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Code Issues Releases Wiki Activity

Rework order book; added support for checksum

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This commit is contained in:
Jan Korf 2020-06-20 20:34:48 +02:00
parent 5105e995e8
commit ddc4ebe638
4 changed files with 257 additions and 38 deletions
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155
CryptoExchange.Net/CryptoExchange.Net.xml
View File

@ -1333,6 +1333,11 @@
Connecting
</summary>
</member>
<member name="F:CryptoExchange.Net.Objects.OrderBookStatus.Reconnecting">
<summary>
Reconnecting
</summary>
</member>
<member name="F:CryptoExchange.Net.Objects.OrderBookStatus.Syncing">
<summary>
Syncing data
@ -1858,6 +1863,13 @@
</summary>
<returns></returns>
</member>
<member name="M:CryptoExchange.Net.OrderBook.SymbolOrderBook.DoChecksum(System.Int32)">
<summary>
Validate a checksum with the current order book
</summary>
<param name="checksum"></param>
<returns></returns>
</member>
<member name="M:CryptoExchange.Net.OrderBook.SymbolOrderBook.SetInitialOrderBook(System.Int64,System.Collections.Generic.IEnumerable{CryptoExchange.Net.Interfaces.ISymbolOrderBookEntry},System.Collections.Generic.IEnumerable{CryptoExchange.Net.Interfaces.ISymbolOrderBookEntry})">
<summary>
Set the initial data for the order book
@ -2931,5 +2943,148 @@
<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>

4
CryptoExchange.Net/Objects/Enums.cs
View File

@ -59,6 +59,10 @@
/// </summary>
Connecting,
/// <summary>
/// Reconnecting
/// </summary>
Reconnecting,
/// <summary>
/// Syncing data
/// </summary>
Syncing,

13
CryptoExchange.Net/OrderBook/ProcessQueueItem.cs
View File

@ -10,4 +10,17 @@ namespace CryptoExchange.Net.OrderBook
public IEnumerable<ISymbolOrderBookEntry> Bids { get; set; } = new List<ISymbolOrderBookEntry>();
public IEnumerable<ISymbolOrderBookEntry> Asks { get; set; } = new List<ISymbolOrderBookEntry>();
}
internal class InitialOrderBookItem
{
public long StartUpdateId { get; set; }
public long EndUpdateId { get; set; }
public IEnumerable<ISymbolOrderBookEntry> Bids { get; set; } = new List<ISymbolOrderBookEntry>();
public IEnumerable<ISymbolOrderBookEntry> Asks { get; set; } = new List<ISymbolOrderBookEntry>();
}
internal class ChecksumItem
{
public int Checksum { get; set; }
}
}

