Part 1 of OrderBook subscription->processing

Brokerages/Bitfinex/BestBidAskUpdatedEventArgs.cs

@@ -0,0 +1,67 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+
+namespace QuantConnect.Brokerages.Bitfinex
+{
+    /// <summary>
+    /// Event arguments class for the <see cref="OrderBook.BestBidAskUpdated"/> event
+    /// </summary>
+    public sealed class BestBidAskUpdatedEventArgs : EventArgs
+    {
+        /// <summary>
+        /// Gets the new best bid price
+        /// </summary>
+        public Symbol Symbol { get; }
+
+        /// <summary>
+        /// Gets the new best bid price
+        /// </summary>
+        public decimal BestBidPrice { get; }
+
+        /// <summary>
+        /// Gets the new best bid size
+        /// </summary>
+        public decimal BestBidSize { get; }
+
+        /// <summary>
+        /// Gets the new best ask price
+        /// </summary>
+        public decimal BestAskPrice { get; }
+
+        /// <summary>
+        /// Gets the new best ask size
+        /// </summary>
+        public decimal BestAskSize { get; }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="BestBidAskUpdatedEventArgs"/> class
+        /// </summary>
+        /// <param name="symbol">The symbol</param>
+        /// <param name="bestBidPrice">The newly updated best bid price</param>
+        /// <param name="bestBidSize">>The newly updated best bid size</param>
+        /// <param name="bestAskPrice">The newly updated best ask price</param>
+        /// <param name="bestAskSize">The newly updated best ask size</param>
+        public BestBidAskUpdatedEventArgs(Symbol symbol, decimal bestBidPrice, decimal bestBidSize, decimal bestAskPrice, decimal bestAskSize)
+        {
+            Symbol = symbol;
+            BestBidPrice = bestBidPrice;
+            BestBidSize = bestBidSize;
+            BestAskPrice = bestAskPrice;
+            BestAskSize = bestAskSize;
+        }
+    }
+}

Brokerages/Bitfinex/BitfinexBrokerage.Messaging.cs

@@ -14,7 +14,9 @@
 */
 
 using System;
+using System.Collections.Concurrent;
 using System.Collections.Generic;
+using System.Globalization;
 using System.Linq;
 using Newtonsoft.Json;
 using Newtonsoft.Json.Linq;
@@ -30,6 +32,10 @@ public partial class BitfinexBrokerage : BaseWebsocketsBrokerage, IDataQueueHand
         /// <summary>
         /// Wss message handler
         /// </summary>
+        /// 
+        #region Declarations
+        private readonly ConcurrentDictionary<Symbol, OrderBook> _orderBooks = new ConcurrentDictionary<Symbol, OrderBook>();
+        #endregion
         /// <param name="sender"></param>
         /// <param name="e"></param>
         protected override void OnMessageImpl(object sender, WebSocketMessage e)
@@ -49,6 +55,23 @@ protected override void OnMessageImpl(object sender, WebSocketMessage e)
                         _lastHeartbeatUtcTime = DateTime.UtcNow;
                         return;
                     }
+                    else if (ChannelList.ContainsKey(id) && ChannelList[id].Name == "book")
+                    {
+                        if (raw[1].Type == JTokenType.Array)
+                        {
+                            //order book snapshot
+                            var data = raw[1].ToObject(typeof(string[][]));
+                            PopulateOrderBook(data, ChannelList[id].Symbol);
+                            return;
+                        }
+                        else
+                        {
+                            //order book update
+                            var data = raw.ToObject(typeof(string[]));
+                            L2Update(data, ChannelList[id].Symbol);
+                        }
+
+                    }
                     else if (ChannelList.ContainsKey(id) && ChannelList[id].Name == "ticker")
                     {
                         //ticker
@@ -72,6 +95,39 @@ protected override void OnMessageImpl(object sender, WebSocketMessage e)
                         PopulateTrade(term, data);
                         return;
                     }
+                    else if (id == "0" && (term == "on" || term == "ou" || term == "oc"))
+                    {
+                        //order updates
+                        Log.Trace("BitfinexBrokerage.OnMessage(): Order update");
+                        var data = raw[2].ToObject(typeof(string[]));
+                        UpdateOrder(term, data);
+                        return;
+
+                    }
+                    else if (id == "0" && term == "os")
+                    {
+                        //order snapshot
+                        Log.Trace("BitfinexBrokerage.OnMessage(): Order Snapshot");
+                        var data = raw[2].ToObject(typeof(string[][]));
+                        PopulateOrder(data);
+
+                    }
+                    else if (id == "0" && (term == "pn" || term == "pu" || term == "pc"))
+                    {
+                        //position updates
+                        Log.Trace("BitfinexBrokerage.OnMessage(): Order update");
+                        var data = raw[2].ToObject(typeof(string[]));
+                        return;
+
+                    }
+                    else if (id == "0" && term == "ps")
+                    {
+                        //position snapshot
+                        Log.Trace("BitfinexBrokerage.OnMessage(): Position Snapshot");
+                        //var data = raw[2].ToObject(typeof(string[][]));
+                        return;
+
+                    }
                     else if (term == "ws")
                     {
                         //wallet
@@ -84,7 +140,7 @@ protected override void OnMessageImpl(object sender, WebSocketMessage e)
                         return;
                     }
                 }
-                else if ((raw.channel == "ticker" || raw.channel == "trades") && raw.@event == "subscribed")
+                else if ((raw.channel == "ticker" || raw.channel == "trades" || raw.channel == "book") && raw.@event == "subscribed")
                 {
                     var channel = (string)raw.channel;
                     var currentChannelId = (string)raw.chanId;
@@ -119,7 +175,7 @@ protected override void OnMessageImpl(object sender, WebSocketMessage e)
                     return;
                 }
 
