NDAX: added Trade stream (websocket) (#471)

vslee · web-flow · commit f761f2763596 · 2019-10-29T07:29:25.000-07:00
* NDAX: added Trade stream (websocket) - could not figure out how to use the JSON deserialization as the trades are returned as arrays (@Kukks if you know how...?) - created custom NDAXTrade subclass w/ additional properties - fixed BaseUrlWebSocket - account for null or missing marketSymbols param - store instrumentId in MarketSymbol.AltMarketSymbol - [affects all exchanges] fixed bug in ExchangeAPIExtensions.ParseTradeComponents<T>() where IsBuy flag was not being set * update README.md
diff --git a/ExchangeSharp/API/Exchanges/NDAX/ExchangeNDAXAPI.cs b/ExchangeSharp/API/Exchanges/NDAX/ExchangeNDAXAPI.cs
@@ -3,6 +3,7 @@
 using System.Linq;
 using System.Threading;
 using System.Threading.Tasks;
+using ExchangeSharp.NDAX;
 using Newtonsoft.Json;
 using Newtonsoft.Json.Linq;
 
@@ -11,7 +12,7 @@ namespace ExchangeSharp
     public sealed partial class ExchangeNDAXAPI : ExchangeAPI
     {
         public override string BaseUrl { get; set; } = "https://api.ndax.io:8443/AP";
-        public override string BaseUrlWebSocket { get; set; } = "wss://apindaxstage.cdnhop.net/WSGateway";
+        public override string BaseUrlWebSocket { get; set; } = "wss://api.ndax.io/WSGateway";
         
         private AuthenticateResult authenticationDetails = null;
         public override string Name => ExchangeName.NDAX;
@@ -366,9 +367,11 @@ private async Task<string> GetMarketSymbolFromInstrumentId(long instrumentId)
 
         protected override async Task<IWebSocket> OnGetTickersWebSocketAsync(Action<IReadOnlyCollection<KeyValuePair<string, ExchangeTicker>>> tickers, params string[] marketSymbols)
         {
-            var instrumentIds = await GetInstrumentIdFromMarketSymbol(marketSymbols);
+			var instrumentIds = marketSymbols == null || marketSymbols.Length == 0 ?
+				(await GetMarketSymbolsMetadataAsync()).Select(s => (long?)long.Parse(s.AltMarketSymbol)).ToArray() :
+				await GetInstrumentIdFromMarketSymbol(marketSymbols);
 
-            return await ConnectWebSocketAsync("", async (socket, bytes) =>
+			return await ConnectWebSocketAsync("", async (socket, bytes) =>
                 {
                     var messageFrame =
                         JsonConvert.DeserializeObject<MessageFrame>(bytes.ToStringFromUTF8().TrimEnd('\0'));
@@ -377,14 +380,20 @@ protected override async Task<IWebSocket> OnGetTickersWebSocketAsync(Action<IRea
                         || messageFrame.FunctionName.Equals("Level1UpdateEvent",
                             StringComparison.InvariantCultureIgnoreCase))
                     {
-                        var rawPayload = messageFrame.PayloadAs<Level1Data>();
-                        var symbol = await GetMarketSymbolFromInstrumentId(rawPayload.InstrumentId);
-                        tickers.Invoke(new[]
-                        {
-                            new KeyValuePair<string, ExchangeTicker>(symbol, rawPayload.ToExchangeTicker(symbol)),
-                        });
-                    }
-                },
+						var token = JToken.Parse(messageFrame.Payload);
+						if (token["errormsg"] == null)
+						{
+							var rawPayload = messageFrame.PayloadAs<Level1Data>();
+							var symbol = await GetMarketSymbolFromInstrumentId(rawPayload.InstrumentId);
+							tickers.Invoke(new[]
+							{
+								new KeyValuePair<string, ExchangeTicker>(symbol, rawPayload.ToExchangeTicker(symbol)),
+							});
+						}
+						else // "{\"result\":false,\"errormsg\":\"Resource Not Found\",\"errorcode\":104,\"detail\":\"Instrument not Found\"}"
+							Logger.Info(messageFrame.Payload);
+					}
+				},
                 async socket =>
                 {
                     foreach (var instrumentId in instrumentIds)
@@ -405,7 +414,73 @@ await socket.SendMessageAsync(new MessageFrame
                 });
         }
 
