private static IObservable <OrderBook> DetectAndFilterAnomaliesAssumingSingleInstrument(
this IObservable <OrderBook> source,
ILog log)
{
string DetectAnomaly(MidPrice?previousMidPrice, MidPrice?midPrice)
{
if (previousMidPrice == null)
{
return(null);
}
if (midPrice == null)
{
return(null);
}
if (midPrice.Value.Mid / previousMidPrice.Value.Mid > 10M ||
previousMidPrice.Value.Mid / midPrice.Value.Mid > 10M)
{
return($"Found anomaly, orderbook skipped. " +
$"Current midPrice is " +
$"{previousMidPrice.Value}, the new one is {midPrice.Value}");
}
else
{
return(null);
}
}
return(Observable.Create <OrderBook>(async(obs, ct) =>
{
MidPrice?prevMid = null;
await source.ForEachAsync(orderBook =>
{
var newMidPrice = MidPrice.Get(orderBook);
var anomaly = DetectAnomaly(prevMid, newMidPrice);
if (anomaly != null)
{
log.Warning(anomaly);
}
else
{
prevMid = newMidPrice ?? prevMid;
obs.OnNext(orderBook);
}
}, ct);
}));
}
/// <summary>
/// Gets the hash code
/// </summary>
/// <returns>Hash code</returns>
public override int GetHashCode()
{
unchecked // Overflow is fine, just wrap
{
var hashCode = 41;
// Suitable nullity checks etc, of course :)
if (UnderlyingIndex != null)
{
hashCode = hashCode * 59 + UnderlyingIndex.GetHashCode();
}
if (Volume != null)
{
hashCode = hashCode * 59 + Volume.GetHashCode();
}
if (VolumeUsd != null)
{
hashCode = hashCode * 59 + VolumeUsd.GetHashCode();
}
if (UnderlyingPrice != null)
{
hashCode = hashCode * 59 + UnderlyingPrice.GetHashCode();
}
if (BidPrice != null)
{
hashCode = hashCode * 59 + BidPrice.GetHashCode();
}
if (OpenInterest != null)
{
hashCode = hashCode * 59 + OpenInterest.GetHashCode();
}
if (QuoteCurrency != null)
{
hashCode = hashCode * 59 + QuoteCurrency.GetHashCode();
}
if (High != null)
{
hashCode = hashCode * 59 + High.GetHashCode();
}
if (EstimatedDeliveryPrice != null)
{
hashCode = hashCode * 59 + EstimatedDeliveryPrice.GetHashCode();
}
if (Last != null)
{
hashCode = hashCode * 59 + Last.GetHashCode();
}
if (MidPrice != null)
{
hashCode = hashCode * 59 + MidPrice.GetHashCode();
}
if (InterestRate != null)
{
hashCode = hashCode * 59 + InterestRate.GetHashCode();
}
if (Funding8h != null)
{
hashCode = hashCode * 59 + Funding8h.GetHashCode();
}
if (MarkPrice != null)
{
hashCode = hashCode * 59 + MarkPrice.GetHashCode();
}
if (AskPrice != null)
{
hashCode = hashCode * 59 + AskPrice.GetHashCode();
}
if (InstrumentName != null)
{
hashCode = hashCode * 59 + InstrumentName.GetHashCode();
}
if (Low != null)
{
hashCode = hashCode * 59 + Low.GetHashCode();
}
if (BaseCurrency != null)
{
hashCode = hashCode * 59 + BaseCurrency.GetHashCode();
}
if (CreationTimestamp != null)
{
hashCode = hashCode * 59 + CreationTimestamp.GetHashCode();
}
if (CurrentFunding != null)
{
hashCode = hashCode * 59 + CurrentFunding.GetHashCode();
}
return(hashCode);
}
}
/// <summary>
/// Returns true if BookSummary instances are equal
/// </summary>
/// <param name="other">Instance of BookSummary to be compared</param>
/// <returns>Boolean</returns>
public bool Equals(BookSummary other)
{
if (other is null)
{
return(false);
}
if (ReferenceEquals(this, other))
{
return(true);
}
return
((
UnderlyingIndex == other.UnderlyingIndex ||
UnderlyingIndex != null &&
UnderlyingIndex.Equals(other.UnderlyingIndex)
) &&
(
Volume == other.Volume ||
Volume != null &&
Volume.Equals(other.Volume)
) &&
(
VolumeUsd == other.VolumeUsd ||
VolumeUsd != null &&
VolumeUsd.Equals(other.VolumeUsd)
) &&
(
UnderlyingPrice == other.UnderlyingPrice ||
UnderlyingPrice != null &&
UnderlyingPrice.Equals(other.UnderlyingPrice)
) &&
(
BidPrice == other.BidPrice ||
BidPrice != null &&
BidPrice.Equals(other.BidPrice)
) &&
(
OpenInterest == other.OpenInterest ||
OpenInterest != null &&
OpenInterest.Equals(other.OpenInterest)
) &&
(
QuoteCurrency == other.QuoteCurrency ||
QuoteCurrency != null &&
QuoteCurrency.Equals(other.QuoteCurrency)
) &&
(
High == other.High ||
High != null &&
High.Equals(other.High)
) &&
(
EstimatedDeliveryPrice == other.EstimatedDeliveryPrice ||
EstimatedDeliveryPrice != null &&
EstimatedDeliveryPrice.Equals(other.EstimatedDeliveryPrice)
) &&
(
Last == other.Last ||
Last != null &&
Last.Equals(other.Last)
) &&
(
MidPrice == other.MidPrice ||
MidPrice != null &&
MidPrice.Equals(other.MidPrice)
) &&
(
InterestRate == other.InterestRate ||
InterestRate != null &&
InterestRate.Equals(other.InterestRate)
) &&
(
Funding8h == other.Funding8h ||
Funding8h != null &&
Funding8h.Equals(other.Funding8h)
) &&
(
MarkPrice == other.MarkPrice ||
MarkPrice != null &&
MarkPrice.Equals(other.MarkPrice)
) &&
(
AskPrice == other.AskPrice ||
AskPrice != null &&
AskPrice.Equals(other.AskPrice)
) &&
(
InstrumentName == other.InstrumentName ||
InstrumentName != null &&
InstrumentName.Equals(other.InstrumentName)
) &&
(
Low == other.Low ||
Low != null &&
Low.Equals(other.Low)
) &&
(
BaseCurrency == other.BaseCurrency ||
BaseCurrency != null &&
BaseCurrency.Equals(other.BaseCurrency)
) &&
(
CreationTimestamp == other.CreationTimestamp ||
CreationTimestamp != null &&
CreationTimestamp.Equals(other.CreationTimestamp)
) &&
(
CurrentFunding == other.CurrentFunding ||
CurrentFunding != null &&
CurrentFunding.Equals(other.CurrentFunding)
));
}
