fix GetFullOrderBookWebSocketAsync data inconsistency (#714)

src/ExchangeSharp/API/Exchanges/BinanceGroup/BinanceGroupCommon.cs

@@ -308,7 +308,7 @@ protected override async Task<IWebSocket> OnGetDeltaOrderBookWebSocketAsync(Acti
 		protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string marketSymbol, int maxCount = 100)
 		{
 			JToken obj = await MakeJsonRequestAsync<JToken>($"/depth?symbol={marketSymbol}&limit={maxCount}", BaseUrlApi);
-			return ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(obj, sequence: "lastUpdateId", maxCount: maxCount);
+			return obj.ParseOrderBookFromJTokenArrays(sequence: "lastUpdateId");
 		}
 
 		protected override async Task OnGetHistoricalTradesAsync(Func<IEnumerable<ExchangeTrade>, bool> callback, string marketSymbol, DateTime? startDate = null, DateTime? endDate = null, int? limit = null)

src/ExchangeSharp/API/Exchanges/Bithumb/ExchangeBithumbAPI.cs

@@ -151,7 +151,7 @@ protected override async Task<IEnumerable<KeyValuePair<string, ExchangeTicker>>>
         protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string marketSymbol, int maxCount = 100)
         {
             var data = await MakeRequestBithumbAsync(marketSymbol, "/public/orderbook/$SYMBOL$");
-            return ExchangeAPIExtensions.ParseOrderBookFromJTokenDictionaries(data.Item1, amount: "quantity", sequence: "timestamp", maxCount: maxCount);
+            return data.Item1.ParseOrderBookFromJTokenDictionaries(amount: "quantity", sequence: "timestamp");
         }
 
         protected override async Task<IEnumerable<KeyValuePair<string, ExchangeOrderBook>>> OnGetOrderBooksAsync(int maxCount = 100)

src/ExchangeSharp/API/Exchanges/Bitstamp/ExchangeBitstampAPI.cs

@@ -133,7 +133,7 @@ protected override async Task<ExchangeTicker> OnGetTickerAsync(string marketSymb
         protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string marketSymbol, int maxCount = 100)
         {
             JToken token = await MakeBitstampRequestAsync("/order_book/" + marketSymbol);
-            return ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(token, maxCount: maxCount);
+            return token.ParseOrderBookFromJTokenArrays();
         }
 
         protected override async Task OnGetHistoricalTradesAsync(Func<IEnumerable<ExchangeTrade>, bool> callback, string marketSymbol, DateTime? startDate = null, DateTime? endDate = null, int? limit = null)
@@ -254,7 +254,7 @@ protected override async Task<ExchangeOrderResult> OnGetOrderDetailsAsync(string
 			// status can be 'Canceled', 'Open' or 'Finished'
 			var statusCode = result.Value<string>("status");
 			var status = GetOrderResultFromStatus(statusCode, anyTransaction);
-			
+
             // empty transaction array means that order is InQueue or Open and AmountFilled == 0
             // return empty order in this case. no any additional info available at this point
             if (!anyTransaction)

src/ExchangeSharp/API/Exchanges/Bittrex/ExchangeBittrexAPI.cs

@@ -271,7 +271,7 @@ protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string mark
 			}
 
 			JToken token = await MakeJsonRequestAsync<JToken>("/markets/" + marketSymbol + "/orderbook" + "?depth=" + maxCount);
-			return ExchangeAPIExtensions.ParseOrderBookFromJTokenDictionaries(token, "ask", "bid", "rate", "quantity", maxCount: maxCount);
+			return token.ParseOrderBookFromJTokenDictionaries("ask", "bid", "rate", "quantity");
 		}
 
 		/// <summary>Gets the deposit history for a symbol</summary>

src/ExchangeSharp/API/Exchanges/Coinbase/ExchangeCoinbaseAPI.cs

@@ -586,7 +586,7 @@ protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string mark
 		{
 			string url = "/products/" + marketSymbol.ToUpperInvariant() + "/book?level=2";
 			JToken token = await MakeJsonRequestAsync<JToken>(url);
-			return ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(token, maxCount: maxCount);
+			return token.ParseOrderBookFromJTokenArrays();
 		}
 