-        private long GetNextSequenceNumber()
+		protected override async Task<IWebSocket> OnGetTradesWebSocketAsync(Func<KeyValuePair<string, ExchangeTrade>, Task> callback, params string[] marketSymbols)
+		{
+			var instrumentIds = marketSymbols == null || marketSymbols.Length == 0 ?
+				(await GetMarketSymbolsMetadataAsync()).Select(s => (long?)long.Parse(s.AltMarketSymbol)).ToArray() :
+				await GetInstrumentIdFromMarketSymbol(marketSymbols);
+
+			return await ConnectWebSocketAsync("", async (socket, bytes) =>
+				{
+					var messageFrame =
+						JsonConvert.DeserializeObject<MessageFrame>(bytes.ToStringFromUTF8().TrimEnd('\0'));
+
+					if (messageFrame.FunctionName.Equals("SubscribeTrades", StringComparison.InvariantCultureIgnoreCase)
+						|| messageFrame.FunctionName.Equals("OrderTradeEvent", StringComparison.InvariantCultureIgnoreCase)
+						|| messageFrame.FunctionName.Equals("TradeDataUpdateEvent", StringComparison.InvariantCultureIgnoreCase))
+					{
+						if (messageFrame.Payload != "[]")
+						{
+							var token = JToken.Parse(messageFrame.Payload);
+							if (token.Type == JTokenType.Array)
+							{ // "[[34838,2,0.4656,10879.5,311801351,311801370,1570134695227,1,0,0,0],[34839,2,0.4674,10881.7,311801352,311801370,1570134695227,1,0,0,0]]"
+								var jArray = token as JArray;
+								for (int i = 0; i < jArray.Count; i++)
+								{
+									var tradesToken = jArray[i];
+									var symbol = await GetMarketSymbolFromInstrumentId(tradesToken[1].ConvertInvariant<long>());
+									var trade = tradesToken.ParseTradeNDAX(amountKey: 2, priceKey: 3,
+											typeKey: 8, timestampKey: 6,
+											TimestampType.UnixMilliseconds, idKey: 0,
+											typeKeyIsBuyValue: "0");
+									if (messageFrame.FunctionName.Equals("SubscribeTrades", StringComparison.InvariantCultureIgnoreCase))
+									{
+										trade.Flags |= ExchangeTradeFlags.IsFromSnapshot;
+										if (i == jArray.Count - 1)
+										{
+											trade.Flags |= ExchangeTradeFlags.IsLastFromSnapshot;
+										}
+									}
+									await callback(
+										new KeyValuePair<string, ExchangeTrade>(symbol, trade));
+								}
+							}
+							else // "{\"result\":false,\"errormsg\":\"Invalid Request\",\"errorcode\":100,\"detail\":null}"
+								Logger.Info(messageFrame.Payload);
+						}
+					}
+				},
+				async socket =>
+				{
+					foreach (var instrumentId in instrumentIds)
+					{
+						await socket.SendMessageAsync(new MessageFrame
+						{
+							FunctionName = "SubscribeTrades",
+							MessageType = MessageType.Request,
+							SequenceNumber = GetNextSequenceNumber(),
+							Payload = JsonConvert.SerializeObject(new
+							{
+								OMSId = 1,
+								InstrumentId = instrumentId,
+								IncludeLastCount = 100,
+							})
+						});
+					}
+				});
+		}
+
+		private long GetNextSequenceNumber()
         {
             // Best practice is to carry an even sequence number.
             Interlocked.Add(ref _sequenceNumber, 2);
diff --git a/ExchangeSharp/API/Exchanges/NDAX/Models/Instrument.cs b/ExchangeSharp/API/Exchanges/NDAX/Models/Instrument.cs
@@ -66,7 +66,8 @@ public ExchangeMarket ToExchangeMarket()
 					IsActive = SessionStatus.Equals("running", StringComparison.InvariantCultureIgnoreCase),
 					MarginEnabled = false,
 					MarketId = InstrumentId.ToStringInvariant(),
-					MarketSymbol = Symbol
+					MarketSymbol = Symbol,
+					AltMarketSymbol = InstrumentId.ToStringInvariant(),
 				};
 			}
 		}
