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"; }
+}