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Jkorf 2026-01-09 16:29:01 +01:00
parent 41b3decd9e
commit d7ca1b69de
4 changed files with 84 additions and 38 deletions
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4
CryptoExchange.Net/Clients/SocketApiClient.cs
View File

@ -710,6 +710,10 @@ namespace CryptoExchange.Net.Clients
if (connection != null && !connection.DedicatedRequestConnection.Authenticated)
// Mark dedicated request connection as authenticated if the request is authenticated
connection.DedicatedRequestConnection.Authenticated = authenticated;
if (connection == null)
// Fall back to an existing connection if there is no dedicated request connection available
connection = socketQuery.OrderBy(s => s.UserSubscriptionCount).FirstOrDefault();
}
bool maxConnectionsReached = _socketConnections.Count >= (ApiOptions.MaxSocketConnections ?? ClientOptions.MaxSocketConnections);

18
CryptoExchange.Net/Logging/Extensions/SymbolOrderBookLoggingExtensions.cs
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@ -22,7 +22,7 @@ namespace CryptoExchange.Net.Logging.Extensions
private static readonly Action<ILogger, string, string, Exception?> _orderBookResyncing;
private static readonly Action<ILogger, string, string, Exception?> _orderBookResynced;
private static readonly Action<ILogger, string, string, Exception?> _orderBookMessageSkippedBecauseOfResubscribing;
private static readonly Action<ILogger, string, string, long, long, long, Exception?> _orderBookDataSet;
private static readonly Action<ILogger, string, string, long, long, long?, Exception?> _orderBookDataSet;
private static readonly Action<ILogger, string, string, long, long, long, long, Exception?> _orderBookUpdateBuffered;
private static readonly Action<ILogger, string, string, decimal, decimal, Exception?> _orderBookOutOfSyncDetected;
private static readonly Action<ILogger, string, string, Exception?> _orderBookReconnectingSocket;
@ -30,6 +30,7 @@ namespace CryptoExchange.Net.Logging.Extensions
private static readonly Action<ILogger, string, string, long, long, Exception?> _orderBookProcessedMessage;
private static readonly Action<ILogger, string, string, long, Exception?> _orderBookProcessedMessageSingle;
private static readonly Action<ILogger, string, string, long, long, Exception?> _orderBookOutOfSync;
private static readonly Action<ILogger, string, string, long, long, long, Exception?> _orderBookUpdateSkippedStartEnd;
static SymbolOrderBookLoggingExtensions()
{
@ -93,7 +94,7 @@ namespace CryptoExchange.Net.Logging.Extensions
new EventId(5011, "OrderBookMessageSkippedResubscribing"),
"{Api} order book {Symbol} Skipping message because of resubscribing");
_orderBookDataSet = LoggerMessage.Define<string, string, long, long, long>(
_orderBookDataSet = LoggerMessage.Define<string, string, long, long, long?>(
LogLevel.Debug,
new EventId(5012, "OrderBookDataSet"),
"{Api} order book {Symbol} snapshot set: {BidCount} bids, {AskCount} asks. #{EndUpdateId}");
@ -142,6 +143,12 @@ namespace CryptoExchange.Net.Logging.Extensions
LogLevel.Trace,
new EventId(5021, "OrderBookProcessedMessage"),
"{Api} order book {Symbol} update processed #{UpdateId}");
_orderBookUpdateSkippedStartEnd = LoggerMessage.Define<string, string, long, long, long>(
LogLevel.Debug,
new EventId(5022, "OrderBookUpdateSkippedStartEnd"),
"{Api} order book {Symbol} update skipped #{SequenceStart}-#{SequenceEnd}, currently at #{LastSequenceNumber}");
}
public static void OrderBookStatusChanged(this ILogger logger, string api, string symbol, OrderBookStatus previousStatus, OrderBookStatus newStatus)
@ -200,7 +207,7 @@ namespace CryptoExchange.Net.Logging.Extensions
{
_orderBookMessageSkippedBecauseOfResubscribing(logger, api, symbol, null);
}
public static void OrderBookDataSet(this ILogger logger, string api, string symbol, long bidCount, long askCount, long endUpdateId)
public static void OrderBookDataSet(this ILogger logger, string api, string symbol, long bidCount, long askCount, long? endUpdateId)
{
_orderBookDataSet(logger, api, symbol, bidCount, askCount, endUpdateId, null);
}
@ -243,5 +250,10 @@ namespace CryptoExchange.Net.Logging.Extensions
{
_orderBookOutOfSyncChecksum(logger, api, symbol, null);
}
public static void OrderBookUpdateSkipped(this ILogger logger, string api, string symbol, long sequenceStart, long sequenceEnd, long lastSequenceNumber)
{
_orderBookUpdateSkippedStartEnd(logger, api, symbol, sequenceStart, sequenceEnd, lastSequenceNumber, null);
}
}
}

