private async Task GetInitialTickPrices()
{
foreach (var instrument in Instruments)
{
try
{
var orderBook =
await apiClient.MakeGetRequestAsync <List <OrderBook> >(
$"{Config.EndpointUrl}/api/OrderBooks/{instrument.Name}", ctSource.Token);
var tickPrices = orderBook.GroupBy(x => x.AssetPair)
.Select(g => new TickPrice(
new Instrument(Name, g.Key),
g.FirstOrDefault()?.Timestamp ?? DateTime.UtcNow,
g.FirstOrDefault(ob => !ob.IsBuy)?.Prices.Select(x => x.Price).DefaultIfEmpty(0).Min() ?? 0,
g.FirstOrDefault(ob => ob.IsBuy)?.Prices.Select(x => x.Price).DefaultIfEmpty(0).Max() ?? 0)
)
.Where(x => x.Ask > 0 && x.Bid > 0);
foreach (var tickPrice in tickPrices)
{
_lastAsks[instrument.Name] = tickPrice.Ask;
_lastBids[instrument.Name] = tickPrice.Bid;
await _tickPriceHandler.Handle(tickPrice);
}
}
catch (Exception e)
{
await LykkeLog.WriteErrorAsync(nameof(LykkeExchange), nameof(GetInitialTickPrices), e);
}
}
}
private async Task LogAsync(Exception ex, [CallerMemberName] string context = null)
{
if (LykkeLog == null)
{
return;
}
await LykkeLog.WriteErrorAsync(_gdaxExchangeTypeName, _gdaxExchangeTypeName, context, ex);
}
private async Task <TResult> ExecuteApiMethod <TResult>(Func <CancellationToken, Task <TResult> > method, CancellationToken token)
{
try
{
var response = await method(token);
return(response);
}
catch (ApiException ex)
{
await LykkeLog.WriteErrorAsync(nameof(BitfinexExchange), method.Method.Name, ex);
throw;
}
catch (Exception ex)
{
await LykkeLog.WriteErrorAsync(nameof(BitfinexExchange), method.Method.Name, ex);
throw new ApiException(ex.Message, HttpStatusCode.InternalServerError);
}
}
protected override void StartImpl()
{
ctSource = new CancellationTokenSource();
CheckServerTime(ctSource.Token)
.ContinueWith(task =>
{
if (!task.IsFaulted && task.Result)
{
OnConnected();
}
});
if (config.PubQuotesToRabbit)
{
pricesJob = Task.Run(async() =>
{
var lasts = Instruments.ToDictionary(x => x.Name, x => 0L);
while (!ctSource.IsCancellationRequested)
{
try
{
foreach (var pair in config.SupportedCurrencySymbols)
{
SpreadDataResult result;
try
{
result = await publicData.GetSpread(ctSource.Token, pair.ExchangeSymbol, lasts[pair.LykkeSymbol]);
}
catch (Exception e)
{
await LykkeLog.WriteErrorAsync(
nameof(Kraken),
nameof(KrakenExchange),
nameof(pricesJob),
e);
continue;
}
lasts[pair.LykkeSymbol] = result.Last;
var prices = result.Data.Single().Value.Select(x =>
new TickPrice(Instruments.Single(i => i.Name == pair.LykkeSymbol),
x.Time, x.Ask, x.Bid)).ToArray();
if (prices.Any())
{
if (prices.Length == 1 && prices[0].Time == DateTimeUtils.FromUnix(lasts[pair.LykkeSymbol]))
{
// If there is only one price and it has timestamp of last one, ignore it.
}
else
{
foreach (var tickPrice in prices)
{
await _tickPriceHandler.Handle(tickPrice);
}
}
}
await Task.Delay(TimeSpan.FromSeconds(10), ctSource.Token);
}
await CheckExecutedOrders();
}
catch (Exception e)
{
await LykkeLog.WriteErrorAsync(
nameof(Kraken),
nameof(KrakenExchange),
nameof(pricesJob),
e);
}
}
OnStopped();
});
}
}