/// <summary>
/// Calculate ticker info from recent trade and update it
/// </summary>
/// <param name="trade"></param>
public void CalculateTickerInfo(Trade trade)
{
var tickerReadModel = _tickerInfoRepository.GetTickerInfoByCurrencyPair(trade.CurrencyPair);
if (tickerReadModel == null)
{
TickerInfoReadModel model = new TickerInfoReadModel(trade.CurrencyPair, trade.ExecutionPrice.Value, trade.ExecutedVolume.Value);
//model.CurrencyPair = trade.CurrencyPair;
_persistanceRepository.SaveOrUpdate(model);
}
else
{
object[] todays = CalculateTodaysData(trade);
log.Debug("Recevied today:" + todays);
object[] last24Hours = Calculate24HoursData(trade);
log.Debug("Received 24Hours:" + last24Hours);
decimal openingPrice = 0;
decimal lastTradePrice = 0;
decimal lastTradeVolume = 0;
IList <TradeReadModel> trades = _tradeRepository.GetTradesBetweenDates(trade.ExecutionTime, DateTime.Today, trade.CurrencyPair);
if (trades != null)
{
if (trades.Count > 0)
{
log.Debug("Total Trades=" + trades.Count);
openingPrice = trades[trades.Count - 1].Price;
lastTradePrice = trades[0].Price;
lastTradeVolume = trades[0].Volume;
}
}
tickerReadModel.UpdateTickerInfo(todays, last24Hours, openingPrice, lastTradePrice, lastTradeVolume);
_persistanceRepository.SaveOrUpdate(tickerReadModel);
}
}
/// <summary>
/// Method that wil append get ticker info and append bbo to it
/// </summary>
/// <param name="currenyPair"></param>
/// <returns></returns>
public TickerInfoReadModel GetTickerInfo(string currenyPair)
{
TickerInfoReadModel model = _tickerInfoRepository.GetTickerInfoByCurrencyPair(currenyPair);
BBORepresentation bboRepresentation = _bboMemoryImage.BBORepresentationList.Contains(currenyPair);
if (bboRepresentation != null)
{
model.UpdateBboInTickerInfo(bboRepresentation);
}
return(model);
}
public void VerifyTickerInfoCalculations_WhenANewTradeIsArrived_NewUpdatedTickerInfoShouldGetSaved()
{
Order buyOrder = OrderFactory.CreateOrder("123", "XBTUSD", "limit", "buy", 10, 100,
new StubbedOrderIdGenerator());
Order sellOrder = OrderFactory.CreateOrder("1234", "XBTUSD", "limit", "sell", 10, 100,
new StubbedOrderIdGenerator());
DateTime dateTime = DateTime.Now.AddSeconds(-1 * DateTime.Now.Second);
Trade trade5 = new Trade(new TradeId("1"), "XBTUSD", new Price(2), new Volume(10), dateTime.AddDays(-1),
buyOrder, sellOrder);
Trade trade6 = new Trade(new TradeId("2"), "XBTUSD", new Price(3), new Volume(5), dateTime.AddDays(-1).AddMinutes(1),
buyOrder, sellOrder);
Trade trade1 = new Trade(new TradeId("3"), "XBTUSD", new Price(10), new Volume(10), dateTime.AddSeconds(10),
buyOrder, sellOrder);
Trade trade2 = new Trade(new TradeId("4"), "XBTUSD", new Price(15), new Volume(15), dateTime.AddSeconds(15),
buyOrder, sellOrder);
Trade trade3 = new Trade(new TradeId("5"), "XBTUSD", new Price(20), new Volume(5), dateTime.AddSeconds(20),
buyOrder, sellOrder);
Trade trade4 = new Trade(new TradeId("6"), "XBTUSD", new Price(5), new Volume(10), dateTime.AddSeconds(40),
buyOrder, sellOrder);
OutputDisruptor.Publish(trade5);
_manualResetEvent.WaitOne(4000);
OutputDisruptor.Publish(trade6);
_manualResetEvent.WaitOne(4000);
OutputDisruptor.Publish(trade1);
_manualResetEvent.WaitOne(4000);
OutputDisruptor.Publish(trade2);
_manualResetEvent.WaitOne(4000);
OutputDisruptor.Publish(trade3);
_manualResetEvent.WaitOne(4000);
OutputDisruptor.Publish(trade4);
_manualResetEvent.WaitOne(10000);
TickerInfoReadModel model = _tickerInfoRepository.GetTickerInfoByCurrencyPair("XBTUSD");
Assert.NotNull(model);
Assert.AreEqual(model.CurrencyPair, "XBTUSD");
Assert.AreEqual(model.TradePrice, 5);
Assert.AreEqual(model.TradeVolume, 10);
Assert.AreEqual(model.OpeningPrice, 10);
Assert.AreEqual(model.TodaysHigh, 20);
Assert.AreEqual(model.Last24HoursHigh, 20);
Assert.AreEqual(model.TodaysLow, 5);
Assert.AreEqual(model.Last24HoursLow, 3);
Assert.AreEqual(model.TodaysVolume, 40);
