CryptoExchange.Net/CryptoExchange.Net/OrderBook/SymbolOrderBook.cs

using System;
using System.Collections.Concurrent;
using System.Collections.Generic;
using System.Diagnostics;
using System.Globalization;
using System.Linq;
using System.Text;
using System.Threading;
using System.Threading.Tasks;
using CryptoExchange.Net.Interfaces;
using CryptoExchange.Net.Logging.Extensions;
using CryptoExchange.Net.Objects;
using CryptoExchange.Net.Objects.Errors;
using CryptoExchange.Net.Objects.Options;
using CryptoExchange.Net.Objects.Sockets;
using Microsoft.Extensions.Logging;
using Microsoft.Extensions.Logging.Abstractions;

namespace CryptoExchange.Net.OrderBook
{
    /// <summary>
    /// Base for order book implementations
    /// </summary>
    public abstract class SymbolOrderBook : ISymbolOrderBook, IDisposable
    {
#if NET9_0_OR_GREATER
        private readonly Lock _bookLock = new Lock();
#else
        private readonly object _bookLock = new object();
#endif

        private OrderBookStatus _status;
        private UpdateSubscription? _subscription;
        
        private bool _stopProcessing;
        private Task? _processTask;
        private CancellationTokenSource? _cts;

        private readonly AsyncResetEvent _queueEvent;
        private readonly ConcurrentQueue<object> _processQueue;
        private bool _validateChecksum;
        private bool _firstUpdateAfterSnapshotDone;

        private class EmptySymbolOrderBookEntry : ISymbolOrderBookEntry
        {
            public decimal Quantity { get => 0m;
                set { } }
            public decimal Price { get => 0m;
                set { } }
        }

        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
        /// than the snapshot sequence number will be discarded
        /// </summary>
        protected readonly List<ProcessBufferRangeSequenceEntry> _processBuffer;

        /// <summary>
        /// The ask list, should only be accessed using the bookLock
        /// </summary>
        protected SortedList<decimal, ISymbolOrderBookEntry> _asks;

        /// <summary>
        /// The bid list, should only be accessed using the bookLock
        /// </summary>
        protected SortedList<decimal, ISymbolOrderBookEntry> _bids;

        /// <summary>
        /// The log
        /// </summary>
        protected ILogger _logger;

        /// <summary>
        /// Whether update numbers are consecutive. If set to true and an update comes in which isn't the previous sequences number + 1
        /// the book will resynchronize as it is deemed out of sync
        /// </summary>
        protected bool _sequencesAreConsecutive;

        /// <summary>
        /// Whether the first update message after a snapshot may have overlapping sequence numbers instead of the snapshot sequence number + 1
        /// </summary>
        protected bool _skipSequenceCheckFirstUpdateAfterSnapshotSet;

        /// <summary>
        /// Whether levels should be strictly enforced. For example, when an order book has 25 levels and a new update comes in which pushes
        /// the current level 25 ask out of the top 25, should the level 26 entry be removed from the book or does the server handle this
        /// </summary>
        protected bool _strictLevels;

        /// <summary>
        /// If the initial snapshot of the book has been set
        /// </summary>
        protected bool _bookSet;

        /// <summary>
        /// The amount of levels for this book
        /// </summary>
        protected int? Levels { get; set; } = null;

        /// <inheritdoc/>
        public string Exchange { get; }

        /// <inheritdoc/>
        public string Api { get; }

        /// <inheritdoc/>
        public OrderBookStatus Status 
        {
            get => _status;
            set
            {
                if (value == _status)
                    return;

                var old = _status;
                _status = value;
                _logger.OrderBookStatusChanged(Api, Symbol, old, value);
                OnStatusChange?.Invoke(old, _status);
            }
        }

        /// <inheritdoc/>
        public long LastSequenceNumber { get; private set; }

        /// <inheritdoc/>
        public string Symbol { get; }

        /// <inheritdoc/>
        public event Action<OrderBookStatus, OrderBookStatus>? OnStatusChange;