diff --git a/ExchangeSharp/API/Exchanges/NDAX/Models/Level1Data.cs b/ExchangeSharp/API/Exchanges/NDAX/Models/Level1Data.cs
@@ -5,6 +5,9 @@ namespace ExchangeSharp
 {
 	public sealed partial class ExchangeNDAXAPI
 	{
+		/// <summary>
+		/// For use in SubscribeLevel1 OnGetTickersWebSocketAsync()
+		/// </summary>
 		class Level1Data
 		{
 			[JsonProperty("OMSId")]
diff --git a/ExchangeSharp/API/Exchanges/NDAX/Models/TradeData.cs b/ExchangeSharp/API/Exchanges/NDAX/Models/TradeData.cs
@@ -0,0 +1,105 @@
+using ExchangeSharp.NDAX;
+using Newtonsoft.Json;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+namespace ExchangeSharp.NDAX
+{
+	public enum Direction : byte
+	{
+		NoChange = 0,
+		UpTick = 1,
+		DownTick = 2,
+	}
+	public enum TakerSide : byte
+	{
+		Buy = 0,
+		Sell = 1,
+	}
+
+	public class NDAXTrade : ExchangeTrade
+	{
+		public long Order1Id { get; set; }
+		public long Order2Id { get; set; }
+		public Direction Direction { get; set; }
+		public bool IsBlockTrade { get; set; }
+		public long ClientOrderId { get; set; }
+		public override string ToString()
+		{
+			return string.Format("{0},{1},{2},{3},{4},{5}", base.ToString(),
+				Order1Id, Order2Id, Direction, IsBlockTrade, ClientOrderId);
+		}
+	}
+}
+
+namespace ExchangeSharp
+{
+	public sealed partial class ExchangeNDAXAPI
+	{
+		/// <summary>
+		/// unable to use this in SubscribeTrades OnGetTradesWebSocketAsync() becuase of the array structure
+		/// </summary>
+		[JsonArray]
+		class TradeData
+		{
+			[JsonProperty(Order = 0)]
+			public long TradeId { get; set; }
+
+			/// <summary>
+			/// ProductPairCode is the same number and used for the same purpose as InstrumentID.
+			/// The two are completely equivalent in value. InstrumentId 47 = ProductPairCode 47.
+			/// </summary>
+			[JsonProperty(Order = 1)]
+			public long ProductPairCode { get; set; }
+
+			[JsonProperty(Order = 2)]
+			public long Quantity { get; set; }
+
+			[JsonProperty(Order = 3)]
+			public long Price { get; set; }
+
+			[JsonProperty(Order = 4)]
+			public long Order1Id { get; set; }
+
+			[JsonProperty(Order = 5)]
+			public long Order2Id { get; set; }
+
+			[JsonProperty(Order = 6)]
+			public long TradeTime { get; set; }
+
+			[JsonProperty(Order = 7)]
+			public Direction Direction { get; set; }
+
+			[JsonProperty(Order = 8)]
+			public TakerSide TakerSide { get; set; }
+
+			[JsonProperty(Order = 9)]
+			public bool IsBlockTrade { get; set; }
+
+			[JsonProperty(Order = 10)]
+			public long ClientOrderId { get; set; }
+
+			public NDAXTrade ToExchangeTrade()
+			{
+				var isBuy = TakerSide == TakerSide.Buy;
+				return new NDAXTrade()
+				{
+					Amount = Quantity,
+					Id = TradeId.ToStringInvariant(),
+					Price = Price,
+					IsBuy = isBuy,
+					Timestamp = TradeTime.UnixTimeStampToDateTimeMilliseconds(),
+					Flags = isBuy ? ExchangeTradeFlags.IsBuy : default,
+					Order1Id = Order1Id,
+					Order2Id = Order2Id,
+					Direction = Direction,
+					IsBlockTrade = IsBlockTrade,
+					ClientOrderId = ClientOrderId,
+				};
+			}
+		}
+	}
+}
diff --git a/ExchangeSharp/API/Exchanges/NDAX/Models/TradeHistory.cs b/ExchangeSharp/API/Exchanges/NDAX/Models/TradeHistory.cs
@@ -5,6 +5,9 @@ namespace ExchangeSharp
 {
 	public sealed partial class ExchangeNDAXAPI
 	{
+		/// <summary>
+		/// For use in GetTradesHistory: OnGetHistoricalTradesAsync()
+		/// </summary>
 		class TradeHistory
 		{
 			[JsonProperty("TradeTimeMS")]
diff --git a/ExchangeSharp/API/Exchanges/_Base/ExchangeAPIExtensions.cs b/ExchangeSharp/API/Exchanges/_Base/ExchangeAPIExtensions.cs
@@ -1,4 +1,4 @@
-﻿/*
+/*
 MIT LICENSE
 
