public static double CalculateAveragePrice(
OrderBookNoSql orderBook,
ISpotInstrument instrument,
IAsset fromAsset,
IAsset toAsset,
IAsset volumeAsset,
double volume)
{
if (instrument.BaseAsset == fromAsset.Symbol && volumeAsset.Symbol == fromAsset.Symbol)
{
return((double)CalculateAveragePriceStraight(orderBook.BuyLevels.OrderByDescending(e => e.Price),
(decimal)volume, instrument.Accuracy));
}
if (instrument.BaseAsset == fromAsset.Symbol && volumeAsset.Symbol == toAsset.Symbol)
{
return((double)CalculateAveragePriceNotStraight(orderBook.BuyLevels.OrderByDescending(e => e.Price),
(decimal)volume, instrument.Accuracy));
}
if (instrument.BaseAsset == toAsset.Symbol && volumeAsset.Symbol == toAsset.Symbol)
{
return((double)CalculateAveragePriceStraight(orderBook.SellLevels.OrderBy(e => e.Price),
(decimal)volume, instrument.Accuracy));
}
if (instrument.BaseAsset == toAsset.Symbol && volumeAsset.Symbol == fromAsset.Symbol)
{
return((double)CalculateAveragePriceNotStraight(orderBook.SellLevels.OrderBy(e => e.Price),
(decimal)volume, instrument.Accuracy));
}
throw new Exception("CalculateAveragePrice cant calculate price and volume");
}
private ProcessQuoteResult ProcessOneInstrument(GetQuoteRequest requestQuote,
ISpotInstrument instrument, double markUp)
{
_logger.LogInformation("Receive ProcessOneInstrument requestQuote: {JsonTextRequestQuote}; instrument: {JsonTextInstrument}; markUp : {JsonTextMarkUp}",
JsonConvert.SerializeObject(requestQuote),
JsonConvert.SerializeObject(instrument),
JsonConvert.SerializeObject(markUp));
var fromAsset = _assetsClient.GetAssetById(new AssetIdentity()
{
BrokerId = requestQuote.BrokerId, Symbol = requestQuote.FromAsset
});
if (fromAsset == null)
{
return(new ProcessQuoteResult("Unknown asset"));
}
var toAsset = _assetsClient.GetAssetById(new AssetIdentity()
{
BrokerId = requestQuote.BrokerId,
Symbol = instrument.BaseAsset == fromAsset.Symbol
? instrument.QuoteAsset
: instrument.BaseAsset
});
if (toAsset == null)
{
return(new ProcessQuoteResult("Unknown opposite asset"));
}
double volume;
IAsset fixedAsset;
if (requestQuote.IsFromFixed)
{
volume = requestQuote.FromAssetVolume;
fixedAsset = fromAsset;
}
else
{
volume = requestQuote.ToAssetVolume;
fixedAsset = toAsset;
}
var fees = _spotInstrumentFeesClient.GetSpotInstrumentFees(requestQuote.BrokerId, instrument.Symbol);
var fee = fees?.TakerFeeSize ?? 0;
var orderBook = _orderBookService.GetOrderBook(requestQuote.BrokerId, instrument.Symbol);
if (orderBook == null)
{
return(new ProcessQuoteResult("No liquidity"));
}
var price = AveragePriceCalculator.CalculateAveragePrice(orderBook, instrument, fromAsset, toAsset,
fixedAsset, volume);
if (price <= 0)
{
return(new ProcessQuoteResult("No liquidity"));
}
price = (1 + markUp + fee) * price;
price = Math.Round(price, Mathematics.AccuracyToNormalizeDouble);
price = Math.Round(price, instrument.Accuracy, MidpointRounding.ToZero);
var toAssetVolume = 0.0;
var fromAssetVolume = 0.0;
var oppositeVolume = 0.0;
var oppositeAssetSymbol = string.Empty;
if (requestQuote.IsFromFixed)
{
fromAssetVolume = volume;
if (instrument.BaseAsset == fromAsset.Symbol)
{
toAssetVolume = oppositeVolume = volume * price;
oppositeAssetSymbol = toAsset.Symbol;
}
else
{
toAssetVolume = oppositeVolume = volume / price;
oppositeAssetSymbol = toAsset.Symbol;
}
}
else
{
toAssetVolume = volume;
if (instrument.BaseAsset == toAsset.Symbol)
{
fromAssetVolume = oppositeVolume = volume * price;
oppositeAssetSymbol = fromAsset.Symbol;
}
else
{
fromAssetVolume = oppositeVolume = volume / price;
oppositeAssetSymbol = fromAsset.Symbol;
}
}
fromAssetVolume = Math.Round(fromAssetVolume, Mathematics.AccuracyToNormalizeDouble);
fromAssetVolume = Math.Round(fromAssetVolume, fromAsset.Accuracy, MidpointRounding.ToPositiveInfinity);
toAssetVolume = Math.Round(toAssetVolume, Mathematics.AccuracyToNormalizeDouble);
toAssetVolume = Math.Round(toAssetVolume, toAsset.Accuracy, MidpointRounding.ToZero);
return(new ProcessQuoteResult(
fromAssetVolume,
toAssetVolume,
price,
oppositeVolume,
oppositeAssetSymbol,
new List <InstrumentInTrade>()
{
new InstrumentInTrade()
{
Symbol = instrument.Symbol,
Price = price
}
}));
}
