private CryptoOrder ConvertOrder(Order order)
{
var id = order.Id.ToString();
var existingCurrent = ExistingOrders.ContainsKey(id) ? ExistingOrders[id] : null;
var existingPartial = _partiallyFilledOrders.ContainsKey(id) ? _partiallyFilledOrders[id] : null;
var existing = existingPartial ?? existingCurrent;
var price = Math.Abs(FirstNonZero(order.Price, existing?.Price) ?? 0);
var amount = Math.Abs(FirstNonZero(order.Amount, existing?.AmountOrig) ?? 0);
var amountOrig = Math.Abs(order.AmountOrig ?? 0);
var currentStatus = existing != null &&
existing.OrderStatus != CryptoOrderStatus.Undefined &&
existing.OrderStatus != CryptoOrderStatus.New &&
order.OrderStatus == OrderStatus.Undefined
? existing.OrderStatus
: ConvertOrderStatus(order);
var newOrder = new CryptoOrder
{
//ExchangeName = ExchangeName,
Pair = order.Symbol ?? existing?.Pair,
Price = price,
//Amount = amount,
AmountOrig = amountOrig,
Side = ConvertSide(Convert.ToDouble(order.Amount)),
Id = id,
ClientId = order.Cid.ToString(),
OrderStatus = ConvertOrderStatus(order.OrderStatus),
Type = ConvertOrderType(order.Type.ToString()),
Created = order.MtsCreate,
Updated = order.MtsUpdate
};
if (currentStatus == CryptoOrderStatus.PartiallyFilled)
{
// save partially filled orders
_partiallyFilledOrders[newOrder.Id] = newOrder;
}
return(newOrder);
}
private CryptoOrder ConvertOrder(OrderResponse order)
{
var id = order?.Id.ToString() ?? "00000";
var clientId = order?.ProfileId;
var existingCurrent = ExistingOrders.ContainsKey(id) ? ExistingOrders[id] : null;
var existingPartial = _partiallyFilledOrders.ContainsKey(id) ? _partiallyFilledOrders[id] : null;
var existing = existingPartial ?? existingCurrent;
var price = Math.Abs(FirstNonZero(order?.Price, existing?.Price) ?? 0);
var amount = Math.Abs(FirstNonZero(order?.Amount, existing?.AmountOrig) ?? 0);
var amountOrig = Math.Abs(order?.Size ?? 0);
var currentStatus = existing != null &&
existing.OrderStatus != CryptoOrderStatus.Undefined &&
existing.OrderStatus != CryptoOrderStatus.New &&
order?.OrderStatus == OrderStatus.Undefined
? existing.OrderStatus
: ConvertOrderStatus(order);
var newOrder = new CryptoOrder
{
Id = id,
Pair = CryptoPairsHelper.Clean(order?.Pair),
Price = price,
//Amount = amount,
AmountOrig = amountOrig,
Side = ConvertSide(order.Side),
OrderStatus = ConvertOrderStatus(order),
Type = (CryptoOrderType)order.OrderType,
Created = ConvertToDatetime(order.MtsCreate),
ClientId = clientId
//Created = Convert.ToDateTime(order.MtsCreate)
};
if (currentStatus == CryptoOrderStatus.PartiallyFilled)
{
// save partially filled orders
_partiallyFilledOrders[newOrder.Id] = newOrder;
}
return(newOrder);
}
private CryptoOrder ConvertOrder(OrderResponse order)
{
var id = order.Data.Id.ToString();
var clientId = order.Data.Id;
var existingCurrent = ExistingOrders.ContainsKey(id) ? ExistingOrders[id] : null;
var existingPartial = _partiallyFilledOrders.ContainsKey(id) ? _partiallyFilledOrders[id] : null;
var existing = existingPartial ?? existingCurrent;
var price = Math.Abs(FirstNonZero(order.Data.Price, existing?.Price) ?? 0);
var amount = Math.Abs(FirstNonZero(order.Data.Amount, existing?.AmountOrig) ?? 0);
var amountOrig = Math.Abs(order.Data.Amount);
var currentStatus = existing != null &&
existing.OrderStatus != CryptoOrderStatus.Undefined &&
existing.OrderStatus != CryptoOrderStatus.New
//&&
//order.OrderStatus == OrderStatus.Undefined
? existing.OrderStatus
: ConvertOrderStatus(order);
var newOrder = new CryptoOrder
{
Id = id,
Pair = CryptoPairsHelper.Clean(order.Symbol),
Price = price,
//Amount = amount,
AmountOrig = amountOrig,
Side = ConvertSide(order.Data.Amount),
OrderStatus = ConvertOrderStatus(order),
Type = (CryptoOrderType)order.Data.OrderType,
//TODO
//Created = ConvertToDatetime(DateTimeOffset.Parse(order.Data.MicroTimeStamp, out dt))
};
if (currentStatus == CryptoOrderStatus.PartiallyFilled)
{
// save partially filled orders
_partiallyFilledOrders[newOrder.Id] = newOrder;
}
return(newOrder);
}
/// <summary>
/// Convert Bitmex order to crypto order
/// </summary>
public CryptoOrder ConvertOrder(Order order)
{
var id = order.OrderId;
var existingCurrent = ExistingOrders.ContainsKey(id) ? ExistingOrders[id] : null;
var existingPartial = _partiallyFilledOrders.ContainsKey(id) ? _partiallyFilledOrders[id] : null;
var existing = existingPartial ?? existingCurrent;
var price = Math.Abs(FirstNonZero(order.Price, order.AvgPx, existing?.Price) ?? 0);
var priceAvg = Math.Abs(FirstNonZero(order.AvgPx, existing?.PriceAverage) ?? 0);
var isPartial = order.OrdStatus == OrderStatus.Undefined ?
