Speedup VWAP calculations by switching to ticker endpoint

Libra/Websocket.cs

@@ -34,54 +34,15 @@ public void InitialPrices()
  {
  Parallel.ForEach(Symbols, s =>
  {
- LastTrades[s] = new MarketDataEvent() { Price = GeminiClient.GetLastPrice(s), };
-
- PV[s] = 0;
- V[s] = 0;
-
- //System.Threading.ThreadPool.QueueUserWorkItem(
- //delegate (object state)
- new Task(() =>
- {
- var vwap = Vwap(s, DateTime.UtcNow.Subtract(new TimeSpan(24, 0, 0)).ToTimestamp(), DateTime.UtcNow.ToTimestamp());
- PV[s] = vwap[0];
- V[s] = vwap[1];
- }).Start();
+ var t = GeminiClient.GetTicker(s);
+ LastTrades[s] = new MarketDataEvent() { Price = t.Last, };
+ PV[s] = t.Volume.Currency2;
+ V[s] = t.Volume.Currency1;
  });
 
  UpdateTicker(null, null);
  }
 
- /// <summary>
- /// Calculate the VWAP for a period
- /// </summary>
- /// <param name="start">epoch timestamp for beginning period</param>
- /// <param name="end">epoch timestamp for end period</param>
- public static decimal[] Vwap(string currency, long start, long end)
- {
- long timestamp = start;
- decimal pv = 0;
- decimal v = 0;
- TradeHistory[] history = null;
- do
- {
- var result = Requests.Get(String.Format("https://api.gemini.com/v1/trades/{0}?limit_trades=500&since={1}", currency, timestamp)).Result;
- if (!result.IsSuccessStatusCode)
- throw new Exception("Bad response");
-
- history = result.Json<TradeHistory[]>();
- foreach (var trade in history)
- {
- pv += (trade.Price * trade.Amount);
- v += trade.Amount;
- }
- timestamp = history[0].Timestamp;
- } while (history.Length > 10 && (end - timestamp) > 10);
-
- // add to the cumulative variables
- return new decimal[] { pv, v};
- }
-
  public void MarketDataStart()
  {
  foreach (var currency in Symbols)