        /// <inheritdoc/>
        public event Action<(ISymbolOrderBookEntry BestBid, ISymbolOrderBookEntry BestAsk)>? OnBestOffersChanged;

        /// <inheritdoc/>
        public event Action<(ISymbolOrderBookEntry[] Bids, ISymbolOrderBookEntry[] Asks)>? OnOrderBookUpdate;

        /// <inheritdoc/>
        public DateTime UpdateTime { get; private set; }

        /// <inheritdoc/>
        public DateTime? UpdateServerTime { get; private set; }

        /// <inheritdoc/>
        public DateTime? UpdateLocalTime { get; set; }

        /// <inheritdoc/>
        public TimeSpan? DataAge => DateTime.UtcNow - UpdateLocalTime;

        /// <inheritdoc/>
        public int AskCount { get; private set; }

        /// <inheritdoc/>
        public int BidCount { get; private set; }

        /// <inheritdoc/>
        public ISymbolOrderBookEntry[] Asks
        {
            get
            {
                lock (_bookLock)
                    return _asks.Select(a => a.Value).ToArray();
            }
        }

        /// <inheritdoc/>
        public ISymbolOrderBookEntry[] Bids 
        {
            get
            {
                lock (_bookLock)
                    return _bids.Select(a => a.Value).ToArray();
            }
        }

        /// <inheritdoc/>
        public (ISymbolOrderBookEntry[] bids, ISymbolOrderBookEntry[] asks) Book
        {
            get
            {
                lock (_bookLock)
                    return (Bids, Asks);
            }
        }

        /// <inheritdoc/>
        public ISymbolOrderBookEntry BestBid
        {
            get
            {
                lock (_bookLock)
                    return _bids.FirstOrDefault().Value ?? _emptySymbolOrderBookEntry;
            }
        }

        /// <inheritdoc/>
        public ISymbolOrderBookEntry BestAsk 
        {
            get
            {
                lock (_bookLock)
                    return _asks.FirstOrDefault().Value ?? _emptySymbolOrderBookEntry;
            }
        }

        /// <inheritdoc/>
        public (ISymbolOrderBookEntry Bid, ISymbolOrderBookEntry Ask) BestOffers {
            get {
                lock (_bookLock)
                    return (BestBid,BestAsk);
            }
        }

        /// <summary>
        /// ctor
        /// </summary>
        /// <param name="logger">Logger to use. If not provided will create a TraceLogger</param>
        /// <param name="exchange">The exchange of the order book</param>
        /// <param name="api">The API the book is for, for example Spot</param>
        /// <param name="symbol">The symbol the order book is for</param>
        protected SymbolOrderBook(ILoggerFactory? logger, string exchange, string api, string symbol)
        {
            if (symbol == null)
                throw new ArgumentNullException(nameof(symbol));

            Exchange = exchange;
            Api = api;

            _processBuffer = new List<ProcessBufferRangeSequenceEntry>();
            _processQueue = new ConcurrentQueue<object>();
            _queueEvent = new AsyncResetEvent(false, true);

            Symbol = symbol;
            Status = OrderBookStatus.Disconnected;

            _asks = new SortedList<decimal, ISymbolOrderBookEntry>();
            _bids = new SortedList<decimal, ISymbolOrderBookEntry>(new DescComparer<decimal>());

            _logger = logger?.CreateLogger(Exchange) ?? NullLoggerFactory.Instance.CreateLogger(Exchange);
        }

        /// <summary>
        /// Initialize the order book using the provided options
        /// </summary>
        /// <param name="options">The options</param>
        /// <exception cref="ArgumentNullException"></exception>
        protected void Initialize(OrderBookOptions options)
        {
            if (options == null)
                throw new ArgumentNullException(nameof(options));

            _validateChecksum = options.ChecksumValidationEnabled;
        }

        /// <inheritdoc/>
        public async Task<CallResult<bool>> StartAsync(CancellationToken? ct = null)
        {
            if (Status != OrderBookStatus.Disconnected)
                throw new InvalidOperationException($"Can't start book unless state is {OrderBookStatus.Disconnected}. Current state: {Status}");

