CryptoExchange.Net/docs/Orderbooks.md

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Order books	6

Locally synced order book

Each exchange implementation provides an order book implementation. These implementations will provide a client side order book and will take care of synchronization with the server, and will handle reconnecting and resynchronizing in case of a dropped connection. Order book implementations are named as [ExchangeName][Type]SymbolOrderBook, for example BinanceSpotSymbolOrderBook.

Usage

Start the book synchronization by calling the StartAsync method. This returns whether the book is successfully synchronized and started. You can listen to the OnStatusChange event to be notified of when the status of a book changes. Note that the order book is only synchronized with the server when the state is Synced. When the order book has been started and the state changes from Synced to Reconnecting the book will automatically reconnect and resync itself.

Start an order book and print the top 3 rows

var book = new BinanceSpotSymbolOrderBook("BTCUSDT");
book.OnStatusChange += (oldState, newState) => Console.WriteLine($"State changed from {oldState} to {newState}");
var startResult = await book.StartAsync();
if (!startResult.Success)
{
	Console.WriteLine("Failed to start order book: " + startResult.Error);
	return;
}

while(true)
{
	Console.Clear();
	Console.WriteLine(book.ToString(3);
	await Task.Delay(500);
}

Accessing bids/asks

You can access the current Bid/Ask lists using the responding properties:
var currentBidList = book.Bids;
var currentAskList = book.Asks;

Note that these will return copies of the internally synced lists when accessing the properties, and when accessing them in sequence like above does mean that the lists may not be in sync with eachother since they're accessed at different points in time. When you need both lists in sync you should access the Book property.
var (currentBidList, currentAskList) = book.Book;

Because copies of the lists are made when accessing the bids/asks properties the performance impact should be considered. When only the current best ask/bid info is needed you can access the BestOffers property.
var (bestBid, bestAsk) = book.BestOffers;

Events

The following events are available on the symbol order book:
book.OnStatusChange: The book has changed state. This happens during connecting, the connection was lost or the order book was detected to be out of sync. The asks/bids are only the actual with the server when state is Synced.
book.OnOrderBookUpdate: The book has changed, the arguments contain the changed entries.
book.OnBestOffersChanged: The best offer (best bid, best ask) has changed.

book.OnStatusChange += (oldStatus, newStatus) => { Console.WriteLine($"State changed from {oldStatus} to {newStatus}"); };
book.OnOrderBookUpdate += (bidsAsks) => { Console.WriteLine($"Order book changed: {bidsAsks.Asks.Count()} asks, {bidsAsks.Bids.Count()} bids"); };
book.OnBestOffersChanged += (bestOffer) => { Console.WriteLine($"Best offer changed, best bid: {bestOffer.BestBid.Price}, best ask: {bestOffer.BestAsk.Price}"); };

Order book factory

Each exchange implementation also provides an order book factory for creating ISymbolOrderBook instances. The naming convention for the factory is [Exchange]OrderBookFactory, for example BinanceOrderBookFactory. This type will be automatically added when using DI and can be used to facilitate easier testing.

Creating an order book using the order book factory

var factory = services.GetRequiredService<IKucoinOrderBookFactory>();
var book = factory.CreateSpot("ETH-USDT");
var startResult = await book.StartAsync();