public void Bid_and_ask_quotes_generates_mid_quote()
{
// Arrange
var date1 = new DateTime(2017, 06, 23, 12, 56, 00);
var date2 = new DateTime(2017, 06, 23, 12, 56, 30);
// Act
_generator.TryGenerate("EURUSD", false, 1, date1, 3);
var mid = _generator.TryGenerate("EURUSD", true, 2, date2, 3);
// Assert
Assert.NotNull(mid);
Assert.Equal("EURUSD", mid.AssetPair);
Assert.False(mid.IsBuy);
Assert.Equal(1.5, mid.Price);
Assert.Equal(date2, mid.Timestamp);
}
public async Task ProcessMtQuoteAsync(MtQuoteDto mtQuote)
{
if (mtQuote == null)
{
throw new ArgumentNullException(nameof(mtQuote));
}
var assetPair = await _assetPairsManager.TryGetEnabledPairAsync(mtQuote.AssetPair?.Trim());
if (assetPair == null)
{
return;
}
var changedUpdates = new ConcurrentBag <CandleUpdateResult>();
var midPriceQuote = _midPriceQuoteGenerator.TryGenerate(
mtQuote.AssetPair,
mtQuote.Ask,
mtQuote.Bid,
mtQuote.Timestamp,
assetPair.Accuracy);
try
{
// Updates all intervals in parallel
var processingTasks = _intervals
.Select(timeInterval => Task.Factory.StartNew(() =>
{
ProcessQuoteInterval(
mtQuote.AssetPair,
mtQuote.Timestamp,
mtQuote.Ask,
false,
timeInterval,
midPriceQuote,
changedUpdates);
}))
.Concat(_intervals
.Select(timeInterval => Task.Factory.StartNew(() =>
{
ProcessQuoteInterval(
mtQuote.AssetPair,
mtQuote.Timestamp,
mtQuote.Bid,
true,
timeInterval,
null,
changedUpdates);
})));
await Task.WhenAll(processingTasks);
// Publishes updated candles
if (!changedUpdates.IsEmpty)
{
var publisher = await _candlesPublisherProvider.GetForAssetPair(assetPair.Id);
await publisher.PublishAsync(changedUpdates);
}
}
catch (Exception)
{
// Failed to publish one or several candles, so processing should be cancelled
foreach (var updateResult in changedUpdates)
{
_candlesGenerator.Undo(updateResult);
}
throw;
}
}