            _logger.OrderBookStarting(Api, Symbol);
            _cts = new CancellationTokenSource();
            ct?.Register(async () =>
            {
                _cts.Cancel();
                await StopAsync().ConfigureAwait(false);
            }, false);

            // Clear any previous messages
            while (_processQueue.TryDequeue(out _)) { }

            _processBuffer.Clear();
            _bookSet = false;
            _firstUpdateAfterSnapshotDone = false;

            Status = OrderBookStatus.Connecting;
            _processTask = Task.Factory.StartNew(ProcessQueue, TaskCreationOptions.LongRunning);

            var startResult = await DoStartAsync(_cts.Token).ConfigureAwait(false);
            if (!startResult)
            {
                Status = OrderBookStatus.Disconnected;
                return new CallResult<bool>(startResult.Error!);
            }

            if (_cts.IsCancellationRequested)
            {
                _logger.OrderBookStoppedStarting(Api, Symbol);
                await startResult.Data.CloseAsync().ConfigureAwait(false);
                Status = OrderBookStatus.Disconnected;
                return new CallResult<bool>(new CancellationRequestedError());
            }

            _subscription = startResult.Data;
            _subscription.ConnectionLost += HandleConnectionLost;
            _subscription.ConnectionClosed += HandleConnectionClosed;
            _subscription.ConnectionRestored += HandleConnectionRestored;

            Status = OrderBookStatus.Synced;
            return new CallResult<bool>(true);
        }

        private void HandleConnectionLost() 
        {
            _logger.OrderBookConnectionLost(Api, Symbol);    
            if (Status != OrderBookStatus.Disposed) {
                Status = OrderBookStatus.Reconnecting;
                Reset();
            }
        }

        private void HandleConnectionClosed() {
            _logger.OrderBookDisconnected(Api, Symbol);
            Status = OrderBookStatus.Disconnected;
            _ = StopAsync();
        }

        private async void HandleConnectionRestored(TimeSpan _) {
            await ResyncAsync().ConfigureAwait(false);
        }

        /// <inheritdoc/>
        public async Task StopAsync()
        {
            _logger.OrderBookStopping(Api, Symbol);
            Status = OrderBookStatus.Disconnected;
            _cts?.Cancel();
            _queueEvent.Set();
            if (_processTask != null)
                await _processTask.ConfigureAwait(false);

            if (_subscription != null) {
                await _subscription.CloseAsync().ConfigureAwait(false);
                _subscription.ConnectionLost -= HandleConnectionLost;
                _subscription.ConnectionClosed -= HandleConnectionClosed;
                _subscription.ConnectionRestored -= HandleConnectionRestored;
            }

            _logger.OrderBookStopped(Api, Symbol);
        }

        /// <inheritdoc/>
        public CallResult<decimal> CalculateAverageFillPrice(decimal baseQuantity, OrderBookEntryType type)
        {
            if (Status != OrderBookStatus.Synced)
                return new CallResult<decimal>(new InvalidOperationError($"{nameof(CalculateAverageFillPrice)} is not available when book is not in Synced state"));

            var totalCost = 0m;
            var totalAmount = 0m;
            var amountLeft = baseQuantity;
            lock (_bookLock)
            {
                var list = type == OrderBookEntryType.Ask ? _asks : _bids;
                
                var step = 0;
                while (amountLeft > 0)
                {
                    if (step == list.Count)
                        return new CallResult<decimal>(new InvalidOperationError("Quantity is larger than order in the order book"));

                    var element = list.ElementAt(step);
                    var stepAmount = Math.Min(element.Value.Quantity, amountLeft);
                    totalCost += stepAmount * element.Value.Price;
                    totalAmount += stepAmount;
                    amountLeft -= stepAmount;
                    step++;
                }
            }

            return new CallResult<decimal>(Math.Round(totalCost / totalAmount, 8));
        }

