private async Task <OrderBook> CalculateCrossOrderBookAsync(OrderBook directOrderBook,
CrossInstrument crossInstrument)
{
Quote quote = await _quoteService
.GetAsync(crossInstrument.QuoteSource, crossInstrument.ExternalAssetPairId);
if (quote == null)
{
_log.WarningWithDetails("No quote for instrument", new
{
Source = crossInstrument.QuoteSource,
AssetPair = crossInstrument.ExternalAssetPairId
});
return(null);
}
LimitOrder[] validDirectLimitOrders = directOrderBook.LimitOrders
.Where(o => o.Error == LimitOrderError.None)
.ToArray();
if (validDirectLimitOrders.Length == 0)
{
return(null);
}
AssetPair assetPair = await _assetsServiceWithCache.TryGetAssetPairAsync(crossInstrument.AssetPairId);
Asset baseAsset = await _assetsServiceWithCache.TryGetAssetAsync(assetPair.BaseAssetId);
IReadOnlyCollection <LimitOrder> crossLimitOrders = Calculator.CalculateCrossLimitOrders(quote,
validDirectLimitOrders, crossInstrument.IsInverse, assetPair.Accuracy, baseAsset.Accuracy);
await ValidateQuoteTimeoutAsync(crossLimitOrders, quote);
ValidateMinVolume(crossLimitOrders, (decimal)assetPair.MinVolume);
await ValidateBalanceAsync(crossLimitOrders, assetPair);
WriteInfoLog(crossInstrument.AssetPairId, directOrderBook.AssetPairId, quote, crossLimitOrders,
"Cross limit orders calculated");
return(new OrderBook
{
AssetPairId = crossInstrument.AssetPairId,
Time = DateTime.UtcNow,
LimitOrders = crossLimitOrders,
IsDirect = false,
BaseAssetPairId = directOrderBook.AssetPairId,
CrossQuote = quote
});
}
