public void RejectPriceRequest(string operationId, string reason)
{
_cqrsSender.PublishEvent(new PriceForSpecialLiquidationCalculationFailedEvent
{
OperationId = operationId,
CreationTime = _dateService.Now(),
Reason = reason
}, _cqrsContextNamesSettings.Gavel);
_requests.TryRemove(operationId, out _);
}
private void RecompileScheduleTimelineCacheUnsafe(string assetPairId, DateTime currentDateTime,
TimeSpan scheduleCutOff)
{
var scheduleSettings = _rawScheduleSettingsCache.TryGetValue(assetPairId, out var settings)
? settings
: new List <ScheduleSettings>();
if (!scheduleSettings.Any())
{
return;
}
var resultingTimeIntervals = CompileSchedule(scheduleSettings, currentDateTime, scheduleCutOff);
_readerWriterLockSlim.EnterWriteLock();
try
{
_compiledScheduleTimelineCache[assetPairId] = resultingTimeIntervals;
_cqrsSender.PublishEvent(new CompiledScheduleChangedEvent
{
AssetPairId = assetPairId,
EventTimestamp = _dateService.Now(),
TimeIntervals = resultingTimeIntervals.Select(x => x.ToRabbitMqContract()).ToList(),
});
}
finally
{
_readerWriterLockSlim.ExitWriteLock();
}
}
private void HandleMarketStateChangesUnsafe(DateTime currentTime, string[] marketIds = null)
{
foreach (var(marketId, scheduleSettings) in _compiledMarketScheduleCache
// ReSharper disable once AssignNullToNotNullAttribute
.Where(x => marketIds.IsNullOrEmpty() || marketIds.Contains(x.Key)))
{
var newState = scheduleSettings.GetMarketState(marketId, currentTime);
_cqrsSender.PublishEvent(new MarketStateChangedEvent
{
Id = marketId,
IsEnabled = newState.IsEnabled,
EventTimestamp = _dateService.Now(),
});
_marketStates[marketId] = newState;
}
}
public void FakeGetPriceForSpecialLiquidation(string operationId, string instrument, decimal volume)
{
_threadSwitcher.SwitchThread(async() =>
{
await Task.Delay(1000);//waiting for the state to be saved into the repo
_cqrsSender.PublishEvent(new PriceForSpecialLiquidationCalculatedEvent
{
OperationId = operationId,
CreationTime = _dateService.Now(),
Instrument = instrument,
Volume = volume,
Price = _specialLiquidationSettings.FakePrice,
}, _cqrsContextNamesSettings.Gavel);
});
}
public async Task <string> PlaceAsync([FromBody] OrderPlaceRequest request)
{
var(baseOrder, relatedOrders) = (default(Order), default(List <Order>));
try
{
(baseOrder, relatedOrders) = await _validateOrderService.ValidateRequestAndCreateOrders(request);
}
catch (ValidateOrderException exception)
{
_cqrsSender.PublishEvent(new OrderPlacementRejectedEvent
{
EventTimestamp = _dateService.Now(),
OrderPlaceRequest = request,
RejectReason = exception.RejectReason.ToType <OrderRejectReasonContract>(),
RejectReasonText = exception.Message,
});
throw;
}
var placedOrder = await _tradingEngine.PlaceOrderAsync(baseOrder);
_operationsLogService.AddLog("action order.place", request.AccountId, request.ToJson(),
placedOrder.ToJson());
if (placedOrder.Status == OrderStatus.Rejected)
{
var message = $"Order {placedOrder.Id} from account {placedOrder.AccountId} for instrument {placedOrder.AssetPairId} is rejected: {placedOrder.RejectReason} ({placedOrder.RejectReasonText}). Comment: {placedOrder.Comment}.";
throw new ValidateOrderException(placedOrder.RejectReason, placedOrder.RejectReasonText, message);
}
foreach (var order in relatedOrders)
{
var placedRelatedOrder = await _tradingEngine.PlaceOrderAsync(order);
_operationsLogService.AddLog("action related.order.place", request.AccountId, request.ToJson(),
placedRelatedOrder.ToJson());
}
return(placedOrder.Id);
}
public Task <ExecutionReport> ExecuteOrder(OrderModel orderModel, CancellationToken cancellationToken)
{
if (orderModel == null || orderModel.Volume == 0)
{
return(Task.FromResult(new ExecutionReport
{
Success = false,
ExecutionStatus = OrderExecutionStatus.Rejected,
FailureType = OrderStatusUpdateFailureType.ConnectorError,