        /// <inheritdoc/>
        public CallResult<decimal> CalculateTradableAmount(decimal quoteQuantity, OrderBookEntryType type)
        {
            if (Status != OrderBookStatus.Synced)
                return new CallResult<decimal>(new InvalidOperationError($"{nameof(CalculateTradableAmount)} is not available when book is not in Synced state"));

            var quoteQuantityLeft = quoteQuantity;
            var totalBaseQuantity = 0m;
            lock (_bookLock)
            {
                var list = type == OrderBookEntryType.Ask ? _asks : _bids;

                var step = 0;
                while (quoteQuantityLeft > 0)
                {
                    if (step == list.Count)
                        return new CallResult<decimal>(new InvalidOperationError("Quantity is larger than order in the order book"));

                    var element = list.ElementAt(step);
                    var stepAmount = Math.Min(element.Value.Quantity * element.Value.Price, quoteQuantityLeft);
                    quoteQuantityLeft -= stepAmount;
                    totalBaseQuantity += stepAmount / element.Value.Price;
                    step++;
                }
            }

            return new CallResult<decimal>(Math.Round(totalBaseQuantity, 8));
        }

        /// <summary>
        /// Implementation for starting the order book. Should typically have logic for subscribing to the update stream and retrieving
        /// and setting the initial order book
        /// </summary>
        /// <returns></returns>
        protected abstract Task<CallResult<UpdateSubscription>> DoStartAsync(CancellationToken ct);

        /// <summary>
        /// Reset the order book
        /// </summary>
        protected virtual void DoReset() { }

        /// <summary>
        /// Resync the order book
        /// </summary>
        /// <returns></returns>
        protected abstract Task<CallResult<bool>> DoResyncAsync(CancellationToken ct);

        /// <summary>
        /// Implementation for validating a checksum value with the current order book. If checksum validation fails (returns false)
        /// the order book will be resynchronized
        /// </summary>
        protected virtual bool DoChecksum(int checksum) => true;

        /// <summary>
        /// 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 SetSnapshot(
            long? orderBookSequenceNumber,
            ISymbolOrderBookEntry[] bidList,
            ISymbolOrderBookEntry[] askList,
            DateTime? serverDataTime = null,
            DateTime? localDataTime = null)
        {
            _processQueue.Enqueue(
                new OrderBookSnapshot
                {
                    LocalDataTime = localDataTime,
                    ServerDataTime = serverDataTime,
                    SequenceNumber = orderBookSequenceNumber,
                    Asks = askList,
                    Bids = bidList
                });
            _queueEvent.Set();
        }

        /// <summary>
        /// Add an update to the process queue. Updates the book by providing changed bids and asks, along with an update number which should be higher than the previous update numbers
        /// </summary>
        /// <param name="sequenceNumber">The sequence number</param>
        /// <param name="bids">List of updated/new bids</param>
        /// <param name="asks">List of updated/new asks</param>
        /// <param name="serverDataTime">Server data timestamp</param>
        /// <param name="localDataTime">local data timestamp</param>
        protected void UpdateOrderBook(
            long sequenceNumber,
            ISymbolOrderBookEntry[] bids,
            ISymbolOrderBookEntry[] asks,
            DateTime? serverDataTime = null,
            DateTime? localDataTime = null)
        {
            _processQueue.Enqueue(
                new OrderBookUpdate
                { 
                    LocalDataTime = localDataTime,
                    ServerDataTime = serverDataTime,
                    StartSequenceNumber = sequenceNumber, 
                    EndSequenceNumber = sequenceNumber,
                    Asks = asks,
                    Bids = bids 
                });
            _queueEvent.Set();
        }

