public Task <InternalOrderBookModel> GetInternalAsync(string assetPair)
{
InternalOrderBook orderBook = _internalOrderBookService.GetByAssetPair(assetPair);
if (orderBook == null)
{
throw new ValidationApiException(HttpStatusCode.NotFound, "Order book does not exist");
}
return(Task.FromResult(Mapper.Map <InternalOrderBookModel>(orderBook)));
}
private static bool AreEqual(InternalOrderBook a, InternalOrderBook b)
{
if (a == null && b == null)
{
return(true);
}
if (a == null || b == null)
{
return(false);
}
if (a.AssetPair != b.AssetPair)
{
return(false);
}
return(AreEqual(a.SellLevels, b.SellLevels) && AreEqual(a.BuyLevels, b.BuyLevels));
}
public Task UpdateAsync(string assetPair)
{
string exchangeName = _settingsService.GetExchangeName();
AssetPairModel assetPairSettings = _marketInstrumentService.GetAssetPair(assetPair, exchangeName);
if (assetPairSettings == null)
{
throw new FailedOperationException("Asset pair not found");
}
IReadOnlyList <ExternalOrderBook> externalOrderBooks = _externalOrderBookService.GetByAssetPair(assetPair);
var sellLevels = new Dictionary <decimal, decimal>();
decimal ask = decimal.MaxValue;
foreach (ExternalOrderBook externalOrderBook in externalOrderBooks)
{
foreach (ExternalOrderBookLevel priceLevel in externalOrderBook.SellLevels)
{
decimal price = priceLevel.Price.TruncateDecimalPlaces(assetPairSettings.PriceAccuracy, true);
if (!sellLevels.ContainsKey(price))
{
sellLevels[price] = 0;
}
sellLevels[price] += priceLevel.Volume;
if (ask > price)
{
ask = price;
}
}
}
var buyLevels = new Dictionary <decimal, decimal>();
decimal bid = decimal.MinValue;
foreach (ExternalOrderBook externalOrderBook in externalOrderBooks)
{
foreach (ExternalOrderBookLevel priceLevel in externalOrderBook.BuyLevels)
{
decimal price = priceLevel.Price.TruncateDecimalPlaces(assetPairSettings.PriceAccuracy);
if (!buyLevels.ContainsKey(price))
{
buyLevels[price] = 0;
}
buyLevels[price] += priceLevel.Volume;
if (bid < price)
{
bid = price;
}
}
}
if (ask <= bid)
{
decimal mid = Math.Round((ask + bid) / 2, assetPairSettings.PriceAccuracy);
var basisPoint = (decimal)Math.Pow(.1, assetPairSettings.PriceAccuracy);
ask = mid + basisPoint;
bid = mid - basisPoint;
}
var sellOrderBookLevels = new List <OrderBookLevel>();
var bestSellLevel = new OrderBookLevel {
Price = ask
};
foreach (var(price, volume) in sellLevels)
{
if (price <= ask)
{
bestSellLevel.Volume += volume;
}
else
{
sellOrderBookLevels.Add(new OrderBookLevel {
Price = price, Volume = volume
});
}
}
if (bestSellLevel.Volume > 0)
{
sellOrderBookLevels.Add(bestSellLevel);
}
var buyOrderBookLevels = new List <OrderBookLevel>();
var bestBuyLevel = new OrderBookLevel {
Price = bid
};
foreach (var(price, volume) in buyLevels)
{
if (price >= bid)
{
bestBuyLevel.Volume += volume;
}
else
{
buyOrderBookLevels.Add(new OrderBookLevel {
Price = price, Volume = volume
});
}
}
if (bestBuyLevel.Volume > 0)
{
buyOrderBookLevels.Add(bestBuyLevel);
}
var internalOrderBook = new InternalOrderBook
{
AssetPair = assetPairSettings.Name,
Timestamp = DateTime.UtcNow,
SellLevels = sellOrderBookLevels
.OrderBy(o => o.Price)
.ToList(),
BuyLevels = buyOrderBookLevels
.OrderByDescending(o => o.Price)
.ToList()
};
_orderBooks.AddOrUpdate(assetPair, internalOrderBook, (key, value) => internalOrderBook);
return(Task.CompletedTask);
}
public async Task Create_Order_Book_With_Out_Arbitrage()
{
// arrange
_assetPairs.Add(new AssetPairModel
{
Name = "BTCUSD",
PriceAccuracy = 3
});
_externalOrderBooks.AddRange(new[]
{
new ExternalOrderBook
{
Exchange = "Exchange1",
AssetPair = "BTCUSD",
Timestamp = DateTime.UtcNow,
SellLevels = new List <ExternalOrderBookLevel>
{
new ExternalOrderBookLevel {
Price = 3.9626635m, Volume = 3
},
new ExternalOrderBookLevel {
Price = 2.1341931m, Volume = 2
},
new ExternalOrderBookLevel {
Price = 1.8762345m, Volume = 1
}
},
BuyLevels = new List <ExternalOrderBookLevel>
{
new ExternalOrderBookLevel {
Price = 1.5761689m, Volume = 1
},
new ExternalOrderBookLevel {
Price = 1.0341931m, Volume = 2
},
new ExternalOrderBookLevel {
Price = 0.5626635m, Volume = 3
}
}
},
new ExternalOrderBook
{
Exchange = "Exchange2",
AssetPair = "BTCUSD",
Timestamp = DateTime.UtcNow,
SellLevels = new List <ExternalOrderBookLevel>
{
new ExternalOrderBookLevel {
Price = 3.963m, Volume = 3
},
new ExternalOrderBookLevel {
Price = 2.136m, Volume = 2
},
new ExternalOrderBookLevel {
Price = 1.877m, Volume = 1
}
},
BuyLevels = new List <ExternalOrderBookLevel>
{
new ExternalOrderBookLevel {
Price = 1.576m, Volume = 1
},
new ExternalOrderBookLevel {
Price = 1.035m, Volume = 2
},
new ExternalOrderBookLevel {
Price = 0.562m, Volume = 3
}
}
}
});
var expectedInternalOrderBook = new InternalOrderBook
{
AssetPair = "BTCUSD",
Timestamp = DateTime.UtcNow,
SellLevels = new List <OrderBookLevel>
{
new OrderBookLevel {
Price = 3.963m, Volume = 6
},
new OrderBookLevel {
Price = 2.136m, Volume = 2
},
new OrderBookLevel {
Price = 2.135m, Volume = 2
},
new OrderBookLevel {
Price = 1.877m, Volume = 2
}
},
BuyLevels = new List <OrderBookLevel>
{
new OrderBookLevel {
Price = 1.576m, Volume = 2
},
new OrderBookLevel {
Price = 1.034m, Volume = 2
},
new OrderBookLevel {
Price = 1.035m, Volume = 2
},
new OrderBookLevel {
Price = 0.562m, Volume = 6
}
}
};
// act
await _service.UpdateAsync("BTCUSD");
var actualInternalOrderBook = _service.GetByAssetPair("BTCUSD");
// assert
Assert.IsTrue(AreEqual(expectedInternalOrderBook, actualInternalOrderBook));
}