123
CryptoExchange.Net/OrderBook/SymbolOrderBook.cs
View File

@ -40,7 +40,7 @@ namespace CryptoExchange.Net.OrderBook
private Task _processTask;
private AutoResetEvent _queueEvent;
private ConcurrentQueue<ProcessQueueItem> _processQueue;
private ConcurrentQueue<object> _processQueue;
/// <summary>
/// Order book implementation id
@ -197,7 +197,7 @@ namespace CryptoExchange.Net.OrderBook
Id = options.OrderBookName;
processBuffer = new List<ProcessBufferRangeSequenceEntry>();
_processQueue = new ConcurrentQueue<ProcessQueueItem>();
_processQueue = new ConcurrentQueue<object>();
_queueEvent = new AutoResetEvent(false);
sequencesAreConsecutive = options.SequenceNumbersAreConsecutive;
@ -243,7 +243,7 @@ namespace CryptoExchange.Net.OrderBook
private void Reset()
{
log.Write(LogVerbosity.Warning, $"{Id} order book {Symbol} connection lost");
Status = OrderBookStatus.Connecting;
Status = OrderBookStatus.Reconnecting;
_queueEvent.Set();
// Clear queue
while(_processQueue.TryDequeue(out _))
@ -306,14 +306,58 @@ namespace CryptoExchange.Net.OrderBook
/// <returns></returns>
protected abstract Task<CallResult<bool>> DoResync();
/// <summary>
/// Validate a checksum with the current order book
/// </summary>
/// <param name="checksum"></param>
/// <returns></returns>
protected virtual bool DoChecksum(int checksum) => true;
private void ProcessQueue()
{
while(Status != OrderBookStatus.Disconnected)
{
_queueEvent.WaitOne();
while (_processQueue.TryDequeue(out var item))
ProcessQueueItem(item);
{
if (Status == OrderBookStatus.Disconnected)
break;
if (item is InitialOrderBookItem iobi)
ProcessInitialOrderBookItem(iobi);
if (item is ProcessQueueItem pqi)
ProcessQueueItem(pqi);
else if (item is ChecksumItem ci)
ProcessChecksum(ci);
}
}
}
private void ProcessInitialOrderBookItem(InitialOrderBookItem item)
{
lock (bookLock)
{
if (Status == OrderBookStatus.Connecting || Status == OrderBookStatus.Disconnected)
return;
asks.Clear();
foreach (var ask in item.Asks)
asks.Add(ask.Price, ask);
bids.Clear();
foreach (var bid in item.Bids)
bids.Add(bid.Price, bid);
LastSequenceNumber = item.EndUpdateId;
AskCount = asks.Count;
BidCount = bids.Count;
LastOrderBookUpdate = DateTime.UtcNow;
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} data set: {BidCount} bids, {AskCount} asks. #{item.EndUpdateId}");
CheckProcessBuffer();
OnOrderBookUpdate?.Invoke(item.Asks, item.Bids);
OnBestOffersChanged?.Invoke(BestBid, BestAsk);
}
}
@ -354,6 +398,20 @@ namespace CryptoExchange.Net.OrderBook
}
}
private void ProcessChecksum(ChecksumItem ci)
{
lock (bookLock)
{
var checksumResult = DoChecksum(ci.Checksum);
if(!checksumResult)
{
log.Write(LogVerbosity.Warning, $"{Id} order book {Symbol} out of sync. Resyncing");
_ = subscription?.Reconnect();
return;
}
}
}
/// <summary>
/// Set the initial data for the order book
/// </summary>
@ -362,38 +420,10 @@ namespace CryptoExchange.Net.OrderBook
/// <param name="bidList">List of bids</param>
protected void SetInitialOrderBook(long orderBookSequenceNumber, IEnumerable<ISymbolOrderBookEntry> bidList, IEnumerable<ISymbolOrderBookEntry> askList)
{
lock (bookLock)
{
if (Status == OrderBookStatus.Connecting || Status == OrderBookStatus.Disconnected)
return;
bookSet = true;
asks.Clear();
foreach (var ask in askList)
asks.Add(ask.Price, ask);
bids.Clear();
foreach (var bid in bidList)
bids.Add(bid.Price, bid);
LastSequenceNumber = orderBookSequenceNumber;
AskCount = asks.Count;
BidCount = asks.Count;
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);
OnBestOffersChanged?.Invoke(BestBid, BestAsk);
}
}
private void CheckBestOffersChanged(ISymbolOrderBookEntry prevBestBid, ISymbolOrderBookEntry prevBestAsk)
{
var (bestBid, bestAsk) = BestOffers;
if (bestBid.Price != prevBestBid.Price || bestBid.Quantity != prevBestBid.Quantity ||
bestAsk.Price != prevBestAsk.Price || bestAsk.Quantity != prevBestAsk.Quantity)
OnBestOffersChanged?.Invoke(bestBid, bestAsk);
_processQueue.Enqueue(new InitialOrderBookItem { StartUpdateId = orderBookSequenceNumber, EndUpdateId = orderBookSequenceNumber, Asks = askList, Bids = bidList });
_queueEvent.Set();
}
/// <summary>
@ -408,6 +438,16 @@ namespace CryptoExchange.Net.OrderBook
_queueEvent.Set();
}
/// <summary>
/// Add a checksum to the process queue
/// </summary>
/// <param name="checksum"></param>
protected void AddChecksum(int checksum)
{
_processQueue.Enqueue(new ChecksumItem() { Checksum = checksum });
_queueEvent.Set();
}
/// <summary>
/// Update the order book using a first/last update id
/// </summary>
@ -505,7 +545,6 @@ namespace CryptoExchange.Net.OrderBook
{
// 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;
}
@ -531,7 +570,7 @@ namespace CryptoExchange.Net.OrderBook
}
else
{
listToChange[entry.Price].Quantity = entry.Quantity;
listToChange[entry.Price] = entry;
}
}
@ -557,6 +596,14 @@ namespace CryptoExchange.Net.OrderBook
return new CallResult<bool>(true, null);
}
private void CheckBestOffersChanged(ISymbolOrderBookEntry prevBestBid, ISymbolOrderBookEntry prevBestAsk)
{
var (bestBid, bestAsk) = BestOffers;
if (bestBid.Price != prevBestBid.Price || bestBid.Quantity != prevBestBid.Quantity ||
bestAsk.Price != prevBestAsk.Price || bestAsk.Quantity != prevBestAsk.Quantity)
OnBestOffersChanged?.Invoke(bestBid, bestAsk);
}
/// <summary>
/// Dispose the order book
/// </summary>