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Code Issues Releases Wiki Activity

Renames, orderbook changes

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This commit is contained in:
JKorf 2019-10-22 16:29:08 +02:00
parent 3ba0507a79
commit 6f75af507a
4 changed files with 310 additions and 213 deletions
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234
CryptoExchange.Net/CryptoExchange.Net.xml
View File

@ -871,6 +871,16 @@
The price of the entry
</summary>
</member>
<member name="T:CryptoExchange.Net.Interfaces.ISymbolOrderSequencedBookEntry">
<summary>
Interface for order book entries
</summary>
</member>
<member name="P:CryptoExchange.Net.Interfaces.ISymbolOrderSequencedBookEntry.Sequence">
<summary>
Sequence of the update
</summary>
</member>
<member name="T:CryptoExchange.Net.Interfaces.IWebsocket">
<summary>
Interface for websocket interaction
@ -1649,16 +1659,6 @@
Buffer entry for order book
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.ProcessBufferEntry.FirstSequence">
<summary>
The first sequence number of the entries
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.ProcessBufferEntry.LastSequence">
<summary>
The last sequence number of the entries
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.ProcessBufferEntry.Asks">
<summary>
List of asks
@ -1669,6 +1669,41 @@
List of bids
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.ProcessBufferSingleSequenceEntry.UpdateId">
<summary>
First update id
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.ProcessBufferSingleSequenceEntry.Asks">
<summary>
List of asks
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.ProcessBufferSingleSequenceEntry.Bids">
<summary>
List of bids
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.ProcessBufferRangeSequenceEntry.FirstUpdateId">
<summary>
First update id
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.ProcessBufferRangeSequenceEntry.LastUpdateId">
<summary>
Last update id
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.ProcessBufferRangeSequenceEntry.Asks">
<summary>
List of asks
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.ProcessBufferRangeSequenceEntry.Bids">
<summary>
List of bids
</summary>
</member>
<member name="T:CryptoExchange.Net.OrderBook.SymbolOrderBook">
<summary>
Base for order book implementations
@ -1699,6 +1734,11 @@
The log
</summary>
</member>
<member name="F:CryptoExchange.Net.OrderBook.SymbolOrderBook.bookSet">
<summary>
If order book is set
</summary>
</member>
<member name="P:CryptoExchange.Net.OrderBook.SymbolOrderBook.Status">
<summary>
The status of the order book. Order book is up to date when the status is `Synced`
@ -1815,12 +1855,27 @@
<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.Collections.Generic.IEnumerable{CryptoExchange.Net.Interfaces.ISymbolOrderBookEntry},System.Collections.Generic.IEnumerable{CryptoExchange.Net.Interfaces.ISymbolOrderBookEntry})">
<summary>
Update the order book using a single id for an update
</summary>
<param name="rangeUpdateId"></param>
<param name="bids"></param>
<param name="asks"></param>
</member>
<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
Update the order book using a first/last update id
</summary>
<param name="firstUpdateId"></param>
<param name="lastUpdateId"></param>
<param name="bids"></param>
<param name="asks"></param>
</member>
<member name="M:CryptoExchange.Net.OrderBook.SymbolOrderBook.UpdateOrderBook(System.Collections.Generic.IEnumerable{CryptoExchange.Net.Interfaces.ISymbolOrderSequencedBookEntry},System.Collections.Generic.IEnumerable{CryptoExchange.Net.Interfaces.ISymbolOrderSequencedBookEntry})">
<summary>
Update the order book using sequenced entries
</summary>
<param name="firstSequenceNumber">First sequence number</param>
<param name="lastSequenceNumber">Last sequence number</param>
<param name="bids">List of bids</param>
<param name="asks">List of asks</param>
</member>
@ -1829,13 +1884,21 @@
Check and empty the process buffer; see what entries to update the book with
</summary>
</member>
<member name="M:CryptoExchange.Net.OrderBook.SymbolOrderBook.ProcessUpdate(CryptoExchange.Net.Objects.OrderBookEntryType,CryptoExchange.Net.Interfaces.ISymbolOrderBookEntry)">
<member name="M:CryptoExchange.Net.OrderBook.SymbolOrderBook.ProcessUpdate(System.Int64,CryptoExchange.Net.Objects.OrderBookEntryType,CryptoExchange.Net.Interfaces.ISymbolOrderBookEntry)">
<summary>
Update order book with an entry
</summary>
<param name="sequence">Sequence number of the update</param>
<param name="type">Type of entry</param>
<param name="entry">The entry</param>
</member>
<member name="M:CryptoExchange.Net.OrderBook.SymbolOrderBook.WaitForSetOrderBook(System.Int32)">
<summary>
Wait until the order book has been set
</summary>
<param name="timeout">Max wait time</param>
<returns></returns>
</member>
<member name="M:CryptoExchange.Net.OrderBook.SymbolOrderBook.Dispose">
<summary>
Dispose the order book
@ -2815,148 +2878,5 @@
<member name="M:CryptoExchange.Net.Sockets.WebsocketFactory.CreateWebsocket(CryptoExchange.Net.Logging.Log,System.String,System.Collections.Generic.IDictionary{System.String,System.String},System.Collections.Generic.IDictionary{System.String,System.String})">
<inheritdoc />
</member>
<member name="T: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>

