private Task SecondaryMessageReceived_AssetQuote(AssetQuote assetQuote)
{
//Message received, update timestamp.
_secondaryStreamLastMessageTimeStamp = DateTime.UtcNow;
// Filter Asset from Primary Stream Configuration File
if (!_secondaryGameInstruments.Contains(assetQuote.AssetPair))
{
// Not in allowed assets list, discard entry
return(Task.FromResult(0));
}
else
{
return(ProcessAssetQuote(assetQuote));
}
}
private Task ProcessAssetQuote(AssetQuote assetQuote)
{
// If Price is zero publish exception to support slack channel
if (assetQuote.Price <= 0)
{
//LogWarning("ProcessAssetQuote", string.Format("Received AssetQuote with price zero [0], AssetQuote discarded. {0}", assetQuote));
return(Task.FromResult(0));
}
// Get Asset from cache
InstrumentPrice assetbid = (from a in _assetCache
where a.Instrument == assetQuote.AssetPair
select a).FirstOrDefault();
if (assetbid == null)
{
// AssetPair is not in cache
// Add AssetQuote to cache
assetbid = new InstrumentPrice()
{
Instrument = assetQuote.AssetPair,
Source = "AssetQuote",
Date = assetQuote.Timestamp,
Ask = assetQuote.IsBuy == Statics.ASK ? assetQuote.Price : 0,
Bid = assetQuote.IsBuy == Statics.ASK ? 0 : assetQuote.Price,
ReceiveDate = DateTime.UtcNow
};
_assetCache.Add(assetbid);
}
else
{
// AssetPair is in cache
// Update Bid Quote
if (assetQuote.IsBuy == Statics.ASK)
{
assetbid.Ask = assetQuote.Price;
}
else
{
assetbid.Bid = assetQuote.Price;
}
}
// Only publish if bid and ask prices have changed since last publish
bool publish = false;
if (!_lastPrices.ContainsKey(assetbid.Instrument))
{
// Asset not in history, add it and set publish = true
_lastPrices.Add(assetQuote.AssetPair, (InstrumentPrice)assetbid.ClonePrice());
publish = true;
}
else
{
if (_lastPrices[assetbid.Instrument].Ask > 0 &&
_lastPrices[assetbid.Instrument].Bid > 0 &&
(_lastPrices[assetbid.Instrument].Ask == assetbid.Ask || _lastPrices[assetbid.Instrument].Bid == assetbid.Bid))
{
// One price (Ask or Bid) has not changed. do not publish it
// Must only be published when both Ask Bid prices have changed
publish = false;
}
else
{
// Both prices have changed publish it and assign this new bid to history
publish = true;
_lastPrices[assetbid.Instrument] = (InstrumentPrice)assetbid.ClonePrice();
}
}
if (assetbid.Ask <= 0 || assetbid.Bid <= 0)
{
publish = false;
}
if (publish)
{
OnMessageReceived(assetbid);
}
return(Task.FromResult(0));
}
