public OrderBookPublishingService(OrderBookProcessingSettings settings, ILogFactory lf)
{
_settings = settings;
_lf = lf;
_client = new RestClient.RestClient(lf, settings.OrderBookDepth);
_log = lf.CreateLog(this);
}
public static OrderBooksSession FromRawOrderBooks(
IObservable <OrderBook> rawOrderBooks,
OrderBookProcessingSettings settings,
ILogFactory logFactory)
{
var log = logFactory.CreateLog(new OrderBookPipelines());
var statWindow = TimeSpan.FromMinutes(1);
var orderBooks = rawOrderBooks
.OnlyWithPositiveSpread()
.DetectAndFilterAnomalies(log, settings.AllowedAnomalisticAssets ?? new string[0])
.ReportErrors(nameof(FromRawOrderBooks), log)
.RetryWithBackoff(TimeSpan.FromSeconds(5), TimeSpan.FromMinutes(5))
.Share();
var tickPrices = orderBooks
.Select(TickPrice.FromOrderBook)
.DistinctEveryInstrument(x => x.Asset)
.ReportErrors(nameof(FromRawOrderBooks), log)
.RetryWithBackoff(TimeSpan.FromSeconds(5), TimeSpan.FromMinutes(5))
.Share();
var obPublisher =
orderBooks
.ThrottleEachInstrument(x => x.Asset, settings.MaxEventPerSecondByInstrument)
.Select(x => x.Truncate(settings.OrderBookDepth))
.PublishToRmq(
settings.OrderBooks.ConnectionString,
settings.OrderBooks.Exchanger,
logFactory,
settings.OrderBooks.Durable)
.ReportErrors(nameof(FromRawOrderBooks), log)
.RetryWithBackoff(TimeSpan.FromSeconds(5), TimeSpan.FromMinutes(5))
.Share();
var tpPublisher = tickPrices
.ThrottleEachInstrument(x => x.Asset, settings.MaxEventPerSecondByInstrument)
.PublishToRmq(
settings.TickPrices.ConnectionString,
settings.TickPrices.Exchanger,
logFactory,
settings.TickPrices.Durable)
.ReportErrors(nameof(FromRawOrderBooks), log)
.RetryWithBackoff(TimeSpan.FromSeconds(5), TimeSpan.FromMinutes(5))
.Share();
var publishTickPrices = settings.TickPrices.Enabled;
var publishOrderBooks = settings.OrderBooks.Enabled;
var publisher = Observable.Merge(
tpPublisher.NeverIfNotEnabled(publishTickPrices),
obPublisher.NeverIfNotEnabled(publishOrderBooks),
orderBooks.ReportStatistics(
statWindow,
log,
"OrderBooks received from source in the last {0} - {1}")
.NeverIfNotEnabled(publishTickPrices || publishOrderBooks),
tpPublisher
.ReportStatistics(statWindow, log, "TickPrices published in the last {0} - {1}")
.NeverIfNotEnabled(publishTickPrices),
obPublisher.ReportStatistics(statWindow, log, "OrderBooks published in the last {0} - {1}")
.NeverIfNotEnabled(publishOrderBooks)
);
return(new OrderBooksSession(
tickPrices,
orderBooks,
publisher));
}