public void SetOrderbook(ExternalOrderBook orderbook)
{
var isEodOrderbook = orderbook.ExchangeName == ExternalOrderbookService.EodExternalExchange;
var instrumentTradingStatus = _assetPairDayOffService.IsAssetTradingDisabled(orderbook.AssetPairId);
if (!isEodOrderbook &&
!instrumentTradingStatus.TradingEnabled &&
instrumentTradingStatus.Reason == InstrumentTradingDisabledReason.InstrumentTradingDisabled)
{
return;
}
if (_orderbookValidation.ValidateInstrumentStatusForEodQuotes && isEodOrderbook ||
_orderbookValidation.ValidateInstrumentStatusForTradingQuotes && !isEodOrderbook)
{
// we should process normal orderbook only if instrument is currently tradable
if (_orderbookValidation.ValidateInstrumentStatusForTradingQuotes && instrumentTradingStatus && !isEodOrderbook)
{
return;
}
// and process EOD orderbook only if instrument is currently not tradable
if (_orderbookValidation.ValidateInstrumentStatusForEodQuotes && !instrumentTradingStatus && isEodOrderbook)
{
//log current schedule for the instrument
var schedule = _scheduleSettingsCache.GetMarketTradingScheduleByAssetPair(orderbook.AssetPairId);
_log.WriteWarning("EOD quotes processing", $"Current schedule for the instrument's market: {schedule.ToJson()}",
$"EOD quote for {orderbook.AssetPairId} is skipped, because instrument is within trading hours");
return;
}
}
if (!CheckZeroQuote(orderbook, isEodOrderbook))
{
return;
}
orderbook.ApplyExchangeIdFromSettings(_defaultExternalExchangeId);
var bba = orderbook.GetBestPrice();
_orderbooks.AddOrUpdate(orderbook.AssetPairId, a => orderbook, (s, book) => orderbook);
_bestPriceChangeEventChannel.SendEvent(this, new BestPriceChangeEventArgs(bba, isEodOrderbook));
}
public void SetOrderbook(ExternalOrderBook orderbook)
{
if (!CheckZeroQuote(orderbook))
{
return;
}
var isDayOff = _assetPairDayOffService.IsDayOff(orderbook.AssetPairId);
var isEodOrderbook = orderbook.ExchangeName == ExternalOrderbookService.EodExternalExchange;
// we should process normal orderbook only if instrument is currently tradable
if (isDayOff && !isEodOrderbook)
{
return;
}
// and process EOD orderbook only if instrument is currently not tradable
if (!isDayOff && isEodOrderbook)
{
//log current schedule for the instrument
var schedule = _scheduleSettingsCache.GetCompiledScheduleSettings(
orderbook.AssetPairId,
_dateService.Now(),
TimeSpan.Zero);
_log.WriteWarning("EOD quotes processing", $"Current schedule: {schedule.ToJson()}",
$"EOD quote for {orderbook.AssetPairId} is skipped, because instrument is within trading hours");
return;
}
orderbook.ApplyExchangeIdFromSettings(_defaultExternalExchangeId);
var bba = orderbook.GetBestPrice();
_orderbooks.AddOrUpdate(orderbook.AssetPairId, a => orderbook, (s, book) => orderbook);
_bestPriceChangeEventChannel.SendEvent(this, new BestPriceChangeEventArgs(bba));
}