 		protected override async Task<IEnumerable<MarketCandle>> OnGetCandlesAsync(string marketSymbol, int periodSeconds, DateTime? startDate = null, DateTime? endDate = null, int? limit = null)
@@ -661,7 +661,7 @@ protected override async Task<Dictionary<string, decimal>> OnGetFeesAsync()
 			JObject token = await MakeJsonRequestAsync<JObject>("/fees", null, await GetNoncePayloadAsync(), "GET");
 			/*
 			 * We can chose between maker and taker fee, but currently ExchangeSharp only supports 1 fee rate per symbol.
-			 * Here, we choose taker fee, which are usually higher 
+			 * Here, we choose taker fee, which are usually higher
 			*/
 			decimal makerRate = token["taker_fee_rate"].Value<decimal>(); //percentage between 0 and 1
 

src/ExchangeSharp/API/Exchanges/Digifinex/ExchangeDigifinexAPI.cs

@@ -211,7 +211,7 @@ protected override async Task<ExchangeTicker> OnGetTickerAsync(string marketSymb
 		protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string marketSymbol, int maxCount = 100)
 		{
 			JToken obj = await MakeJsonRequestAsync<JToken>($"/order_book?symbol={marketSymbol}&limit={maxCount}");
-			var result = ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(obj, sequence: "date", maxCount: maxCount);
+			var result = obj.ParseOrderBookFromJTokenArrays(sequence: "date");
 			result.LastUpdatedUtc = CryptoUtility.UnixTimeStampToDateTimeSeconds(obj["date"].ConvertInvariant<long>());
 			result.MarketSymbol = marketSymbol;
 			return result;

src/ExchangeSharp/API/Exchanges/FTX/ExchangeFTXAPI.cs

@@ -270,10 +270,10 @@ protected async override Task<IEnumerable<ExchangeOrderResult>> OnGetOpenOrderDe
 				{
 					continue;
 				}
-				
+
 				markets.Add(ParseOrder(token));
 			}
-			
+
 			return markets;
 		}
 
@@ -282,7 +282,7 @@ protected async override Task<ExchangeOrderBook> OnGetOrderBookAsync(string mark
 		{
 			JToken response = await MakeJsonRequestAsync<JToken>($"/markets/{marketSymbol}/orderbook?depth={maxCount}");
 
-			return ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(response, maxCount: maxCount);
+			return response.ParseOrderBookFromJTokenArrays();
 		}
 
 		/// <inheritdoc />
@@ -519,8 +519,8 @@ private ExchangeOrderResult ParseOrder(JToken token)
 				AmountFilled = token["filledSize"].ConvertInvariant<decimal>(),
 				ClientOrderId = token["clientId"].ToStringInvariant(),
 				Result = token["status"].ToStringInvariant().ToExchangeAPIOrderResult(token["size"].ConvertInvariant<decimal>() - token["filledSize"].ConvertInvariant<decimal>()),
-				ResultCode = token["status"].ToStringInvariant()			
-			};				
+				ResultCode = token["status"].ToStringInvariant()
+			};
 		}
 
 		#endregion

src/ExchangeSharp/API/Exchanges/GateIo/ExchangeGateIoAPI.cs

@@ -206,7 +206,7 @@ protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string symb
 				}
 			*/
 
-			var orderBook = ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(json, sequence: "current", maxCount: maxCount);
+			var orderBook = json.ParseOrderBookFromJTokenArrays(sequence: "current");
 			orderBook.LastUpdatedUtc = CryptoUtility.UnixTimeStampToDateTimeMilliseconds(json["current"].ConvertInvariant<long>());
 			return orderBook;
 		}

src/ExchangeSharp/API/Exchanges/Gemini/ExchangeGeminiAPI.cs

@@ -248,7 +248,7 @@ protected override async Task<ExchangeTicker> OnGetTickerAsync(string marketSymb
 		protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string marketSymbol, int maxCount = 100)
 		{
 			JToken obj = await MakeJsonRequestAsync<JToken>("/book/" + marketSymbol + "?limit_bids=" + maxCount + "&limit_asks=" + maxCount);
-			return ExchangeAPIExtensions.ParseOrderBookFromJTokenDictionaries(obj, maxCount: maxCount);
+			return obj.ParseOrderBookFromJTokenDictionaries();
 		}
 
 		protected override async Task OnGetHistoricalTradesAsync(Func<IEnumerable<ExchangeTrade>, bool> callback, string marketSymbol, DateTime? startDate = null, DateTime? endDate = null, int? limit = null)

