public Task ProcessNewExternalOrderbookAsync(ExternalExchangeOrderbookMessage orderbook)
{
var quotesSource = _assetPairSourceTypeService.Get(orderbook.AssetPairId);
if (quotesSource != AssetPairQuotesSourceTypeDomainEnum.External ||
(orderbook.Bids?.Count ?? 0) == 0 || (orderbook.Asks?.Count ?? 0) == 0)
{
return(Task.CompletedTask);
}
var externalOrderbook = new ExternalOrderbook(orderbook.AssetPairId, orderbook.Source, _system.UtcNow,
orderbook.Bids.OrderByDescending(p => p.Price).Select(b => new OrderbookPosition(b.Price, b.Volume))
.ToImmutableArray(),
orderbook.Asks.OrderBy(p => p.Price).Select(b => new OrderbookPosition(b.Price, b.Volume))
.ToImmutableArray());
var resultingOrderbook = _generateOrderbookService.OnNewOrderbook(externalOrderbook);
if (resultingOrderbook == null)
{
return(Task.CompletedTask);
}
var orderbooksToSend = _crossRatesService.CalcDependentOrderbooks(resultingOrderbook)
.Add(resultingOrderbook);
return(SendOrderCommandsAsync(orderbooksToSend));
}
public IReadOnlyList <AssetPairModel> List()
{
return(_assetPairSourceTypeService.Get()
.OrderBy(d => d.Key)
.Select(d => new AssetPairModel {
SourceType = d.Value.ToString(), AssetPairId = d.Key
})
.ToList());
}
public ImmutableList <Orderbook> CalcDependentOrderbooks([NotNull] Orderbook orderbook) // ex: (btcusd)
{
_orderbooks[orderbook.AssetPairId] = orderbook
?? throw new ArgumentNullException(nameof(orderbook));
var dependent = _crossRateCalcInfosService.GetDependentAssetPairs(orderbook.AssetPairId)
.Where(p => _assetPairSourceTypeService.Get(p.ResultingPairId) ==
AssetPairQuotesSourceTypeDomainEnum.CrossRates); // ex: btceur
return(dependent.Select(CalculateOrderbook).Where(o => o != null).ToImmutableList());
}