Orderbook ws implementation (#863)

Author: v36u

README.md

@@ -60,7 +60,7 @@ The following cryptocurrency exchanges are supported:
 | KuCoin              | x           | x            | T R B         |                                             |
 | LBank               | x           | x            |   R           |                                             |
 | Livecoin            | x           | x            |               |                                             |
-| MEXC                | x           | x            |               |                                             |
+| MEXC                | x           | x            |     B         |                                             |
 | NDAX                | x           | x            | T R           |                                             |
 | OKCoin              | x           | x            |   R B         |                                             |
 | OKEx                | x           | x            | T R B O       |                                             |

src/ExchangeSharp/API/Exchanges/MEXC/ExchangeMEXCAPI.cs

@@ -1,9 +1,11 @@
-using System;
+using System;
 using System.Collections.Generic;
 using System.Linq;
 using System.Threading.Tasks;
 using ExchangeSharp.Models;
+using Newtonsoft.Json;
 using Newtonsoft.Json.Linq;
+using ExchangeSharp.API.Exchanges.MEXC.Models;
 
 namespace ExchangeSharp
 {
@@ -21,6 +23,7 @@ private ExchangeMEXCAPI()
 			MarketSymbolSeparator = string.Empty;
 			MarketSymbolIsUppercase = true;
 			RateLimit = new RateGate(20, TimeSpan.FromSeconds(2));
+			WebSocketOrderBookType = WebSocketOrderBookType.FullBookFirstThenDeltas;
 		}
 
 		public override Task<string> ExchangeMarketSymbolToGlobalMarketSymbolAsync(string marketSymbol)
@@ -369,6 +372,110 @@ protected override async Task OnCancelOrderAsync(string orderId, string marketSy
 			await MakeJsonRequestAsync<JToken>("/order", BaseUrl, payload, "DELETE");
 		}
 
+		protected override async Task<IWebSocket> OnGetDeltaOrderBookWebSocketAsync(
+				Action<ExchangeOrderBook> callback,
+				int maxCount = 20,
+				params string[] marketSymbols
+		)
+		{
+			if (marketSymbols == null || marketSymbols.Length == 0)
+			{
+				marketSymbols = (await GetMarketSymbolsAsync()).ToArray();
+			}
+
+			var initialSequenceIds = new Dictionary<string, long>();
+
+			return await ConnectPublicWebSocketAsync(
+					string.Empty,
+					(_socket, msg) =>
+					{
+						var json = msg.ToStringFromUTF8();
+
+						MarketDepthDiffUpdate update = null;
+						try
+						{
+							update = JsonConvert.DeserializeObject<MarketDepthDiffUpdate>(json, SerializerSettings);
+						}
+						catch
+						{
+						}
+
+						if (update == null || string.IsNullOrWhiteSpace(update.Channel) || update.Details == null)
+						{
+							return Task.CompletedTask;
+						}
+
+						if (update.Details.Version < initialSequenceIds[update.Symbol])
+						{
+							// A deprecated update should be ignored
+							return Task.CompletedTask;
+						}
+
+						var eventTimeDateTime = update.EventTime.UnixTimeStampToDateTimeMilliseconds();
+
+						var orderBook = new ExchangeOrderBook
+						{
+							IsFromSnapshot = false,
+							ExchangeName = Name,
+							SequenceId = update.Details.Version,
+							MarketSymbol = update.Symbol,
+							LastUpdatedUtc = eventTimeDateTime,
+						};
+
+						if (update.Details.Asks != null)
+						{
+							foreach (var ask in update.Details.Asks)
+							{
+								orderBook.Asks[ask.Price] = new ExchangeOrderPrice
+								{
+									Price = ask.Price,
+									Amount = ask.Volume,
+								};
+							}
+						}
+
+						if (update.Details.Bids != null)
+						{
+							foreach (var bid in update.Details.Bids)
+							{
+								orderBook.Bids[bid.Price] = new ExchangeOrderPrice
+								{
+									Price = bid.Price,
+									Amount = bid.Volume,
+								};
+							}
+						}
+
+						callback(orderBook);
+
+						return Task.CompletedTask;
+					},
+			    async (_socket) =>
+					{
+						foreach (var marketSymbol in marketSymbols) // "Every websocket connection maximum support 30 subscriptions at one time." - API docs
+						{
+							var initialBook = await OnGetOrderBookAsync(marketSymbol, maxCount);
+							initialBook.IsFromSnapshot = true;
+
+							callback(initialBook);
+
+							initialSequenceIds[marketSymbol] = initialBook.SequenceId;
+
+							var subscriptionParams = new List<string>
+							{
+								$"[email protected]@{marketSymbol}"
+							};
+
+							await _socket.SendMessageAsync(new WebSocketSubscription
+							{
+								Method = "SUBSCRIPTION",
+								Params = subscriptionParams,
+							});
+						}
+					}
+			);
+		}
+
 		private async Task<JToken> GetBalance()
 		{
 			var token = await MakeJsonRequestAsync<JToken>("/account", payload: await GetNoncePayloadAsync());

src/ExchangeSharp/API/Exchanges/MEXC/Models/MarketDepthDiffUpdate.cs

@@ -0,0 +1,47 @@
+using Newtonsoft.Json;
+using System;
+using System.Collections.Generic;
+using System.Text;
+
+namespace ExchangeSharp.API.Exchanges.MEXC.Models
+{
+	internal class MarketDepthDiffUpdateDetailItem
+	{
+		[JsonProperty("p")]
+		public decimal Price { get; set; }
+
+		[JsonProperty("v")]
+		public decimal Volume { get; set; }
+	}
+
+	internal class MarketDepthDiffUpdateDetails
+	{
+		public List<MarketDepthDiffUpdateDetailItem> Asks { get; set; }
+
+		public List<MarketDepthDiffUpdateDetailItem> Bids { get; set; }
+
+		[JsonProperty("e")]
+		public string EventType { get; set; }
+
+		[JsonProperty("r")]
+		public long Version { get; set; }
+	}
+
+	internal class MarketDepthDiffUpdate
+	{
+		[JsonProperty("c")]
+		public string Channel { get; set; }
+
+		[JsonProperty("d")]
+		public MarketDepthDiffUpdateDetails Details { get; set; }
+
+		[JsonProperty("s")]
+		public string Symbol { get; set; }
+
+		/// <summary>
+		/// Milliseconds since Unix epoch
+		/// </summary>
+		[JsonProperty("t")]
+		public long EventTime { get; set; }
+	}
+}

src/ExchangeSharp/API/Exchanges/MEXC/Models/WebSocketSubscription.cs

@@ -0,0 +1,13 @@
+using System;
+using System.Collections.Generic;
+using System.Text;
+
+namespace ExchangeSharp.API.Exchanges.MEXC.Models
+{
+	internal class WebSocketSubscription
+	{
+		public string Method { get; set; }
+
+		public List<string> Params { get; set; }
+	}
+}