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Code Issues Releases Wiki Activity

added timeout for triggering order book updating event

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This commit is contained in:
msg_kurt
2019-09-04 16:49:32 +03:00
parent c01bcc87b1
commit 43c17bae64
2 changed files with 43 additions and 18 deletions
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CryptoExchange.Net/OrderBook/SymbolOrderBook.cs
+31 -12
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@@ -13,7 +13,7 @@ namespace CryptoExchange.Net.OrderBook
/// <summary>
/// Base for order book implementations
/// </summary>
public abstract class SymbolOrderBook: IDisposable
public abstract class SymbolOrderBook : IDisposable
{
/// <summary>
/// The process buffer, used while syncing
@@ -27,6 +27,7 @@ namespace CryptoExchange.Net.OrderBook
/// <summary>
/// The bid list
/// </summary>
protected SortedList<decimal, OrderBookEntry> bids;
private OrderBookStatus status;
private UpdateSubscription subscription;
@@ -69,12 +70,19 @@ namespace CryptoExchange.Net.OrderBook
/// <summary>
/// Event when the state changes
/// </summary>
public event Action<OrderBookStatus, OrderBookStatus> OnStatusChange;
public event Action<OrderBookStatus, OrderBookStatus> OnStatusChange;
/// <summary>
/// Event when orderbook was updated
/// </summary>
/// Event when orderbook was updated, but not more often then timeout setted in orderbook options (1000ms by default). Be careful! with small timeout it can generate a lot of events at high-liquidity order books
/// </summary>
public event Action OnOrderBookUpdate;
/// <summary>
/// Should be useful for low-liquidity order-books to monitor market activity
/// </summary>
public DateTime LastOrderBookUpdate;
private DateTime LastOrderBookUpdateEventTrigger;
private readonly int updateEventInterval;
/// <summary>
/// The number of asks in the book
/// </summary>
public int AskCount { get; private set; }
@@ -141,6 +149,7 @@ namespace CryptoExchange.Net.OrderBook
id = options.OrderBookName;
processBuffer = new List<ProcessBufferEntry>();
sequencesAreConsecutive = options.SequenceNumbersAreConsecutive;
updateEventInterval = options.UpdateEventTimeout;
Symbol = symbol;
Status = OrderBookStatus.Disconnected;
@@ -166,7 +175,7 @@ namespace CryptoExchange.Net.OrderBook
{
Status = OrderBookStatus.Connecting;
var startResult = await DoStart().ConfigureAwait(false);
if(!startResult.Success)
if (!startResult.Success)
return new CallResult<bool>(false, startResult.Error);
subscription = startResult.Data;
@@ -234,7 +243,7 @@ namespace CryptoExchange.Net.OrderBook
/// </summary>
/// <returns></returns>
protected abstract Task<CallResult<bool>> DoResync();
/// <summary>
/// Set the initial data for the order book
/// </summary>
@@ -249,7 +258,7 @@ namespace CryptoExchange.Net.OrderBook
return;
asks.Clear();
foreach(var ask in askList)
foreach (var ask in askList)
asks.Add(ask.Price, new OrderBookEntry(ask.Price, ask.Quantity));
bids.Clear();
foreach (var bid in bidList)
@@ -262,7 +271,12 @@ namespace CryptoExchange.Net.OrderBook
CheckProcessBuffer();
bookSet = true;
OnOrderBookUpdate?.Invoke();
LastOrderBookUpdate = DateTime.UtcNow;
if ((LastOrderBookUpdate - LastOrderBookUpdateEventTrigger).TotalMilliseconds >= updateEventInterval)
{
OnOrderBookUpdate?.Invoke();
LastOrderBookUpdateEventTrigger = DateTime.UtcNow;
}
log.Write(LogVerbosity.Debug, $"{id} order book {Symbol} data set: {BidCount} bids, {AskCount} asks");
}
}
@@ -299,11 +313,16 @@ namespace CryptoExchange.Net.OrderBook
}
else
{
foreach(var entry in entries)
foreach (var entry in entries)
ProcessUpdate(entry.Type, entry.Entry);
LastSequenceNumber = lastSequenceNumber;
CheckProcessBuffer();
OnOrderBookUpdate?.Invoke();
LastOrderBookUpdate = DateTime.UtcNow;
if ((LastOrderBookUpdate - LastOrderBookUpdateEventTrigger).TotalMilliseconds >= updateEventInterval)
{
OnOrderBookUpdate?.Invoke();
LastOrderBookUpdateEventTrigger = DateTime.UtcNow;
}
log.Write(LogVerbosity.Debug, $"{id} order book {Symbol} update: {entries.Count} entries processed");
}
}
@@ -316,7 +335,7 @@ namespace CryptoExchange.Net.OrderBook
{
foreach (var bufferEntry in processBuffer.OrderBy(b => b.FirstSequence).ToList())
{
if(bufferEntry.LastSequence < LastSequenceNumber)
if (bufferEntry.LastSequence < LastSequenceNumber)
{
processBuffer.Remove(bufferEntry);
continue;
@@ -325,7 +344,7 @@ namespace CryptoExchange.Net.OrderBook
if (bufferEntry.FirstSequence > LastSequenceNumber + 1)
break;
foreach(var entry in bufferEntry.Entries)
foreach (var entry in bufferEntry.Entries)
ProcessUpdate(entry.Type, entry.Entry);
processBuffer.Remove(bufferEntry);
LastSequenceNumber = bufferEntry.LastSequence;