Cleaned up order book

CryptoExchange.Net/CryptoExchange.Net.xml

@@ -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>

CryptoExchange.Net/ExtensionMethods.cs

@@ -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}");
+        }
     }
 }
 

CryptoExchange.Net/Interfaces/ISymbolOrderBook.cs

@@ -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>

CryptoExchange.Net/OrderBook/OrderBookEntry.cs

@@ -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;
-        }
-    }
-}

CryptoExchange.Net/OrderBook/ProcessBufferEntry.cs

@@ -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()
+        public IEnumerable<ISymbolOrderBookEntry> Bids { get; set; } = new List<ISymbolOrderBookEntry>();
-        {
-            Entries = new List<ProcessEntry>();
-        }
     }
 }

CryptoExchange.Net/OrderBook/ProcessEntry.cs

@@ -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;
-        }
-    }
-}

CryptoExchange.Net/OrderBook/SymbolOrderBook.cs

@@ -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>
+        /// <param name="bids">List of bids</param>
-        protected void UpdateOrderBook(long firstSequenceNumber, long lastSequenceNumber, List<ProcessEntry> entries)
+        /// <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)
+                    foreach (var entry in asks)
-                        ProcessUpdate(entry.Type, entry.Entry);
+                        ProcessUpdate(OrderBookEntryType.Ask, entry);
+                    foreach (var entry in bids)
+                        ProcessUpdate(OrderBookEntryType.Bid, entry);
                     LastSequenceNumber = lastSequenceNumber;
                     CheckProcessBuffer();
                     LastOrderBookUpdate = DateTime.UtcNow;
-                    OnOrderBookUpdate?.Invoke();
+                    OnOrderBookUpdate?.Invoke(bids, asks);
-                    log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} update: {entries.Count} entries processed");
+                    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)
+                foreach (var entry in bufferEntry.Asks)
-                    ProcessUpdate(entry.Type, entry.Entry);
+                    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++;
                 }