11
CryptoExchange.Net/Interfaces/ISymbolOrderBookEntry.cs
View File

@ -14,4 +14,15 @@
/// </summary>
decimal Price { get; set; }
}
/// <summary>
/// Interface for order book entries
/// </summary>
public interface ISymbolOrderSequencedBookEntry: ISymbolOrderBookEntry
{
/// <summary>
/// Sequence of the update
/// </summary>
long Sequence { get; set; }
}
}

36
CryptoExchange.Net/OrderBook/ProcessBufferEntry.cs
View File

@ -9,13 +9,41 @@ namespace CryptoExchange.Net.OrderBook
public class ProcessBufferEntry
{
/// <summary>
/// The first sequence number of the entries
/// List of asks
/// </summary>
public long FirstSequence { get; set; }
public IEnumerable<ISymbolOrderSequencedBookEntry> Asks { get; set; } = new List<ISymbolOrderSequencedBookEntry>();
/// <summary>
/// The last sequence number of the entries
/// List of bids
/// </summary>
public long LastSequence { get; set; }
public IEnumerable<ISymbolOrderSequencedBookEntry> Bids { get; set; } = new List<ISymbolOrderSequencedBookEntry>();
}
public class ProcessBufferSingleSequenceEntry
{
/// <summary>
/// First update id
/// </summary>
public long UpdateId { get; set; }
/// <summary>
/// List of asks
/// </summary>
public IEnumerable<ISymbolOrderBookEntry> Asks { get; set; } = new List<ISymbolOrderBookEntry>();
/// <summary>
/// List of bids
/// </summary>
public IEnumerable<ISymbolOrderBookEntry> Bids { get; set; } = new List<ISymbolOrderBookEntry>();
}
public class ProcessBufferRangeSequenceEntry
{
/// <summary>
/// First update id
/// </summary>
public long FirstUpdateId { get; set; }
/// <summary>
/// Last update id
/// </summary>
public long LastUpdateId { get; set; }
/// <summary>
/// List of asks
/// </summary>

