add trade stream for Dydx (#744)

Author: vslee

src/ExchangeSharp/API/Exchanges/Dydx/ExchangeDydxApi.cs

@@ -0,0 +1,170 @@
+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 ExchangeDydxApi : ExchangeAPI
+	{
+		public override string BaseUrl { get; set; } = "https://api.dydx.exchange";
+		public override string BaseUrlWebSocket { get; set; } = "wss://api.dydx.exchange/v3/ws";
+
+		public ExchangeDydxApi()
+		{
+			NonceStyle = NonceStyle.Iso8601;
+			NonceOffset = TimeSpan.FromSeconds(0.1);
+			// WebSocketOrderBookType = not implemented
+			MarketSymbolSeparator = "-";
+			MarketSymbolIsUppercase = true;
+			// ExchangeGlobalCurrencyReplacements[] not implemented
+		}
+
+		protected override async Task<IEnumerable<string>> OnGetMarketSymbolsAsync()
+		{
+			/*{
+				"markets": {
+				"LINK-USD": {
+				"market": "LINK-USD",
+				"status": "ONLINE",
+				"baseAsset": "LINK",
+				"quoteAsset": "USD",
+				"stepSize": "0.1",
+				"tickSize": "0.01",
+				"indexPrice": "12",
+				"oraclePrice": "101",
+				"priceChange24H": "0",
+				"nextFundingRate": "0.0000125000",
+				"nextFundingAt": "2021-03-01T18:00:00.000Z",
+				"minOrderSize": "1",
+				"type": "PERPETUAL",
+				"initialMarginFraction": "0.10",
+				"maintenanceMarginFraction": "0.05",
+				"baselinePositionSize": "1000",
+				"incrementalPositionSize": "1000",
+				"incrementalInitialMarginFraction": "0.2",
+				"volume24H": "0",
+				"trades24H": "0",
+				"openInterest": "0",
+				"maxPositionSize": "10000",
+				"assetResolution": "10000000",
+				"syntheticAssetId": "0x4c494e4b2d37000000000000000000",
+				},
+				...
+			}*/
+			var instruments = await MakeJsonRequestAsync<JToken>("v3/markets");
+			var markets = new List<ExchangeMarket>();
+			foreach (JToken instrument in instruments["markets"])
+			{
+				markets.Add(new ExchangeMarket
+				{
+					MarketSymbol = instrument.ElementAt(0)["market"].ToStringInvariant(),
+					QuoteCurrency = instrument.ElementAt(0)["quoteAsset"].ToStringInvariant(),
+					BaseCurrency = instrument.ElementAt(0)["baseAsset"].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 = (await GetMarketSymbolsAsync()).ToArray();
+			}
+			return await ConnectPublicWebSocketAsync("", async (_socket, msg) =>
+			{
+				/*Example initial response:
+				{
+				  "type": "subscribed",
+				  "id": "BTC-USD",
+				  "connection_id": "e2a6c717-6f77-4c1c-ac22-72ce2b7ed77d",
+				  "channel": "v3_trades",
+				  "message_id": 1,
+				  "contents": {
+					"trades": [
+					  {
+						"side": "BUY",
+						"size": "100",
+						"price": "4000",
+						"createdAt": "2020-10-29T00:26:30.759Z"
+					  },
+					  {
+						"side": "BUY",
+						"size": "100",
+						"price": "4000",
+						"createdAt": "2020-11-02T19:45:42.886Z"
+					  },
+					  {
+						"side": "BUY",
+						"size": "100",
+						"price": "4000",
+						"createdAt": "2020-10-29T00:26:57.382Z"
+					  }
+					]
+				  }
+				}*/
+				/* Example subsequent response
+				{
+					"type": "channel_data",
+					"id": "BTC-USD",
+					"connection_id": "e2a6c717-6f77-4c1c-ac22-72ce2b7ed77d",
+					"channel": "v3_trades",
+					"message_id": 2,
+					"contents": {
+					"trades": [
+						{
+						"side": "BUY",
+						"size": "100",
+						"price": "4000",
+						"createdAt": "2020-11-29T00:26:30.759Z"
+						},
+						{
+						"side": "SELL",
+						"size": "100",
+						"price": "4000",
+						"createdAt": "2020-11-29T14:00:03.382Z"
+						}
+					]
+					}
+				} */
+				JToken token = JToken.Parse(msg.ToStringFromUTF8());
+				if (token["type"].ToStringInvariant() == "error")
+				{
+					throw new APIException(token["message"].ToStringInvariant());
+				}
+				else if (token["channel"].ToStringInvariant() == "v3_trades")
+				{
+					var tradesArray = token["contents"]["trades"].ToArray();
+					for (int i = 0; i < tradesArray.Length; i++)
+					{
+						var trade = tradesArray[i].ParseTrade("size", "price", "side", "createdAt", TimestampType.Iso8601UTC, null);
+						string marketSymbol = token["id"].ToStringInvariant();
+						if (token["type"].ToStringInvariant() == "subscribed" || token["message_id"].ToObject<int>() == 1)
+						{
+							trade.Flags |= ExchangeTradeFlags.IsFromSnapshot;
+							if (i == tradesArray.Length - 1)
+								trade.Flags |= ExchangeTradeFlags.IsLastFromSnapshot;
+						}
+						await callback(new KeyValuePair<string, ExchangeTrade>(marketSymbol, trade));
+					}
+				}
+			}, async (_socket) =>
+			{
+				foreach (var marketSymbol in marketSymbols)
+				{
+					var subscribeRequest = new
+					{
+						type = "subscribe",
+						channel = "v3_trades",
+						id = marketSymbol,
+					};
+					await _socket.SendMessageAsync(subscribeRequest);
+				}
+			});
+		}
+	}
+	public partial class ExchangeName { public const string Dydx = "Dydx"; }
+}