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Code Issues Releases Wiki Activity

Cleaned up order book

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This commit is contained in:
Jan Korf 2019-10-21 21:44:51 +02:00
parent 964403d750
commit 3ba0507a79
7 changed files with 55 additions and 137 deletions
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66
CryptoExchange.Net/CryptoExchange.Net.xml
View File

@ -538,6 +538,13 @@
<param name="value">The value of the object</param>
<param name="argumentName">Name of the parameter</param>
</member>
<member name="M:CryptoExchange.Net.ExtensionMethods.ValidateNotNull``1(System.Collections.Generic.IEnumerable{``0},System.String)">
<summary>
Validates a list is not null or empty
</summary>
<param name="value">The value of the object</param>
<param name="argumentName">Name of the parameter</param>
</member>
<member name="T:CryptoExchange.Net.Interfaces.IRateLimiter">
<summary>
Rate limiter interface
@ -1637,28 +1644,6 @@
<member name="M:CryptoExchange.Net.Objects.SocketClientOptions.ToString">
<inheritdoc />
</member>
<member name="T:CryptoExchange.Net.OrderBook.OrderBookEntry">
<summary>
Order book entry
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.OrderBookEntry.Quantity">
<summary>
Quantity of the entry
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.OrderBookEntry.Price">
<summary>
Price of the entry
</summary>
</member>
<member name="M:CryptoExchange.Net.OrderBook.OrderBookEntry.#ctor(System.Decimal,System.Decimal)">
<summary>
ctor
</summary>
<param name="price"></param>
<param name="quantity"></param>
</member>
<member name="T:CryptoExchange.Net.OrderBook.ProcessBufferEntry">
<summary>
Buffer entry for order book
@ -1674,38 +1659,16 @@
The last sequence number of the entries
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.ProcessBufferEntry.Entries">
<member name="P:CryptoExchange.Net.OrderBook.ProcessBufferEntry.Asks">
<summary>
List of entries
List of asks
</summary>
</member>
<member name="M:CryptoExchange.Net.OrderBook.ProcessBufferEntry.#ctor">
<member name="P:CryptoExchange.Net.OrderBook.ProcessBufferEntry.Bids">
<summary>
ctor
List of bids
</summary>
</member>
<member name="T:CryptoExchange.Net.OrderBook.ProcessEntry">
<summary>
Process entry for order book
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.ProcessEntry.Entry">
<summary>
The entry
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.ProcessEntry.Type">
<summary>
The type
</summary>
</member>
<member name="M:CryptoExchange.Net.OrderBook.ProcessEntry.#ctor(CryptoExchange.Net.Objects.OrderBookEntryType,CryptoExchange.Net.Interfaces.ISymbolOrderBookEntry)">
<summary>
ctor
</summary>
<param name="type"></param>
<param name="entry"></param>
</member>
<member name="T:CryptoExchange.Net.OrderBook.SymbolOrderBook">
<summary>
Base for order book implementations
@ -1758,7 +1721,7 @@
</member>
<member name="E:CryptoExchange.Net.OrderBook.SymbolOrderBook.OnOrderBookUpdate">
<summary>
Event when order book was updated. Be careful! It can generate a lot of events at high-liquidity markets
Event when order book was updated, containing the changed bids and asks. Be careful! It can generate a lot of events at high-liquidity markets
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.SymbolOrderBook.LastOrderBookUpdate">
@ -1852,13 +1815,14 @@
<param name="askList">List of asks</param>
<param name="bidList">List of bids</param>
</member>
<member name="M:CryptoExchange.Net.OrderBook.SymbolOrderBook.UpdateOrderBook(System.Int64,System.Int64,System.Collections.Generic.List{CryptoExchange.Net.OrderBook.ProcessEntry})">
<member name="M:CryptoExchange.Net.OrderBook.SymbolOrderBook.UpdateOrderBook(System.Int64,System.Int64,System.Collections.Generic.IEnumerable{CryptoExchange.Net.Interfaces.ISymbolOrderBookEntry},System.Collections.Generic.IEnumerable{CryptoExchange.Net.Interfaces.ISymbolOrderBookEntry})">
<summary>
Update the order book with entries
</summary>
<param name="firstSequenceNumber">First sequence number</param>
<param name="lastSequenceNumber">Last sequence number</param>
<param name="entries">List of entries</param>
<param name="bids">List of bids</param>
<param name="asks">List of asks</param>
</member>
<member name="M:CryptoExchange.Net.OrderBook.SymbolOrderBook.CheckProcessBuffer">
<summary>

