private static void AddOrdersToDelete(MarketMakerOrderCommandsBatchMessage batch, SetOrderModel model)
{
var directions = batch.Commands.Where(c => c.CommandType == MarketMakerOrderCommandType.DeleteOrder).Select(c => c.Direction).Distinct().ToList();
model.DeleteByInstrumentsBuy = directions.Where(d => d == OrderDirection.Buy || d == null).Select(d => batch.AssetPairId).ToList();
model.DeleteByInstrumentsSell = directions.Where(d => d == OrderDirection.Sell || d == null).Select(d => batch.AssetPairId).ToList();
}
public void ProcessOrderCommands(MarketMakerOrderCommandsBatchMessage batch)
{
batch.AssetPairId.RequiredNotNullOrWhiteSpace(nameof(batch.AssetPairId));
batch.Commands.RequiredNotNull(nameof(batch.Commands));
if (_maintenanceModeService.CheckIsEnabled())
{
return;
}
if (_assetPairDayOffService.IsAssetTradingDisabled(batch.AssetPairId))
{
return;
}
var model = new SetOrderModel {
MarketMakerId = batch.MarketMakerId
};
ConvertCommandsToOrders(batch, model);
if (model.OrdersToAdd?.Count > 0 || model.DeleteByInstrumentsBuy?.Count > 0 ||
model.DeleteByInstrumentsSell?.Count > 0)
{
_matchingEngine.SetOrders(model);
}
}
private void ConvertCommandsToOrders(MarketMakerOrderCommandsBatchMessage batch, SetOrderModel model)
{
var setCommands = batch.Commands.Where(c => c.CommandType == MarketMakerOrderCommandType.SetOrder && c.Direction != null).ToList();
model.OrdersToAdd = setCommands
.Select(c => new LimitOrder
{
Id = Guid.NewGuid().ToString("N"),
MarketMakerId = batch.MarketMakerId,
CreateDate = DateTime.UtcNow,
Instrument = batch.AssetPairId,
Price = c.Price.RequiredNotNull(nameof(c.Price)),
Volume = c.Direction.RequiredNotNull(nameof(c.Direction)) == OrderDirection.Buy
? c.Volume.Value
: -c.Volume.Value
}).ToList();
AddOrdersToDelete(batch, model);
}
private Task HandleNewOrdersMessage(MarketMakerOrderCommandsBatchMessage feedData)
{
_marketMakerService.ProcessOrderCommands(feedData);
return(Task.CompletedTask);
}
