converting the l2 cryptotick sample to universal l2/l3 sample

coinapi · Jan 22, 2021 · 7e460a6 · 7e460a6
1 parent 6f6e184
commit 7e460a6
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Showing 9 changed files with 24 additions and 20 deletions.
diff --git a/...-samples/limitbook_full_l2/.gitattributes → ...amples/limitbook_full_l2l3/.gitattributes b/...-samples/limitbook_full_l2/.gitattributes → ...amples/limitbook_full_l2l3/.gitattributes
diff --git a/...tick-samples/limitbook_full_l2/.gitignore → ...ck-samples/limitbook_full_l2l3/.gitignore b/...tick-samples/limitbook_full_l2/.gitignore → ...ck-samples/limitbook_full_l2l3/.gitignore
diff --git a/...ull_l2/27606-BITSTAMP_SPOT_BTC_EUR.csv.gz → ...l_l2l3/27606-BITSTAMP_SPOT_BTC_EUR.csv.gz b/...ull_l2/27606-BITSTAMP_SPOT_BTC_EUR.csv.gz → ...l_l2l3/27606-BITSTAMP_SPOT_BTC_EUR.csv.gz
diff --git a/cryptotick-samples/limitbook_full_l2l3/4365242-COINBASE_SPOT_ETC_BTC.csv.gz b/cryptotick-samples/limitbook_full_l2l3/4365242-COINBASE_SPOT_ETC_BTC.csv.gz
diff --git a/...tick-samples/limitbook_full_l2/Program.cs → ...ck-samples/limitbook_full_l2l3/Program.cs b/...tick-samples/limitbook_full_l2/Program.cs → ...ck-samples/limitbook_full_l2l3/Program.cs
@@ -23,7 +23,7 @@ public enum ELimitUpdateType
 
         static void Main(string[] args)
         {
-            string path = args.Length > 0 ? args[0] : "27606-BITSTAMP_SPOT_BTC_EUR.csv.gz";
+            string path = args.Length > 0 ? args[0] : "4365242-COINBASE_SPOT_ETC_BTC.csv.gz";
 
             using (GZipStream gz = 
                 new GZipStream(
@@ -40,7 +40,7 @@ static void Main(string[] args)
         private static void ProcessReader(string dateFormat, StreamReader sr)
         {
             string line;
-            var book = new Dictionary<(bool, decimal), decimal>();
+            var book = new Dictionary<(bool, decimal, string), decimal>();
             DateTime lastTimeExchange = DateTime.MinValue;
             ELimitUpdateType? prevType = null;
 
@@ -57,6 +57,7 @@ private static void ProcessReader(string dateFormat, StreamReader sr)
                 var isSellAsk = int.Parse(columns[3]) == 0;
                 var price = decimal.Parse(columns[4], NumberStyles.Float, CultureInfo.InvariantCulture);
                 var size = decimal.Parse(columns[5], NumberStyles.Float, CultureInfo.InvariantCulture);
+                var order_id = columns.Length > 6 ? columns[6] : "";
 
                 // process snapshot book cleaning
                 if (type == ELimitUpdateType.SNAPSHOT && prevType.HasValue && prevType.Value != ELimitUpdateType.SNAPSHOT)
@@ -68,29 +69,29 @@ private static void ProcessReader(string dateFormat, StreamReader sr)
                 // process specific order types
                 if (type == ELimitUpdateType.SNAPSHOT || type == ELimitUpdateType.SET)
                 {
-                    book[(isSellAsk, price)] = size;
+                    book[(isSellAsk, price, order_id)] = size;
                 }
                 else if (type == ELimitUpdateType.ADD)
                 {
-                    if (!book.ContainsKey((isSellAsk, price)))
+                    if (!book.ContainsKey((isSellAsk, price, order_id)))
                     {
-                        book[(isSellAsk, price)] = size;
+                        book[(isSellAsk, price, order_id)] = size;
                     }
                     else
                     {
-                        book[(isSellAsk, price)] = book[(isSellAsk, price)] + size;
+                        book[(isSellAsk, price, order_id)] = book[(isSellAsk, price, order_id)] + size;
                     }
                 }
                 else if (type == ELimitUpdateType.SUB || type == ELimitUpdateType.DELETE || type == ELimitUpdateType.MATCH)
                 {
-                    if (!book.ContainsKey((isSellAsk, price)))
+                    if (!book.ContainsKey((isSellAsk, price, order_id)))
                     {
-                        book[(isSellAsk, price)] = 0;
+                        book[(isSellAsk, price, order_id)] = 0;
                     }
                     else
                     {
-                        var newSize = book[(isSellAsk, price)] - size;
-                        book[(isSellAsk, price)] = newSize >= 0 ? newSize : 0;
+                        var newSize = book[(isSellAsk, price, order_id)] - size;
+                        book[(isSellAsk, price, order_id)] = newSize >= 0 ? newSize : 0;
                     }
                 }
                 else
@@ -99,9 +100,9 @@ private static void ProcessReader(string dateFormat, StreamReader sr)
                 }
 
