private async Task ProcessMessageAsync(LykkeOrderBook message)
{
try
{
var limitOrders = message.LimitOrders
.Select(o => new LimitOrder(o.Id, o.WalletId, o.Price, Math.Abs(o.Volume)))
.Where(x => x.Price > 0 && x.Volume > 0) // Filter out negative and zero prices and volumes
.ToList();
IReadOnlyList <LimitOrder> bids = null;
IReadOnlyList <LimitOrder> asks = null;
if (message.IsBuy)
{
bids = limitOrders;
}
else
{
asks = limitOrders;
}
var lykkeOrderBook = new OrderBook(LykkeExchangeName, new AssetPair(message.AssetPairId), bids, asks, message.Timestamp);
await Task.WhenAll(_lykkeOrderBookHandlers.Select(o => o.HandleAsync(lykkeOrderBook)));
}
catch (Exception exception)
{
_log.Error(exception, "An error occurred during processing lykke order book", message);
}
}
private async Task ProcessMessageAsync(LykkeOrderBook message)
{
try
{
var limitOrders = message.LimitOrders
.Select(o => new LimitOrder
{
Id = o.Id,
WalletId = o.ClientId,
Volume = Math.Abs(o.Volume),
Price = o.Price,
Type = message.IsBuy ? LimitOrderType.Buy : LimitOrderType.Sell
})
.ToArray();
if (message.IsBuy)
{
await _orderBookService.UpdateBuyLimitOrdersAsync(message.AssetPairId, message.Timestamp,
limitOrders);
}
else
{
await _orderBookService.UpdateSellLimitOrdersAsync(message.AssetPairId, message.Timestamp,
limitOrders);
}
}
catch (Exception exception)
{
_log.Error(exception, "An error occurred during processing lykke order book", message);
}
}
