add trade stream for Crypto.com exchange (#746)

Author: vslee

src/ExchangeSharp/API/Exchanges/CryptoCom/ExchangeCryptoComApi.cs

@@ -0,0 +1,130 @@
+using Newtonsoft.Json.Linq;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+namespace ExchangeSharp
+{
+	public sealed partial class ExchangeCryptoComApi : ExchangeAPI
+	{
+		public override string BaseUrl { get; set; } = "https://api.crypto.com/v2";
+		public override string BaseUrlWebSocket { get; set; } = "wss://stream.crypto.com/v2";
+
+		public ExchangeCryptoComApi()
+		{
+			NonceStyle = NonceStyle.UnixMilliseconds;
+			NonceOffset = TimeSpan.FromSeconds(0.1);
+			// WebSocketOrderBookType = not implemented
+			MarketSymbolSeparator = "_";
+			MarketSymbolIsUppercase = true;
+			// ExchangeGlobalCurrencyReplacements[] not implemented
+		}
+
+		protected override async Task<IEnumerable<string>> OnGetMarketSymbolsAsync()
+		{
+			var instruments = await MakeJsonRequestAsync<JToken>("public/get-instruments");
+			var markets = new List<ExchangeMarket>();
+			foreach (JToken instrument in instruments["instruments"])
+			{
+				markets.Add(new ExchangeMarket
+				{
+					MarketSymbol = instrument["instrument_name"].ToStringUpperInvariant(),
+					QuoteCurrency = instrument["quote_currency"].ToStringInvariant(),
+					BaseCurrency = instrument["base_currency"].ToStringInvariant(),
+				});
+			}
+			return markets.Select(m => m.MarketSymbol);
+		}
+
+		protected override async Task<IWebSocket> OnGetTradesWebSocketAsync(Func<KeyValuePair<string, ExchangeTrade>, Task> callback, params string[] marketSymbols)
+		{
+			if (marketSymbols == null || marketSymbols.Length == 0)
+			{
+				marketSymbols = new string[] { "" };
+			}
+			return await ConnectPublicWebSocketAsync("/market", async (_socket, msg) =>
+			{
+				/*{
+				{{
+				  "code": 0,
+				  "method": "subscribe",
+				  "result": {
+					"instrument_name": "YFI_BTC",
+					"subscription": "trade.YFI_BTC",
+					"channel": "trade",
+					"data": [
+					  {
+						"dataTime": 1645139769555,
+						"d": 2258312914797956554,
+						"s": "BUY",
+						"p": 0.5541,
+						"q": 1E-06,
+						"t": 1645139769539,
+						"i": "YFI_BTC"
+					  }
+					]
+				  }
+				}}
+				} */
+				JToken token = JToken.Parse(msg.ToStringFromUTF8());
+				if (token["method"].ToStringInvariant() == "ERROR" || token["method"].ToStringInvariant() == "unknown")
+				{
+					throw new APIException(token["code"].ToStringInvariant() + ": " + token["message"].ToStringInvariant());
+				}
+				else if (token["method"].ToStringInvariant() == "public/heartbeat")
+				{
+					if (token["message"].ToStringInvariant() == "server did not receive any client heartbeat, going to disconnect soon")
+						throw new APIException(token["code"].ToStringInvariant() + ": " + token["message"].ToStringInvariant());
+				}
+				else if (token["method"].ToStringInvariant() == "subscribe" && token["result"] != null)
+				{
+					var result = token["result"];
+					var dataArray = result["data"].ToArray();
+					for (int i = 0; i < dataArray.Length; i++)
+					{
+						JToken data = dataArray[i];
+						var trade = data.ParseTrade("q", "p", "s", "t", TimestampType.UnixMilliseconds, "d");
+						string marketSymbol = data["i"].ToStringInvariant();
+						if (dataArray.Length == 100) // initial snapshot contains 100 trades
+						{
+							trade.Flags |= ExchangeTradeFlags.IsFromSnapshot;
+							if (i == dataArray.Length - 1)
+								trade.Flags |= ExchangeTradeFlags.IsLastFromSnapshot;
+						}
+						await callback(new KeyValuePair<string, ExchangeTrade>(marketSymbol, trade));
+					}
+				}
+			}, async (_socket) =>
+			{   /* We recommend adding a 1-second sleep after establishing the websocket connection, and before requests are sent.
+				 * This will avoid occurrences of rate-limit (`TOO_MANY_REQUESTS`) errors, as the websocket rate limits are pro-rated based on the calendar-second that the websocket connection was opened.
+				 */
+				await Task.Delay(1000);
+
+				/*
+				{
+					"id": 11,
+					"method": "subscribe",
+					"params": {
+					"channels": ["trade.ETH_CRO"]
+					},
+					"nonce": 1587523073344
+				}
+				 */
+				var subscribeRequest = new
+				{
+					// + consider using id field in the future to differentiate between requests
+					method = "subscribe",
+					@params = new
+					{
+						channels = marketSymbols.Select(s => string.IsNullOrWhiteSpace(s) ? "trade" : $"trade.{s}").ToArray(),
+					},
+					nonce = await GenerateNonceAsync(),
+				};
+				await _socket.SendMessageAsync(subscribeRequest);
+			});
+		}
+	}
+	public partial class ExchangeName { public const string CryptoCom = "CryptoCom"; }
+}