Add market data classes and update Deribit client

Added new classes for market data retrieval and handling. These classes include InstrumentKind, InstrumentResponse, InstrumentType, and TickSizeStep. Updated the DeribitSubscriptionClient to allow unsubscribing from channels. The Utilities class now includes a ToLowerSnakeCase method.

Author: prodigy

src/Prodigy.Solutions.Deribit.Client/MarketData/DeribitMarketDataClient.cs

@@ -0,0 +1,11 @@
+namespace Prodigy.Solutions.Deribit.Client.MarketData;
+
+public enum InstrumentKind
+{
+    Undefined,
+    Future,
+    Option,
+    Spot,
+    FutureCombo,
+    OptionCombo
+}

src/Prodigy.Solutions.Deribit.Client/MarketData/InstrumentKind.cs

@@ -0,0 +1,38 @@
+using Newtonsoft.Json;
+
+namespace Prodigy.Solutions.Deribit.Client.MarketData;
+
+public class InstrumentResponse
+{
+    public required string BaseCurrency { get; init; }
+    public decimal? BlockTradeCommission { get; init; }
+    public decimal? BlockTradeMinTradeAmount { get; init; }
+    public decimal? BlockTradeTickSize { get; init; }
+    public long ContractSize { get; init; }
+    public string? CounterCurrency { get; init; }
+    public long CreationTimestamp { get; init; }
+    [JsonIgnore]
+    public DateTimeOffset CreationDate => DateTimeOffset.FromUnixTimeMilliseconds(CreationTimestamp);
+    public long ExpirationTimestamp { get; init; }
+    [JsonIgnore]
+    public DateTimeOffset ExpirationDate => DateTimeOffset.FromUnixTimeMilliseconds(ExpirationTimestamp);
+    public long InstrumentId { get; init; }
+    public required string InstrumentName { get; init; }
+    public InstrumentType InstrumentType { get; init; }
+    public bool IsActive { get; init; }
+    public InstrumentKind Kind { get; init; }
+    public decimal? MakerCommission { get; init; }
+    public decimal MaxLeverage { get; init; }
+    public decimal? MaxLiquidationCommission { get; init; }
+    public decimal? MinTradeAmount { get; init; }
+    public string? OptionType { get; init; }
+    public string? PriceIndex { get; init; }
+    public string? QuoteCurrency { get; init; }
+    public bool Rfq { get; init; }
+    public string? SettlementCurrency { get; init; }
+    public string? SettlementPeriod { get; init; }
+    public decimal? Strike { get; init; }
+    public decimal? TakerCommission { get; init; }
+    public decimal? TickSize { get; init; }
+    public IReadOnlyCollection<TickSizeStep>? TickSizeSteps { get; init; }
+}

src/Prodigy.Solutions.Deribit.Client/MarketData/InstrumentResponse.cs

@@ -0,0 +1,8 @@
+namespace Prodigy.Solutions.Deribit.Client.MarketData;
+
+public enum InstrumentType
+{
+    Undefined,
+    Linear,
+    Reversed
+}

src/Prodigy.Solutions.Deribit.Client/MarketData/InstrumentType.cs

@@ -0,0 +1,8 @@
+namespace Prodigy.Solutions.Deribit.Client.MarketData;
+
+public class TickSizeStep
+{
+    public decimal AbovePrice { get; init; }
+    
+    public decimal TickSize { get; init; }
+}

src/Prodigy.Solutions.Deribit.Client/MarketData/TickSizeStep.cs

@@ -4,6 +4,9 @@
     <TargetFramework>net8.0</TargetFramework>
     <ImplicitUsings>enable</ImplicitUsings>
     <Nullable>enable</Nullable>
+    <GeneratePackageOnBuild>True</GeneratePackageOnBuild>
+    <PackageProjectUrl>https://github.com/prodigy-sln/Deribit.Client</PackageProjectUrl>
+    <Version>0.0.1</Version>
   </PropertyGroup>
 
