public virtual async Task Handle(QuoteExt quote, Queue <QuoteExt> output)
{
if (_next != null)
{
await _next.Handle(quote, output);
}
}
public override async Task Handle(QuoteExt quote, Queue <QuoteExt> output)
{
var assetKey = quote.AssetPair.ToLowerInvariant();
var copy = quote.Clone();
// Update current ask/bid values
if (quote.PriceType == PriceType.Bid)
{
QuoteExt latest = null;
this.bid.TryGetValue(assetKey, out latest);
this.bid[assetKey] = GetLatest(latest, copy);
}
else if (quote.PriceType == PriceType.Ask)
{
QuoteExt latest = null;
this.ask.TryGetValue(assetKey, out latest);
this.ask[assetKey] = GetLatest(latest, copy);
}
else
{
await base.Handle(quote, output);
return;
}
// Make Mid quote
QuoteExt mid = await MakeMiddle(assetKey, quote.AssetPair);
// Pass further orignial quote and new mid quote.
if (mid != null)
{
await base.Handle(mid, output);
}
await base.Handle(quote, output);
}
private async Task <QuoteExt> MakeMiddle(string assetKey, string asset)
{
QuoteExt currentAsk = null;
QuoteExt currentBid = null;
this.ask.TryGetValue(assetKey, out currentAsk);
this.bid.TryGetValue(assetKey, out currentBid);
var assetPair = await this.env.GetAssetPair(asset);
QuoteExt mid = null;
// If asset dictionary does not contain asset, ignore it.
if (assetPair != null && currentAsk != null && currentBid != null)
{
mid = new QuoteExt()
{
AssetPair = asset,
Price = Math.Round((currentAsk.Price + currentBid.Price) / 2, assetPair.Accuracy),
// Controller ensures that both dates are in UTC
Timestamp = DateTime.Compare(currentAsk.Timestamp, currentBid.Timestamp) >= 0 ? currentAsk.Timestamp : currentBid.Timestamp,
PriceType = PriceType.Mid
};
}
return(mid);
}
public async Task HandleQuote(Quote quote)
{
// Validate incoming quote
//
ICollection <string> validationErrors = this.Validate(quote);
if (validationErrors.Count > 0)
{
foreach (string error in validationErrors)
{
await this.log.WriteErrorAsync(this.componentName, PROCESS, "", new ArgumentException("Received invalid quote. " + error));
}
return; // Skipping invalid quotes
}
// Add quote to the processing queue
var quoteExt = new QuoteExt()
{
AssetPair = quote.AssetPair,
IsBuy = quote.IsBuy,
Price = quote.Price,
Timestamp = quote.Timestamp,
PriceType = quote.IsBuy ? PriceType.Bid : PriceType.Ask
};
this.quotesQueue.Enqueue(quoteExt);
}
private static QuoteExt GetLatest(QuoteExt lhs, QuoteExt rhs)
{
if (lhs != null && rhs != null)
{
return(lhs.Timestamp > rhs.Timestamp ? lhs : rhs);
}
return(lhs != null ? lhs : rhs);
}
public override async Task Handle(QuoteExt quote, Queue <QuoteExt> output)
{
// If asset dictionary does not contain asset, then ignore this quote.
var assetPair = await this.env.GetAssetPair(quote.AssetPair);
if (assetPair != null)
{
await base.Handle(quote, output);
}
else
{
#if DEBUG
await this.log.WriteInfoAsync("FeedCandlesHistoryWriterBroker", "", "", "Ignoring incoming asset " + quote.AssetPair);
#endif
}
}
public override async Task Handle(QuoteExt quote, Queue <QuoteExt> output)
{
output.Enqueue(quote);
await base.Handle(quote, output);
}