-                Log.Trace("BitfinexBrokerage.OnMessage(): " + e.Message);
+                //Log.Trace("BitfinexBrokerage.OnMessage(): " + e.Message);
             }
             catch (Exception ex)
             {
@@ -128,6 +184,95 @@ protected override void OnMessageImpl(object sender, WebSocketMessage e)
             }
         }
 
+        private void PopulateOrderBook(string[][] data, string symbol)
+        {
+            OrderBook orderBook;
+            if (!_orderBooks.TryGetValue(symbol, out orderBook))
+            {
+                orderBook = new OrderBook(symbol);
+                _orderBooks[symbol] = orderBook;
+            }
+            else
+            {
+                orderBook.BestBidAskUpdated -= OnBestBidAskUpdated;
+                orderBook.Clear();
+            }
+
+            foreach (var item in data)
+            {
+                var msg = new Messages.OrderBook(item);
+                // Positive values -> bid
+                if (msg.Price > 0)
+                {
+                    orderBook.UpdateAskRow(msg.Price, msg.Amount);
+                }
+                // negative values -> ask.
+                else if (msg.Price < 0)
+                {
+                    orderBook.UpdateBidRow(msg.Price, msg.Amount);
+                }
+
+                orderBook.BestBidAskUpdated += OnBestBidAskUpdated;
+            }
+                return;
+        }
+
+        private void OnBestBidAskUpdated(object sender, BestBidAskUpdatedEventArgs e)
+        {
+            EmitQuoteTick(e.Symbol, e.BestBidPrice, e.BestBidSize, e.BestAskPrice, e.BestAskSize);
+        }
+
+        private void L2Update(string[] data, string symbol)
+        {
+            var orderBook = _orderBooks[symbol];
+
+            var msg = new Messages.L2Update(data);
+
+            // Positive values -> bid
+            if (msg.Price > 0)
+            {
+                if (msg.Count == 0)
+                {
+                    orderBook.RemoveAskRow(msg.Price);
+                }
+                else
+                {
+                    orderBook.UpdateAskRow(msg.Price, msg.Amount);
+                }
+            }
+            // negative values -> ask.
+            else if (msg.Price < 0)
+            {
+                if (msg.Count == 0)
+                {
+                    orderBook.RemoveBidRow(msg.Price);
+                }
+                else
+                {
+                    orderBook.UpdateBidRow(msg.Price, msg.Amount);
+                }
+            }
+            return;
+        }
+
+        private void EmitQuoteTick(Symbol symbol, decimal bidPrice, decimal bidSize, decimal askPrice, decimal askSize)
+        {
+            lock (Ticks)
+            {
+                Ticks.Add(new Tick
+                {
+                    AskPrice = askPrice,
+                    BidPrice = bidPrice,
+                    Value = (askPrice + bidPrice) / 2m,
+                    Time = DateTime.UtcNow,
+                    Symbol = symbol,
+                    TickType = TickType.Quote,
+                    AskSize = askSize,
+                    BidSize = bidSize
+                });
+            }
+        }
+
         private void PopulateTicker(string response, string symbol)
         {
             var data = JsonConvert.DeserializeObject<string[]>(response, settings);
@@ -168,6 +313,51 @@ private void PopulateTradeTicker(string response, string symbol)
             }
         }
 
