public async Task HandleRiskManagerCommand(MatchingEngineRouteRisksCommand command)
{
try
{
switch (command.RequiredNotNull(nameof(command)).ActionType)
{
case RiskManagerActionType.BlockTradingForNewOrders:
await HandleRiskManagerBlockTradingCommand(command);
break;
case RiskManagerActionType.ExternalExchangePassThrough:
await HandleRiskManagerHedgingCommand(command);
break;
default:
throw new NotSupportedException($"Command of type [{command.ActionType}] from risk manager is not supported");
}
await _riskSystemCommandsLogRepository.AddProcessedAsync(command.ActionType.ToString(),
command.ToJson());
}
catch (Exception e)
{
await _riskSystemCommandsLogRepository.AddErrorAsync(command.ActionType.ToString(), command.ToJson(),
e.Message);
throw;
}
}
private async Task HandleRiskManagerBlockTradingCommand(MatchingEngineRouteRisksCommand command)
{
switch (command.Action)
{
case RiskManagerAction.On:
var routes = FindRejectRoutes(command);
if (routes.Any())
{
await _riskSystemCommandsLogRepository.AddErrorAsync(command.ActionType.ToString(),
command.ToJson(),
$"Route already exists: {routes.ToJson()}");
await _log.WriteWarningAsync(nameof(MatchingEngineRoutesManager),
nameof(HandleRiskManagerBlockTradingCommand), routes.ToJson(),
$"Route already exists. Command from risk system is not processed: {command.ToJson()} ");
return;
}
var newRoute = new MatchingEngineRoute
{
Id = Guid.NewGuid().ToString().ToUpper(),
Rank = command.Rank,
Asset = command.Asset,
ClientId = command.ClientId,
Instrument = command.Instrument,
TradingConditionId = command.TradingConditionId,
Type = GetOrderDirection(command.Direction),
MatchingEngineId = MatchingEngineConstants.Reject,
RiskSystemLimitType = command.LimitType,
RiskSystemMetricType = command.Type
};
await AddOrReplaceRouteAsync(newRoute);
break;
case RiskManagerAction.Off:
var existingRoutes = FindRejectRoutes(command);
if (existingRoutes.Length != 1)
{
throw new Exception(
$"Cannot disable BlockTradingForNewOrders route for command: {command.ToJson()}. Existing routes found for command: {existingRoutes.ToJson()}");
}
await DeleteRouteAsync(existingRoutes[0].Id);
break;
default:
throw new NotSupportedException($"Action [{command.Action}] from risk managment system is not supported.");
}
}
private IMatchingEngineRoute[] FindRejectRoutes(MatchingEngineRouteRisksCommand command)
{
var allRoutes = _routesCacheService.GetRoutes();
return(allRoutes.Where(r => r.Rank == command.Rank &&
r.Asset == GetValueOrAny(command.Asset) &&
r.ClientId == GetValueOrAny(command.ClientId) &&
r.Instrument == GetValueOrAny(command.Instrument) &&
r.TradingConditionId ==
GetValueOrAny(command.TradingConditionId) &&
r.Type == GetOrderDirection(command.Direction) &&
r.MatchingEngineId == MatchingEngineConstants.Reject &&
r.RiskSystemLimitType == command.LimitType &&
r.RiskSystemMetricType == command.Type).ToArray());
}
private Task HandleRiskManagerHedgingCommand(MatchingEngineRouteRisksCommand command)
{
//TODO: change when 1 to 1 hedging will be implemented
return(HandleRiskManagerBlockTradingCommand(command));
}
