private void WriteStats(ExternalExchangeOrderbookMessage orderbook,
ExternalExchangeOrderbookMessage resultingOrderbook, DateTime now)
{
var bestPrices = _bestPricesService.Calc(orderbook);
var resultingBestPrices = _bestPricesService.Calc(resultingOrderbook);
_orderbooksStatusService.SetStatus(orderbook.ExchangeName, orderbook.AssetPairId,
new OrderbookStatus(bestPrices.BestBid, bestPrices.BestAsk,
resultingBestPrices.BestBid, resultingBestPrices.BestAsk,
orderbook.Bids.Count, orderbook.Asks.Count,
resultingOrderbook.Bids.Count, resultingOrderbook.Asks.Count,
now, OrderbookStatusEnum.Valid));
Trace.Write(TraceLevelGroupEnum.Trace, orderbook.AssetPairId,
$"Orderbook from {orderbook.ExchangeName} for {resultingOrderbook.AssetPairId}: " +
$"{resultingBestPrices.BestBid}/{resultingBestPrices.BestAsk}",
new
{
ResultingAssetPairId = resultingOrderbook.AssetPairId,
Event = "ExternalOrderbookProcessed",
Source = orderbook.ExchangeName,
bestPrices.BestBid,
bestPrices.BestAsk,
ResultingBestBid = resultingBestPrices.BestBid,
ResultingBestAsk = resultingBestPrices.BestAsk,
BidsDepth = orderbook.Bids.Count,
AsksDepth = orderbook.Asks.Count,
ResultingsBidsDepth = resultingOrderbook.Bids.Count,
ResultingsAsksDepth = resultingOrderbook.Asks.Count,
});
}
private Orderbook CalculateOrderbook(CrossRateCalcInfo info)
{
var sourceOrderbook1 = _orderbooks.GetValueOrDefault(info.Source1.Id); // ex: btcusd
var sourceOrderbook2 = _orderbooks.GetValueOrDefault(info.Source2.Id); // ex: eurusd
if (sourceOrderbook1 == null || sourceOrderbook2 == null)
{
var reason = "No orderbook for " + (sourceOrderbook1 == null
? info.Source1.Id
: info.Source2.Id);
Trace.Write(TraceLevelGroupEnum.WarnTrace, info.ResultingPairId,
"Skipping generating cross-rate: " + reason,
new { Event = "CrossRateSkipped", Reason = reason });
return(null);
}
var bestPrices1 = _bestPricesService.Calc(sourceOrderbook1); // ex: btcusd
var bestPrices2 = _bestPricesService.Calc(sourceOrderbook2); // ex: eurusd
var crossBid = GetCrossRate(bestPrices1, bestPrices2, info, true);
var crossAsk = GetCrossRate(bestPrices1, bestPrices2, info, false);
Trace.Write(TraceLevelGroupEnum.Trace, info.ResultingPairId,
"Generating cross-rate",
new { Event = "CrossRateGenerated", Bid = crossBid, Ask = crossAsk });
return(new Orderbook(info.ResultingPairId,
ImmutableArray.Create(new OrderbookPosition(crossBid, 1)), // in future: calc whole orderbook
ImmutableArray.Create(new OrderbookPosition(crossAsk, 1))));
}
private (ImmutableHashSet <string>, ImmutableDictionary <string, ExternalOrderbook>) FindBroken(
string assetPairId, ImmutableDictionary <string, ExternalOrderbook> enabledOrderbooks)
{
if (!_extPricesSettingsService.IsStepEnabled(OrderbookGeneratorStepDomainEnum.FindBroken, assetPairId))
{
return(ImmutableHashSet <string> .Empty, enabledOrderbooks);
}
// 1.7*bid > ask > bid > 0 (see LWDEV-4587)
var brokenExchanges = enabledOrderbooks.Values
.Where(o =>
{
var bestPrices = _bestPricesService.Calc(o);
return(bestPrices.BestBid <= 0 ||
bestPrices.BestAsk < bestPrices.BestBid ||
5m / 3m * bestPrices.BestBid <= bestPrices.BestAsk);
})
.Select(o => o.ExchangeName)
.ToImmutableHashSet();
var nonBrokenExchanges = enabledOrderbooks.RemoveRange(brokenExchanges);
return(brokenExchanges, nonBrokenExchanges);
}