public Task UpdateAsync(string assetPair)
{
string exchangeName = _settingsService.GetExchangeName();
AssetPairModel assetPairSettings = _marketInstrumentService.GetAssetPair(assetPair, exchangeName);
if (assetPairSettings == null)
{
throw new FailedOperationException("Asset pair not found");
}
IReadOnlyList <ExternalOrderBook> externalOrderBooks = _externalOrderBookService.GetByAssetPair(assetPair);
var sellLevels = new Dictionary <decimal, decimal>();
decimal ask = decimal.MaxValue;
foreach (ExternalOrderBook externalOrderBook in externalOrderBooks)
{
foreach (ExternalOrderBookLevel priceLevel in externalOrderBook.SellLevels)
{
decimal price = priceLevel.Price.TruncateDecimalPlaces(assetPairSettings.PriceAccuracy, true);
if (!sellLevels.ContainsKey(price))
{
sellLevels[price] = 0;
}
sellLevels[price] += priceLevel.Volume;
if (ask > price)
{
ask = price;
}
}
}
var buyLevels = new Dictionary <decimal, decimal>();
decimal bid = decimal.MinValue;
foreach (ExternalOrderBook externalOrderBook in externalOrderBooks)
{
foreach (ExternalOrderBookLevel priceLevel in externalOrderBook.BuyLevels)
{
decimal price = priceLevel.Price.TruncateDecimalPlaces(assetPairSettings.PriceAccuracy);
if (!buyLevels.ContainsKey(price))
{
buyLevels[price] = 0;
}
buyLevels[price] += priceLevel.Volume;
if (bid < price)
{
bid = price;
}
}
}
if (ask <= bid)
{
decimal mid = Math.Round((ask + bid) / 2, assetPairSettings.PriceAccuracy);
var basisPoint = (decimal)Math.Pow(.1, assetPairSettings.PriceAccuracy);
ask = mid + basisPoint;
bid = mid - basisPoint;
}
var sellOrderBookLevels = new List <OrderBookLevel>();
var bestSellLevel = new OrderBookLevel {
Price = ask
};
foreach (var(price, volume) in sellLevels)
{
if (price <= ask)
{
bestSellLevel.Volume += volume;
}
else
{
sellOrderBookLevels.Add(new OrderBookLevel {
Price = price, Volume = volume
});
}
}
if (bestSellLevel.Volume > 0)
{
sellOrderBookLevels.Add(bestSellLevel);
}
var buyOrderBookLevels = new List <OrderBookLevel>();
var bestBuyLevel = new OrderBookLevel {
Price = bid
};
foreach (var(price, volume) in buyLevels)
{
if (price >= bid)
{
bestBuyLevel.Volume += volume;
}
else
{
buyOrderBookLevels.Add(new OrderBookLevel {
Price = price, Volume = volume
});
}
}
if (bestBuyLevel.Volume > 0)
{
buyOrderBookLevels.Add(bestBuyLevel);
}
var internalOrderBook = new InternalOrderBook
{
AssetPair = assetPairSettings.Name,
Timestamp = DateTime.UtcNow,
SellLevels = sellOrderBookLevels
.OrderBy(o => o.Price)
.ToList(),
BuyLevels = buyOrderBookLevels
.OrderByDescending(o => o.Price)
.ToList()
};
_orderBooks.AddOrUpdate(assetPair, internalOrderBook, (key, value) => internalOrderBook);
return(Task.CompletedTask);
}
public Task UpdateAsync(string assetPair)
{
string exchangeName = _settingsService.GetExchangeName();
AssetPairModel assetPairSettings = _marketInstrumentService.GetAssetPair(assetPair, exchangeName);
if (assetPairSettings == null)
{
throw new FailedOperationException("Asset pair not found");
}
IReadOnlyList <ExternalOrderBook> externalOrderBooks = _externalOrderBookService.GetByAssetPair(assetPair);
var sellLevels = new Dictionary <decimal, Dictionary <string, ExternalOrderBookLevel> >();
foreach (ExternalOrderBook externalOrderBook in externalOrderBooks)
{
foreach (ExternalOrderBookLevel priceLevel in externalOrderBook.SellLevels)
{
decimal price = priceLevel.Price.TruncateDecimalPlaces(assetPairSettings.PriceAccuracy, true);
if (!sellLevels.ContainsKey(price))
{
sellLevels[price] = new Dictionary <string, ExternalOrderBookLevel>();
}
sellLevels[price][externalOrderBook.Exchange] = priceLevel;
}
}
var buyLevels = new Dictionary <decimal, Dictionary <string, ExternalOrderBookLevel> >();
foreach (ExternalOrderBook externalOrderBook in externalOrderBooks)
{
foreach (ExternalOrderBookLevel priceLevel in externalOrderBook.BuyLevels)
{
decimal price = priceLevel.Price.TruncateDecimalPlaces(assetPairSettings.PriceAccuracy);
if (!buyLevels.ContainsKey(price))
{
buyLevels[price] = new Dictionary <string, ExternalOrderBookLevel>();
}
buyLevels[price][externalOrderBook.Exchange] = priceLevel;
}
}
var aggregatedOrderBook = new AggregatedOrderBook
{
AssetPair = assetPair,
Timestamp = DateTime.UtcNow,
SellLevels = sellLevels
.Select(priceLevel => new AggregatedOrderBookLevel
{
Price = priceLevel.Key,
Volume = priceLevel.Value.Sum(exchangeVolume => exchangeVolume.Value.Volume),
ExchangeVolumes = priceLevel.Value
.Select(o => new AggregatedOrderBookVolume(o.Key, o.Value.OriginalPrice, o.Value.Volume))
.ToList()
})
.OrderBy(o => o.Price)
.ToList(),
BuyLevels = buyLevels
.Select(priceLevel => new AggregatedOrderBookLevel
{
Price = priceLevel.Key,
Volume = priceLevel.Value.Sum(exchangeVolume => exchangeVolume.Value.Volume),
ExchangeVolumes = priceLevel.Value
.Select(o => new AggregatedOrderBookVolume(o.Key, o.Value.OriginalPrice, o.Value.Volume))
.ToList()
})
.OrderByDescending(o => o.Price)
.ToList()
};
_orderBooks.AddOrUpdate(assetPair, aggregatedOrderBook, (key, value) => aggregatedOrderBook);
return(Task.CompletedTask);
}