private static void Symbol_NewLevel2(Symbol symbol, Level2Quote level2, DOMQuote dom)
{
// Snapshot level2 update
if (dom != null)
{
List <Level2Quote> bids = dom.Bids;
List <Level2Quote> asks = dom.Asks;
}
// Incremental level2 update
if (level2 != null)
{
QuotePriceType priceType = level2.PriceType; // Bid or Ask
double price = level2.Price;
double size = level2.Size;
if (level2.Closed)
{
// If level is closed and should be deleted
}
}
// Get market depth info from symbol
var depthOfMarket = symbol.DepthOfMarket.GetDepthOfMarketAggregatedCollections();
}
private IEnumerable <Level2Quote> CreateLevel2Quotes(QuotePriceType priceType, HitOrderBookLevel[] hitLevels, string symbol, DateTime dateTime)
{
foreach (var item in hitLevels)
{
string id = $"MMID_{item.Price}";
double price = (double)item.Price;
double size = (double)item.Size;
yield return(new Level2Quote(priceType, symbol, id, price, size, dateTime));
}
}
private Level2Quote CreateLevel2Quote(BitfinexBookItem bitfinexBookItem)
{
QuotePriceType priceType = bitfinexBookItem.Amount > 0 ? QuotePriceType.Bid : QuotePriceType.Ask;
string symbol = bitfinexBookItem.Pair;
string id = $"MMID_{bitfinexBookItem.Price}";
double price = (double)bitfinexBookItem.Price;
double size = bitfinexBookItem.Count == 0 ? 0 : Math.Abs((double)bitfinexBookItem.Amount);
DateTime utcNow = Core.Instance.TimeUtils.DateTimeUtcNow;
return(new Level2Quote(priceType, symbol, id, price, size, utcNow));
}
public void ProcessQuote(MarketType market, string assetPair, QuotePriceType priceType, double price, DateTime timestamp)
{
var topic = $"quote.{market.ToString().ToLower()}.{assetPair.ToLower()}.{priceType.ToString().ToLower()}";
var subject = _realm.Services.GetSubject <QuoteClientMessage>(topic);
subject.OnNext(new QuoteClientMessage
{
AssetPairId = assetPair,
Market = market,
PriceType = priceType,
Timestamp = timestamp,
Price = price
});
}