        /// <summary>
        /// Add an update to the process queue. Updates the book by providing changed bids and asks, along with the first and last sequence number in the update
        /// </summary>
        /// <param name="firstSequenceNumber">The sequence number of the first update</param>
        /// <param name="lastSequenceNumber">The sequence number of the last update</param>
        /// <param name="bids">List of updated/new bids</param>
        /// <param name="asks">List of updated/new asks</param>
        /// <param name="serverDataTime">Server data timestamp</param>
        /// <param name="localDataTime">local data timestamp</param>
        protected void UpdateOrderBook(
            long firstSequenceNumber,
            long lastSequenceNumber,
            ISymbolOrderBookEntry[] bids,
            ISymbolOrderBookEntry[] asks,
            DateTime? serverDataTime = null,
            DateTime? localDataTime = null)
        {
            _processQueue.Enqueue(
                new OrderBookUpdate
                {
                    LocalDataTime = localDataTime,
                    ServerDataTime = serverDataTime,
                    StartSequenceNumber = firstSequenceNumber,
                    EndSequenceNumber = lastSequenceNumber,
                    Asks = asks,
                    Bids = bids
                });
            _queueEvent.Set();
        }

        /// <summary>
        /// Add an update to the process queue. Updates the book by providing changed bids and asks, each with its own sequence number
        /// </summary>
        /// <param name="bids">List of updated/new bids</param>
        /// <param name="asks">List of updated/new asks</param>
        /// <param name="serverDataTime">Server data timestamp</param>
        /// <param name="localDataTime">local data timestamp</param>
        protected void UpdateOrderBook(
            ISymbolOrderSequencedBookEntry[] bids,
            ISymbolOrderSequencedBookEntry[] asks,
            DateTime? serverDataTime = null,
            DateTime? localDataTime = null)
        {
            var highest = Math.Max(bids.Any() ? bids.Max(b => b.Sequence) : 0, asks.Any() ? asks.Max(a => a.Sequence) : 0);
            var lowest = Math.Min(bids.Any() ? bids.Min(b => b.Sequence) : long.MaxValue, asks.Any() ? asks.Min(a => a.Sequence) : long.MaxValue);

            _processQueue.Enqueue(
                new OrderBookUpdate
                {
                    LocalDataTime = localDataTime,
                    ServerDataTime = serverDataTime,
                    StartSequenceNumber = lowest, 
                    EndSequenceNumber = highest, 
                    Asks = asks,
                    Bids = bids 
                });
            _queueEvent.Set();
        }

        /// <summary>
        /// Add a checksum value to the process queue
        /// </summary>
        /// <param name="checksum">The checksum value</param>
        /// <param name="sequenceNumber">The sequence number of the message if it's a separate message with separate number</param>
        protected void AddChecksum(int checksum, long? sequenceNumber = null)
        {
            _processQueue.Enqueue(new OrderBookChecksum() { Checksum = checksum, SequenceNumber = sequenceNumber });
            _queueEvent.Set();
        }

        /// <summary>
        /// Check and empty the process buffer; see what entries to update the book with
        /// </summary>
        protected void CheckProcessBuffer()
        {
            if (_processBuffer.Count > 0)
                _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();
        }

        /// <summary>
        /// Update order book with an entry
        /// </summary>
        /// <param name="type">Type of entry</param>
        /// <param name="entry">The entry</param>
        protected virtual bool UpdateValue(OrderBookEntryType type, ISymbolOrderBookEntry entry)
        {
            UpdateTime = DateTime.UtcNow;
            var listToChange = type == OrderBookEntryType.Ask ? _asks : _bids;
            if (entry.Quantity == 0)
            {
                if (!listToChange.ContainsKey(entry.Price))
                    return true;

                listToChange.Remove(entry.Price);
                if (type == OrderBookEntryType.Ask) AskCount--;
                else BidCount--;
            }
            else
            {
                if (!listToChange.ContainsKey(entry.Price))
                {
                    listToChange.Add(entry.Price, entry);
                    if (type == OrderBookEntryType.Ask) AskCount++;
                    else BidCount++;
                }
                else
                {
                    listToChange[entry.Price] = entry;
                }
            }

            return true;
        }

        /// <summary>
        /// Wait until the order book snapshot has been set
        /// </summary>
        /// <param name="timeout">Max wait time</param>
        /// <param name="ct">Cancellation token</param>
        /// <returns></returns>
        protected async Task<CallResult<bool>> WaitForSetOrderBookAsync(TimeSpan timeout, CancellationToken ct)
        {
            var startWait = DateTime.UtcNow;
            while (!_bookSet && Status == OrderBookStatus.Syncing)
            {
                if(ct.IsCancellationRequested)
                    return new CallResult<bool>(new CancellationRequestedError());