2
CryptoExchange.Net/OrderBook/OrderBookUpdate.cs
View File

@ -17,7 +17,7 @@ namespace CryptoExchange.Net.OrderBook
{
public DateTime? LocalDataTime { get; set; }
public DateTime? ServerDataTime { get; set; }
public long SequenceNumber { get; set; }
public long? SequenceNumber { get; set; }
public ISymbolOrderBookEntry[] Bids { get; set; } = Array.Empty<ISymbolOrderBookEntry>();
public ISymbolOrderBookEntry[] Asks { get; set; } = Array.Empty<ISymbolOrderBookEntry>();
}

98
CryptoExchange.Net/OrderBook/SymbolOrderBook.cs
View File

@ -50,6 +50,13 @@ namespace CryptoExchange.Net.OrderBook
private static readonly ISymbolOrderBookEntry _emptySymbolOrderBookEntry = new EmptySymbolOrderBookEntry();
private enum SequenceNumberResult
{
Skip,
Ok,
OutOfSync
}
/// <summary>
/// A buffer to store messages received before the initial book snapshot is processed. These messages
/// will be processed after the book snapshot is set. Any messages in this buffer with sequence numbers lower
@ -423,16 +430,16 @@ namespace CryptoExchange.Net.OrderBook
protected virtual bool DoChecksum(int checksum) => true;
/// <summary>
/// Set the initial data for the order book. Typically the snapshot which was requested from the Rest API, or the first snapshot
/// received from a socket subscription
/// Set snapshot data for the order book. Typically the snapshot which was requested from the Rest API, or the first snapshot
/// received from a socket subscription. Will clear any previous data.
/// </summary>
/// <param name="orderBookSequenceNumber">The last update sequence number until which the snapshot is in sync</param>
/// <param name="askList">List of asks</param>
/// <param name="bidList">List of bids</param>
/// <param name="serverDataTime">Server data timestamp</param>
/// <param name="localDataTime">local data timestamp</param>
protected void SetInitialOrderBook(
long orderBookSequenceNumber,
protected void SetSnapshot(
long? orderBookSequenceNumber,
ISymbolOrderBookEntry[] bidList,
ISymbolOrderBookEntry[] askList,
DateTime? serverDataTime = null,
@ -557,7 +564,12 @@ namespace CryptoExchange.Net.OrderBook
_logger.OrderBookProcessingBufferedUpdates(Api, Symbol, _processBuffer.Count);
foreach (var bufferEntry in _processBuffer)
{
if (_stopProcessing)
break;
ProcessUpdate(bufferEntry.FirstUpdateId, bufferEntry.LastUpdateId, bufferEntry.Bids, bufferEntry.Asks, true);
}
_processBuffer.Clear();
}
@ -707,12 +719,6 @@ namespace CryptoExchange.Net.OrderBook
});
}
protected void TriggerResubscribe()
{
_stopProcessing = true;
Resubscribe();
}
private void CheckBestOffersChanged(ISymbolOrderBookEntry prevBestBid, ISymbolOrderBookEntry prevBestAsk)
{
var (bestBid, bestAsk) = BestOffers;
@ -793,7 +799,8 @@ namespace CryptoExchange.Net.OrderBook
foreach (var bid in item.Bids)
_bids.Add(bid.Price, bid);
LastSequenceNumber = item.SequenceNumber;
if (item.SequenceNumber != null)
