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Code Issues Releases Wiki Activity

Added strict levels to symbol order book

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JKorf 2020-06-16 16:18:57 +02:00
parent c60131d464
commit 20bf8df4ef
3 changed files with 59 additions and 148 deletions
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161
CryptoExchange.Net/CryptoExchange.Net.xml
View File

@ -1541,11 +1541,20 @@
Whether each update should have a consecutive id number. Used to identify and reconnect when numbers are skipped. Whether each update should have a consecutive id number. Used to identify and reconnect when numbers are skipped.
</summary> </summary>
</member> </member>
<member name="M:CryptoExchange.Net.Objects.OrderBookOptions.#ctor(System.String,System.Boolean)"> <member name="P:CryptoExchange.Net.Objects.OrderBookOptions.StrictLevels">
<summary>
Whether or not a level should be removed from the book when it's pushed out of scope of the limit. For example with a book of limit 10,
when a new bid is added which makes the total amount of bids 11, should the last bid entry be removed
</summary>
</member>
<member name="M:CryptoExchange.Net.Objects.OrderBookOptions.#ctor(System.String,System.Boolean,System.Boolean)">
<summary> <summary>
</summary> </summary>
<param name="name">The name of the order book implementation</param> <param name="name">The name of the order book implementation</param>
<param name="sequencesAreConsecutive">Whether each update should have a consecutive id number. Used to identify and reconnect when numbers are skipped.</param> <param name="sequencesAreConsecutive">Whether each update should have a consecutive id number. Used to identify and reconnect when numbers are skipped.</param>
<param name="strictLevels">Whether or not a level should be removed from the book when it's pushed out of scope of the limit. For example with a book of limit 10,
when a new bid is added which makes the total amount of bids 11, should the last bid entry be removed</param>
<param name="levels">Amount of levels for this order book</param>
</member> </member>
<member name="M:CryptoExchange.Net.Objects.OrderBookOptions.ToString"> <member name="M:CryptoExchange.Net.Objects.OrderBookOptions.ToString">
<inheritdoc /> <inheritdoc />
@ -1757,6 +1766,11 @@
If order book is set If order book is set
</summary> </summary>
</member> </member>
<member name="P:CryptoExchange.Net.OrderBook.SymbolOrderBook.Levels">
<summary>
The amount of levels for this book
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.SymbolOrderBook.Status"> <member name="P:CryptoExchange.Net.OrderBook.SymbolOrderBook.Status">
<summary> <summary>
The status of the order book. Order book is up to date when the status is `Synced` The status of the order book. Order book is up to date when the status is `Synced`
@ -2946,148 +2960,3 @@
</member> </member>
</members> </members>
</doc> </doc>
System.Diagnostics.CodeAnalysis.AllowNullAttribute">
<summary>
Specifies that <see langword="null"/> is allowed as an input even if the
corresponding type disallows it.
</summary>
</member>
<member name="M:System.Diagnostics.CodeAnalysis.AllowNullAttribute.#ctor">
<summary>
Initializes a new instance of the <see cref="T:System.Diagnostics.CodeAnalysis.AllowNullAttribute"/> class.
</summary>
</member>
<member name="T:System.Diagnostics.CodeAnalysis.DisallowNullAttribute">
<summary>
Specifies that <see langword="null"/> is disallowed as an input even if the
corresponding type allows it.
</summary>
</member>
<member name="M:System.Diagnostics.CodeAnalysis.DisallowNullAttribute.#ctor">
<summary>
Initializes a new instance of the <see cref="T:System.Diagnostics.CodeAnalysis.DisallowNullAttribute"/> class.
</summary>
</member>
<member name="T:System.Diagnostics.CodeAnalysis.DoesNotReturnAttribute">
<summary>
Specifies that a method that will never return under any circumstance.
</summary>
</member>
<member name="M:System.Diagnostics.CodeAnalysis.DoesNotReturnAttribute.#ctor">
<summary>
Initializes a new instance of the <see cref="T:System.Diagnostics.CodeAnalysis.DoesNotReturnAttribute"/> class.
</summary>
</member>
<member name="T:System.Diagnostics.CodeAnalysis.DoesNotReturnIfAttribute">
<summary>
Specifies that the method will not return if the associated <see cref="T:System.Boolean"/>
parameter is passed the specified value.
</summary>
</member>
<member name="P:System.Diagnostics.CodeAnalysis.DoesNotReturnIfAttribute.ParameterValue">
<summary>
Gets the condition parameter value.
Code after the method is considered unreachable by diagnostics if the argument
to the associated parameter matches this value.
</summary>
</member>
<member name="M:System.Diagnostics.CodeAnalysis.DoesNotReturnIfAttribute.#ctor(System.Boolean)">
<summary>
Initializes a new instance of the <see cref="T:System.Diagnostics.CodeAnalysis.DoesNotReturnIfAttribute"/>
class with the specified parameter value.
</summary>
<param name="parameterValue">
The condition parameter value.
Code after the method is considered unreachable by diagnostics if the argument
to the associated parameter matches this value.
</param>
</member>
<member name="T:System.Diagnostics.CodeAnalysis.MaybeNullAttribute">
<summary>
Specifies that an output may be <see langword="null"/> even if the
corresponding type disallows it.
</summary>
</member>
<member name="M:System.Diagnostics.CodeAnalysis.MaybeNullAttribute.#ctor">
<summary>
Initializes a new instance of the <see cref="T:System.Diagnostics.CodeAnalysis.MaybeNullAttribute"/> class.
</summary>
</member>
<member name="T:System.Diagnostics.CodeAnalysis.MaybeNullWhenAttribute">
<summary>
Specifies that when a method returns <see cref="P:System.Diagnostics.CodeAnalysis.MaybeNullWhenAttribute.ReturnValue"/>,
the parameter may be <see langword="null"/> even if the corresponding type disallows it.
</summary>
</member>
<member name="P:System.Diagnostics.CodeAnalysis.MaybeNullWhenAttribute.ReturnValue">
<summary>
Gets the return value condition.
If the method returns this value, the associated parameter may be <see langword="null"/>.
</summary>
</member>
<member name="M:System.Diagnostics.CodeAnalysis.MaybeNullWhenAttribute.#ctor(System.Boolean)">
<summary>
Initializes the attribute with the specified return value condition.
</summary>
<param name="returnValue">
The return value condition.
If the method returns this value, the associated parameter may be <see langword="null"/>.
</param>
</member>
<member name="T:System.Diagnostics.CodeAnalysis.NotNullAttribute">
<summary>
Specifies that an output is not <see langword="null"/> even if the
corresponding type allows it.
</summary>
</member>
<member name="M:System.Diagnostics.CodeAnalysis.NotNullAttribute.#ctor">
<summary>
Initializes a new instance of the <see cref="T:System.Diagnostics.CodeAnalysis.NotNullAttribute"/> class.
</summary>
</member>
<member name="T:System.Diagnostics.CodeAnalysis.NotNullIfNotNullAttribute">
<summary>
Specifies that the output will be non-<see langword="null"/> if the
named parameter is non-<see langword="null"/>.
</summary>
</member>
<member name="P:System.Diagnostics.CodeAnalysis.NotNullIfNotNullAttribute.ParameterName">
<summary>
Gets the associated parameter name.
The output will be non-<see langword="null"/> if the argument to the
parameter specified is non-<see langword="null"/>.
</summary>
</member>
<member name="M:System.Diagnostics.CodeAnalysis.NotNullIfNotNullAttribute.#ctor(System.String)">
<summary>
Initializes the attribute with the associated parameter name.
</summary>
<param name="parameterName">
The associated parameter name.
The output will be non-<see langword="null"/> if the argument to the
parameter specified is non-<see langword="null"/>.
</param>
</member>
<member name="T:System.Diagnostics.CodeAnalysis.NotNullWhenAttribute">
<summary>
Specifies that when a method returns <see cref="P:System.Diagnostics.CodeAnalysis.NotNullWhenAttribute.ReturnValue"/>,
the parameter will not be <see langword="null"/> even if the corresponding type allows it.
</summary>
</member>
<member name="P:System.Diagnostics.CodeAnalysis.NotNullWhenAttribute.ReturnValue">
<summary>
Gets the return value condition.
If the method returns this value, the associated parameter will not be <see langword="null"/>.
</summary>
</member>
<member name="M:System.Diagnostics.CodeAnalysis.NotNullWhenAttribute.#ctor(System.Boolean)">
<summary>
Initializes the attribute with the specified return value condition.
</summary>
<param name="returnValue">
The return value condition.
If the method returns this value, the associated parameter will not be <see langword="null"/>.
</param>
</member>
</members>
</doc>

