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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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CryptoExchange.Net/OrderBook/SymbolOrderBook.cs
+22 -15
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@@ -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++;
}