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Code Issues Releases Wiki Activity

Ticking price event

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This commit is contained in:
Ben Davison 2019-12-11 13:26:13 +00:00
parent a525709562
commit e7ec10e98d
3 changed files with 186 additions and 3 deletions
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153
CryptoExchange.Net/CryptoExchange.Net.xml
View File

@ -797,6 +797,11 @@
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. Be careful! It can generate a lot of events at high-liquidity markets
</summary> </summary>
</member> </member>
<member name="E:CryptoExchange.Net.Interfaces.ISymbolOrderBook.OnPriceChanged">
<summary>
Event when the BestBid or BestAsk changes ie a Pricing Tick
</summary>
</member>
<member name="P:CryptoExchange.Net.Interfaces.ISymbolOrderBook.LastOrderBookUpdate"> <member name="P:CryptoExchange.Net.Interfaces.ISymbolOrderBook.LastOrderBookUpdate">
<summary> <summary>
Timestamp of the last update Timestamp of the last update
@ -1769,6 +1774,11 @@
Event when the state changes Event when the state changes
</summary> </summary>
</member> </member>
<member name="E:CryptoExchange.Net.OrderBook.SymbolOrderBook.OnPriceChanged">
<summary>
Event when the BestBid or BestAsk changes ie a Pricing Tick
</summary>
</member>
<member name="E:CryptoExchange.Net.OrderBook.SymbolOrderBook.OnOrderBookUpdate"> <member name="E:CryptoExchange.Net.OrderBook.SymbolOrderBook.OnOrderBookUpdate">
<summary> <summary>
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 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
@ -2888,5 +2898,148 @@
<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})"> <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 /> <inheritdoc />
</member> </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> </members>
</doc> </doc>

4
CryptoExchange.Net/Interfaces/ISymbolOrderBook.cs
View File

@ -33,6 +33,10 @@ namespace CryptoExchange.Net.Interfaces
/// </summary> /// </summary>
event Action<IEnumerable<ISymbolOrderBookEntry>, IEnumerable<ISymbolOrderBookEntry>> OnOrderBookUpdate; event Action<IEnumerable<ISymbolOrderBookEntry>, IEnumerable<ISymbolOrderBookEntry>> OnOrderBookUpdate;
/// <summary> /// <summary>
/// Event when the BestBid or BestAsk changes ie a Pricing Tick
/// </summary>
event Action<ISymbolOrderBookEntry, ISymbolOrderBookEntry> OnPriceChanged;
/// <summary>
/// Timestamp of the last update /// Timestamp of the last update
/// </summary> /// </summary>
DateTime LastOrderBookUpdate { get; } DateTime LastOrderBookUpdate { get; }

26
CryptoExchange.Net/OrderBook/SymbolOrderBook.cs
View File

@ -79,6 +79,12 @@ namespace CryptoExchange.Net.OrderBook
/// Event when the state changes /// Event when the state changes
/// </summary> /// </summary>
public event Action<OrderBookStatus, OrderBookStatus>? OnStatusChange; public event Action<OrderBookStatus, OrderBookStatus>? OnStatusChange;
/// <summary>
/// Event when the BestBid or BestAsk changes ie a Pricing Tick
/// </summary>
public event Action<ISymbolOrderBookEntry, ISymbolOrderBookEntry>? OnPriceChanged;
/// <summary> /// <summary>
/// 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 /// 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> /// </summary>
@ -286,9 +292,16 @@ namespace CryptoExchange.Net.OrderBook
log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} data set: {BidCount} bids, {AskCount} asks. #{orderBookSequenceNumber}"); log.Write(LogVerbosity.Debug, $"{Id} order book {Symbol} data set: {BidCount} bids, {AskCount} asks. #{orderBookSequenceNumber}");
CheckProcessBuffer(); CheckProcessBuffer();
OnOrderBookUpdate?.Invoke(bidList, askList); OnOrderBookUpdate?.Invoke(bidList, askList);
OnPriceChanged?.Invoke(BestBid, BestAsk);
} }
} }
private bool BestPricingUpdated(ISymbolOrderBookEntry prevBestBid, ISymbolOrderBookEntry prevBestAsk)
{
return BestBid.Price != prevBestBid.Price || BestBid.Quantity != prevBestBid.Quantity ||
BestAsk.Price != prevBestAsk.Price || BestAsk.Quantity != prevBestAsk.Quantity;
}
/// <summary> /// <summary>
/// Update the order book using a single id for an update /// Update the order book using a single id for an update
/// </summary> /// </summary>
@ -315,8 +328,12 @@ namespace CryptoExchange.Net.OrderBook
else else
{ {
CheckProcessBuffer(); CheckProcessBuffer();
var prevBestBid = BestBid;
var prevBestAsk = BestAsk;
ProcessSingleSequenceUpdates(rangeUpdateId, bids, asks); ProcessSingleSequenceUpdates(rangeUpdateId, bids, asks);
OnOrderBookUpdate?.Invoke(bids, asks); OnOrderBookUpdate?.Invoke(bids, asks);
if (BestPricingUpdated(prevBestBid, prevBestAsk))
OnPriceChanged?.Invoke(BestBid, BestAsk);
} }
} }
} }
@ -349,8 +366,12 @@ namespace CryptoExchange.Net.OrderBook
else else
{ {
CheckProcessBuffer(); CheckProcessBuffer();
var prevBestBid = BestBid;
var prevBestAsk = BestAsk;
ProcessRangeUpdates(firstUpdateId, lastUpdateId, bids, asks); ProcessRangeUpdates(firstUpdateId, lastUpdateId, bids, asks);
OnOrderBookUpdate?.Invoke(bids, asks); OnOrderBookUpdate?.Invoke(bids, asks);
if (BestPricingUpdated(prevBestBid, prevBestAsk))
OnPriceChanged?.Invoke(BestBid, BestAsk);
} }
} }
} }
@ -376,8 +397,13 @@ namespace CryptoExchange.Net.OrderBook
else else
{ {
CheckProcessBuffer(); CheckProcessBuffer();
var prevBestBid = BestBid;
var prevBestAsk = BestAsk;
ProcessUpdates(bids, asks); ProcessUpdates(bids, asks);
OnOrderBookUpdate?.Invoke(bids, asks); OnOrderBookUpdate?.Invoke(bids, asks);
if (BestPricingUpdated(prevBestBid, prevBestAsk))
OnPriceChanged?.Invoke(BestBid, BestAsk);
} }
} }
} }