14
CryptoExchange.Net/Objects/Options.cs
View File

@ -44,20 +44,30 @@ namespace CryptoExchange.Net.Objects
/// </summary> /// </summary>
public bool SequenceNumbersAreConsecutive { get; } public bool SequenceNumbersAreConsecutive { get; }
/// <summary>
/// Whether or not a level should be removed from the book when it's pushed out of scope of the limit. For example with a book of limit 10,
/// when a new bid is added which makes the total amount of bids 11, should the last bid entry be removed
/// </summary>
public bool StrictLevels { get; }
/// <summary> /// <summary>
/// </summary> /// </summary>
/// <param name="name">The name of the order book implementation</param> /// <param name="name">The name of the order book implementation</param>
/// <param name="sequencesAreConsecutive">Whether each update should have a consecutive id number. Used to identify and reconnect when numbers are skipped.</param> /// <param name="sequencesAreConsecutive">Whether each update should have a consecutive id number. Used to identify and reconnect when numbers are skipped.</param>
public OrderBookOptions(string name, bool sequencesAreConsecutive) /// <param name="strictLevels">Whether or not a level should be removed from the book when it's pushed out of scope of the limit. For example with a book of limit 10,
/// when a new bid is added which makes the total amount of bids 11, should the last bid entry be removed</param>
/// <param name="levels">Amount of levels for this order book</param>
public OrderBookOptions(string name, bool sequencesAreConsecutive, bool strictLevels)
{ {
OrderBookName = name; OrderBookName = name;
SequenceNumbersAreConsecutive = sequencesAreConsecutive; SequenceNumbersAreConsecutive = sequencesAreConsecutive;
StrictLevels = strictLevels;
} }
/// <inheritdoc /> /// <inheritdoc />
public override string ToString() public override string ToString()
{ {
return $"{base.ToString()}, OrderBookName: {OrderBookName}, SequenceNumbersAreConsequtive: {SequenceNumbersAreConsecutive}"; return $"{base.ToString()}, OrderBookName: {OrderBookName}, SequenceNumbersAreConsequtive: {SequenceNumbersAreConsecutive}, StrictLevels: {StrictLevels}";
} }
} }

