WebSocket Client

When developing a connector for a number of exchanges, an important component is the WebSocket client, which provides real-time data retrieval. In StockSharp, for this purpose, a SocketClient class is often created when developing a connector, built on the basis of WebSocketClient.

WebSocketClient Features

WebSocketClient is a system class developed for automatic reconnection in case of a WebSocket connection loss. Its source code is available in the Ecng repository.

SocketClient Structure

SocketClient usually includes the following key elements:

Constructor

Initializes the base WebSocketClient
Sets up event handlers

Connection and disconnection methods

Connect / ConnectAsync
Disconnect

Subscription methods for different types of data

For example, SubscribeTrades, SubscribeOrderBook

Unsubscription methods for data

Corresponding unsubscription methods for each type of subscription

Event handlers

For handling different types of incoming messages

Helper methods

For forming subscription/unsubscription messages
For processing received data

class SocketClient : BaseLogReceiver
{
    private readonly WebSocketClient _client;
    private readonly Authenticator _authenticator;

    // Events for different types of data
    public event Action<Heartbeat> HeartbeatReceived;
    public event Action<Ticker> TickerReceived;
    public event Action<Trade> TradeReceived;
    public event Action<string, string, IEnumerable<OrderBookChange>> OrderBookReceived;
    public event Action<Order> OrderReceived;
    public event Action<Exception> Error;
    public event Action Connected;
    public event Action<bool> Disconnected;

    public SocketClient(Authenticator authenticator, int reconnectAttempts)
    {
        _authenticator = authenticator;
        _client = new WebSocketClient(/* parameters */);
        _client.ReconnectAttempts = reconnectAttempts;
    }

    public ValueTask Connect(CancellationToken cancellationToken)
    {
        // Connection logic
    }

    public void Disconnect()
    {
        // Disconnection logic
    }

    public ValueTask SubscribeTicker(string symbol, CancellationToken cancellationToken)
    {
        // Ticker subscription logic
    }

    public ValueTask UnSubscribeTicker(string symbol, CancellationToken cancellationToken)
    {
        // Ticker unsubscription logic
    }

    // Similar methods for other types of subscriptions (trades, order book, etc.)

    private void OnProcess(dynamic obj)
    {
        // Processing incoming messages
    }

    // Helper methods
}

Implementation Recommendations

Adapt the SocketClient structure to the specific exchange, taking into account the specifics of its API.
Use asynchronous methods for efficient work with WebSocket.
Implement handling of different types of messages from the exchange.
Ensure proper error handling and reconnection upon connection loss.

Remember that the specific implementation may differ depending on the requirements and specifics of the API of a particular exchange.

Table of Contents

WebSocket Client