public async Task <MatchedOrderCollection> MatchOrderAsync(Order order, bool shouldOpenNewPosition,
OrderModality modality = OrderModality.Regular)
{
List <(string source, decimal?price)> prices = null;
if (!string.IsNullOrEmpty(_marginTradingSettings.DefaultExternalExchangeId))
{
var quote = _quoteCacheService.GetQuote(order.AssetPairId);
if (quote.GetVolumeForOrderDirection(order.Direction) >= Math.Abs(order.Volume))
{
prices = new List <(string source, decimal?price)>
{
(_marginTradingSettings
.DefaultExternalExchangeId, quote.GetPriceForOrderDirection(order.Direction))
};
}
}
if (prices == null)
{
prices = _externalOrderbookService.GetOrderedPricesForExecution(order.AssetPairId, order.Volume, shouldOpenNewPosition);
if (prices == null || !prices.Any())
{
return(new MatchedOrderCollection());
}
}
var assetPair = _assetPairsCache.GetAssetPairByIdOrDefault(order.AssetPairId);
var externalAssetPair = assetPair?.BasePairId ?? order.AssetPairId;
foreach (var(source, price) in prices
.Where(x => string.IsNullOrEmpty(order.ExternalProviderId) || x.source == order.ExternalProviderId))
{
var externalOrderModel = new OrderModel();
var orderType = order.OrderType == Core.Orders.OrderType.Limit ||
order.OrderType == Core.Orders.OrderType.TakeProfit
? Core.Orders.OrderType.Limit
: Core.Orders.OrderType.Market;
var isCancellationTrade = order.AdditionalInfo.IsCancellationTrade(out var cancellationTradeExternalId);
var targetPrice = order.OrderType != Core.Orders.OrderType.Market || isCancellationTrade
? (double?)order.Price
: (double?)price;
try
{
externalOrderModel = new OrderModel(
tradeType: order.Direction.ToType <TradeType>(),
orderType: orderType.ToType <OrderType>(),
timeInForce: TimeInForce.FillOrKill,
volume: (double)Math.Abs(order.Volume),
dateTime: _dateService.Now(),
exchangeName: source,
instrument: externalAssetPair,
price: targetPrice,
orderId: order.Id,
modality: modality.ToType <TradeRequestModality>(),
isCancellationTrade: isCancellationTrade,
cancellationTradeExternalId: cancellationTradeExternalId);
var cts = new CancellationTokenSource();
cts.CancelAfter(_marginTradingSettings.GavelTimeout);
var executionResult = await _exchangeConnectorClient.ExecuteOrder(externalOrderModel, cts.Token);
if (!executionResult.Success)
{
var ex = new Exception(
$"External order was not executed. Status: {executionResult.ExecutionStatus}. Failure: {executionResult.FailureType}");
LogOrderExecutionException(order, externalOrderModel, ex);
}
else
{
var executedPrice = Math.Abs(executionResult.Price) > 0
? (decimal)executionResult.Price
: price.Value;
if (executedPrice.EqualsZero())
{
var ex = new Exception($"Have got execution price from Gavel equal to 0. Ignoring.");
LogOrderExecutionException(order, externalOrderModel, ex);
}
else
{
var matchedOrders = new MatchedOrderCollection
{
new MatchedOrder
{
MarketMakerId = source,
MatchedDate = _dateService.Now(),
OrderId = executionResult.ExchangeOrderId,
Price = CalculatePriceWithMarkups(assetPair, order.Direction, executedPrice),
Volume = (decimal)executionResult.Volume,
IsExternal = true
}
};
await _rabbitMqNotifyService.ExternalOrder(executionResult);
_operationsLogService.AddLog("external order executed", order.AccountId,
externalOrderModel.ToJson(), executionResult.ToJson());
return(matchedOrders);
}
}
}
catch (Exception ex)
{
LogOrderExecutionException(order, externalOrderModel, ex);
throw new OrderExecutionTechnicalException();
}
}
return(new MatchedOrderCollection());
}
public async Task <MatchedOrderCollection> MatchOrderAsync(Order order, bool shouldOpenNewPosition,
OrderModality modality = OrderModality.Regular)
{
List <(string source, decimal?price)> prices = null;
if (!string.IsNullOrEmpty(_marginTradingSettings.DefaultExternalExchangeId))
{
var quote = _quoteCacheService.GetQuote(order.AssetPairId);
if (quote.GetVolumeForOrderDirection(order.Direction) >= Math.Abs(order.Volume))
{
prices = new List <(string source, decimal?price)>
{
(_marginTradingSettings
.DefaultExternalExchangeId, quote.GetPriceForOrderDirection(order.Direction))
};
}
}
if (prices == null)
{
prices = _externalOrderbookService.GetOrderedPricesForExecution(order.AssetPairId, order.Volume, shouldOpenNewPosition);
if (prices == null || !prices.Any())
{
return(new MatchedOrderCollection());
}
}
var assetPair = _assetPairsCache.GetAssetPairByIdOrDefault(order.AssetPairId);
var externalAssetPair = assetPair?.BasePairId ?? order.AssetPairId;
foreach (var(source, price) in prices
.Where(x => string.IsNullOrEmpty(order.ExternalProviderId) || x.source == order.ExternalProviderId))
{
var externalOrderModel = new OrderModel();
var orderType = order.OrderType == Core.Orders.OrderType.Limit ||
order.OrderType == Core.Orders.OrderType.TakeProfit
? OrderType.Limit
: OrderType.Market;
var targetPrice = order.OrderType == Core.Orders.OrderType.Market
? (double?)price
: (double?)order.Price;
try
{
externalOrderModel = new OrderModel(
tradeType: order.Direction.ToType <TradeType>(),
orderType: orderType,
timeInForce: TimeInForce.FillOrKill,
volume: (double)Math.Abs(order.Volume),
dateTime: _dateService.Now(),
exchangeName: source,
instrument: externalAssetPair,
price: targetPrice,
orderId: order.Id,
modality: modality.ToType <TradeRequestModality>());
var cts = new CancellationTokenSource();
cts.CancelAfter(_marginTradingSettings.GavelTimeout);
var executionResult = await _exchangeConnectorService.CreateOrderAsync(externalOrderModel, cts.Token);
if (!executionResult.Success)
{
throw new Exception(
$"External order was not executed. Status: {executionResult.ExecutionStatus}. Failure: {executionResult.FailureType}");
}
var executedPrice = Math.Abs(executionResult.Price) > 0
? (decimal)executionResult.Price
: price.Value;
var matchedOrders = new MatchedOrderCollection
{
new MatchedOrder
{
MarketMakerId = source,
MatchedDate = _dateService.Now(),
OrderId = executionResult.ExchangeOrderId,
Price = CalculatePriceWithMarkups(assetPair, order.Direction, executedPrice),
Volume = (decimal)executionResult.Volume,
IsExternal = true
}
};
await _rabbitMqNotifyService.ExternalOrder(executionResult);
_operationsLogService.AddLog("external order executed", order.AccountId,
externalOrderModel.ToJson(), executionResult.ToJson());
return(matchedOrders);
}
catch (Exception e)
{
var connector =
_marginTradingSettings.ExchangeConnector == ExchangeConnectorType.FakeExchangeConnector
? "Fake"
: _exchangeConnectorService.BaseUri.OriginalString;
_log.WriteError(
$"{nameof(StpMatchingEngine)}:{nameof(MatchOrderAsync)}:{connector}",
$"Internal order: {order.ToJson()}, External order model: {externalOrderModel.ToJson()}", e);
}
}
return(new MatchedOrderCollection());
}
