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());
}
private async Task Handle(ExecuteSpecialLiquidationOrderCommand command, IEventPublisher publisher)
{
var executionInfo = await _operationExecutionInfoRepository.GetAsync <SpecialLiquidationOperationData>(
operationName : SpecialLiquidationSaga.OperationName,
id : command.OperationId);
if (executionInfo?.Data == null)
{
return;
}
await _log.WriteInfoAsync(nameof(SpecialLiquidationCommandsHandler),
nameof(ExecuteSpecialLiquidationOrderCommand),
command.ToJson(),
"Checking if position special liquidation should be failed");
if (!string.IsNullOrEmpty(executionInfo.Data.CausationOperationId))
{
await _log.WriteInfoAsync(nameof(SpecialLiquidationCommandsHandler),
nameof(ExecuteSpecialLiquidationOrderCommand),
command.ToJson(),
"Special liquidation is caused by regular liquidation, checking liquidation type.");
var liquidationInfo = await _operationExecutionInfoRepository.GetAsync <LiquidationOperationData>(
operationName : LiquidationSaga.OperationName,
id : executionInfo.Data.CausationOperationId);
if (liquidationInfo == null)
{
await _log.WriteInfoAsync(nameof(SpecialLiquidationCommandsHandler),
nameof(ExecuteSpecialLiquidationOrderCommand),
command.ToJson(),
"Regular liquidation does not exist, position close will not be failed.");
}
else
{
if (liquidationInfo.Data.LiquidationType == LiquidationType.Forced)
{
await _log.WriteInfoAsync(nameof(SpecialLiquidationCommandsHandler),
nameof(ExecuteSpecialLiquidationOrderCommand),
command.ToJson(),
"Regular liquidation type is Forced (Close All), position close will not be failed.");
}
else
{
var account = _accountsCacheService.Get(executionInfo.Data.AccountId);
var level = account.GetAccountLevel();
await _log.WriteInfoAsync(nameof(SpecialLiquidationCommandsHandler),
nameof(ExecuteSpecialLiquidationOrderCommand),
command.ToJson(),
$"Current account state: {account.ToJson()}, level: {level}");
if (level != ValidAccountLevel)
{
await _log.WriteWarningAsync(
nameof(SpecialLiquidationCommandsHandler),
nameof(ExecuteSpecialLiquidationOrderCommand),
new { accountId = account.Id, accountLevel = level.ToString() }.ToJson(),
$"Unable to execute special liquidation since account level is not {ValidAccountLevel.ToString()}.");
publisher.PublishEvent(new SpecialLiquidationCancelledEvent()
{
OperationId = command.OperationId,
CreationTime = _dateService.Now(),
Reason = $"Account level is not {ValidAccountLevel.ToString()}.",
});
return;
}
}
}
}
if (executionInfo.Data.SwitchState(SpecialLiquidationOperationState.PriceReceived,
SpecialLiquidationOperationState.ExternalOrderExecuted))
{
if (command.Volume == 0)
{
publisher.PublishEvent(new SpecialLiquidationOrderExecutedEvent
{
OperationId = command.OperationId,
CreationTime = _dateService.Now(),
MarketMakerId = "ZeroNetVolume",
ExecutionTime = _dateService.Now(),
OrderId = _identityGenerator.GenerateGuid(),
ExecutionPrice = command.Price
});
}
else
{
var operationInfo = new TradeOperationInfo
{
OperationId = executionInfo.Id,
RequestNumber = executionInfo.Data.RequestNumber
};
var order = new OrderModel(
tradeType: command.Volume > 0 ? TradeType.Buy : TradeType.Sell,
orderType: OrderType.Market.ToType <Contracts.ExchangeConnector.OrderType>(),
timeInForce: TimeInForce.FillOrKill,
volume: (double)Math.Abs(command.Volume),
dateTime: _dateService.Now(),
exchangeName: operationInfo.ToJson(), //hack, but ExchangeName is not used and we need this info
// TODO: create a separate field and remove hack (?)
instrument: command.Instrument,
price: (double?)command.Price,
orderId: _identityGenerator.GenerateAlphanumericId(),
modality: executionInfo.Data.RequestedFromCorporateActions ? TradeRequestModality.Liquidation_CorporateAction : TradeRequestModality.Liquidation_MarginCall);
try
{
var executionResult = await _exchangeConnectorClient.ExecuteOrder(order);
if (!executionResult.Success)
{
throw new Exception(
$"External order was not executed. Status: {executionResult.ExecutionStatus}. " +
$"Failure: {executionResult.FailureType}");
}
var executionPrice = (decimal)executionResult.Price == default
? command.Price
: (decimal)executionResult.Price;
if (executionPrice.EqualsZero())
{
throw new Exception("Execution price is equal to 0.");
}
publisher.PublishEvent(new SpecialLiquidationOrderExecutedEvent
{
OperationId = command.OperationId,
CreationTime = _dateService.Now(),
MarketMakerId = executionInfo.Data.ExternalProviderId,
ExecutionTime = executionResult.Time,
OrderId = executionResult.ExchangeOrderId,
ExecutionPrice = executionPrice
});
}
catch (Exception exception)
{
publisher.PublishEvent(new SpecialLiquidationOrderExecutionFailedEvent
{
OperationId = command.OperationId,
CreationTime = _dateService.Now(),
Reason = exception.Message
});
await _log.WriteWarningAsync(nameof(SpecialLiquidationCommandsHandler),
nameof(ExecuteSpecialLiquidationOrderCommand),
$"Failed to execute the order: {order.ToJson()}",
exception);
}
}
await _operationExecutionInfoRepository.Save(executionInfo);
}
}