public void Calculate_Limit_Orders()
{
// arrange
var quote = new Quote("BTCUSD", DateTime.UtcNow, 6000, 5000, "lykke");
var instrument = new Instrument
{
AssetPairId = "BTCUSD",
QuoteSource = "lykke",
Mode = InstrumentMode.Active,
Levels = 3,
Markup = .1m,
MinSpread = .01m,
MaxSpread = .06m
};
decimal volume = 10;
var expectedLimitOrders = new[]
{
new LimitOrder(6630.250m, 3.33333333m, LimitOrderType.Sell),
new LimitOrder(6705.875m, 3.33333333m, LimitOrderType.Sell),
new LimitOrder(6781.500m, 3.33333333m, LimitOrderType.Sell)
};
// act
IReadOnlyCollection <LimitOrder> actualLimitOrders =
EvenlyDistributedVolumeTrader.Calculate(quote, instrument, volume, 3, 8);
// assert
Assert.IsTrue(AreEqual(expectedLimitOrders, actualLimitOrders));
}
private async Task ProcessInstrumentAsync(Instrument instrument)
{
Quote quote = _quoteService.Get(instrument.QuoteSource, instrument.AssetPairId);
if (quote == null)
{
_log.WarningWithDetails("No quote for instrument", new { instrument.AssetPairId });
return;
}
AssetPair assetPair = _assetPairsReadModelRepository.TryGetIfEnabled(instrument.AssetPairId);
if (assetPair == null)
{
_log.WarningWithDetails("Asset pair not found", new { instrument.AssetPairId });
return;
}
Balance balance = await _balanceService.GetByAssetIdAsync(assetPair.BaseAssetId);
IReadOnlyCollection <LimitOrder> limitOrders = EvenlyDistributedVolumeTrader.Calculate(quote, instrument,
balance.Amount, assetPair.Accuracy, assetPair.InvertedAccuracy);
await ValidateQuoteAsync(limitOrders, quote);
ValidateMinVolume(limitOrders, assetPair.MinVolume);
await _orderBookService.UpdateAsync(new OrderBook
{
AssetPairId = instrument.AssetPairId,
Time = DateTime.UtcNow,
LimitOrders = limitOrders
});
if (instrument.Mode != InstrumentMode.Active)
{
SetError(limitOrders, LimitOrderError.Idle);
}
limitOrders = limitOrders
.Where(o => o.Error == LimitOrderError.None)
.ToArray();
try
{
await _lykkeExchangeService.ApplyAsync(instrument.AssetPairId, limitOrders);
}
catch (Exception exception)
{
_log.WarningWithDetails("An error occurred while processing limit orders", exception, limitOrders);
SetError(limitOrders, LimitOrderError.Unknown, "ME error");
}
}