32
CryptoExchange.Net/OrderBook/SymbolOrderBook.cs
View File

@ -35,6 +35,7 @@ namespace CryptoExchange.Net.OrderBook
private OrderBookStatus status; private OrderBookStatus status;
private UpdateSubscription? subscription; private UpdateSubscription? subscription;
private readonly bool sequencesAreConsecutive; private readonly bool sequencesAreConsecutive;
private readonly bool strictLevels;
private Task _processTask; private Task _processTask;
private AutoResetEvent _queueEvent; private AutoResetEvent _queueEvent;
@ -54,6 +55,11 @@ namespace CryptoExchange.Net.OrderBook
/// </summary> /// </summary>
protected bool bookSet; protected bool bookSet;
/// <summary>
/// The amount of levels for this book
/// </summary>
protected int? Levels { get; set; } = null;
/// <summary> /// <summary>
/// The status of the order book. Order book is up to date when the status is `Synced` /// The status of the order book. Order book is up to date when the status is `Synced`
/// </summary> /// </summary>
@ -194,6 +200,7 @@ namespace CryptoExchange.Net.OrderBook
_queueEvent = new AutoResetEvent(false); _queueEvent = new AutoResetEvent(false);
sequencesAreConsecutive = options.SequenceNumbersAreConsecutive; sequencesAreConsecutive = options.SequenceNumbersAreConsecutive;
strictLevels = options.StrictLevels;
Symbol = symbol; Symbol = symbol;
Status = OrderBookStatus.Disconnected; Status = OrderBookStatus.Disconnected;
@ -236,6 +243,8 @@ namespace CryptoExchange.Net.OrderBook
log.Write(LogVerbosity.Warning, $"{Id} order book {Symbol} connection lost"); log.Write(LogVerbosity.Warning, $"{Id} order book {Symbol} connection lost");
Status = OrderBookStatus.Connecting; Status = OrderBookStatus.Connecting;
_queueEvent.Set(); _queueEvent.Set();
// Clear queue
while(_processQueue.TryDequeue(out _))
processBuffer.Clear(); processBuffer.Clear();
bookSet = false; bookSet = false;
DoReset(); DoReset();
@ -328,6 +337,14 @@ namespace CryptoExchange.Net.OrderBook
CheckProcessBuffer(); CheckProcessBuffer();
var (prevBestBid, prevBestAsk) = BestOffers; var (prevBestBid, prevBestAsk) = BestOffers;
ProcessRangeUpdates(item.StartUpdateId, item.EndUpdateId, item.Bids, item.Asks); ProcessRangeUpdates(item.StartUpdateId, item.EndUpdateId, item.Bids, item.Asks);
if (asks.First().Key < bids.First().Key)
{
log.Write(LogVerbosity.Warning, $"{Id} order book {Symbol} detected out of sync order book. Resyncing");
_ = subscription?.Reconnect();
return;
}
OnOrderBookUpdate?.Invoke(item.Bids, item.Asks); OnOrderBookUpdate?.Invoke(item.Bids, item.Asks);
CheckBestOffersChanged(prevBestBid, prevBestAsk); CheckBestOffersChanged(prevBestBid, prevBestAsk);
} }
@ -429,6 +446,21 @@ namespace CryptoExchange.Net.OrderBook
foreach (var entry in asks) foreach (var entry in asks)
ProcessUpdate(LastSequenceNumber + 1, OrderBookEntryType.Ask, entry); ProcessUpdate(LastSequenceNumber + 1, OrderBookEntryType.Ask, entry);
if (Levels.HasValue && strictLevels)
{
while (this.bids.Count() > Levels.Value)
{
BidCount--;
this.bids.Remove(this.bids.Last().Key);
}
while (this.asks.Count() > Levels.Value)
{
AskCount--;
this.asks.Remove(this.asks.Last().Key);
}
}
LastSequenceNumber = lastUpdateId; LastSequenceNumber = lastUpdateId;
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} update processed #{firstUpdateId}-{lastUpdateId}"); log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} update processed #{firstUpdateId}-{lastUpdateId}");
} }