existing?.OrderStatus == CryptoOrderStatus.PartiallyFilled :
order.OrdStatus == OrderStatus.PartiallyFilled;
var beforePartialFilledAmount =
existing?.OrderStatus == CryptoOrderStatus.PartiallyFilled ? Abs(existing.AmountFilledCumulative) : 0;
var beforePartialFilledAmountQuote =
existing?.OrderStatus == CryptoOrderStatus.PartiallyFilled ? Abs(existing.AmountFilledCumulativeQuote) : 0;
var orderQtyQuote = Abs(order.OrderQty ?? existing?.AmountOrigQuote);
var cumQtyQuote = Abs(order.CumQty ?? existing?.AmountFilledCumulativeQuote);
var leavesQtyQuote = Abs(order.LeavesQty);
var orderQtyBase = Abs(ConvertFromContracts(orderQtyQuote, price));
var cumQtyBase = Abs(ConvertFromContracts(cumQtyQuote, price));
var leavesQtyBase = Abs(ConvertFromContracts(order.LeavesQty, price));
var amountFilledCumulative = FirstNonZero(
cumQtyBase,
existing?.AmountFilledCumulative);
var amountFilledCumulativeQuote = FirstNonZero(
cumQtyQuote,
existing?.AmountFilledCumulativeQuote);
var amountFilled = FirstNonZero(
cumQtyBase - beforePartialFilledAmount, // Bitmex doesn't send partial difference when filled
existing?.AmountFilled);
var amountFilledQuote = FirstNonZero(
cumQtyQuote - beforePartialFilledAmountQuote, // Bitmex doesn't send partial difference when filled
existing?.AmountFilledQuote);
var amountOrig = isPartial
? (cumQtyBase ?? 0) + (leavesQtyBase ?? 0)
: FirstNonZero(
orderQtyBase,
existing?.AmountOrig);
var amountOrigQuote = isPartial
? (cumQtyQuote ?? 0) + (leavesQtyQuote ?? 0)
: FirstNonZero(
orderQtyQuote,
existing?.AmountOrigQuote);
if (order.Side == BitmexSide.Undefined && existing != null)
{
order.Side = existing.AmountGrouped < 0 ? BitmexSide.Sell : BitmexSide.Buy;
}
var currentStatus = existing != null &&
existing.OrderStatus != CryptoOrderStatus.Undefined &&
existing.OrderStatus != CryptoOrderStatus.New &&
order.OrdStatus == OrderStatus.Undefined ?
existing.OrderStatus :
ConvertOrderStatus(order);
var newOrder = new CryptoOrder
{
Id = id,
GroupId = existing?.GroupId ?? null,
ClientId = !string.IsNullOrWhiteSpace(order.ClOrdId) ?
order.ClOrdId :
existing?.ClientId,
Pair = order.Symbol ?? existing?.Pair,
Side = order.Side == BitmexSide.Sell ? CryptoOrderSide.Ask : CryptoOrderSide.Bid,
AmountFilled = amountFilled,
AmountFilledCumulative = amountFilledCumulative,
AmountOrig = amountOrig,
AmountFilledQuote = amountFilledQuote,
AmountFilledCumulativeQuote = amountFilledCumulativeQuote,
AmountOrigQuote = amountOrigQuote,
Created = order.TransactTime ?? existing?.Created,
Updated = order.Timestamp ?? existing?.Updated,
Price = price,
PriceAverage = priceAvg,
OrderStatus = currentStatus,
Type = existing?.Type ?? ConvertOrderType(order.OrdType),
TypePrev = existing?.TypePrev ?? ConvertOrderType(order.OrdType),
OnMargin = existing?.OnMargin ?? false
};
if (currentStatus == CryptoOrderStatus.PartiallyFilled)
{
// save partially filled orders
_partiallyFilledOrders[newOrder.Id] = newOrder;
}
return(newOrder);
}