+        private void UpdateOrder(string term, string[] data)
+        {
+            var msg = new Messages.OrderUpdate(data);
+            OrderDirection direction = msg.OrderAmount < 0 ? OrderDirection.Sell : OrderDirection.Buy;
+            Symbol symbol = Symbol.Create(msg.OrderPair.ToUpper(), SecurityType.Crypto, BrokerageMarket);
+
+            Log.Trace(msg.ToString());
+            // order new
+            if (term == "on")
+            {
+            //    var orderEvent = new OrderEvent
+            //(
+            //    orderId, symbol, DateTime.UtcNow, OrderStatus.New,
+            //    direction, msg.OrderPrice, msg.OrderAmount, 0, "Bitfinex New Order Event"
+            //);
+            //    OnOrderEvent(orderEvent);
+                return;
+            }
+            // todo - order update
+            else if (term == "ou")
+            {
+                return;
+            }
+            // order cancel
+            else if (term == "oc")
+            {
+            //    var orderEvent = new OrderEvent
+            //(
+            //    orderId, symbol, DateTime.UtcNow, OrderStatus.Canceled,
+            //    direction, msg.OrderPrice, msg.OrderAmount, 0, "Bitfinex Cancel Order Event"
+            //);
+            //OnOrderEvent(orderEvent);
+            return;
+            }
+        }
+
+        private void PopulateOrder(string[][] data)
+        {
+            foreach (var item in data)
+            {
+                var msg = new Messages.OrderUpdate(item);
+                Log.Trace(msg.ToString());
+            }
+        }
+
         private void PopulateWallet(string[][] data)
         {
             foreach (var item in data)
@@ -303,6 +493,16 @@ public void Subscribe(Packets.LiveNodePacket job, IEnumerable<Symbol> symbols)
                     pair = item.Value
                 }));
 
+                WebSocket.Send(JsonConvert.SerializeObject(new
+                {
+                    @event = "subscribe",
+                    channel = "book",
+                    pair = item.Value,
+                    prec = "P0",  // default P0
+                    freq = "F0",  // default F0
+                    length = "5"  // default 25
+                }));
+
                 Log.Trace("BitfinexBrokerage.Subscribe(): Sent subcribe for " + item.Value);
             }
         }

Brokerages/Bitfinex/Messages/L2Update.cs

@@ -0,0 +1,61 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+namespace QuantConnect.Brokerages.Bitfinex.Messages
+{
+    /// <summary>
+    /// Ticker message object
+    /// </summary>
+    public class L2Update : BaseMessage
+    {
+        private const int _channelId = 0;
+        private const int _price = 1;
+        private const int _count = 2;
+        private const int _amount = 3;
+
+        /// <summary>
+        /// L2Update Message constructor
+        /// </summary>
+        /// <param name="values"></param>
+        public L2Update(string[] values)
+            : base(values)
+        {
+            ChannelId = GetInt(_channelId);
+            Price = TryGetDecimal(_price);
+            Count = GetInt(_count);
+            Amount = TryGetDecimal(_amount);
+        }
+
+        /// <summary>
+        /// Channel Id
+        /// </summary>
+        public int ChannelId { get; set; }
+
+        /// <summary>
+        /// Price
+        /// </summary>
+        public decimal Price { get; set; }
+
+        /// <summary>
+        /// Count
+        /// </summary>
+        public decimal Count { get; set; }
+
+        /// <summary>
+        /// Amount
+        /// </summary>
+        public decimal Amount { get; set; }
+    }
+}