                if (DateTime.UtcNow - startWait > timeout)
                    return new CallResult<bool>(new ServerError(new ErrorInfo(ErrorType.OrderBookTimeout, "Timeout while waiting for data")));

                try
                {
                    await Task.Delay(50, ct).ConfigureAwait(false);
                }
                catch (OperationCanceledException)
                { }
            }

            return new CallResult<bool>(true);
        }

        /// <summary>
        /// IDisposable implementation for the order book
        /// </summary>
        public void Dispose()
        {
            Dispose(true);
            GC.SuppressFinalize(this);
        }

        /// <summary>
        /// Dispose method
        /// </summary>
        /// <param name="disposing"></param>
        protected virtual void Dispose(bool disposing)
        {
            Status = OrderBookStatus.Disposing;

            _cts?.Cancel();
            _queueEvent.Set();

            // Clear queue
            while (_processQueue.TryDequeue(out _)) { }

            _processBuffer.Clear();
            _asks.Clear();
            _bids.Clear();
            AskCount = 0;
            BidCount = 0;

            Status = OrderBookStatus.Disposed;
        }

        /// <summary>
        /// String representation of the top 3 entries
        /// </summary>
        /// <returns></returns>
        public override string ToString()
        {
            return ToString(3);
        }

        /// <summary>
        /// String representation of the top x entries
        /// </summary>
        /// <returns></returns>
        public string ToString(int numberOfEntries)
        {
            var stringBuilder = new StringBuilder();
            var book = Book;
            stringBuilder.AppendLine($"{Exchange} - {Symbol}");
            stringBuilder.AppendLine($"Update time local:     {UpdateTime:HH:mm:ss.fff} ({Math.Round((DateTime.UtcNow - UpdateTime).TotalMilliseconds)}ms ago)");
            stringBuilder.AppendLine($"Data timestamp server: {UpdateServerTime:HH:mm:ss.fff}");
            stringBuilder.AppendLine($"Data timestamp local:  {UpdateLocalTime:HH:mm:ss.fff}");
            stringBuilder.AppendLine($"Data age:              {DataAge?.TotalMilliseconds}ms");
            stringBuilder.AppendLine();
            stringBuilder.AppendLine($"   Ask quantity       Ask price | Bid price       Bid quantity");
            for(var i = 0; i < numberOfEntries; i++)
            {
                var ask = book.asks.Count() > i ? book.asks.ElementAt(i): null;
                var bid = book.bids.Count() > i ? book.bids.ElementAt(i): null;
                stringBuilder.AppendLine($"[{ask?.Quantity.ToString(CultureInfo.InvariantCulture),14}] {ask?.Price.ToString(CultureInfo.InvariantCulture),14} | {bid?.Price.ToString(CultureInfo.InvariantCulture),-14} [{bid?.Quantity.ToString(CultureInfo.InvariantCulture),-14}]");
            }

            return stringBuilder.ToString();
        }

        /// <inheritdoc />
        public Task OutputToConsoleAsync(int numberOfEntries, TimeSpan refreshInterval, CancellationToken ct = default)
        {
            return Task.Run(async () =>
            {
                var referenceTime = DateTime.UtcNow;
                while (!ct.IsCancellationRequested)
                {
                    Console.Clear();
                    Console.WriteLine(ToString(numberOfEntries));
                    var delay = Math.Max(1, (DateTime.UtcNow - referenceTime).TotalMilliseconds % refreshInterval.TotalMilliseconds);
                    try { await Task.Delay(refreshInterval.Add(TimeSpan.FromMilliseconds(-delay)), ct).ConfigureAwait(false); } catch { }
                }
            });
        }

        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));
            }
        }

        private void Reset()
        {
            _queueEvent.Set();
            // Clear queue
            while (_processQueue.TryDequeue(out _)) { }

