public override async Task <ExecutionReport> GetOrder(string id, Instrument instrument, TimeSpan timeout)
{
var filterObj = new { orderID = id };
var filterArg = JsonConvert.SerializeObject(filterObj);
var cts = new CancellationTokenSource(timeout);
var response = await _exchangeApi.OrdergetOrdersAsync(filter : filterArg, cancellationToken : cts.Token);
var res = EnsureCorrectResponse(id, response);
return(BitMexModelConverter.OrderToTrade(res[0]));
}
public override async Task <ExecutionReport> CancelOrderAndWaitExecution(TradingSignal signal, TranslatedSignalTableEntity translatedSignal, TimeSpan timeout)
{
var ct = new CancellationTokenSource(timeout);
var id = signal.OrderId;
var response = await _exchangeApi.OrdercancelAsync(cancellationToken : ct.Token, orderID : id);
if (response is Error error)
{
throw new ApiException(error.ErrorProperty.Message);
}
var res = EnsureCorrectResponse(id, response);
return(BitMexModelConverter.OrderToTrade(res[0]));
}
public override async Task <ExecutionReport> AddOrderAndWaitExecution(TradingSignal signal, TranslatedSignalTableEntity translatedSignal, TimeSpan timeout)
{
var symbol = "XBTUSD"; //HACK Hard code!
var volume = BitMexModelConverter.ConvertVolume(signal.Volume);
var orderType = BitMexModelConverter.ConvertOrderType(signal.OrderType);
var side = BitMexModelConverter.ConvertTradeType(signal.TradeType);
var price = (double?)signal.Price;
var ct = new CancellationTokenSource(timeout);
var response = await _exchangeApi.OrdernewAsync(symbol, orderQty : volume, price : price, clOrdID : signal.OrderId, ordType : orderType, side : side, cancellationToken : ct.Token);
if (response is Error error)
{
throw new ApiException(error.ErrorProperty.Message);
}
var order = (Order)response;
return(BitMexModelConverter.OrderToTrade(order));
}
private async Task HandleExecutionResponseAsync(TableResponse table)
{
if (_tradeHandler == null)
{
throw new InvalidOperationException("Acknowledgment handler or executed trader is not set.");
}
if (!ValidateOrder(table))
{
await _log.WriteWarningAsync(nameof(BitMexExecutionHarvester), nameof(HandleExecutionResponseAsync),
$"Ignoring invalid 'order' message: '{JsonConvert.SerializeObject(table)}'");
return;
}
switch (table.Action)
{
case Action.Insert:
var acks = table.Data.Select(row => _mapper.OrderToTrade(row));
foreach (var ack in acks)
{
if (ack.ExecutionStatus != OrderExecutionStatus.Fill)
{
continue;
}
await _tradeHandler.Handle(ack);
}
break;
case Action.Partial:
// Just ignore
break;
default:
await _log.WriteWarningAsync(nameof(HandleExecutionResponseAsync), "Execution response", $"Unexpected response {table.Action}");
break;
}
}
private async Task HandleResponseAsync(TableResponse table)
{
if (_tradeHandler == null)
{
throw new InvalidOperationException("Acknowledgement handler or executed trader is not set.");
}
if (!ValidateOrder(table))
{
await _log.WriteWarningAsync(nameof(BitMexOrderHarvester), nameof(HandleResponseAsync),
$"Ignoring invalid 'order' message: '{JsonConvert.SerializeObject(table)}'");
return;
}
switch (table.Action)
{
case Action.Insert:
case Action.Update:
foreach (var row in table.Data)
{
var trade = _mapper.OrderToTrade(row);
if (trade.ExecutionStatus == OrderExecutionStatus.Unknown)
{
await _log.WriteWarningAsync(nameof(BitMexOrderHarvester), nameof(HandleResponseAsync),
$"Can't convert trade status {row.OrdStatus} into ExecutionStatus. Converted item: {trade}. Don't call handlers.");
}
else
{
await _tradeHandler.Handle(trade);
}
}
break;
}
}
