private static async Task ShowOrderBookLatenciesDistribution(string connectionString)
{
using var file = File.CreateText("Analysis(orderbook).txt");
var orderBooks = await MartenTypes.LoadOrderBook(connectionString, file);
var groups = orderBooks.GroupBy(x => x.ExchangeDateTime == null).ToDictionary(x => x.Key);
file.WriteLine($"{groups[true].Count()} orderbooks with ExchangeDateTime == null");
file.WriteLine("Distribution of latencies:");
var latencyGroupsByExchangeName = groups[false]
.Select(x => (x.ExchangeName, Latency: (int)(x.DateTime - x.ExchangeDateTime.Value).TotalMilliseconds))
.GroupBy(x => x.ExchangeName)
.ToDictionary(x => x.Key,
x => x.GroupBy(y => y.Latency)
.OrderBy(y => y.Key));
foreach (var latencyGroups in latencyGroupsByExchangeName)
{
file.WriteLine(latencyGroups.Key);
file.WriteLine();
foreach (var latencyGroup in latencyGroups.Value)
{
file.WriteLine($"{latencyGroup.Key:D6} ms, count {latencyGroup.Count()}");
}
file.WriteLine();
}
}
private static async Task ShowTradesLatenciesDistribution(string connectionString)
{
using var file = File.CreateText("Analysis(trades).txt");
var trades = await MartenTypes.LoadTrades(connectionString, file);
file.WriteLine("Distribution of trades latencies:");
var latencyGroupsByExchangeName = trades
.SelectMany(x => x.TradeItems, (x, y) => (x.ExchangeName, Latency: (int)(x.DateTime - y.TransactionTime).TotalMilliseconds))
.GroupBy(x => x.ExchangeName)
.ToDictionary(x => x.Key,
x => x.GroupBy(y => y.Latency)
.OrderBy(y => y.Key));
foreach (var latencyGroups in latencyGroupsByExchangeName)
{
file.WriteLine(latencyGroups.Key);
file.WriteLine();
foreach (var latencyGroup in latencyGroups.Value)
{
file.WriteLine($"{latencyGroup.Key:D6} ms, count {latencyGroup.Count()}");
}
file.WriteLine();
}
}