            LastSequenceNumber = 0;
            _processBuffer.Clear();
            _bookSet = false;
            _firstUpdateAfterSnapshotDone = false;

            DoReset();
        }

        private async Task ResyncAsync()
        {
            Status = OrderBookStatus.Syncing;
            var success = false;
            while (!success)
            {
                if (Status != OrderBookStatus.Syncing)
                    return;

                var resyncResult = await DoResyncAsync(_cts!.Token).ConfigureAwait(false);
                success = resyncResult;
            }

            _logger.OrderBookResynced(Api, Symbol);
            Status = OrderBookStatus.Synced;
        }

        private async Task ProcessQueue()
        {
            while (Status != OrderBookStatus.Disconnected && Status != OrderBookStatus.Disposed)
            {
                await _queueEvent.WaitAsync().ConfigureAwait(false);

                while (_processQueue.TryDequeue(out var item))
                {
                    if (Status == OrderBookStatus.Disconnected || Status == OrderBookStatus.Disposed)
                        break;

                    if (_stopProcessing)
                    {
                        _logger.OrderBookMessageSkippedResubscribing(Api, Symbol);
                        continue;
                    }

                    if (item is OrderBookSnapshot snapshot)
                        ProcessOrderBookSnapshot(snapshot);
                    if (item is OrderBookUpdate update)
                        ProcessQueueItem(update);
                    else if (item is OrderBookChecksum checksum)
                        ProcessChecksum(checksum);
                }
            }
        }

        private void ProcessOrderBookSnapshot(OrderBookSnapshot item)
        {
            lock (_bookLock)
            {
                _bookSet = true;
                _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);

                if (item.SequenceNumber != null)
                    LastSequenceNumber = item.SequenceNumber.Value;

                AskCount = _asks.Count;
                BidCount = _bids.Count;

                UpdateTime = DateTime.UtcNow;
                UpdateServerTime = item.ServerDataTime;
                UpdateLocalTime = item.LocalDataTime;

                _logger.OrderBookDataSet(Api, Symbol, BidCount, AskCount, item.SequenceNumber);
                CheckProcessBuffer();

                OnOrderBookUpdate?.Invoke((item.Bids.ToArray(), item.Asks.ToArray()));
                OnBestOffersChanged?.Invoke((BestBid, BestAsk));
            }
        }

        private void ProcessQueueItem(OrderBookUpdate item)
        {
            lock (_bookLock)
            {
                if (!_bookSet)
                {
                    _processBuffer.Add(new ProcessBufferRangeSequenceEntry()
                    {
                        Asks = item.Asks,
                        Bids = item.Bids,
                        FirstUpdateId = item.StartSequenceNumber,
                        LastUpdateId = item.EndSequenceNumber,
                    });


                    if (_logger.IsEnabled(LogLevel.Trace))
                        _logger.OrderBookUpdateBuffered(Api, Symbol, item.StartSequenceNumber, item.EndSequenceNumber, item.Asks.Length, item.Bids.Length);
                }
                else
                {
                    CheckProcessBuffer();
                    var (prevBestBid, prevBestAsk) = BestOffers;
                    ProcessUpdate(item.StartSequenceNumber, item.EndSequenceNumber, item.Bids, item.Asks, false);

                    if (_asks.Count == 0 || _bids.Count == 0)
                        return;

                    if (_asks.First().Key < _bids.First().Key)
                    {
                        _logger.OrderBookOutOfSyncDetected(Api, Symbol, _asks.First().Key, _bids.First().Key);
                        _stopProcessing = true;
                        Resubscribe();
                        return;
                    }

                    UpdateServerTime = item.ServerDataTime;
                    UpdateLocalTime = item.LocalDataTime;

