public SymbolCodeEnum Convert(SymbolCodeEnum baseSymbolCode, ExchangeStatsKeyEnum statsKey)
{
string convertedSymbolCode = null;
switch (statsKey)
{
case ExchangeStatsKeyEnum.OpenLongs:
convertedSymbolCode = baseSymbolCode.ToString() + "LONGS";
break;
case ExchangeStatsKeyEnum.OpenShorts:
convertedSymbolCode = baseSymbolCode.ToString() + "SHORTS";
break;
default:
throw new ArgumentException($"Unsupported stats key: {statsKey}");
}
if (convertedSymbolCode == null)
{
throw new ArgumentException($"Unable to convert {baseSymbolCode} {statsKey}");
}
return((SymbolCodeEnum)Enum.Parse(typeof(SymbolCodeEnum), convertedSymbolCode));
}
private void AggregateTradeStats(ISymbol baseSymbol, ExchangeStatsKeyEnum statsKey, int processLimit) => Task.Run(async() =>
{
var fullSymbolCode = ExchangeTradeStatProvider.Convert(baseSymbol.Code, statsKey);
var logger = LoggerFactory.CreateLogger($"Historian.{Exchange.Name}.{fullSymbolCode}.Worker.TradeStatAggregate");
using (logger.BeginExchangeScope(Exchange.Name))
{
using (logger.BeginSymbolScope(fullSymbolCode))
{
using (logger.BeginExchangeStatsScope(statsKey))
{
var tradeStatId = (await HistorianRepository.GetLastTradeStatId(Exchange.Name, fullSymbolCode)).GetValueOrDefault(0);
while (true)
{
try
{
var s = DateTime.Now;
var tradeStats = await MarketRepository.GetNextTradeStats(Exchange.Name, baseSymbol.Code, statsKey, tradeStatId, processLimit);
if (tradeStats.Count > 0)
{
using (var transaction = await StorageTransactionFactory.Begin())
{
await MarketRepository.SaveTradeStatAggregates(transaction, Exchange.Name, fullSymbolCode, tradeStats);
tradeStatId = tradeStats.Max(t => t.TradeStatId);
await HistorianRepository.SetLastTradeStatId(transaction, Exchange.Name, fullSymbolCode, tradeStatId);
await transaction.Commit();
}
var e = DateTime.Now;
logger.LogInformation($"Aggregation up to trade stat id {tradeStatId} took {(e.Subtract(s).TotalMilliseconds)}ms.");
}
await Task.Delay(5);
}
catch (Exception ex)
{
logger.LogCritical(ex, "Aggregation failed.");
await Task.Delay(250);
}
}
}
}
}
});
private async Task ReceiveTradeStatsHttp(ISymbol symbol, ExchangeStatsKeyEnum statsKey)
{
Logger.LogInformation("Requesting stats");
var response = await HttpClient.GetStats(symbol, statsKey);
var tradeStats = response.Data;
if (response.StatusCode != WrappedResponseStatusCode.Ok)
{
var errorCode = !string.IsNullOrEmpty(response.ErrorCode) ? $"Error Code: {response.ErrorCode} Message: " : "";
Logger.LogWarning($"Unable to get stats: {errorCode}{response.ErrorMessage}");
return;
}
if (tradeStats.Count > 0)
{
try
{
var marketTradeStats = tradeStats.Select(s => new MarketTradeStat
{
Exchange = Exchange.Name,
SymbolCode = symbol.Code,
Epoch = s.Epoch,
StatKey = s.StatKey,
Value = s.Value
}).OrderBy(t => t.Epoch.TimestampMilliseconds).ToList();
using (var transaction = await StorageTransactionFactory.Begin())
{
await MarketRepository.SaveTradeStats(transaction, marketTradeStats);
await transaction.Commit();
}
}
catch (Exception ex)
{
Logger.LogError(ex, "Unable to save trade stats.");
}
}
}
public Task <WrappedResponse <ICollection <ExchangeStats> > > GetStats(ISymbol symbol, ExchangeStatsKeyEnum statsKey)
{
throw new NotImplementedException();
}
public async Task <ICollection <MarketTradeStat> > GetNextTradeStats(ExchangeEnum exchange, SymbolCodeEnum symbolCode, ExchangeStatsKeyEnum statKey, long tradeStatId, int limit = 1)
{
using (var context = ContextFactory.CreateDbContext(null))
{
var tradeStats = context.ExchangeTradeStat
.Where(t => t.ExchangeId == (int)exchange && t.SymbolId == (int)symbolCode && t.StatKeyId == (int)statKey && t.TradeStatId > tradeStatId)
.OrderBy(t => t.TradeStatId)
.Take(limit)
.Select(t => new
{
Exchange = exchange,
SymbolCode = symbolCode,
StatKey = statKey,
Timestamp = t.Timestamp,
TradeStatId = (long)t.TradeStatId,
Value = t.Value
});
var raw = await tradeStats.ToListAsync();
return(raw.Select(t => new MarketTradeStat
{
Exchange = t.Exchange,
SymbolCode = t.SymbolCode,
StatKey = t.StatKey,
Epoch = Epoch.FromMilliseconds(t.Timestamp),
TradeStatId = t.TradeStatId,
Value = t.Value
}).ToList());
}
}
public async Task <WrappedResponse <ICollection <ExchangeStats> > > GetStats(ISymbol symbol, ExchangeStatsKeyEnum statsKey)
{
var relativeUrl = $"v2/stats1/pos.size:1m:t{Exchange.GetCurrencyCode(symbol.BaseCurrencyCode)}{Exchange.GetCurrencyCode(symbol.QuoteCurrencyCode)}:{(statsKey == ExchangeStatsKeyEnum.OpenLongs ? "long" : "short")}/hist";
var additionalData = new NameValueCollection();
additionalData.Add("StatKey", statsKey.ToString());
additionalData.Add("SymbolCode", symbol.Code.ToString());
return(await InternalRequest <List <BitfinexMarketStats>, ICollection <ExchangeStats> >(false, relativeUrl, HttpMethod.Get, null, additionalData));
}
public static IDisposable BeginExchangeStatsScope(this ILogger logger, ExchangeStatsKeyEnum statsKey)
{
return(logger.BeginScope(new { StatsKey = statsKey }));
}
