Migration to the new Poloniex API [Public WS endpoints] (#798)

* Update GetTickersWebSocketAsync

* Update GetTradesWebSocketAsync

* Update GetOrderBookDepthAsync

Author: BZ-CO

src/ExchangeSharp/API/Exchanges/Poloniex/ExchangePoloniexAPI.cs

@@ -11,6 +11,8 @@ The above copyright notice and this permission notice shall be included in all c
 */
 
 using System.Diagnostics;
+using System.Threading;
+using Newtonsoft.Json;
 
 namespace ExchangeSharp
 {
@@ -24,7 +26,7 @@ namespace ExchangeSharp
 	public sealed partial class ExchangePoloniexAPI : ExchangeAPI
 	{
 		public override string BaseUrl { get; set; } = "https://api.poloniex.com";
-		public override string BaseUrlWebSocket { get; set; } = "wss://api2.poloniex.com";
+		public override string BaseUrlWebSocket { get; set; } = "wss://ws.poloniex.com/ws";
 
 		private ExchangePoloniexAPI()
 		{
@@ -222,18 +224,25 @@ private static IEnumerable<ExchangeOrderResult> ParseCompletedOrderDetails(JToke
 
 		private async Task<ExchangeTicker> ParseTickerWebSocketAsync(string symbol, JToken token)
 		{
-			/*
-			last: args[1],
-			lowestAsk: args[2],
-			highestBid: args[3],
-			percentChange: args[4],
-			baseVolume: args[5],
-			quoteVolume: args[6],
-			isFrozen: args[7],
-			high24hr: args[8],
-			low24hr: args[9]
-			*/
-			return await this.ParseTickerAsync(token, symbol, 2, 3, 1, 5, 6);
+			// {
+			// 	"symbol": "ETH_USDT",
+			// 	"dailyChange": "0.9428",
+			// 	"high": "507",
+			// 	"amount": "20",
+			// 	"quantity": "3",
+			// 	"tradeCount": 11,
+			// 	"low": "16",
+			// 	"closeTime": 1634062351868,
+			// 	"startTime": 1633996800000,
+			// 	"close": "204",
+			// 	"open": "105",
+			// 	"ts": 1648052794867,
+			// 	"markPrice": "205",
+			// }
+
+			return await this.ParseTickerAsync(token, symbol, askKey: null, bidKey: null, lastKey: "close",
+				baseVolumeKey: "quantity", quoteVolumeKey: "amount", timestampKey: "ts",
+				TimestampType.UnixMilliseconds);
 		}
 
 		public override string PeriodSecondsToString(int seconds)
@@ -449,210 +458,47 @@ protected override async Task<IEnumerable<KeyValuePair<string, ExchangeTicker>>>
 
 		protected override async Task<IWebSocket> OnGetTickersWebSocketAsync(
 			Action<IReadOnlyCollection<KeyValuePair<string, ExchangeTicker>>> callback,
-			params string[] symbols)
-		{
-			Dictionary<string, string> idsToSymbols = new Dictionary<string, string>();
-			return await ConnectPublicWebSocketAsync(string.Empty, async (_socket, msg) =>
-			{
-				JToken token = JToken.Parse(msg.ToStringFromUTF8());
-				if (token[0].ConvertInvariant<int>() == 1002)
+			params string[] symbols) =>
+			await ConnectWebsocketPublicAsync(
+				async (socket) => { await SubscribeToChannel(socket, "ticker", symbols); },
+				async (socket, symbol, sArray, token) =>
 				{
-					if (token is JArray outerArray && outerArray.Count > 2 && outerArray[2] is JArray array &&
-					    array.Count > 9 &&
-					    idsToSymbols.TryGetValue(array[0].ToStringInvariant(), out string symbol))
+					var tickers = new List<KeyValuePair<string, ExchangeTicker>>
 					{
-						callback.Invoke(new List<KeyValuePair<string, ExchangeTicker>>
-						{
-							new KeyValuePair<string, ExchangeTicker>(symbol,
-								await ParseTickerWebSocketAsync(symbol, array))
-						});
-					}
-				}
-			}, async (_socket) =>
-			{
-				var tickers = await GetTickersAsync();
-				foreach (var ticker in tickers)
-				{
-					idsToSymbols[ticker.Value.Id] = ticker.Key;
-				}
-
-				// subscribe to ticker channel (1002)
-				await _socket.SendMessageAsync(new { command = "subscribe", channel = 1002 });
-			});
-		}
+						new KeyValuePair<string, ExchangeTicker>(symbol,
+							await this.ParseTickerWebSocketAsync(symbol, token))
+					};
+					callback(tickers);
+				});
 