Assert.AreEqual(model.Last24HourVolume, 45);
Assert.AreEqual(model.TodaysTrades, 4);
Assert.AreEqual(model.Last24HourTrades, 5);
Assert.AreEqual(model.TodaysVolumeWeight, 11.875m);
Assert.AreEqual(model.Last24HourVolumeWeight, 10.88889m);
}
public void SendSomeOrders_IfOrdersAreMatching_OhlcAndTickerInfoWillBeFormed()
{
// Get the context
// IApplicationContext applicationContext = ContextRegistry.GetContext();
// Get the instance through Spring configuration
OrderController orderController = (OrderController)_applicationContext["OrderController"];
orderController.Request = new HttpRequestMessage(HttpMethod.Post, "");
orderController.Request.Headers.Add("Auth", "123456789");
ManualResetEvent manualResetEvent = new ManualResetEvent(false);
IHttpActionResult orderHttpResult = orderController.CreateOrder(new CreateOrderParam()
{
Pair = "XBTUSD",
Price = 491,
Volume = 100,
Side = "buy",
Type = "limit"
});
OkNegotiatedContentResult <NewOrderRepresentation> orderRepresentationContent = (OkNegotiatedContentResult <NewOrderRepresentation>)orderHttpResult;
Assert.IsNotNull(orderRepresentationContent.Content);
manualResetEvent.Reset();
manualResetEvent.WaitOne(3000);
orderController.CreateOrder(new CreateOrderParam()
{
Pair = "XBTUSD",
Price = 492,
Volume = 300,
Side = "buy",
Type = "limit"
});
manualResetEvent.Reset();
manualResetEvent.WaitOne(3000);
orderController.CreateOrder(new CreateOrderParam()
{
Pair = "XBTUSD",
Price = 492,
Volume = 1000,
Side = "sell",
Type = "limit"
});
manualResetEvent.Reset();
manualResetEvent.WaitOne(3000);
orderController.CreateOrder(new CreateOrderParam()
{
Pair = "XBTUSD",
Price = 492,
Volume = 900,
Side = "buy",
Type = "limit"
});
manualResetEvent.Reset();
manualResetEvent.WaitOne(3000);
orderController.CreateOrder(new CreateOrderParam()
{
Pair = "XBTUSD",
Price = 498,
Volume = 800,
Side = "sell",
Type = "limit"
});
manualResetEvent.Reset();
manualResetEvent.WaitOne(3000);
orderController.CreateOrder(new CreateOrderParam()
{
Pair = "XBTUSD",
Price = 497,
Volume = 700,
Side = "sell",
Type = "limit"
});
manualResetEvent.Reset();
manualResetEvent.WaitOne(20000);
MarketController marketController = (MarketController)_applicationContext["MarketController"];
IHttpActionResult tickerinfo = marketController.TickerInfo("XBTUSD");
OkNegotiatedContentResult <object> readmodel = (OkNegotiatedContentResult <object>)tickerinfo;
Assert.NotNull(readmodel);
TickerInfoReadModel model = readmodel.Content as TickerInfoReadModel;
Assert.NotNull(model);
Assert.AreEqual(model.CurrencyPair, "XBTUSD");
Assert.AreEqual(model.TradePrice, 492);
Assert.AreEqual(model.TradeVolume, 700);
Assert.AreEqual(model.OpeningPrice, 492);
Assert.AreEqual(model.TodaysHigh, 492);
Assert.AreEqual(model.Last24HoursHigh, 492);
Assert.AreEqual(model.TodaysLow, 492);
Assert.AreEqual(model.Last24HoursLow, 492);
Assert.AreEqual(model.TodaysVolume, 1000);
Assert.AreEqual(model.Last24HourVolume, 1000);
Assert.AreEqual(model.TodaysTrades, 2);
Assert.AreEqual(model.Last24HourTrades, 2);
Assert.AreEqual(model.TodaysVolumeWeight, 492);
Assert.AreEqual(model.Last24HourVolumeWeight, 492);
Assert.AreEqual(model.AskPrice, 497);
Assert.AreEqual(model.AskVolume, 700);
Assert.AreEqual(model.BidPrice, 492);
Assert.AreEqual(model.BidVolume, 200);
IHttpActionResult ohlcActionResult = marketController.OhlcInfo("XBTUSD");
OkNegotiatedContentResult <OhlcRepresentation> representation = (OkNegotiatedContentResult <OhlcRepresentation>)ohlcActionResult;
Assert.NotNull(representation);
OhlcRepresentation ohlc = representation.Content as OhlcRepresentation;
Assert.NotNull(ohlc);
object[] ohlcValues = ohlc.OhlcInfo[0] as object[];
Assert.AreEqual(ohlc.PairName, "XBTUSD");
Assert.AreEqual(ohlcValues[0], 492); //open
Assert.AreEqual(ohlcValues[1], 492); //high
Assert.AreEqual(ohlcValues[2], 492); //low
Assert.AreEqual(ohlcValues[3], 492); //close
}