LastSequenceNumber = item.SequenceNumber.Value;
AskCount = _asks.Count;
BidCount = _bids.Count;
@ -921,33 +928,23 @@ namespace CryptoExchange.Net.OrderBook
IEnumerable<ISymbolOrderBookEntry> asks,
bool fromBuffer)
{
if (updateSequenceNumberEnd <= LastSequenceNumber)
var sequenceResult = fromBuffer ? ValidateBufferSequenceNumber(updateSequenceNumberStart, updateSequenceNumberEnd) : ValidateLiveSequenceNumber(updateSequenceNumberStart);
if (sequenceResult == SequenceNumberResult.Skip)
{
if (fromBuffer)
{
// We're already past this update, discard buffered update
_logger.OrderBookUpdateSkipped(Api, Symbol, updateSequenceNumberEnd, LastSequenceNumber);
return;
}
if (updateSequenceNumberStart != updateSequenceNumberEnd)
_logger.OrderBookUpdateSkipped(Api, Symbol, updateSequenceNumberStart, updateSequenceNumberEnd, LastSequenceNumber);
else
{
// Somehow this sequence number is before the last sequence number
_stopProcessing = true;
Resubscribe();
return;
}
_logger.OrderBookUpdateSkipped(Api, Symbol, updateSequenceNumberStart, LastSequenceNumber);
return;
}
if (_sequencesAreConsecutive && updateSequenceNumberStart != LastSequenceNumber + 1)
if (sequenceResult == SequenceNumberResult.OutOfSync)
{
if (_firstUpdateAfterSnapshotDone || !_skipSequenceCheckFirstUpdateAfterSnapshotSet)
{
// Expected the start sequenceNumber to be LastSequenceNumber + 1, but wasn't
_logger.OrderBookOutOfSync(Api, Symbol, LastSequenceNumber + 1, updateSequenceNumberEnd);
_stopProcessing = true;
Resubscribe();
return;
}
_logger.OrderBookOutOfSync(Api, Symbol, LastSequenceNumber + 1, updateSequenceNumberStart);
_stopProcessing = true;
Resubscribe();
return;
}
foreach (var entry in bids)
@ -981,7 +978,40 @@ namespace CryptoExchange.Net.OrderBook
else
_logger.OrderBookProcessedMessage(Api, Symbol, updateSequenceNumberStart);
}
}
}
private SequenceNumberResult ValidateBufferSequenceNumber(long startSequenceNumber, long endSequenceNumber)
{
if (endSequenceNumber <= LastSequenceNumber)
// Buffered update is from before the snapshot, ignore
return SequenceNumberResult.Skip;
if (_sequencesAreConsecutive && startSequenceNumber != LastSequenceNumber + 1)
{
if (_firstUpdateAfterSnapshotDone || !_skipSequenceCheckFirstUpdateAfterSnapshotSet)
// Buffered update is not the next sequence number when it was expected
return SequenceNumberResult.OutOfSync;
}
// Buffered sequence number is larger than the last sequence number
return SequenceNumberResult.Ok;
}
private SequenceNumberResult ValidateLiveSequenceNumber(long sequenceNumber)
{
if (sequenceNumber < LastSequenceNumber)
return SequenceNumberResult.OutOfSync;
if (_sequencesAreConsecutive
&& LastSequenceNumber != 0
&& sequenceNumber != LastSequenceNumber + 1)
{
if (_firstUpdateAfterSnapshotDone || !_skipSequenceCheckFirstUpdateAfterSnapshotSet)
return SequenceNumberResult.OutOfSync;
}
return SequenceNumberResult.Ok;
}
}
internal class DescComparer<T> : IComparer<T>