 		protected override async Task<IWebSocket> OnGetTradesWebSocketAsync(
 			Func<KeyValuePair<string, ExchangeTrade>, Task> callback,
-			params string[] marketSymbols)
-		{
-			Dictionary<int, string> messageIdToSymbol = new Dictionary<int, string>();
-			Dictionary<string, int> symbolToMessageId = new Dictionary<string, int>();
-			var symMeta = await GetMarketSymbolsMetadataAsync();
-			foreach (var symbol in symMeta)
-			{
-				messageIdToSymbol.Add(int.Parse(symbol.MarketId), symbol.MarketSymbol);
-				symbolToMessageId.Add(symbol.MarketSymbol, int.Parse(symbol.MarketId));
-			}
-
-			return await ConnectPublicWebSocketAsync(string.Empty, async (_socket, msg) =>
-			{
-				JToken token = JToken.Parse(msg.ToStringFromUTF8());
-				if (token.Type == JTokenType.Object && token["error"] != null)
-					throw new APIException($"Exchange returned error: {token["error"].ToStringInvariant()}");
-				int msgId = token[0].ConvertInvariant<int>();
-
-				if (msgId == 1010 || token.Count() == 2) // "[7,2]"
-				{
-					// this is a heartbeat message
-					return;
-				}
-
-				var seq = token[1].ConvertInvariant<long>();
-				var dataArray = token[2];
-				foreach (var data in dataArray)
-				{
-					var dataType = data[0].ToStringInvariant();
-					if (dataType == "i")
-					{
-						// can also populate messageIdToSymbol from here
-						continue;
-					}
-					else if (dataType == "t")
-					{
-						if (messageIdToSymbol.TryGetValue(msgId, out string symbol))
-						{
-							//   0        1                 2                  3         4          5            6
-							// ["t", "<trade id>", <1 for buy 0 for sell>, "<price>", "<size>", <timestamp>, "<epoch_ms>"]
-							ExchangeTrade trade = data.ParseTrade(amountKey: 4, priceKey: 3, typeKey: 2,
-								timestampKey: 6,
-								timestampType: TimestampType.UnixMilliseconds, idKey: 1, typeKeyIsBuyValue: "1");
-							await callback(new KeyValuePair<string, ExchangeTrade>(symbol, trade));
-						}
-					}
-					else if (dataType == "o")
-					{
-						continue;
-					}
-					else
-					{
-						continue;
-					}
-				}
-			}, async (_socket) =>
-			{
-				IEnumerable<int> marketIDs = null;
-				if (marketSymbols == null || marketSymbols.Length == 0)
-				{
-					marketIDs = messageIdToSymbol.Keys;
-				}
-				else
+			params string[] marketSymbols) =>
+			await ConnectWebsocketPublicAsync(
+				async (socket) => { await SubscribeToChannel(socket, "trades", marketSymbols); },
+				async (socket, symbol, sArray, token) =>
 				{
-					marketIDs = marketSymbols.Select(s => symbolToMessageId[s]);
-				}
-
-				// subscribe to order book and trades channel for each symbol
-				foreach (var id in marketIDs)
-				{
-					await _socket.SendMessageAsync(new { command = "subscribe", channel = id });
-				}
-			});
-		}
+					var trade = token.ParseTrade(amountKey: "quantity", priceKey: "price", typeKey: "takerSide",
+						timestampKey: "ts", TimestampType.UnixMilliseconds, idKey: "id");
+					await callback(new KeyValuePair<string, ExchangeTrade>(symbol, trade));
+				});
 
