private OrderBook Convert(CacheProviderOrderBook orderBook)
{
var bids = new List <VolumePrice>();
var asks = new List <VolumePrice>();
foreach (var limitOrder in orderBook.Prices)
{
// Filter out negative or zero prices and zero volumes
if (limitOrder.Price <= 0 || (decimal)limitOrder.Volume == 0)
{
continue;
}
if (limitOrder.Volume > 0)
{
bids.Add(new VolumePrice((decimal)limitOrder.Price, (decimal)limitOrder.Volume));
}
else
{
asks.Add(new VolumePrice((decimal)limitOrder.Price, Math.Abs((decimal)limitOrder.Volume)));
}
}
var assetPair = _lykkeAssetIdsAssetPairs[orderBook.AssetPair];
var result = new OrderBook(LykkeExchangeName, assetPair, bids, asks, orderBook.Timestamp);
return(result);
}
private void MoveFromDirtyToMain(string assetPairId)
{
lock (_syncLykke)
{
var dirtyOrderBook = _dirtyLykkeOrderBooks[assetPairId];
if (dirtyOrderBook.Asks != null && dirtyOrderBook.Bids != null)
{
var isValid = true;
// Only if both bids and asks not empty
if (dirtyOrderBook.Asks.Any() && dirtyOrderBook.Bids.Any())
{
isValid = dirtyOrderBook.Asks.Min(o => o.Price) >
dirtyOrderBook.Bids.Max(o => o.Price);
}
if (isValid)
{
var key = GetKeyForOrderBooks(dirtyOrderBook);
_allOrderBooks[key] = new OrderBook(dirtyOrderBook.Source, dirtyOrderBook.AssetPair, dirtyOrderBook.Bids,
dirtyOrderBook.Asks, dirtyOrderBook.Timestamp);
}
}
}
}
private void AddOrderBookFromCacheProvider(OrderBook orderBook)
{
var assetPairName = orderBook.AssetPair.Name;
if (!_lykkeAssetNamesAssetPairs.ContainsKey(assetPairName))
{
return;
}
lock (_syncLykke)
{
if (!_dirtyLykkeOrderBooks.ContainsKey(assetPairName))
{
_dirtyLykkeOrderBooks.Add(assetPairName, orderBook);
}
else
{
// Update half only if it doesn't exist
var dirtyOrderBook = _dirtyLykkeOrderBooks[assetPairName];
var newBids = dirtyOrderBook.Bids ?? orderBook.Bids;
var newAsks = dirtyOrderBook.Asks ?? orderBook.Asks;
var newOrderBook = new OrderBook(orderBook.Source, orderBook.AssetPair, newBids, newAsks, orderBook.Timestamp);
_dirtyLykkeOrderBooks[assetPairName] = newOrderBook;
}
}
MoveFromDirtyToMain(assetPairName);
}
private Task HandleLykkeOrderBook(OrderBook orderBook)
{
var assetPairName = orderBook.AssetPair.Name;
if (!_lykkeAssetNamesAssetPairs.ContainsKey(assetPairName))
{
return(Task.CompletedTask);
}
lock (_syncLykke)
{
if (!_dirtyLykkeOrderBooks.ContainsKey(assetPairName))
{
_dirtyLykkeOrderBooks.Add(assetPairName, orderBook);
}
else
{
// Update half even if it already exists
var dirtyOrderBook = _dirtyLykkeOrderBooks[assetPairName];
var newBids = orderBook.Bids ?? dirtyOrderBook.Bids;
var newAsks = orderBook.Asks ?? dirtyOrderBook.Asks;
var newOrderBook = new OrderBook(orderBook.Source, orderBook.AssetPair, newBids, newAsks, orderBook.Timestamp);
_dirtyLykkeOrderBooks[assetPairName] = newOrderBook;
}
}
MoveFromDirtyToMain(orderBook.AssetPair.Name);
return(Task.CompletedTask);
}
public async Task HandleAsync(OrderBook orderBook)
{
// Lykke exchage
if (string.Equals(orderBook.Source, LykkeExchangeName, StringComparison.InvariantCultureIgnoreCase))
{
await HandleLykkeOrderBook(orderBook);
}
// Others exchanges
else
{
var key = GetKeyForOrderBooks(orderBook);
_allOrderBooks[key] = orderBook;
}
}
private static string GetKeyForOrderBooks(OrderBook orderBook)
{
return($"{orderBook.Source}-{orderBook.AssetPair.Name}");
}
