private (Orderbook Orderbook, ExchangeQuality PrimaryExchange, string Problem) OnNewOrderbookInternal(
ExternalOrderbook orderbook)
{
var assetPairId = orderbook.AssetPairId;
if (!_extPricesSettingsService.IsExchangeConfigured(assetPairId, orderbook.ExchangeName))
{
Trace.Write(TraceLevelGroupEnum.WarnTrace, assetPairId,
$"Skipping not configured exchange {orderbook.ExchangeName}",
new { Event = "NotConfiguredExchangeSkipped", orderbook.ExchangeName });
return(null, null, "Skipping not configured exchange");
}
var allOrderbooks = _orderbooksService.AddAndGetByAssetPair(orderbook);
var now = orderbook.LastUpdatedTime;
var(exchangesErrors, validOrderbooks) = MarkExchangesErrors(assetPairId, allOrderbooks, now);
var primaryExchangeQuality =
_primaryExchangeService.GetPrimaryExchange(assetPairId, exchangesErrors, now, orderbook.ExchangeName);
if (primaryExchangeQuality == null)
{
return(null, null, "No primary exchange");
}
var primaryExchangeName = primaryExchangeQuality.ExchangeName;
if (primaryExchangeName != orderbook.ExchangeName)
{
return(null, primaryExchangeQuality, "Orderbook not from primary exchange");
}
if (primaryExchangeQuality.ErrorState == ExchangeErrorStateDomainEnum.Outlier)
{
return(null, primaryExchangeQuality, "Primary exchange is an outlier, skipping price update");
}
if (!allOrderbooks.TryGetValue(primaryExchangeName, out var primaryOrderbook))
{
_log.WriteErrorAsync(nameof(GenerateOrderbookService), null,
new Exception($"{primaryExchangeName} not found in allOrderbooks ({allOrderbooks.Keys.ToJson()})")
{
Data = { { "AssetPairId", assetPairId } }
});
return(null, primaryExchangeQuality, "Primary exchange orderbook not found");
}
_stopTradesService.FinishCycle(primaryOrderbook, now);
var resultingOrderbook = Transform(primaryOrderbook, validOrderbooks);
if (TryFindSkipOrderbookReason(resultingOrderbook) is string reason)
{
return(null, primaryExchangeQuality, reason);
}
return(resultingOrderbook, primaryExchangeQuality, null);
}
private void LogCycle(ExternalOrderbook orderbook, [CanBeNull] Orderbook resultingOrderbook, Stopwatch watch,
ExchangeQuality primaryExchangeQuality, [CanBeNull] string problem)
{
var elapsedMilliseconds = watch.ElapsedMilliseconds;
if (elapsedMilliseconds > 20)
{
_telemetryService.PublishEventMetrics(nameof(GenerateOrderbookService) + '.' + nameof(OnNewOrderbook),
null,
new Dictionary <string, double> {
{ "ProcessingTime", elapsedMilliseconds }
},
new Dictionary <string, string>
{
{ "AssetPairId", orderbook.AssetPairId },
{ "Exchange", orderbook.ExchangeName },
{ "IsPrimary", (orderbook.ExchangeName == primaryExchangeQuality.ExchangeName).ToString() },
{ "IsSkip", (resultingOrderbook == null).ToString() },
});
}
var bestPrices = _bestPricesService.Calc(orderbook);
var resultingBestPrices = resultingOrderbook == null ? null : _bestPricesService.Calc(resultingOrderbook);
var action = resultingOrderbook == null ? "Skipped" : "Processed";
Trace.Write(TraceLevelGroupEnum.Trace, orderbook.AssetPairId,
$"{action} from {orderbook.ExchangeName}, " +
$"primary: {primaryExchangeQuality}, time: {elapsedMilliseconds} ms",
new
{
Event = "ExternalOrderbook" + action,
Reason = problem,
orderbook.ExchangeName,
PrimaryExchange = primaryExchangeQuality,
ElapsedMilliseconds = elapsedMilliseconds,
IsSkip = resultingOrderbook == null,
bestPrices.BestBid,
bestPrices.BestAsk,
ResultingBestBid = resultingBestPrices?.BestBid,
ResultingBestAsk = resultingBestPrices?.BestAsk,
BidsDepth = orderbook.Bids.Length,
AsksDepth = orderbook.Asks.Length,
ResultingsBidsDepth = resultingOrderbook?.Bids.Length,
ResultingsAsksDepth = resultingOrderbook?.Asks.Length,
});
}
