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fix Poloniex trade stream #738

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merged 1 commit into from
Feb 17, 2022
Merged

fix Poloniex trade stream #738

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83 changes: 50 additions & 33 deletions src/ExchangeSharp/API/Exchanges/Poloniex/ExchangePoloniexAPI.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -326,29 +326,31 @@ protected override async Task<IReadOnlyDictionary<string, ExchangeCurrency>> OnG

protected override async Task<IEnumerable<string>> OnGetMarketSymbolsAsync()
{
List<string> symbols = new List<string>();
var tickers = await GetTickersAsync();
foreach (var kv in tickers)
{
symbols.Add(kv.Key);
}
return symbols;
return (await GetMarketSymbolsMetadataAsync()).Where(x => x.IsActive.Value).Select(x => x.MarketSymbol);
}

protected internal override async Task<IEnumerable<ExchangeMarket>> OnGetMarketSymbolsMetadataAsync()
{
//https://poloniex.com/public?command=returnOrderBook&currencyPair=all&depth=0
/*
* "BTC_CLAM": {
"asks": [],
"bids": [],
"isFrozen": "0",
"seq": 37268918
}, ...
//https://docs.poloniex.com/#returnticker
/*
{
"BTC_BTS": {
"id": 14,
"last": "0.00000090",
"lowestAsk": "0.00000091",
"highestBid": "0.00000089",
"percentChange": "-0.02173913",
"baseVolume": "0.28698296",
"quoteVolume": "328356.84081156",
"isFrozen": "0",
"postOnly": "0",
"high24hr": "0.00000093",
"low24hr": "0.00000087"
},...
*/

var markets = new List<ExchangeMarket>();
Dictionary<string, JToken> lookup = await MakeJsonRequestAsync<Dictionary<string, JToken>>("/public?command=returnOrderBook&currencyPair=all&depth=0");
var markets = new List<ExchangeMarket>();
Dictionary<string, JToken> lookup = await MakeJsonRequestAsync<Dictionary<string, JToken>>("/public?command=returnTicker");
// StepSize is 8 decimal places for both price and amount on everything at Polo
const decimal StepSize = 0.00000001m;
const decimal minTradeSize = 0.0001m;
Expand All @@ -357,16 +359,18 @@ protected internal override async Task<IEnumerable<ExchangeMarket>> OnGetMarketS
{
var market = new ExchangeMarket { MarketSymbol = kvp.Key, IsActive = false };

string isFrozen = kvp.Value["isFrozen"].ToStringInvariant();
if (string.Equals(isFrozen, "0"))
string isFrozen = kvp.Value["isFrozen"].ToStringInvariant();
string postOnly = kvp.Value["postOnly"].ToStringInvariant();
if (string.Equals(isFrozen, "0") && string.Equals(postOnly, "0"))
{
market.IsActive = true;
}

string[] pairs = kvp.Key.Split('_');
if (pairs.Length == 2)
{
market.QuoteCurrency = pairs[0];
market.MarketId = kvp.Value["id"].ToStringLowerInvariant();
market.QuoteCurrency = pairs[0];
market.BaseCurrency = pairs[1];
market.PriceStepSize = StepSize;
market.QuantityStepSize = StepSize;
Expand Down Expand Up @@ -440,10 +444,19 @@ protected override async Task<IWebSocket> OnGetTickersWebSocketAsync(Action<IRea

protected override async Task<IWebSocket> OnGetTradesWebSocketAsync(Func<KeyValuePair<string, ExchangeTrade>, Task> callback, params string[] marketSymbols)
{
Dictionary<int, Tuple<string, long>> messageIdToSymbol = new Dictionary<int, Tuple<string, long>>();
Dictionary<int, string> messageIdToSymbol = new Dictionary<int, string>();
Dictionary<string, int> symbolToMessageId = new Dictionary<string, int>();
var symMeta = await GetMarketSymbolsMetadataAsync();
foreach (var symbol in symMeta)
{
messageIdToSymbol.Add(int.Parse(symbol.MarketId), symbol.MarketSymbol);
symbolToMessageId.Add(symbol.MarketSymbol, int.Parse(symbol.MarketId));
}
return await ConnectPublicWebSocketAsync(string.Empty, async (_socket, msg) =>
{
JToken token = JToken.Parse(msg.ToStringFromUTF8());
if (token.Type == JTokenType.Object && token["error"] != null)
throw new APIException($"Exchange returned error: {token["error"].ToStringInvariant()}");
int msgId = token[0].ConvertInvariant<int>();

if (msgId == 1010 || token.Count() == 2) // "[7,2]"
Expand All @@ -459,18 +472,17 @@ protected override async Task<IWebSocket> OnGetTradesWebSocketAsync(Func<KeyValu
var dataType = data[0].ToStringInvariant();
if (dataType == "i")
{
var marketInfo = data[1];
var market = marketInfo["currencyPair"].ToStringInvariant();
messageIdToSymbol[msgId] = new Tuple<string, long>(market, 0);
// can also populate messageIdToSymbol from here
continue;
}
else if (dataType == "t")
{
if (messageIdToSymbol.TryGetValue(msgId, out Tuple<string, long> symbol))
{ // 0 1 2 3 4 5
// ["t", "<trade id>", <1 for buy 0 for sell>, "<price>", "<size>", <timestamp>]
ExchangeTrade trade = data.ParseTrade(amountKey: 4, priceKey: 3, typeKey: 2, timestampKey: 5,
timestampType: TimestampType.UnixSeconds, idKey: 1, typeKeyIsBuyValue: "1");
await callback(new KeyValuePair<string, ExchangeTrade>(symbol.Item1, trade));
if (messageIdToSymbol.TryGetValue(msgId, out string symbol))
{ // 0 1 2 3 4 5 6
// ["t", "<trade id>", <1 for buy 0 for sell>, "<price>", "<size>", <timestamp>, "<epoch_ms>"]
ExchangeTrade trade = data.ParseTrade(amountKey: 4, priceKey: 3, typeKey: 2, timestampKey: 6,
timestampType: TimestampType.UnixMilliseconds, idKey: 1, typeKeyIsBuyValue: "1");
await callback(new KeyValuePair<string, ExchangeTrade>(symbol, trade));
}
}
else if (dataType == "o")
Expand All @@ -484,14 +496,19 @@ protected override async Task<IWebSocket> OnGetTradesWebSocketAsync(Func<KeyValu
}
}, async (_socket) =>
{
IEnumerable<int> marketIDs = null;
if (marketSymbols == null || marketSymbols.Length == 0)
{
marketSymbols = (await GetMarketSymbolsAsync()).ToArray();
marketIDs = messageIdToSymbol.Keys;
}
else
{
marketIDs = marketSymbols.Select(s => symbolToMessageId[s]);
}
// subscribe to order book and trades channel for each symbol
foreach (var sym in marketSymbols)
foreach (var id in marketIDs)
{
await _socket.SendMessageAsync(new { command = "subscribe", channel = NormalizeMarketSymbol(sym) });
await _socket.SendMessageAsync(new { command = "subscribe", channel = id });
}
});
}
Expand Down