[currencyPair] = orderBook;
OrderBookChanged?.Invoke(orderBook.CurrencyPair, orderBook);
}
private void RegisterOrderBookChannel(Pusher pusher, CurrencyPair pair)
{
var orderBookChannel = pusher.Subscribe($"order_book{GetSubscriptionName(pair)}");
orderBookChannel.Subscribed += _chatChannel_Subscribed;
orderBookChannel.Bind("data", (dynamic data) =>
{
_dateLastUpdated = DateTime.UtcNow;
var orderBook = new OrderBook();
orderBook.CurrencyPair = pair;
foreach (var bid in data.bids)
{
var orderBookItem = new OrderBookItem
{
Volume = bid[1],
Price = bid[0]
};
orderBook.Bids.Add(orderBookItem);
}
foreach (var ask in data.asks)
{
var orderBookItem = new OrderBookItem
{
Volume = ask[1],
Price = ask[0]
};
orderBook.Asks.Add(orderBookItem);
}
_orderBookDict[pair] = orderBook;
OrderBookChanged?.Invoke(pair, orderBook);
});
}
/// <summary>Update the list of buy/sell orders</summary>
public void UpdateOrderBooks(IList <Offer> b2q, IList <Offer> q2b)
{
B2Q.Offers.Assign(b2q);
Q2B.Offers.Assign(q2b);
Debug.Assert(AssertOrdersValid());
OrderBookChanged?.Invoke(this, EventArgs.Empty);
}
private void OnOrderBookChanged()
{
OrderBookChanged?.Invoke(OrderBookAdapter);
if (Pair != null)
{
UsdRateChanged?.Invoke(Pair.Market.UsdEquivalent.UsdRate(Pair.Pair.BaseCurrency));
}
}
private void L2Update(dynamic data)
{
try
{
var currencyPair = _currencyMapper.GetCurrency((string)data.product_id);
var orderBook = _orderBookDict[currencyPair];
foreach (var change in data.changes)
{
var tradeType = (string)change[0];
var price = DecimalHelper.Get((string)change[1]);
var volume = DecimalHelper.Get((string)change[2]);
if (tradeType == "buy")
{
var bid = orderBook.Bids.FirstOrDefault(it => it.Price == price);
if (volume == 0)
{
if (bid != null)
{
orderBook.Bids.Remove(bid);
SortBids(orderBook);
}
}
else
{
if (bid != null)
{
bid.Volume = volume;
}
else
{
bid = new OrderBookItem()
{
Price = price,
Volume = volume
};
orderBook.Bids.Add(bid);
SortBids(orderBook);
}
}
}
else
{
var ask = orderBook.Asks.FirstOrDefault(it => it.Price == price);
if (volume == 0)
{
if (ask != null)
{
orderBook.Asks.Remove(ask);
SortAsks(orderBook);
}
}
if (ask != null)
{
ask.Volume = volume;
}
else
{
ask = new OrderBookItem()
{
Price = price,
Volume = volume
};
orderBook.Asks.Add(ask);
SortAsks(orderBook);
}
}
OrderBookChanged?.Invoke(currencyPair, orderBook);
}
}
catch (Exception)
{
//Todo:log data format error
}
}