                 // remove empty levels
-                if (book.ContainsKey((isSellAsk, price)) && book[(isSellAsk, price)] <= 0)
+                if (book.ContainsKey((isSellAsk, price, order_id)) && book[(isSellAsk, price, order_id)] <= 0)
                 {
-                    book.Remove((isSellAsk, price));
+                    book.Remove((isSellAsk, price, order_id));
                 }
 
                 // process book feed forward
@@ -113,7 +114,7 @@ private static void ProcessReader(string dateFormat, StreamReader sr)
             }
         }
 
-        private static void ProcessOrderbook(DateTime time_exchange, DateTime time_coinapi, Dictionary<(bool, decimal), decimal> book)
+        private static void ProcessOrderbook(DateTime time_exchange, DateTime time_coinapi, Dictionary<(bool, decimal, string), decimal> book)
         {
             // processing work
             var recv_diff = time_coinapi - time_exchange;

diff --git a/...ok_full_l2/Properties/launchSettings.json → ..._full_l2l3/Properties/launchSettings.json b/...ok_full_l2/Properties/launchSettings.json → ..._full_l2l3/Properties/launchSettings.json
diff --git a/...otick-samples/limitbook_full_l2/README.md → ...ick-samples/limitbook_full_l2l3/README.md b/...otick-samples/limitbook_full_l2/README.md → ...ick-samples/limitbook_full_l2l3/README.md
diff --git a/...imitbook_full_l2/limitbook_full_l2.csproj → ...book_full_l2l3/limitbook_full_l2l3.csproj b/...imitbook_full_l2/limitbook_full_l2.csproj → ...book_full_l2l3/limitbook_full_l2l3.csproj
@@ -10,6 +10,9 @@
     <None Update="27606-BITSTAMP_SPOT_BTC_EUR.csv.gz">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </None>
+    <None Update="4365242-COINBASE_SPOT_ETC_BTC.csv.gz">
+      <CopyToOutputDirectory>Always</CopyToOutputDirectory>
+    </None>
   </ItemGroup>
 
 </Project>
diff --git a/...s/limitbook_full_l2/limitbook_full_l2.sln → ...mitbook_full_l2l3/limitbook_full_l2l3.sln b/...s/limitbook_full_l2/limitbook_full_l2.sln → ...mitbook_full_l2l3/limitbook_full_l2l3.sln
@@ -1,25 +1,25 @@
 
 Microsoft Visual Studio Solution File, Format Version 12.00
 # Visual Studio Version 16
-VisualStudioVersion = 16.0.29230.47
+VisualStudioVersion = 16.0.30717.126
 MinimumVisualStudioVersion = 10.0.40219.1
-Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "limitbook_full_l2", "limitbook_full_l2.csproj", "{1338BCE4-2432-49FD-9562-9075AF3CB362}"
+Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "limitbook_full_l2l3", "limitbook_full_l2l3.csproj", "{4F5425E5-DE39-497D-867F-37B38316E5B2}"
 EndProject
 Global
 	GlobalSection(SolutionConfigurationPlatforms) = preSolution
 		Debug|Any CPU = Debug|Any CPU
 		Release|Any CPU = Release|Any CPU
 	EndGlobalSection
 	GlobalSection(ProjectConfigurationPlatforms) = postSolution
-		{1338BCE4-2432-49FD-9562-9075AF3CB362}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
-		{1338BCE4-2432-49FD-9562-9075AF3CB362}.Debug|Any CPU.Build.0 = Debug|Any CPU
-		{1338BCE4-2432-49FD-9562-9075AF3CB362}.Release|Any CPU.ActiveCfg = Release|Any CPU
-		{1338BCE4-2432-49FD-9562-9075AF3CB362}.Release|Any CPU.Build.0 = Release|Any CPU
+		{4F5425E5-DE39-497D-867F-37B38316E5B2}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{4F5425E5-DE39-497D-867F-37B38316E5B2}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{4F5425E5-DE39-497D-867F-37B38316E5B2}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{4F5425E5-DE39-497D-867F-37B38316E5B2}.Release|Any CPU.Build.0 = Release|Any CPU
 	EndGlobalSection
 	GlobalSection(SolutionProperties) = preSolution
 		HideSolutionNode = FALSE
 	EndGlobalSection
 	GlobalSection(ExtensibilityGlobals) = postSolution
-		SolutionGuid = {70870D46-C6A9-46ED-9FAA-19671E4D3936}
+		SolutionGuid = {B47CE903-BF3E-43CC-9C77-B55AC6D41558}
 	EndGlobalSection
 EndGlobal