src/ExchangeSharp/API/Exchanges/Hitbtc/ExchangeHitbtcAPI.cs

@@ -186,7 +186,7 @@ protected override async Task<IEnumerable<ExchangeTrade>> OnGetRecentTradesAsync
         protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string marketSymbol, int maxCount = 100)
         {
             JToken token = await MakeJsonRequestAsync<JToken>("/public/orderbook/" + marketSymbol + "?limit=" + maxCount.ToStringInvariant());
-            return ExchangeAPIExtensions.ParseOrderBookFromJTokenDictionaries(token, asks: "ask", bids: "bid", amount: "size", maxCount: maxCount);
+            return token.ParseOrderBookFromJTokenDictionaries(asks: "ask", bids: "bid", amount: "size");
         }
 
         protected override async Task OnGetHistoricalTradesAsync(Func<IEnumerable<ExchangeTrade>, bool> callback, string marketSymbol, DateTime? startDate = null, DateTime? endDate = null, int? limit = null)
@@ -195,11 +195,11 @@ protected override async Task OnGetHistoricalTradesAsync(Func<IEnumerable<Exchan
 			// TODO: Can't get Hitbtc to return other than the last 50 trades even though their API says it should (by orderid or timestamp). When passing either of these parms, it still returns the last 50
 			// So until there is an update, that's what we'll go with
 			// UPDATE: 2020/01/19 https://api.hitbtc.com/ GET /api/2/public/trades/{symbol} limit default: 100 max value:1000
-			// 
+			//
 			//var maxRequestLimit = 1000; //hard coded for now, should add limit as an argument
-			var maxRequestLimit = (limit == null || limit < 1 || limit > 1000) ? 1000 : (int)limit;  
+			var maxRequestLimit = (limit == null || limit < 1 || limit > 1000) ? 1000 : (int)limit;
             //note that sort must come after limit, else returns default 100 trades, sort default is DESC
-			JToken obj = await MakeJsonRequestAsync<JToken>("/public/trades/" + marketSymbol + "?limit=" + maxRequestLimit + "?sort=DESC"); 
+			JToken obj = await MakeJsonRequestAsync<JToken>("/public/trades/" + marketSymbol + "?limit=" + maxRequestLimit + "?sort=DESC");
 			//JToken obj = await MakeJsonRequestAsync<JToken>("/public/trades/" + marketSymbol);
 			if (obj.HasValues)
             {

src/ExchangeSharp/API/Exchanges/Huobi/ExchangeHuobiAPI.cs

@@ -346,7 +346,7 @@ protected override async Task<IWebSocket> OnGetDeltaOrderBookWebSocketAsync(Acti
                 var ch = token["ch"].ToStringInvariant();
                 var sArray = ch.Split('.');
                 var marketSymbol = sArray[1].ToStringInvariant();
-                ExchangeOrderBook book = ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(token["tick"], maxCount: maxCount);
+                ExchangeOrderBook book = token["tick"].ParseOrderBookFromJTokenArrays();
                 book.MarketSymbol = marketSymbol;
                 callback(book);
             }, async (_socket) =>
@@ -433,7 +433,7 @@ protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string mark
       [7995, 0.88],
              */
             JToken obj = await MakeJsonRequestAsync<JToken>("/market/depth?symbol=" + marketSymbol + "&type=step0", BaseUrl, null);
-            return ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(obj["tick"], sequence: "ts", maxCount: maxCount);
+            return obj["tick"].ParseOrderBookFromJTokenArrays(sequence: "ts");
         }
 
         protected override async Task<IEnumerable<MarketCandle>> OnGetCandlesAsync(string marketSymbol, int periodSeconds, DateTime? startDate = null, DateTime? endDate = null, int? limit = null)

src/ExchangeSharp/API/Exchanges/Kraken/ExchangeKrakenAPI.cs

@@ -408,7 +408,7 @@ protected override async Task<IEnumerable<string>> OnGetMarketSymbolsAsync(bool
 		}
 
 		protected internal override async Task<IEnumerable<ExchangeMarket>> OnGetMarketSymbolsMetadataAsync()
-		{ 
+		{
 			var markets = new List<ExchangeMarket>();
 			JToken allPairs = await MakeJsonRequestAsync<JToken>("/0/public/AssetPairs");
 			var res = (from prop in allPairs.Children<JProperty>() select prop).ToArray();
@@ -546,7 +546,7 @@ protected override Task OnInitializeAsync()
 		protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string marketSymbol, int maxCount = 100)
 		{
 			JToken obj = await MakeJsonRequestAsync<JToken>("/0/public/Depth?pair=" + marketSymbol + "&count=" + maxCount);
-			return ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(obj[marketSymbol], maxCount: maxCount);
+			return obj[marketSymbol].ParseOrderBookFromJTokenArrays();
 		}
 