238
CryptoExchange.Net/OrderBook/SymbolOrderBook.cs
View File

@ -19,7 +19,7 @@ namespace CryptoExchange.Net.OrderBook
/// <summary>
/// The process buffer, used while syncing
/// </summary>
protected readonly List<ProcessBufferEntry> processBuffer;
protected readonly List<object> processBuffer;
private readonly object bookLock = new object();
/// <summary>
/// The ask list
@ -43,7 +43,10 @@ namespace CryptoExchange.Net.OrderBook
/// </summary>
protected Log log;
private bool bookSet;
/// <summary>
/// If order book is set
/// </summary>
protected bool bookSet;
/// <summary>
/// The status of the order book. Order book is up to date when the status is `Synced`
@ -156,7 +159,7 @@ namespace CryptoExchange.Net.OrderBook
throw new ArgumentNullException(nameof(options));
Id = options.OrderBookName;
processBuffer = new List<ProcessBufferEntry>();
processBuffer = new List<object>();
sequencesAreConsecutive = options.SequenceNumbersAreConsecutive;
Symbol = symbol;
Status = OrderBookStatus.Disconnected;
@ -259,11 +262,11 @@ namespace CryptoExchange.Net.OrderBook
/// <param name="orderBookSequenceNumber">The last update sequence number</param>
/// <param name="askList">List of asks</param>
/// <param name="bidList">List of bids</param>
protected void SetInitialOrderBook(long orderBookSequenceNumber, IEnumerable<ISymbolOrderBookEntry> askList, IEnumerable<ISymbolOrderBookEntry> bidList)
protected void SetInitialOrderBook(long orderBookSequenceNumber, IEnumerable<ISymbolOrderBookEntry> bidList, IEnumerable<ISymbolOrderBookEntry> askList)
{
lock (bookLock)
{
if (Status == OrderBookStatus.Connecting)
if (Status == OrderBookStatus.Connecting || Status == OrderBookStatus.Disconnected)
return;
asks.Clear();
@ -278,99 +281,213 @@ namespace CryptoExchange.Net.OrderBook
AskCount = asks.Count;
BidCount = asks.Count;
CheckProcessBuffer();
bookSet = true;
LastOrderBookUpdate = DateTime.UtcNow;
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} data set: {BidCount} bids, {AskCount} asks. #{orderBookSequenceNumber}");
CheckProcessBuffer();
OnOrderBookUpdate?.Invoke(bidList, askList);
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} data set: {BidCount} bids, {AskCount} asks");
}
}
/// <summary>
/// Update the order book with entries
/// Update the order book using a single id for an update
/// </summary>
/// <param name="firstSequenceNumber">First sequence number</param>
/// <param name="lastSequenceNumber">Last sequence number</param>
/// <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)
/// <param name="rangeUpdateId"></param>
/// <param name="bids"></param>
/// <param name="asks"></param>
protected void UpdateOrderBook(long rangeUpdateId, IEnumerable<ISymbolOrderBookEntry> bids, IEnumerable<ISymbolOrderBookEntry> asks)
{
lock (bookLock)
{
if (lastSequenceNumber < LastSequenceNumber)
if (Status == OrderBookStatus.Connecting || Status == OrderBookStatus.Disconnected)
return;
if (!bookSet)
{
var entry = new ProcessBufferEntry
processBuffer.Add(new ProcessBufferSingleSequenceEntry()
{
FirstSequence = firstSequenceNumber,
LastSequence = lastSequenceNumber,
UpdateId = rangeUpdateId,
Asks = asks,
Bids = bids
};
processBuffer.Add(entry);
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} update before synced; buffering");
}
else if (sequencesAreConsecutive && firstSequenceNumber > LastSequenceNumber + 1)
{
// Out of sync
log.Write(LogVerbosity.Warning, $"{Id} order book {Symbol} out of sync, reconnecting");
subscription!.Reconnect().Wait();
});