 		protected override async Task<IWebSocket> OnGetDeltaOrderBookWebSocketAsync(
 			Action<ExchangeOrderBook> callback,
 			int maxCount = 20,
 			params string[] marketSymbols)
 		{
-			Dictionary<int, Tuple<string, long>> messageIdToSymbol = new Dictionary<int, Tuple<string, long>>();
-			return await ConnectPublicWebSocketAsync(string.Empty, (_socket, msg) =>
-			{
-				JToken token = JToken.Parse(msg.ToStringFromUTF8());
-				int msgId = token[0].ConvertInvariant<int>();
-
-				//return if this is a heartbeat message
-				if (msgId == 1010)
-				{
-					return Task.CompletedTask;
-				}
-
-				var seq = token[1].ConvertInvariant<long>();
-				var dataArray = token[2];
-				ExchangeOrderBook book = new ExchangeOrderBook();
-				foreach (var data in dataArray)
+			return await ConnectWebsocketPublicAsync(
+				async (socket) =>
 				{
-					var dataType = data[0].ToStringInvariant();
-					if (dataType == "i")
-					{
-						var marketInfo = data[1];
-						var market = marketInfo["currencyPair"].ToStringInvariant();
-						messageIdToSymbol[msgId] = new Tuple<string, long>(market, 0);
-
-						// we are only returning the deltas, this would create a full order book which we don't want, but keeping it
-						//  here for historical reference
-						/*
-						foreach (JProperty jprop in marketInfo["orderBook"][0].Cast<JProperty>())
-						{
-						    var depth = new ExchangeOrderPrice
-						    {
-						        Price = jprop.Name.ConvertInvariant<decimal>(),
-						        Amount = jprop.Value.ConvertInvariant<decimal>()
-						    };
-						    book.Asks[depth.Price] = depth;
-						}
-						foreach (JProperty jprop in marketInfo["orderBook"][1].Cast<JProperty>())
-						{
-						    var depth = new ExchangeOrderPrice
-						    {
-						        Price = jprop.Name.ConvertInvariant<decimal>(),
-						        Amount = jprop.Value.ConvertInvariant<decimal>()
-						    };
-						    book.Bids[depth.Price] = depth;
-						}
-						*/
-					}
-					else if (dataType == "o")
-					{
-						//removes or modifies an existing item on the order books
-						if (messageIdToSymbol.TryGetValue(msgId, out Tuple<string, long> symbol))
-						{
-							int type = data[1].ConvertInvariant<int>();
-							var depth = new ExchangeOrderPrice
-							{
-								Price = data[2].ConvertInvariant<decimal>(),
-								Amount = data[3].ConvertInvariant<decimal>()
-							};
-							var list = (type == 1 ? book.Bids : book.Asks);
-							list[depth.Price] = depth;
-							book.MarketSymbol = symbol.Item1;
-							book.SequenceId = symbol.Item2 + 1;
-							messageIdToSymbol[msgId] = new Tuple<string, long>(book.MarketSymbol, book.SequenceId);
-						}
-					}
-					else
-					{
-						continue;
-					}
-				}
-
-				if (book != null && (book.Asks.Count != 0 || book.Bids.Count != 0))
+					await SubscribeToOrderBookDepthChannel(socket, marketSymbols, maxCount);
+				}, (socket, symbol, sArray, token) =>
 				{
+					var book = token.ParseOrderBookFromJTokenArrays();
+					book.MarketSymbol = symbol;
 					callback(book);
-				}
-
-				return Task.CompletedTask;
-			}, async (_socket) =>
-			{
-				if (marketSymbols == null || marketSymbols.Length == 0)
-				{
-					marketSymbols = (await GetMarketSymbolsAsync()).ToArray();
-				}
-
-				// subscribe to order book and trades channel for each symbol
-				foreach (var sym in marketSymbols)
-				{
-					await _socket.SendMessageAsync(new { command = "subscribe", channel = NormalizeMarketSymbol(sym) });
-				}
-			});
+					return Task.CompletedTask;
+				});
 		}
 
 		protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string marketSymbol, int maxCount = 100)
@@ -1112,6 +958,92 @@ private async Task<ExchangeDepositDetails> CreateDepositAddress(
 
 			return details;
 		}
+
+		private Task<IWebSocket> ConnectWebsocketPublicAsync(
+			Func<IWebSocket, Task> connected,
+			Func<IWebSocket, string, string[], JToken, Task> callback)
+		{
+			Timer pingTimer = null;
+			return ConnectPublicWebSocketAsync(
+				url: "/public",
+				messageCallback: async (socket, msg) =>
+				{
+					var token = JToken.Parse(msg.ToStringFromUTF8());
+					var eventType = token["event"]?.ToStringInvariant();
+					if (eventType != null)
+					{
+						if (eventType != "error") return;
+						Logger.Info("Websocket unable to connect: " + token["msg"]?.ToStringInvariant());
+						return;
+					}
+
+					if (token["data"] == null) return;
+
+					foreach (var d in token["data"])
+					{
+						await callback(socket, d["symbol"]?.ToStringInvariant(), null, d);
+					}
+				},
+				connectCallback: async (socket) =>
+				{
+					await connected(socket);
+					pingTimer ??= new Timer(
+						callback: async s =>
+							await socket.SendMessageAsync(
+								JsonConvert.SerializeObject(new { Event = "ping" }, SerializerSettings)),
+						null, 0, 15000);
+				},
+				disconnectCallback: socket =>
+				{
+					pingTimer?.Dispose();
+					pingTimer = null;
+					return Task.CompletedTask;
+				});
+		}
+
+		private static async Task SubscribeToChannel(
+			IWebSocket socket,
+			string channel,
+			string[] marketSymbols)
+		{
+			if (marketSymbols.Length == 0)
+			{
+				marketSymbols = new[] { "all" };
+			}
+
+			var payload = JsonConvert.SerializeObject(new
+			{
+				Event = "subscribe",
+				Channel = new[] { channel },
+				Symbols = marketSymbols
+			}, SerializerSettings);
+
+			await socket.SendMessageAsync(payload);
+		}
+
+		private async Task SubscribeToOrderBookDepthChannel(
+			IWebSocket socket,
+			string[] marketSymbols,
+			int depth = 20)
+		{
+			var depthIsValid = depth == 5 || depth == 10 || depth == 20;
+			if (!depthIsValid)
+				throw new ArgumentOutOfRangeException(nameof(depth));
+			if (marketSymbols.Length == 0)
+			{
+				marketSymbols = (await OnGetMarketSymbolsAsync()).ToArray();
+			}
+
+			var payload = JsonConvert.SerializeObject(new
+			{
+				Event = "subscribe",
+				Channel = new[] { "book" },
+				Symbols = marketSymbols,
+				Depth = depth
+			}, SerializerSettings);
+
+			await socket.SendMessageAsync(payload);
+		}
 	}
 
 	public partial class ExchangeName