 		protected override async Task<IEnumerable<ExchangeTrade>> OnGetRecentTradesAsync(string marketSymbol, int? limit = null)

src/ExchangeSharp/API/Exchanges/KuCoin/ExchangeKuCoinAPI.cs

@@ -159,7 +159,7 @@ protected internal override async Task<IEnumerable<ExchangeMarket>> OnGetMarketS
         protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string marketSymbol, int maxCount = 100)
         {
             JToken token = await MakeJsonRequestAsync<JToken>("/market/orderbook/level2_" + maxCount + "?symbol=" + marketSymbol);
-            return ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(token, asks: "asks", bids: "bids", maxCount: maxCount);
+            return token.ParseOrderBookFromJTokenArrays(asks: "asks", bids: "bids");
         }
 
         protected override async Task<ExchangeTicker> OnGetTickerAsync(string marketSymbol)

src/ExchangeSharp/API/Exchanges/LBank/ExchangeLBankAPI.cs

@@ -100,7 +100,7 @@ protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string symb
 			maxCount = Math.Min(maxCount, ORDER_BOOK_MAX_SIZE);
 			JToken resp = await this.MakeJsonRequestAsync<JToken>($"/depth.do?symbol={symbol}&size={maxCount}&merge=0");
 			CheckResponseToken(resp);
-			ExchangeOrderBook book = ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(resp, maxCount: maxCount);
+			ExchangeOrderBook book = resp.ParseOrderBookFromJTokenArrays();
 			book.SequenceId = resp["timestamp"].ConvertInvariant<long>();
 			return book;
 		}

src/ExchangeSharp/API/Exchanges/OKGroup/ExchangeOKExAPI.cs

@@ -186,7 +186,7 @@ protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string mark
 		{
 			var token = await MakeJsonRequestAsync<JToken>($"/market/books?instId={marketSymbol}&sz={maxCount}",
 				BaseUrlV5);
-			return token[0].ParseOrderBookFromJTokenArrays(maxCount: maxCount);
+			return token[0].ParseOrderBookFromJTokenArrays();
 		}
 
 		protected override async Task<IEnumerable<MarketCandle>> OnGetCandlesAsync(string marketSymbol,
@@ -420,7 +420,7 @@ protected override async Task<IWebSocket> OnGetDeltaOrderBookWebSocketAsync(Acti
 					marketSymbols = await AddMarketSymbolsToChannel(_socket, "books-l2-tbt", marketSymbols);
 				}, (_socket, symbol, sArray, token) =>
 				{
-					ExchangeOrderBook book = token.ParseOrderBookFromJTokenArrays(maxCount: maxCount);
+					ExchangeOrderBook book = token.ParseOrderBookFromJTokenArrays();
 					book.MarketSymbol = symbol;
 					callback(book);
 					return Task.CompletedTask;

src/ExchangeSharp/API/Exchanges/OKGroup/OKGroupCommon.cs

@@ -299,7 +299,7 @@ protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string mark
         {
             var token = await MakeRequestOkexAsync(marketSymbol, $"/spot/v3/instruments/{marketSymbol}/book", BaseUrlV3);
 
-            return ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(token.Item1, maxCount: maxCount);
+            return token.Item1.ParseOrderBookFromJTokenArrays();
         }
 
         protected override async Task OnGetHistoricalTradesAsync(Func<IEnumerable<ExchangeTrade>, bool> callback, string marketSymbol, DateTime? startDate = null, DateTime? endDate = null, int? limit = null)

src/ExchangeSharp/API/Exchanges/_Base/ExchangeAPIExtensions.cs

@@ -14,6 +14,7 @@ The above copyright notice and this permission notice shall be included in all c
 using System;
 using System.Collections.Concurrent;
 using System.Collections.Generic;
+using System.Linq;
 using System.Threading.Tasks;
 using ExchangeSharp.Kraken;
 using ExchangeSharp.BinanceGroup;
@@ -155,9 +156,26 @@ async Task innerCallback(ExchangeOrderBook newOrderBook)
 				}
 
 				fullOrderBook.LastUpdatedUtc = CryptoUtility.UtcNow;
+				trimFullOrderBook(fullOrderBook);
 				callback(fullOrderBook);
 			}
 
