private async Task ProcessTradeAsync(MtTradeMessage message)
{
// Just discarding trades with negative or zero prices and\or volumes.
if (message.Price <= 0 ||
message.Volume <= 0)
{
await _log.WriteWarningAsync(nameof(ProcessTradeAsync), message.ToJson(), "Got an MT trade with non-positive price or volume value.");
return;
}
var quotingVolume = (double)(message.Volume * message.Price);
var trade = new Trade(
message.AssetPairId,
message.Date,
(double)message.Volume,
quotingVolume,
(double)message.Price);
await _candlesManager.ProcessTradeAsync(trade);
}
private async Task ProcessLimitTradesAsync(LimitOrdersMessage message)
{
if (message.Orders == null || !message.Orders.Any())
{
return;
}
var limitOrderIds = message.Orders
.Select(o => o.Order.Id)
.ToHashSet();
foreach (var orderMessage in message.Orders)
{
if (orderMessage.Trades == null)
{
continue;
}
var assetPair = await _assetPairsManager.TryGetEnabledPairAsync(orderMessage.Order.AssetPairId);
foreach (var tradeMessage in orderMessage.Trades.OrderBy(t => t.Timestamp).ThenBy(t => t.Index))
{
// If both orders of the trade are limit, then both of them should be contained in the single message,
// this is by design.
var isOppositeOrderIsLimit = limitOrderIds.Contains(tradeMessage.OppositeOrderId);
// If opposite order is market order, then unconditionally takes the given limit order.
// But if both of orders are limit orders, we should take only one of them.
if (isOppositeOrderIsLimit)
{
var isBuyOrder = orderMessage.Order.Volume > 0;
// Takes trade only for the sell limit orders
if (isBuyOrder)
{
continue;
}
}
// Volumes in the asset pair base and quoting assets
double baseVolume;
double quotingVolume;
if (tradeMessage.Asset == assetPair.BaseAssetId)
{
baseVolume = tradeMessage.Volume;
quotingVolume = tradeMessage.OppositeVolume;
}
else
{
baseVolume = tradeMessage.OppositeVolume;
quotingVolume = tradeMessage.Volume;
}
// Just discarding trades with negative prices and\or volumes. It's better to do it here instead of
// at the first line of foreach 'case we have some additional trade selection logic in the begining.
// ReSharper disable once InvertIf
if (tradeMessage.Price > 0 && baseVolume > 0 && quotingVolume > 0)
{
var trade = new Trade(
orderMessage.Order.AssetPairId,
tradeMessage.Timestamp,
baseVolume,
quotingVolume,
tradeMessage.Price
);
await _candlesManager.ProcessTradeAsync(trade);
}
else
{
await _log.WriteWarningAsync(nameof(ProcessLimitTradesAsync), tradeMessage.ToJson(), "Got a Spot trade with non-positive price or volume value.");
}
}
}
}