                    OnOrderBookUpdate?.Invoke((item.Bids.ToArray(), item.Asks.ToArray()));
                    CheckBestOffersChanged(prevBestBid, prevBestAsk);
                }
            }
        }

        private void ProcessChecksum(OrderBookChecksum ci)
        {
            lock (_bookLock)
            {
                if (!_validateChecksum)
                    return;

                bool checksumResult = false;
                try
                {
                    checksumResult = DoChecksum(ci.Checksum);
                }
                catch (Exception)
                {
                    // If the status is not synced it can be expected a checksum is failing

                    if (Status == OrderBookStatus.Synced)
                        throw;
                }

                if (ci.SequenceNumber != null)
                    LastSequenceNumber = ci.SequenceNumber.Value;

                if (!checksumResult)
                {
                    _logger.OrderBookOutOfSyncChecksum(Api, Symbol);
                    _stopProcessing = true;
                    Resubscribe();
                }
            }
        }

        private void Resubscribe()
        {
            Status = OrderBookStatus.Syncing;
            _ = Task.Run(async () =>
            {
                if(_subscription == null)
                {
                    Status = OrderBookStatus.Disconnected;
                    return;
                }

                await _subscription!.UnsubscribeAsync().ConfigureAwait(false);
                Reset();
                _stopProcessing = false;
                if (!await _subscription!.ResubscribeAsync().ConfigureAwait(false))
                {
                    // Resubscribing failed, reconnect the socket
                    _logger.OrderBookResyncFailed(Api, Symbol);
                    Status = OrderBookStatus.Reconnecting;
                    _ = _subscription!.ReconnectAsync();
                }
                else
                {
                    await ResyncAsync().ConfigureAwait(false);
                }
            });
        }

        private void ProcessUpdate(
            long updateSequenceNumberStart,
            long updateSequenceNumberEnd,
            IEnumerable<ISymbolOrderBookEntry> bids,
            IEnumerable<ISymbolOrderBookEntry> asks,
            bool fromBuffer)
        {
            var sequenceResult = fromBuffer ? ValidateBufferSequenceNumber(updateSequenceNumberStart, updateSequenceNumberEnd) : ValidateLiveSequenceNumber(updateSequenceNumberStart);
            if (sequenceResult == SequenceNumberResult.Skip)
            {
                if (updateSequenceNumberStart != updateSequenceNumberEnd)
                    _logger.OrderBookUpdateSkipped(Api, Symbol, updateSequenceNumberStart, updateSequenceNumberEnd, LastSequenceNumber);
                else
                    _logger.OrderBookUpdateSkipped(Api, Symbol, updateSequenceNumberStart, LastSequenceNumber);

                return;
            }

            if (sequenceResult == SequenceNumberResult.OutOfSync)
            {
                _logger.OrderBookOutOfSync(Api, Symbol, LastSequenceNumber + 1, updateSequenceNumberStart);
                _stopProcessing = true;
                Resubscribe();
                return;
            }

            foreach (var entry in bids)
                UpdateValue(OrderBookEntryType.Bid, entry);

            foreach (var entry in asks)
                UpdateValue(OrderBookEntryType.Ask, entry);

            if (Levels.HasValue && _strictLevels)
            {
                while (_bids.Count > Levels.Value)
                {
                    BidCount--;
                    _bids.Remove(_bids.Last().Key);
                }

                while (_asks.Count > Levels.Value)
                {
                    AskCount--;
                    _asks.Remove(this._asks.Last().Key);
                }
            }

            _firstUpdateAfterSnapshotDone = true;
            LastSequenceNumber = updateSequenceNumberEnd;

            if (_logger.IsEnabled(LogLevel.Trace))
            {
                if (updateSequenceNumberStart != updateSequenceNumberEnd)
                    _logger.OrderBookProcessedMessage(Api, Symbol, updateSequenceNumberStart, updateSequenceNumberEnd);
                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 to be
                    return SequenceNumberResult.OutOfSync;
            }

            // Buffered sequence number is larger than the last sequence number
            return SequenceNumberResult.Ok;
        }

        private SequenceNumberResult ValidateLiveSequenceNumber(long sequenceNumber)
        {
            if (sequenceNumber < LastSequenceNumber)
                // Update is somehow from before the current state
                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>
    {
        public int Compare(T? x, T? y)
        {
            return Comparer<T>.Default.Compare(y!, x!);
        }
    }
}