+			void trimFullOrderBook(ExchangeOrderBook fBook)
+			{
+				var asks = fBook.Asks.Take(maxCount).ToList();
+				var bids = fBook.Bids.Take(maxCount).ToList();
+				fBook.Asks.Clear();
+				fBook.Bids.Clear();
+				foreach (var kvp in asks)
+				{
+					fBook.Asks.Add(kvp.Key, kvp.Value);
+				}
+				foreach (var kvp in bids)
+				{
+					fBook.Bids.Add(kvp.Key, kvp.Value);
+				}
+			}
+
 			IWebSocket socket = await api.GetDeltaOrderBookWebSocketAsync(async (b) =>
 			{
 				try
@@ -335,36 +353,26 @@ public static async Task<ExchangeOrderResult> PlaceSafeMarketOrderAsync(this Exc
 		/// <param name="token">Token</param>
 		/// <param name="asks">Asks key</param>
 		/// <param name="bids">Bids key</param>
-		/// <param name="maxCount">Max count</param>
 		/// <returns>Order book</returns>
 		internal static ExchangeOrderBook ParseOrderBookFromJTokenArrays
 		(
 			this JToken token,
 			string asks = "asks",
 			string bids = "bids",
-			string sequence = "ts",
-			int maxCount = 100
+			string sequence = "ts"
 		)
 		{
 			var book = new ExchangeOrderBook { SequenceId = token[sequence].ConvertInvariant<long>() };
-			foreach (JArray array in token[asks])
+			foreach (var array in token[asks])
 			{
 				var depth = new ExchangeOrderPrice { Price = array[0].ConvertInvariant<decimal>(), Amount = array[1].ConvertInvariant<decimal>() };
 				book.Asks[depth.Price] = depth;
-				if (book.Asks.Count == maxCount)
-				{
-					break;
-				}
 			}
 
-			foreach (JArray array in token[bids])
+			foreach (var array in token[bids])
 			{
 				var depth = new ExchangeOrderPrice { Price = array[0].ConvertInvariant<decimal>(), Amount = array[1].ConvertInvariant<decimal>() };
 				book.Bids[depth.Price] = depth;
-				if (book.Bids.Count == maxCount)
-				{
-					break;
-				}
 			}
 
 			return book;
@@ -378,7 +386,6 @@ internal static ExchangeOrderBook ParseOrderBookFromJTokenArrays
 		/// <param name="price">Price key</param>
 		/// <param name="amount">Quantity key</param>
 		/// <param name="sequence">Sequence key</param>
-		/// <param name="maxCount">Max count</param>
 		/// <returns>Order book</returns>
 		internal static ExchangeOrderBook ParseOrderBookFromJTokenDictionaries
 		(
@@ -387,29 +394,20 @@ internal static ExchangeOrderBook ParseOrderBookFromJTokenDictionaries
 			string bids = "bids",
 			string price = "price",
 			string amount = "amount",
-			string sequence = "ts",
-			int maxCount = 100
+			string sequence = "ts"
 		)
 		{
 			var book = new ExchangeOrderBook { SequenceId = token[sequence].ConvertInvariant<long>() };
 			foreach (JToken ask in token[asks])
 			{
 				var depth = new ExchangeOrderPrice { Price = ask[price].ConvertInvariant<decimal>(), Amount = ask[amount].ConvertInvariant<decimal>() };
 				book.Asks[depth.Price] = depth;
-				if (book.Asks.Count == maxCount)
-				{
-					break;
-				}
 			}
 
 			foreach (JToken bid in token[bids])
 			{
 				var depth = new ExchangeOrderPrice { Price = bid[price].ConvertInvariant<decimal>(), Amount = bid[amount].ConvertInvariant<decimal>() };
 				book.Bids[depth.Price] = depth;
-				if (book.Bids.Count == maxCount)
-				{
-					break;
-				}
 			}
 
 			return book;
@@ -727,7 +725,7 @@ internal static MarketCandle ParseCandle(this INamed named, JToken token, string
 			{
 				candle.WeightedAverage = token[weightedAverageKey].ConvertInvariant<decimal>();
 			}
-			if( countKey != null)	
+			if( countKey != null)
 			{
 				candle.Count = token[countKey].ConvertInvariant<int>();
 			}