protected override void DoRunLoopSubscriptions(string resp)
{
WebSocketSubscriptionEvent eventSubscr = JsonConvert.DeserializeObject <WebSocketSubscriptionEvent>(resp);
if (ResponseRequestSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
if (eventSubscr.table == _ORDERBOOK_L2 && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
WebSocketOrderBookL2Event orderBookL2Event = JsonConvert.DeserializeObject <WebSocketOrderBookL2Event>(resp);
WebSocketSubscriptionEvent subscrEvent = EventSubscriptions[eventSubscr.GetSubscriptionEvent()];
subscrEvent.RunEvent(orderBookL2Event);
}
else if (eventSubscr.table == _TRADE && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
WebSocketTradeEvent tradeEvent = JsonConvert.DeserializeObject <WebSocketTradeEvent>(resp);
WebSocketSubscriptionEvent subscrEvent = EventSubscriptions[eventSubscr.GetSubscriptionEvent()];
subscrEvent.RunEvent(tradeEvent);
}
else if (eventSubscr.table == _QUOTE && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
WebSocketQuoteEvent quoteEvent = JsonConvert.DeserializeObject <WebSocketQuoteEvent>(resp);
WebSocketSubscriptionEvent subscrEvent = EventSubscriptions[eventSubscr.GetSubscriptionEvent()];
subscrEvent.RunEvent(quoteEvent);
}
else if (eventSubscr.table == _1_DAY_TRADE_BINS && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
//TODO: I have to ask BitMex why aren't they retrieveing high and low for the 1 day bin
//and they are for the 1 hour bin
}
else
{
//Log what we are receiving here because we are getting events that we didn't expect
}
}
}
protected void UpdateTrade(WebSocketSubscriptionEvent subscrEvent)
{
if (subscrEvent is WebSocketErrorMessage)
{
ProcessSubscrError((WebSocketErrorMessage)subscrEvent);
return;
}
WebSocketTradeEvent trades = (WebSocketTradeEvent)subscrEvent;
foreach (zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.Trade trade in trades.data.OrderBy(x => x.timestamp))
{
try
{
if (ActiveSecuritiesQuotes.Values.Where(x => x.Symbol == trade.symbol).FirstOrDefault() != null)
{
Security sec = ActiveSecuritiesQuotes.Values.Where(x => x.Symbol == trade.symbol).FirstOrDefault();
sec.MarketData.Trade = Convert.ToDouble(trade.price);
sec.MarketData.MDTradeSize = Convert.ToDouble(trade.size);
sec.MarketData.LastTradeDateTime = trade.timestamp;
sec.ProcessStatistics();
DoLog(string.Format("@{5}:NEW TRADE for symbol {0}: Side={1} Size={2} Price={3} TickDirection={4}",
trade.symbol, trade.side, trade.size.ToString("##.##"), trade.price.ToString("##.########"), trade.tickDirection,
BitmexConfiguration.Name), Main.Common.Util.Constants.MessageType.Information);
MarketDataTradesWrapper wrapper = new MarketDataTradesWrapper(sec, GetConfig());
OnMessageRcv(wrapper);
}
}
catch (Exception ex)
{
DoLog(string.Format("@{0}:Error processing trade for symbol {1}:{2}", BitmexConfiguration.Name, trade.symbol, ex.Message), Main.Common.Util.Constants.MessageType.Error);
}
}
}
