private static OrderCommand CreateCommand(AssetPairRate feedData, decimal volume)
{
return(new OrderCommand
{
Price = feedData.BestPrice,
Volume = volume,
CommandType = OrderCommandTypeEnum.SetOrder,
Direction = feedData.IsBuy ? OrderDirectionEnum.Buy : OrderDirectionEnum.Sell,
});
}
public async Task <IActionResult> GetAssetPairRates(string assetPairId)
{
if (string.IsNullOrWhiteSpace(assetPairId))
{
return(BadRequest(ErrorResponse.Create($"{nameof(assetPairId)} has invalid value")));
}
try
{
AssetPairRate rate = await _ratesService.Get(assetPairId);
return(Ok(Mapper.Map <AssetPairResponseModel>(rate)));
}
catch (Exception ex)
{
_log.Error(ex, null, $"request: {new {assetPairId}.ToJson()}");
if (ex is ApiRequestException apiException)
{
return(apiException.GenerateErrorResponse());
}
throw;
}
}
private IReadOnlyList <OrderCommand> FixNegativeSpreadAndCreateOrderCommands(decimal ordersVolume, string assetPairId, bool isBuy, decimal newBestPrice)
{
AssetPairRate feedData = new AssetPairRate
{
BestPrice = newBestPrice,
AssetPairId = assetPairId,
IsBuy = isBuy,
};
AssetPairRate pendingFeedData;
decimal bid;
decimal ask;
_quotes.TryGetValue(assetPairId, out var bestBidAsk);
if (isBuy)
{
bid = newBestPrice;
ask = bestBidAsk?.Ask ?? decimal.MaxValue;
_pendingSellRates.TryGetValue(assetPairId, out pendingFeedData);
if (bid >= ask)
{
if (pendingFeedData != null)
{
if (bid >= pendingFeedData.BestPrice)
{
_pendingBuyRates[assetPairId] = feedData;
return(null);
}
}
else
{
_pendingBuyRates[assetPairId] = feedData;
return(null);
}
}
if (pendingFeedData != null)
{
_pendingSellRates.Remove(assetPairId);
}
}
else
{
bid = bestBidAsk?.Bid ?? decimal.MinValue;
ask = newBestPrice;
_pendingBuyRates.TryGetValue(assetPairId, out pendingFeedData);
if (bid >= ask)
{
if (pendingFeedData != null)
{
if (bid >= pendingFeedData.BestPrice)
{
_pendingSellRates[assetPairId] = feedData;
return(null);
}
}
else
{
_pendingSellRates[assetPairId] = feedData;
return(null);
}
}
if (pendingFeedData != null)
{
_pendingBuyRates.Remove(assetPairId);
}
}
_quotes[assetPairId] = new AssetPairBidAsk
{
Ask = ask,
Bid = bid,
};
var orders = new[] { feedData, pendingFeedData }.Where(d => d != null)
.Select(rate => CreateCommand(rate, ordersVolume)).ToList();
AppendDeleteCommands(orders);
return(orders);
}
