public IMessageIn Visit(FuturePositionsUpdate msg)
{
// "symbol": "btc_usd",
// "positions": [
// {
// "contract_id": "20160219013",
// "contract_name": "BTC0219",
// "avgprice": "413.15435805",
// "balance": "0.04855328",
// "bondfreez": "0",
// "costprice": "413.15435805",
// "eveningup": "2",
// "forcedprice": "379.0405725",
// "position": "1",
// "profitreal": "-1.4522E-4",
// "fixmargin": "0.04840806",
// "hold_amount": "2",
// "lever_rate": "10",
// "position_id": "9018065"
// },
// ]
if (_data == null)
{
// OkCoin sends an empty message without data in response to
// our subscription request.
return(msg);
}
DateTime now = DateTime.UtcNow;
string symbol = (string)_data["symbol"];
string[] parts = symbol.Split(new char[] { '_' }, 2);
Condition.Requires(parts, "parts").HasLength(2);
msg.CoinType = Serialization.ParseCoinType(parts[0]);
msg.Currency = Serialization.ParseCurrency(parts[1]);
msg.Positions = new List <FuturePosition>();
FutureType?futureType = null;
Condition.Requires(_data["positions"], "positions").IsNotEmpty();
foreach (JToken elem in _data["positions"])
{
string contractId = (string)elem["contract_id"];
// Figuring out FutureType around the time of settlement is tricky.
// We assume the following:
// 1. Our local time when parsing a message is less than one minute ahead of the server time
// when the message was produced. Basically, latency + time skey must be under a minute.
// 2. When settlement kicks in, trading is stopped for more than a minute plus time skew.
// OkCoin docs say they stop all trading for around 10 minutes, so it seems reasonable.
FutureType ft = Settlement.FutureTypeFromContractId(contractId, now - TimeSpan.FromMinutes(1));
if (futureType.HasValue && futureType.Value != ft)
{
throw new Exception(String.Format("Inconsistent FutureType: {0} vs {1}", futureType.Value, ft));
}
futureType = ft;
decimal quantity = elem["hold_amount"].AsDecimal();
if (quantity != 0)
{
msg.Positions.Add(new FuturePosition()
{
Leverage = Serialization.ParseLeverage((string)elem["lever_rate"]),
PositionType = Serialization.ParsePositionType((string)elem["position"]),
ContractId = contractId,
Quantity = quantity,
AvgPrice = elem["avgprice"].AsDecimal(),
});
}
}
msg.FutureType = futureType.Value;
return(msg);
}
public string Visit(FuturePositionsUpdate msg)
{
return(FuturePositions());
}
