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;
}
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(),
});
}
else
{
var order = new OrderModel(
tradeType: command.Volume > 0 ? TradeType.Buy : TradeType.Sell,
orderType: OrderType.Market.ToType <Lykke.Service.ExchangeConnector.Client.Models.OrderType>(),
timeInForce: TimeInForce.FillOrKill,
volume: (double)Math.Abs(command.Volume),
dateTime: _dateService.Now(),
exchangeName: executionInfo.Data.ExternalProviderId,
instrument: command.Instrument,
price: (double?)command.Price,
orderId: _identityGenerator.GenerateAlphanumericId());
try
{
var executionResult = await _exchangeConnectorService.CreateOrderAsync(order);
publisher.PublishEvent(new SpecialLiquidationOrderExecutedEvent
{
OperationId = command.OperationId,
CreationTime = _dateService.Now(),
MarketMakerId = executionInfo.Data.ExternalProviderId,
ExecutionTime = executionResult.Time,
OrderId = executionResult.ExchangeOrderId,
});
}
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);
}
}
//TODO: remove orderProcessed function and make all validations before match
public void MatchMarketOrderForOpen(Order order, Func <MatchedOrderCollection, bool> orderProcessed)
{
var prices = _externalOrderBooksList.GetPricesForOpen(order);
if (prices == null)
{
orderProcessed(new MatchedOrderCollection());
return;
}
prices = order.GetOrderType() == OrderDirection.Buy
? prices.OrderBy(tuple => tuple.price).ToList()
: prices.OrderByDescending(tuple => tuple.price).ToList();
var assetPair = _assetPairsCache.GetAssetPairByIdOrDefault(order.Instrument);
var externalAssetPair = assetPair?.BasePairId ?? order.Instrument;
foreach (var sourcePrice in prices)
{
var externalOrderModel = new OrderModel();
try
{
externalOrderModel = new OrderModel(
order.GetOrderType().ToType <TradeType>(),
OrderType.Market,
TimeInForce.FillOrKill,
(double)Math.Abs(order.Volume),
_dateService.Now(),
sourcePrice.source,
externalAssetPair);
var executionResult = _exchangeConnectorService.CreateOrderAsync(externalOrderModel).GetAwaiter()
.GetResult();
var executedPrice = Math.Abs(executionResult.Price) > 0
? (decimal)executionResult.Price
: sourcePrice.price.Value;
var matchedOrders = new MatchedOrderCollection
{
new MatchedOrder
{
ClientId = order.ClientId,
MarketMakerId = sourcePrice.source,
MatchedDate = _dateService.Now(),
OrderId = executionResult.ClientOrderId,
Price = CalculatePriceWithMarkups(assetPair, order.GetOrderType(), executedPrice),
Volume = (decimal)executionResult.Volume
}
};
order.OpenExternalProviderId = sourcePrice.source;
order.OpenExternalOrderId = executionResult.ClientOrderId;
_rabbitMqNotifyService.ExternalOrder(executionResult).GetAwaiter().GetResult();
if (orderProcessed(matchedOrders))
{
return;
}
else
{
var cancelOrderModel = new OrderModel(
order.GetCloseType().ToType <TradeType>(),
OrderType.Market,
TimeInForce.FillOrKill,
(double)Math.Abs(order.Volume),
_dateService.Now(),
sourcePrice.source,
externalAssetPair);
var cancelOrderResult = _exchangeConnectorService.CreateOrderAsync(cancelOrderModel).GetAwaiter().GetResult();
_rabbitMqNotifyService.ExternalOrder(cancelOrderResult).GetAwaiter().GetResult();
}
return;
}
catch (Exception e)
{
_log.WriteErrorAsync(nameof(StpMatchingEngine), nameof(MatchMarketOrderForOpen),
$"Internal order: {order.ToJson()}, External order model: {externalOrderModel.ToJson()}", e);
}
}
if (string.IsNullOrEmpty(order.OpenExternalProviderId) ||
string.IsNullOrEmpty(order.OpenExternalOrderId))
{
order.Status = OrderStatus.Rejected;
order.RejectReason = OrderRejectReason.NoLiquidity;
order.RejectReasonText = "Error executing external order";
}
}
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());
}