public static OrderBook ToModel(this Domain.OrderBook orderBook, string exchangeName)
{
return(new OrderBook(exchangeName,
orderBook.Pair,
DateTime.UtcNow,
orderBook.Asks.Select(x => new OrderBookItem(x.Price, x.RemainingVolume)),
orderBook.Bids.Select(x => new OrderBookItem(x.Price, x.RemainingVolume))));
}
public Task PublishAsync(Domain.OrderBook orderBook)
{
IEnumerable <OrderBookItem> sellOrderBookItems = orderBook.LimitOrders
.Where(o => o.Type == Domain.LimitOrderType.Sell)
.OrderBy(o => o.Price)
.Select(o => new OrderBookItem(o.Price, o.Volume));
IEnumerable <OrderBookItem> buyOrderBookItems = orderBook.LimitOrders
.Where(o => o.Type == Domain.LimitOrderType.Buy)
.OrderByDescending(o => o.Price)
.Select(o => new OrderBookItem(o.Price, o.Volume));
return(_publisher.ProduceAsync(new OrderBook($"LiquidityEngine{_instanceName}", orderBook.AssetPairId,
orderBook.Time, sellOrderBookItems, buyOrderBookItems)));
}
public async Task PublishAsync(string exchangeName, Domain.OrderBook orderBook)
{
var message = new OrderBook(
exchangeName,
orderBook.Pair,
DateTime.UtcNow,
orderBook.Asks.Select(x => new OrderBookItem(x.Price, x.RemainingVolume)),
orderBook.Bids.Select(x => new OrderBookItem(x.Price, x.RemainingVolume)));
if (message.AskLevels.IsEmpty && message.BidLevels.IsEmpty)
{
return;
}
await _publisher.ProduceAsync(message);
}
private async Task ProcessMessageAsync(OrderBook orderBook)
{
// workaround for Lykke production
var internalAssetPair = orderBook.Asset.Replace("EOS", "EOScoin");
var now = DateTime.UtcNow;
//_log.Info("B2C2 Order Book handled.", new
//{
// AssetPairId = orderBook.Asset,
// OrderBookTimestamp = orderBook.Timestamp,
// Now = now,
// Latency = (now - orderBook.Timestamp).TotalMilliseconds
//});
PrometheusMetrics.B2C2OrderBookLatency.Inc((now - orderBook.Timestamp).TotalMilliseconds);
var sellLimitOrders = orderBook.Asks.Select(o => new Domain.LimitOrder
{
Price = o.Price,
Volume = o.Volume,
Type = Domain.LimitOrderType.Sell
});
var buyLimitOrders = orderBook.Bids.Select(o => new Domain.LimitOrder
{
Price = o.Price,
Volume = o.Volume,
Type = Domain.LimitOrderType.Buy
});
var newOrderBook = new Domain.OrderBook
{
AssetPairId = internalAssetPair,
Time = orderBook.Timestamp,
LimitOrders = sellLimitOrders.Concat(buyLimitOrders).ToArray()
};
await _b2C2OrderBookService.SetAsync(newOrderBook);
await _marketMakerService.UpdateOrderBooksAsync(newOrderBook.AssetPairId);
}
public async Task <OrderBook> GetOrderBook(string assetPair)
{
Domain.OrderBook order = await _fakeExchange.GetOrderBookAsync(assetPair);
return(order?.ToModel(await _fakeExchange.GetNameAsync()));
}
