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introduce a default empty ISymbolOrderBookEntry that is returned buy BestBid or BestAsk if called when the bid or ask lists are empty. This resolves a null reference exception seen during syncronization (specifically when connecting to Kraken). I have also introduced BestOffers which returns both bid and ask in the scope of one lock allowing the caller to be sure that nothing has changed between BestBid and BestAsk request.

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This commit is contained in:
Ben Davison
2020-01-30 16:55:47 +00:00
parent 99d514c647
commit 08d7022815
3 changed files with 249 additions and 11 deletions
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CryptoExchange.Net/OrderBook/SymbolOrderBook.cs
+29 -11
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@@ -127,6 +127,14 @@ namespace CryptoExchange.Net.OrderBook
}
}
private class EmptySymbolOrderBookEntry : ISymbolOrderBookEntry
{
public decimal Quantity { get { return 0m; } set {; } }
public decimal Price { get { return 0m; } set {; } }
}
private static ISymbolOrderBookEntry emptySymbolOrderBookEntry = new EmptySymbolOrderBookEntry();
/// <summary>
/// The best bid currently in the order book
/// </summary>
@@ -135,7 +143,7 @@ namespace CryptoExchange.Net.OrderBook
get
{
lock (bookLock)
return bids.FirstOrDefault().Value;
return bids.FirstOrDefault().Value ?? emptySymbolOrderBookEntry;
}
}
@@ -147,7 +155,19 @@ namespace CryptoExchange.Net.OrderBook
get
{
lock (bookLock)
return asks.FirstOrDefault().Value;
return asks.FirstOrDefault().Value ?? emptySymbolOrderBookEntry;
}
}
/// <summary>
/// BestBid/BesAsk returned as a pair
/// </summary>
public Tuple<ISymbolOrderBookEntry, ISymbolOrderBookEntry> BestOffers {
get {
lock (bookLock)
{
return new Tuple<ISymbolOrderBookEntry, ISymbolOrderBookEntry>(BestBid,BestAsk);
}
}
}
@@ -298,9 +318,10 @@ namespace CryptoExchange.Net.OrderBook
private void CheckBestOffersChanged(ISymbolOrderBookEntry prevBestBid, ISymbolOrderBookEntry prevBestAsk)
{
if (BestBid.Price != prevBestBid.Price || BestBid.Quantity != prevBestBid.Quantity ||
BestAsk.Price != prevBestAsk.Price || BestAsk.Quantity != prevBestAsk.Quantity)
OnBestOffersChanged?.Invoke(BestBid, BestAsk);
var (bestBid, bestAsk) = BestOffers;
if (bestBid.Price != prevBestBid.Price || bestBid.Quantity != prevBestBid.Quantity ||
bestAsk.Price != prevBestAsk.Price || bestAsk.Quantity != prevBestAsk.Quantity)
OnBestOffersChanged?.Invoke(bestBid, bestAsk);
}
/// <summary>
@@ -329,8 +350,7 @@ namespace CryptoExchange.Net.OrderBook
else
{
CheckProcessBuffer();
var prevBestBid = BestBid;
var prevBestAsk = BestAsk;
var (prevBestBid, prevBestAsk) = BestOffers;
ProcessSingleSequenceUpdates(rangeUpdateId, bids, asks);
OnOrderBookUpdate?.Invoke(bids, asks);
CheckBestOffersChanged(prevBestBid, prevBestAsk);
@@ -366,8 +386,7 @@ namespace CryptoExchange.Net.OrderBook
else
{
CheckProcessBuffer();
var prevBestBid = BestBid;
var prevBestAsk = BestAsk;
var (prevBestBid, prevBestAsk) = BestOffers;
ProcessRangeUpdates(firstUpdateId, lastUpdateId, bids, asks);
OnOrderBookUpdate?.Invoke(bids, asks);
CheckBestOffersChanged(prevBestBid, prevBestAsk);
@@ -396,8 +415,7 @@ namespace CryptoExchange.Net.OrderBook
else
{
CheckProcessBuffer();
var prevBestBid = BestBid;
var prevBestAsk = BestAsk;
var (prevBestBid, prevBestAsk) = BestOffers;
ProcessUpdates(bids, asks);
OnOrderBookUpdate?.Invoke(bids, asks);
CheckBestOffersChanged(prevBestBid, prevBestAsk);