   <ItemGroup>

src/Prodigy.Solutions.Deribit.Client/Prodigy.Solutions.Deribit.Client.csproj

@@ -44,19 +44,11 @@ private void SessionOnDisconnected(object? sender, EventArgs e)
 
     public async Task<IObservable<OrderResponse>> SubscribeToOrderUpdatesAsync(string instrument, SubscriptionInterval interval = SubscriptionInterval.MilliSeconds100)
     {
-        if (interval == SubscriptionInterval.Raw) throw new ArgumentOutOfRangeException(nameof(interval), $"Use {nameof(SubscribeToOrderUpdatesRawAsync)} for raw instead");
         var channel = $"user.orders.{instrument}.{interval.GetApiStringValue()}";
         var observable = await SubscribeToMessagesInternalAsync<OrderResponse[]>(channel);
         return observable.SelectMany(r => r);
     }
 
-    public async Task<IObservable<OrderResponse>> SubscribeToOrderUpdatesRawAsync(string instrument)
-    {
-        var channel = $"user.orders.{instrument}.raw";
-        var observable = await SubscribeToMessagesInternalAsync<OrderResponse>(channel);
-        return observable;
-    }
-
     public async Task<IObservable<TradeRespone>> SubscribeToTradesAsync(string instrument, SubscriptionInterval interval = SubscriptionInterval.MilliSeconds100)
     {
         var channel = $"user.trades.{instrument}.{interval.GetApiStringValue()}";
@@ -79,6 +71,43 @@ public async Task<IObservable<QuoteResponse>> SubscribeToQuoteAsync(string instr
         return await SubscribeToMessagesInternalAsync<QuoteResponse>($"quote.{instrument}");
     }
 
+    public async Task<bool> UnsubscribeAsync(string channel)
+    {
+        return (await UnsubscribeAsync(new[] { channel })).Contains(channel);
+    }
+    
+    public async Task<string[]> UnsubscribeAsync(IReadOnlyList<string> channels)
+    {
+        _logger.LogInformation("Unsubscribing from channels: {channels}", string.Join(", ", channels));
+
+        var unsubscribedChannels = await _deribitClient.InvokeAsync<string[]>(GetFullEndpoint("unsubscribe"), new { channels });
+        if (unsubscribedChannels == null)
+        {
+            return [];
+        }
+
+        foreach (var channel in unsubscribedChannels)
+        {
+            _subscribedChannels.Remove(channel);
+        }
+
+        return unsubscribedChannels;
+    }
+    
+    public async Task<string> UnsubscribeAllAsync()
+    {
+        var result = await _deribitClient.InvokeAsync<string>(GetFullEndpoint("unsubscribe_all"));
+        
+        if (result == null)
+        {
+            throw new Exception("Unsubscribe All request failed");
+        }
+
+        _subscribedChannels.Clear();
+
+        return result;
+    }
+
     private async Task<IObservable<TResult>> SubscribeToMessagesInternalAsync<TResult>(string channel)
     {
         var observable = _deribitClient.GetSubscriptionMessages()?.Where(m => m.Channel == channel).ToTypedMessage<TResult>().WhereNotNull();

src/Prodigy.Solutions.Deribit.Client/Subscriptions/DeribitSubscriptionClient.cs

@@ -1,5 +1,6 @@
 using System.Diagnostics;
 using System.Dynamic;
+using System.Text;
 using Prodigy.Solutions.Deribit.Client.Authentication;
 
 namespace Prodigy.Solutions.Deribit.Client;
@@ -39,10 +40,37 @@ public static ExpandoObject ConvertParametersToExpandoObject(params object?[] ar
 
             var value = args[i];
             if (value != null) {
-                ((IDictionary<string,object?>)expando)[param.Name] = value;
+                ((IDictionary<string,object?>)expando)[param.Name.ToLowerSnakeCase()] = value;
             }
         }
 
         return expando;
     }
+    
+    public static string ToLowerSnakeCase(this string str)
+    {
+        if (string.IsNullOrEmpty(str))
+        {
+            return str;
+        }
+
+        var sb = new StringBuilder();
+        for (var i = 0; i < str.Length; i++)
+        {
+            if (char.IsUpper(str[i]))
+            {
+                if (i != 0 && !char.IsUpper(str[i - 1]))
+                {
+                    sb.Append("_");
+                }
+                sb.Append(char.ToLowerInvariant(str[i]));
+            }
+            else
+            {
+                sb.Append(str[i]);
+            }
+        }
+    
+        return sb.ToString();
+    }
 }