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);
}));
}
