Feature/orderbook

Coinbase.Net/Clients/AdvancedTradeApi/CoinbaseSocketClientAdvancedTradeApi.cs

@@ -48,6 +48,7 @@ internal partial class CoinbaseSocketClientAdvancedTradeApi : SocketApiClient, I
         internal CoinbaseSocketClientAdvancedTradeApi(ILogger logger, CoinbaseSocketOptions options) :
             base(logger, options.Environment.SocketClientPublicAddress!, options, options.AdvancedTradeOptions)
         {
+            EnforceSequenceNumbers = true;
         }
         #endregion
 
@@ -76,6 +77,7 @@ public async Task<CallResult<UpdateSubscription>> SubscribeToHeartbeatUpdatesAsy
                         .WithUpdateType(eventType)
                         .WithStreamId(data.Channel)
                         .WithDataTimestamp(data.Timestamp, GetTimeOffset())
+                        .WithSequenceNumber(data.SequenceNumber)
                     );
             });
 
@@ -106,6 +108,7 @@ public async Task<CallResult<UpdateSubscription>> SubscribeToTradeUpdatesAsync(I
                         .WithStreamId(data.Channel)
                         .WithSymbol(data.Events.First().Trades.First().Symbol)
                         .WithDataTimestamp(data.Timestamp, GetTimeOffset())
+                        .WithSequenceNumber(data.SequenceNumber)
                     );
             });
 
@@ -132,6 +135,7 @@ public async Task<CallResult<UpdateSubscription>> SubscribeToKlineUpdatesAsync(I
                         .WithStreamId(data.Channel)
                         .WithSymbol(data.Events.First().Klines.First().Symbol)
                         .WithDataTimestamp(data.Timestamp, GetTimeOffset())
+                        .WithSequenceNumber(data.SequenceNumber)
                     );
             });
 
@@ -158,6 +162,7 @@ public async Task<CallResult<UpdateSubscription>> SubscribeToTickerUpdatesAsync(
                         .WithStreamId(data.Channel)
                         .WithSymbol(data.Events.First().Tickers.First().Symbol)
                         .WithDataTimestamp(data.Timestamp, GetTimeOffset())
+                        .WithSequenceNumber(data.SequenceNumber)
                     );
             });
 
@@ -184,6 +189,7 @@ public async Task<CallResult<UpdateSubscription>> SubscribeToBatchedTickerUpdate
                         .WithStreamId(data.Channel)
                         .WithSymbol(data.Events.First().Tickers.First().Symbol)
                         .WithDataTimestamp(data.Timestamp, GetTimeOffset())
+                        .WithSequenceNumber(data.SequenceNumber)
                     );
             });
 
@@ -210,6 +216,7 @@ public async Task<CallResult<UpdateSubscription>> SubscribeToSymbolUpdatesAsync(
                         .WithStreamId(data.Channel)
                         .WithSymbol(data.Events.First().Symbols.First().Symbol)
                         .WithDataTimestamp(data.Timestamp, GetTimeOffset())
+                        .WithSequenceNumber(data.SequenceNumber)
                     );
             });
 
@@ -246,6 +253,7 @@ public async Task<CallResult<UpdateSubscription>> SubscribeToOrderBookUpdatesAsy
                         .WithStreamId(data.Channel)
                         .WithSymbol(data.Events.First().Symbol)
                         .WithDataTimestamp(data.Timestamp, GetTimeOffset())
+                        .WithSequenceNumber(data.SequenceNumber)
                     );
             });
 
@@ -267,6 +275,7 @@ public async Task<CallResult<UpdateSubscription>> SubscribeToUserUpdatesAsync(Ac
                         .WithUpdateType(eventType)
                         .WithStreamId(data.Channel)
                         .WithDataTimestamp(data.Timestamp, GetTimeOffset())
+                        .WithSequenceNumber(data.SequenceNumber)
                     );
             });
 
@@ -288,6 +297,7 @@ public async Task<CallResult<UpdateSubscription>> SubscribeToFuturesBalanceUpdat
                         .WithUpdateType(eventType)
                         .WithStreamId(data.Channel)
                         .WithDataTimestamp(data.Timestamp, GetTimeOffset())
+                        .WithSequenceNumber(data.SequenceNumber)
                     );
             });
 