 Copyright 2017 Digital Ruby, LLC - http://www.digitalruby.com
@@ -20,6 +20,7 @@ The above copyright notice and this permission notice shall be included in all c
 using ExchangeSharp.Coinbase;
 using ExchangeSharp.KuCoin;
 using Newtonsoft.Json.Linq;
+using ExchangeSharp.NDAX;
 
 namespace ExchangeSharp
 {
@@ -593,15 +594,29 @@ internal static ExchangeTrade ParseTradeKucoin(this JToken token, object amountK
 			return trade;
 		}
 
+		internal static ExchangeTrade ParseTradeNDAX(this JToken token, object amountKey, object priceKey, object typeKey,
+			object timestampKey, TimestampType timestampType, object idKey, string typeKeyIsBuyValue = "buy")
+		{
+			var trade = ParseTradeComponents<NDAXTrade>(token, amountKey, priceKey, typeKey,
+				timestampKey, timestampType, idKey, typeKeyIsBuyValue);
+			trade.Order1Id = token[4].ConvertInvariant<long>();
+			trade.Order2Id = token[5].ConvertInvariant<long>();
+			trade.Direction = (Direction)token[7].ConvertInvariant<byte>();
+			trade.IsBlockTrade = token[9].ConvertInvariant<bool>();
+			trade.ClientOrderId = token[10].ConvertInvariant<long>();
+			return trade;
+		}
+
 		internal static T ParseTradeComponents<T>(this JToken token, object amountKey, object priceKey, object typeKey,
 			object timestampKey, TimestampType timestampType, object idKey, string typeKeyIsBuyValue = "buy")
 			where T : ExchangeTrade, new()
 		{
+			var isBuy = token[typeKey].ToStringInvariant().EqualsWithOption(typeKeyIsBuyValue);
 			T trade = new T
 			{
 				Amount = token[amountKey].ConvertInvariant<decimal>(),
 				Price = token[priceKey].ConvertInvariant<decimal>(),
-				IsBuy = (token[typeKey].ToStringInvariant().EqualsWithOption(typeKeyIsBuyValue)),
+				IsBuy = isBuy,
 			};
 			trade.Timestamp = (timestampKey == null ? CryptoUtility.UtcNow : CryptoUtility.ParseTimestamp(token[timestampKey], timestampType));
 			if (idKey == null)
@@ -619,6 +634,7 @@ internal static T ParseTradeComponents<T>(this JToken token, object amountKey, o
 					Logger.Info("error parsing trade ID: " + token.ToStringInvariant());
 				}
 			}
+			trade.Flags = isBuy ? ExchangeTradeFlags.IsBuy : default;
 			return trade;
 		}
 		#endregion
@@ -703,4 +719,4 @@ internal static MarketCandle ParseCandle(this INamed named, JToken token, string
             return candle;
         }
 	}
-}
+}
diff --git a/README.md b/README.md
@@ -40,7 +40,7 @@ The following cryptocurrency exchanges are supported:
 | Poloniex         | x         | x           | T R B     |
 | YoBit            | x         | x           |           |
 | ZB.com           | wip       |             |   R       |
-| NDAX             | x         | x           | T         |
+| NDAX             | x         | x           | T R       |
 
 The following cryptocurrency services are supported:
 - Cryptowatch (partial)

Original file line number	Diff line number	Diff line change
`@@ -66,7 +66,8 @@ public ExchangeMarket ToExchangeMarket()`
`66`	`66`	`IsActive = SessionStatus.Equals("running", StringComparison.InvariantCultureIgnoreCase),`
`67`	`67`	`MarginEnabled = false,`
`68`	`68`	`MarketId = InstrumentId.ToStringInvariant(),`
`69`		`- MarketSymbol = Symbol`
	`69`	`+ MarketSymbol = Symbol,`
	`70`	`+ AltMarketSymbol = InstrumentId.ToStringInvariant(),`
`70`	`71`	`};`
`71`	`72`	`}`
`72`	`73`	`}`
Original file line number	Diff line number	Diff line change
`@@ -5,6 +5,9 @@ namespace ExchangeSharp`
`5`	`5`	`{`
`6`	`6`	`public sealed partial class ExchangeNDAXAPI`
`7`	`7`	`{`
	`8`	`+ /// <summary>`
	`9`	`+ /// For use in SubscribeLevel1 OnGetTickersWebSocketAsync()`
	`10`	`+ /// </summary>`
`8`	`11`	`class Level1Data`
`9`	`12`	`{`
`10`	`13`	`[JsonProperty("OMSId")]`