public AnalyticsManager(IAnalyticsStorage analyticsStorage, List <double> precisions, List <int> markets, List <OrderInfo> orders, int tradesHistorySize = 100)
{
this.analyticsStorage = analyticsStorage ?? throw new ArgumentNullException(nameof(analyticsStorage));
AnalyticsExchange = AnalyticsExchange.RestoreExchange(markets, orders);
PriceHistoryManager = new PriceHistoryManager(analyticsStorage, markets ?? throw new ArgumentNullException(nameof(markets)));
TradesHistoryManager = new TradesHistoryManager(markets, tradesHistorySize);
MarketDepthsManager = new MarketDepthsManager(markets, precisions, AnalyticsExchange.OrderMap);
MarketTickersManager = new MarketTickersManager(markets, PriceHistoryManager);
}
public static AnalyticsExchange RestoreExchange(List <int> assets, List <OrderInfo> orders)
{
var exchange = new AnalyticsExchange();
foreach (var asset in assets)
{
exchange.AddMarket(asset);
}
foreach (var order in orders)
{
var orderData = OrderIdConverter.Decode(order.OrderId);
var market = exchange.GetMarket(orderData.Asset);
var orderbook = market.GetOrderbook(orderData.Side);
orderbook.InsertOrder(new OrderInfoWrapper {
Order = order
});
}
return(exchange);
}
public async Task OnUpdates(ExchangeUpdate updates)
{
await syncRoot.WaitAsync();
try
{
AnalyticsExchange.OnUpdates(updates);
await PriceHistoryManager.OnTrade(updates);
TradesHistoryManager.OnTrade(updates);
MarketDepthsManager.OnOrderUpdates(updates);
}
catch (Exception exc)
{
//TODO: add support for delayed trades, now it failes during rising
OnError?.Invoke(exc);
logger.Error(exc);
}
finally
{
syncRoot.Release();
}
}