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} update buffered #{rangeUpdateId}");
}
else
{
foreach (var entry in asks)
ProcessUpdate(OrderBookEntryType.Ask, entry);
foreach (var entry in bids)
ProcessUpdate(OrderBookEntryType.Bid, entry);
LastSequenceNumber = lastSequenceNumber;
CheckProcessBuffer();
LastOrderBookUpdate = DateTime.UtcNow;
ProcessSingleSequenceUpdates(rangeUpdateId, bids, asks);
OnOrderBookUpdate?.Invoke(bids, asks);
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} update: {asks.Count()} asks, {bids.Count()} bids processed");
}
}
}
/// <summary>
/// Update the order book using a first/last update id
/// </summary>
/// <param name="firstUpdateId"></param>
/// <param name="lastUpdateId"></param>
/// <param name="bids"></param>
/// <param name="asks"></param>
protected void UpdateOrderBook(long firstUpdateId, long lastUpdateId, IEnumerable<ISymbolOrderBookEntry> bids, IEnumerable<ISymbolOrderBookEntry> asks)
{
lock (bookLock)
{
if (Status == OrderBookStatus.Connecting || Status == OrderBookStatus.Disconnected)
return;
if (!bookSet)
{
processBuffer.Add(new ProcessBufferRangeSequenceEntry()
{
Asks = asks,
Bids = bids,
FirstUpdateId = firstUpdateId,
LastUpdateId = lastUpdateId
});
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} update buffered #{firstUpdateId}-{lastUpdateId}");
}
else
{
CheckProcessBuffer();
ProcessRangeUpdates(firstUpdateId, lastUpdateId, bids, asks);
OnOrderBookUpdate?.Invoke(bids, asks);
}
}
}
/// <summary>
/// Update the order book using sequenced entries
/// </summary>
/// <param name="bids">List of bids</param>
/// <param name="asks">List of asks</param>
protected void UpdateOrderBook(IEnumerable<ISymbolOrderSequencedBookEntry> bids, IEnumerable<ISymbolOrderSequencedBookEntry> asks)
{
lock (bookLock)
{
if (!bookSet)
{
processBuffer.Add(new ProcessBufferEntry
{
Asks = asks,
Bids = bids
});
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} update buffered #{Math.Min(bids.Min(b => b.Sequence), asks.Min(a => a.Sequence))}-{Math.Max(bids.Max(b => b.Sequence), asks.Max(a => a.Sequence))}");
}
else
{
CheckProcessBuffer();
ProcessUpdates(bids, asks);
OnOrderBookUpdate?.Invoke(bids, asks);
}
}
}
private void ProcessUpdates(IEnumerable<ISymbolOrderSequencedBookEntry> bids, IEnumerable<ISymbolOrderSequencedBookEntry> asks)
{
var entries = new Dictionary<ISymbolOrderSequencedBookEntry, OrderBookEntryType>();
foreach (var entry in asks.OrderBy(a => a.Sequence))
entries.Add(entry, OrderBookEntryType.Ask);
foreach (var entry in bids.OrderBy(a => a.Sequence))
entries.Add(entry, OrderBookEntryType.Bid);
foreach (var entry in entries.OrderBy(e => e.Key.Sequence))
{
if(ProcessUpdate(entry.Key.Sequence, entry.Value, entry.Key))
LastSequenceNumber = entry.Key.Sequence;
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} update #{LastSequenceNumber}");
}
}
private void ProcessRangeUpdates(long firstUpdateId, long lastUpdateId, IEnumerable<ISymbolOrderBookEntry> bids, IEnumerable<ISymbolOrderBookEntry> asks)
{
if (lastUpdateId < LastSequenceNumber)
{
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} update skipped #{firstUpdateId}-{lastUpdateId}");
return;
}
foreach (var entry in bids)
ProcessUpdate(LastSequenceNumber + 1, OrderBookEntryType.Bid, entry);
foreach (var entry in asks)
ProcessUpdate(LastSequenceNumber + 1, OrderBookEntryType.Ask, entry);
LastSequenceNumber = lastUpdateId;
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} update processed #{firstUpdateId}-{lastUpdateId}");
}