11
CryptoExchange.Net/ExtensionMethods.cs
View File

@ -262,6 +262,17 @@ namespace CryptoExchange.Net
if (value == null)
throw new ArgumentException($"No value provided for parameter {argumentName}");
}
/// <summary>
/// Validates a list is not null or empty
/// </summary>
/// <param name="value">The value of the object</param>
/// <param name="argumentName">Name of the parameter</param>
public static void ValidateNotNull<T>(this IEnumerable<T> value, string argumentName)
{
if (value == null || !value.Any())
throw new ArgumentException($"No values provided for parameter {argumentName}");
}
}
}

2
CryptoExchange.Net/Interfaces/ISymbolOrderBook.cs
View File

@ -31,7 +31,7 @@ namespace CryptoExchange.Net.Interfaces
/// <summary>
/// Event when order book was updated. Be careful! It can generate a lot of events at high-liquidity markets
/// </summary>
event Action OnOrderBookUpdate;
event Action<IEnumerable<ISymbolOrderBookEntry>, IEnumerable<ISymbolOrderBookEntry>> OnOrderBookUpdate;
/// <summary>
/// Timestamp of the last update
/// </summary>

30
CryptoExchange.Net/OrderBook/OrderBookEntry.cs
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@ -1,30 +0,0 @@
using CryptoExchange.Net.Interfaces;
namespace CryptoExchange.Net.OrderBook
{
/// <summary>
/// Order book entry
/// </summary>
public class OrderBookEntry : ISymbolOrderBookEntry
{
/// <summary>
/// Quantity of the entry
/// </summary>
public decimal Quantity { get; set; }
/// <summary>
/// Price of the entry
/// </summary>
public decimal Price { get; set; }
/// <summary>
/// ctor
/// </summary>
/// <param name="price"></param>
/// <param name="quantity"></param>
public OrderBookEntry(decimal price, decimal quantity)
{
Quantity = quantity;
Price = price;
}
}
}

15
CryptoExchange.Net/OrderBook/ProcessBufferEntry.cs
View File

@ -1,4 +1,5 @@
using System.Collections.Generic;
using CryptoExchange.Net.Interfaces;
using System.Collections.Generic;
namespace CryptoExchange.Net.OrderBook
{
@ -16,16 +17,12 @@ namespace CryptoExchange.Net.OrderBook
/// </summary>
public long LastSequence { get; set; }
/// <summary>
/// List of entries
/// List of asks
/// </summary>
public List<ProcessEntry> Entries { get; set; }
public IEnumerable<ISymbolOrderBookEntry> Asks { get; set; } = new List<ISymbolOrderBookEntry>();
/// <summary>
/// ctor
/// List of bids
/// </summary>
public ProcessBufferEntry()
{
Entries = new List<ProcessEntry>();
}
public IEnumerable<ISymbolOrderBookEntry> Bids { get; set; } = new List<ISymbolOrderBookEntry>();
}
}

31
CryptoExchange.Net/OrderBook/ProcessEntry.cs
View File

@ -1,31 +0,0 @@
using CryptoExchange.Net.Interfaces;
using CryptoExchange.Net.Objects;
namespace CryptoExchange.Net.OrderBook
{
/// <summary>
/// Process entry for order book
/// </summary>
public class ProcessEntry
{
/// <summary>
/// The entry
/// </summary>
public ISymbolOrderBookEntry Entry { get; set; }
/// <summary>
/// The type
/// </summary>
public OrderBookEntryType Type { get; set; }
/// <summary>
/// ctor
/// </summary>
/// <param name="type"></param>
/// <param name="entry"></param>
public ProcessEntry(OrderBookEntryType type, ISymbolOrderBookEntry entry)
{
Type = type;
Entry = entry;
}
}
}

