private (ImmutableHashSet <string>, ImmutableDictionary <string, ExternalOrderbook>) FindBroken(
string assetPairId, ImmutableDictionary <string, ExternalOrderbook> enabledOrderbooks)
{
if (!_extPricesSettingsService.IsStepEnabled(OrderbookGeneratorStepDomainEnum.FindBroken, assetPairId))
{
return(ImmutableHashSet <string> .Empty, enabledOrderbooks);
}
// 1.7*bid > ask > bid > 0 (see LWDEV-4587)
var brokenExchanges = enabledOrderbooks.Values
.Where(o =>
{
var bestPrices = _bestPricesService.Calc(o);
return(bestPrices.BestBid <= 0 ||
bestPrices.BestAsk < bestPrices.BestBid ||
5m / 3m * bestPrices.BestBid <= bestPrices.BestAsk);
})
.Select(o => o.ExchangeName)
.ToImmutableHashSet();
var nonBrokenExchanges = enabledOrderbooks.RemoveRange(brokenExchanges);
return(brokenExchanges, nonBrokenExchanges);
}
public Orderbook Aggregate(Orderbook originalOrderbook)
{
if (!_extPricesSettingsService.IsStepEnabled(
OrderbookGeneratorStepDomainEnum.AggregateOrderbook,
originalOrderbook.AssetPairId))
{
return(originalOrderbook);
}
var settings = _extPricesSettingsService.GetAggregateOrderbookSettings(originalOrderbook.AssetPairId);
return(new Orderbook(originalOrderbook.AssetPairId,
Aggregate(settings, originalOrderbook.Bids),
Aggregate(settings, originalOrderbook.Asks)));
}
public Orderbook Transform(ExternalOrderbook primaryOrderbook,
IReadOnlyDictionary <string, BestPrices> bestPrices)
{
var isArbitrageFreeSpreadEnabled = _extPricesSettingsService.IsStepEnabled(
OrderbookGeneratorStepDomainEnum.GetArbitrageFreeSpread,
primaryOrderbook.AssetPairId);
var arbitrageFreeSpread = isArbitrageFreeSpreadEnabled
? GetArbitrageFreeSpread(bestPrices)
: GetArbitrageFreeSpread(
ImmutableDictionary.CreateRange(bestPrices.Where(p => p.Key == primaryOrderbook.ExchangeName)));
var primaryBestPrices = bestPrices[primaryOrderbook.ExchangeName];
var bidShift = arbitrageFreeSpread.WorstBid - primaryBestPrices.BestBid; // negative
var askShift = arbitrageFreeSpread.WorstAsk - primaryBestPrices.BestAsk; // positive
var volumeMultiplier =
_extPricesSettingsService.GetVolumeMultiplier(primaryOrderbook.AssetPairId,
primaryOrderbook.ExchangeName);
var priceMarkups = _extPricesSettingsService.GetPriceMarkups(primaryOrderbook.AssetPairId);
return(Transform(primaryOrderbook, bidShift + priceMarkups.Bid, askShift + priceMarkups.Ask, volumeMultiplier));
}
public ExchangeQuality GetPrimaryExchange(string assetPairId,
ImmutableDictionary <string, ExchangeErrorStateDomainEnum> errors,
DateTime now, string currentProcessingExchange)
{
if (!_extPricesSettingsService.IsStepEnabled(OrderbookGeneratorStepDomainEnum.ChoosePrimary, assetPairId))
{
var presetPrimaryExchange = _extPricesSettingsService.GetPresetPrimaryExchange(assetPairId);
_primaryExchanges[assetPairId] = presetPrimaryExchange;
return(new ExchangeQuality(presetPrimaryExchange, 0, ExchangeErrorStateDomainEnum.Valid, false, null));
}
var exchangeQualities = CalcExchangeQualities(assetPairId, errors, now, currentProcessingExchange);
var primaryQuality = CheckPrimaryStatusAndSwitchIfNeeded(assetPairId, exchangeQualities);
if (primaryQuality == null)
{
return(null);
}
_stopTradesService.SetPrimaryOrderbookState(assetPairId, primaryQuality.ExchangeName, now,
primaryQuality.HedgingPreference, primaryQuality.ErrorState);
return(primaryQuality);
}