public TickPrice ToTickPrice(OrderBook orderBook)
{
if (orderBook.Asks != null && orderBook.Asks.Any() && orderBook.Bids != null && orderBook.Bids.Any())
{
return(new TickPrice(new Instrument(IcmExchange.Name, orderBook.Asset),
orderBook.Timestamp,
orderBook.Asks.Select(x => x.Price).Min(),
orderBook.Bids.Select(x => x.Price).Max()
));
}
return(null);
}
private async Task HandleOrderBook(OrderBook orderBook)
{
if (_instruments.Contains(orderBook.Asset) || _config.UseSupportedCurrencySymbolsAsFilter == false)
{
var tickPrice = _modelConverter.ToTickPrice(orderBook);
if (tickPrice != null)
{
await _tickPriceHandler.Handle(tickPrice);
}
await TrySendOrderBook(orderBook);
}
}
private async Task TrySendOrderBook(OrderBook orderBook)
{
if ((orderBook.Asks == null || !orderBook.Asks.Any()) && (orderBook.Bids == null || !orderBook.Bids.Any()))
{
return;
}
var orderBookDto = new Trading.OrderBook(
IcmExchange.Name,
orderBook.Asset,
orderBook.Asks?.Select(e => new VolumePrice(e.Price, e.Volume)).ToArray() ?? new VolumePrice[] { },
orderBook.Bids?.Select(e => new VolumePrice(e.Price, e.Volume)).ToArray() ?? new VolumePrice[] { },
orderBook.Timestamp);
await _orderBookHandler.Handle(orderBookDto);
}