private void ProcessSingleSequenceUpdates(long updateId, IEnumerable<ISymbolOrderBookEntry> bids, IEnumerable<ISymbolOrderBookEntry> asks)
{
foreach (var entry in bids)
{
if (!ProcessUpdate(updateId, OrderBookEntryType.Bid, entry))
return;
}
foreach (var entry in asks)
{
if (!ProcessUpdate(updateId, OrderBookEntryType.Ask, entry))
return;
}
LastSequenceNumber = updateId;
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} update processed #{LastSequenceNumber}");
}
/// <summary>
/// Check and empty the process buffer; see what entries to update the book with
/// </summary>
protected void CheckProcessBuffer()
{
foreach (var bufferEntry in processBuffer.OrderBy(b => b.FirstSequence).ToList())
var pbList = processBuffer.ToList();
if(pbList.Count > 0)
log.Write(LogVerbosity.Debug, "Processing buffered updates");
foreach (var bufferEntry in pbList)
{
if (bufferEntry.LastSequence < LastSequenceNumber)
{
processBuffer.Remove(bufferEntry);
continue;
}
if (bufferEntry.FirstSequence > LastSequenceNumber + 1)
break;
foreach (var entry in bufferEntry.Asks)
ProcessUpdate(OrderBookEntryType.Ask, entry);
foreach (var entry in bufferEntry.Bids)
ProcessUpdate(OrderBookEntryType.Bid, entry);
if (bufferEntry is ProcessBufferEntry pbe)
ProcessUpdates(pbe.Bids, pbe.Asks);
else if(bufferEntry is ProcessBufferRangeSequenceEntry pbrse)
ProcessRangeUpdates(pbrse.FirstUpdateId, pbrse.LastUpdateId, pbrse.Bids, pbrse.Asks);
else if (bufferEntry is ProcessBufferSingleSequenceEntry pbsse)
ProcessSingleSequenceUpdates(pbsse.UpdateId, pbsse.Bids, pbsse.Asks);
processBuffer.Remove(bufferEntry);
LastSequenceNumber = bufferEntry.LastSequence;
}
}
/// <summary>
/// Update order book with an entry
/// </summary>
/// <param name="sequence">Sequence number of the update</param>
/// <param name="type">Type of entry</param>
/// <param name="entry">The entry</param>
protected virtual void ProcessUpdate(OrderBookEntryType type, ISymbolOrderBookEntry entry)
protected virtual bool ProcessUpdate(long sequence, OrderBookEntryType type, ISymbolOrderBookEntry entry)
{
if (Status != OrderBookStatus.Syncing && Status != OrderBookStatus.Synced)
return false;
if (sequence <= LastSequenceNumber)
{
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} update skipped #{sequence}");
return false;
}
if (sequencesAreConsecutive && sequence > LastSequenceNumber + 1)
{
// Out of sync
log.Write(LogVerbosity.Warning, $"{Id} order book {Symbol} out of sync (expected { LastSequenceNumber + 1}, was {sequence}), reconnecting");
Status = OrderBookStatus.Connecting;
subscription?.Reconnect();
return false;
}
LastOrderBookUpdate = DateTime.UtcNow;
var listToChange = type == OrderBookEntryType.Ask ? asks : bids;
if (entry.Quantity == 0)
{
if (!listToChange.ContainsKey(entry.Price))
return;
return true;
listToChange.Remove(entry.Price);
if (type == OrderBookEntryType.Ask) AskCount--;
@ -389,6 +506,27 @@ namespace CryptoExchange.Net.OrderBook
listToChange[entry.Price].Quantity = entry.Quantity;
}
}
return true;
}
/// <summary>
/// Wait until the order book has been set
/// </summary>
/// <param name="timeout">Max wait time</param>
/// <returns></returns>
protected async Task<CallResult<bool>> WaitForSetOrderBook(int timeout)
{
var startWait = DateTime.UtcNow;
while (!bookSet && Status == OrderBookStatus.Syncing)
{
if ((DateTime.UtcNow - startWait).TotalMilliseconds > timeout)
return new CallResult<bool>(false, new ServerError("Timeout while waiting for data"));
await Task.Delay(10).ConfigureAwait(false);
}
return new CallResult<bool>(true, null);
}
/// <summary>