Coinbase.Net/Coinbase.Net.csproj

@@ -48,11 +48,11 @@
     <None Include="..\README.md" Pack="true" PackagePath="\" />
   </ItemGroup>
   <ItemGroup>
-    <PackageReference Include="CryptoExchange.Net" Version="10.1.0" />
     <PackageReference Include="ConfigureAwaitChecker.Analyzer" Version="5.0.0.1">
       <PrivateAssets>all</PrivateAssets>
       <IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
     </PackageReference>
+    <PackageReference Include="CryptoExchange.Net" Version="10.2.0" />
     <PackageReference Include="Microsoft.CodeAnalysis.NetAnalyzers" Version="10.0.101">
       <PrivateAssets>all</PrivateAssets>
       <IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>

Coinbase.Net/Objects/Sockets/CoinbaseQuery.cs

@@ -1,5 +1,8 @@
 using CryptoExchange.Net.Sockets;
 using Coinbase.Net.Objects.Internal;
+using CryptoExchange.Net.Objects;
+using CryptoExchange.Net.Sockets.Default;
+using System;
 
 namespace Coinbase.Net.Objects.Sockets
 {
@@ -10,5 +13,13 @@ public CoinbaseQuery(CoinbaseSocketRequest request, bool authenticated, int weig
             MessageMatcher = MessageMatcher.Create<T>("subscriptions");
             MessageRouter = MessageRouter.CreateWithoutHandler<T>("subscriptions");
         }
+
+        public CallResult<CoinbaseSocketMessage<CoinbaseSubscriptionsUpdate>>? HandleMessage(SocketConnection connection, DateTime receiveTime, string? originalData, CoinbaseSocketMessage<CoinbaseSubscriptionsUpdate> message)
+        {
+            if (message.SequenceNumber != 0)
+                connection.UpdateSequenceNumber(message.SequenceNumber);
+
+            return new CallResult<CoinbaseSocketMessage<CoinbaseSubscriptionsUpdate>>(message, originalData, null);
+        }
     }
 }

Coinbase.Net/Objects/Sockets/CoinbaseSubscriptionQuery.cs

@@ -41,6 +41,9 @@ public override bool PreCheckMessage(SocketConnection connection, object message
 
         public CallResult<CoinbaseSocketMessage<CoinbaseSubscriptionsUpdate>>? HandleMessage(SocketConnection connection, DateTime receiveTime, string? originalData, CoinbaseSocketMessage<CoinbaseSubscriptionsUpdate> message)
         {
+            if (message.SequenceNumber != 0)
+                connection.UpdateSequenceNumber(message.SequenceNumber);
+
             var evnt = message.Events.First();
             if (!evnt.Subscriptions.TryGetValue(_channel, out var subbed))
                 return null;

Coinbase.Net/Objects/Sockets/Subscriptions/CoinbaseSubscription.cs

@@ -67,6 +67,9 @@ public CoinbaseSubscription(SocketApiClient client, ILogger logger, string chann
         /// <inheritdoc />
         public CallResult DoHandleMessage(SocketConnection connection, DateTime receiveTime, string? originalData, CoinbaseSocketMessage<T> message)
         {
+            if (message.SequenceNumber != 0)
+                connection.UpdateSequenceNumber(message.SequenceNumber);
+
             _handler.Invoke(receiveTime, originalData, message);
             return CallResult.SuccessResult;
         }

Coinbase.Net/SymbolOrderBooks/CoinbaseSymbolOrderBook.cs

@@ -53,6 +53,7 @@ public CoinbaseSymbolOrderBook(
 
             _strictLevels = false;
 
+            _sequencesAreConsecutive = false; // Sequence numbers are on connection level, not order book
             _initialDataTimeout = options?.InitialDataTimeout ?? TimeSpan.FromSeconds(30);
             _clientOwner = socketClient == null;
             _socketClient = socketClient ?? new CoinbaseSocketClient();
@@ -81,13 +82,9 @@ private void ProcessUpdate(DataEvent<CoinbaseOrderBookUpdate> data)
         {
             var entries = data.Data;
             if (data.UpdateType == SocketUpdateType.Snapshot)
-            {
-                SetInitialOrderBook(DateTime.UtcNow.Ticks, data.Data.Bids, data.Data.Asks, data.DataTime, data.DataTimeLocal);
-            }
+                SetSnapshot(data.SequenceNumber!.Value, data.Data.Bids, data.Data.Asks, data.DataTime, data.DataTimeLocal);
             else
-            {
-                UpdateOrderBook(DateTime.UtcNow.Ticks, data.Data.Bids, data.Data.Asks, data.DataTime, data.DataTimeLocal);
-            }
+                UpdateOrderBook(data.SequenceNumber!.Value, data.Data.Bids, data.Data.Asks, data.DataTime, data.DataTimeLocal);
         }
 
         /// <inheritdoc />