37
CryptoExchange.Net/OrderBook/SymbolOrderBook.cs
View File

@ -77,9 +77,9 @@ namespace CryptoExchange.Net.OrderBook
/// </summary>
public event Action<OrderBookStatus, OrderBookStatus>? OnStatusChange;
/// <summary>
/// Event when order book was updated. Be careful! It can generate a lot of events at high-liquidity markets
/// Event when order book was updated, containing the changed bids and asks. Be careful! It can generate a lot of events at high-liquidity markets
/// </summary>
public event Action? OnOrderBookUpdate;
public event Action<IEnumerable<ISymbolOrderBookEntry>, IEnumerable<ISymbolOrderBookEntry>>? OnOrderBookUpdate;
/// <summary>
/// Timestamp of the last update
/// </summary>
@ -268,10 +268,10 @@ namespace CryptoExchange.Net.OrderBook
asks.Clear();
foreach (var ask in askList)
asks.Add(ask.Price, new OrderBookEntry(ask.Price, ask.Quantity));
asks.Add(ask.Price, ask);
bids.Clear();
foreach (var bid in bidList)
bids.Add(bid.Price, new OrderBookEntry(bid.Price, bid.Quantity));
bids.Add(bid.Price, bid);
LastSequenceNumber = orderBookSequenceNumber;
@ -281,7 +281,7 @@ namespace CryptoExchange.Net.OrderBook
CheckProcessBuffer();
bookSet = true;
LastOrderBookUpdate = DateTime.UtcNow;
OnOrderBookUpdate?.Invoke();
OnOrderBookUpdate?.Invoke(bidList, askList);
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} data set: {BidCount} bids, {AskCount} asks");
}
}
@ -291,8 +291,9 @@ namespace CryptoExchange.Net.OrderBook
/// </summary>
/// <param name="firstSequenceNumber">First sequence number</param>
/// <param name="lastSequenceNumber">Last sequence number</param>
/// <param name="entries">List of entries</param>
protected void UpdateOrderBook(long firstSequenceNumber, long lastSequenceNumber, List<ProcessEntry> entries)
/// <param name="bids">List of bids</param>
/// <param name="asks">List of asks</param>
protected void UpdateOrderBook(long firstSequenceNumber, long lastSequenceNumber, IEnumerable<ISymbolOrderBookEntry> bids, IEnumerable<ISymbolOrderBookEntry> asks)
{
lock (bookLock)
{
@ -305,7 +306,8 @@ namespace CryptoExchange.Net.OrderBook
{
FirstSequence = firstSequenceNumber,
LastSequence = lastSequenceNumber,
Entries = entries
Asks = asks,
Bids = bids
};
processBuffer.Add(entry);
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} update before synced; buffering");
@ -318,13 +320,15 @@ namespace CryptoExchange.Net.OrderBook
}
else
{
foreach (var entry in entries)
ProcessUpdate(entry.Type, entry.Entry);
foreach (var entry in asks)
ProcessUpdate(OrderBookEntryType.Ask, entry);
foreach (var entry in bids)
ProcessUpdate(OrderBookEntryType.Bid, entry);
LastSequenceNumber = lastSequenceNumber;
CheckProcessBuffer();
LastOrderBookUpdate = DateTime.UtcNow;
OnOrderBookUpdate?.Invoke();
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} update: {entries.Count} entries processed");
OnOrderBookUpdate?.Invoke(bids, asks);
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} update: {asks.Count()} asks, {bids.Count()} bids processed");
}
}
}
@ -345,8 +349,11 @@ namespace CryptoExchange.Net.OrderBook
if (bufferEntry.FirstSequence > LastSequenceNumber + 1)
break;
foreach (var entry in bufferEntry.Entries)
ProcessUpdate(entry.Type, entry.Entry);
foreach (var entry in bufferEntry.Asks)
ProcessUpdate(OrderBookEntryType.Ask, entry);
foreach (var entry in bufferEntry.Bids)
ProcessUpdate(OrderBookEntryType.Bid, entry);
processBuffer.Remove(bufferEntry);
LastSequenceNumber = bufferEntry.LastSequence;
}
@ -373,7 +380,7 @@ namespace CryptoExchange.Net.OrderBook
{
if (!listToChange.ContainsKey(entry.Price))
{
listToChange.Add(entry.Price, new OrderBookEntry(entry.Price, entry.Quantity));
listToChange.Add(entry.Price, entry);
if (type == OrderBookEntryType.Ask) AskCount++;
else BidCount++;
}