}));
}
ExecutionReport result;
try
{
_chaosKitty.Meow(nameof(FakeExchangeConnectorClient));
ExternalOrderBook orderbook;
decimal? currentPrice;
if (orderModel.Modality == TradeRequestModality.Liquidation_CorporateAction
||
orderModel.Modality == TradeRequestModality.Liquidation_MarginCall)
{
if (orderModel.Price == null)
{
throw new InvalidOperationException("Order should have price specified in case of special liquidation");
}
currentPrice = (decimal?)orderModel.Price;
orderbook = new ExternalOrderBook(MatchingEngineConstants.DefaultSpecialLiquidation,
orderModel.Instrument, _dateService.Now(), new
[]
{
new VolumePrice
{
Price = currentPrice.Value, Volume = (decimal)orderModel.Volume
}
},
new
[]
{
new VolumePrice
{
Price = currentPrice.Value, Volume = (decimal)orderModel.Volume
}
});
}
else
{
orderbook = _orderbookService.GetOrderBook(orderModel.Instrument);
if (orderbook == null)
{
throw new InvalidOperationException("Orderbook was not found");
}
currentPrice = orderbook.GetMatchedPrice((decimal)orderModel.Volume,
orderModel.TradeType == TradeType.Buy ? OrderDirection.Buy : OrderDirection.Sell);
}
result = new ExecutionReport(
type: orderModel.TradeType,
time: DateTime.UtcNow,
price: (double)(currentPrice ?? throw new Exception("No price")),
volume: orderModel.Volume,
fee: 0,
success: true,
executionStatus: OrderExecutionStatus.Fill,
failureType: OrderStatusUpdateFailureType.None,
orderType: orderModel.OrderType,
execType: ExecType.Trade,
clientOrderId: Guid.NewGuid().ToString(),
exchangeOrderId: Guid.NewGuid().ToString(),
instrument: new Instrument(orderModel.Instrument, orderModel.ExchangeName));
_cqrsSender.PublishEvent(new OrderExecutionOrderBookContract
{
OrderId = orderModel.OrderId,
Volume = (decimal)orderModel.Volume,
ExternalOrderId = result.ExchangeOrderId,
OrderBook = new ExternalOrderBookContract
{
AssetPairId = orderbook.AssetPairId,
ExchangeName = orderbook.ExchangeName,
Timestamp = orderbook.Timestamp,
ReceiveTimestamp = _dateService.Now(),
Asks = orderbook.Asks.Select(a => new VolumePriceContract
{
Price = a.Price, Volume = a.Volume
}).ToList(),
Bids = orderbook.Bids.Select(a => new VolumePriceContract
{
Price = a.Price, Volume = a.Volume
}).ToList()
}
}, _settings.Cqrs.ContextNames.Gavel);
}
catch (Exception ex)
{
_log.WriteErrorAsync(nameof(FakeExchangeConnectorClient), nameof(ExecuteOrder),
orderModel.ToJson(), ex);
result = new ExecutionReport(
type: orderModel.TradeType,
time: DateTime.UtcNow,
price: 0,
volume: 0,
fee: 0,
success: false,
executionStatus: OrderExecutionStatus.Rejected,
failureType: OrderStatusUpdateFailureType.ExchangeError,
orderType: orderModel.OrderType,
execType: ExecType.Trade,
clientOrderId: null,
exchangeOrderId: null,
instrument: new Instrument(orderModel.Instrument, orderModel.ExchangeName));
}
return(Task.FromResult(result));
}
private void SendPositionHistoryEvent(Position position, PositionHistoryTypeContract historyType,
decimal chargedPnl, string orderAdditionalInfo, Order dealOrder = null, decimal?dealVolume = null,
PositionOpenMetadata metadata = null)
{
DealContract deal = null;
if (dealOrder != null && dealVolume != null)
{
var sign = position.Volume > 0 ? 1 : -1;
var accountBaseAssetAccuracy = AssetsConstants.DefaultAssetAccuracy;
var fpl = Math.Round((dealOrder.ExecutionPrice.Value - position.OpenPrice) *
dealOrder.FxRate * dealVolume.Value * sign, accountBaseAssetAccuracy);
var balanceDelta = fpl - Math.Round(chargedPnl, accountBaseAssetAccuracy);
var dealId = historyType == PositionHistoryTypeContract.Close
? position.Id
: _identityGenerator.GenerateAlphanumericId();
deal = new DealContract
{
DealId = dealId,
PositionId = position.Id,
Volume = dealVolume.Value,
Created = dealOrder.Executed.Value,
OpenTradeId = position.OpenTradeId,
OpenOrderType = position.OpenOrderType.ToType <OrderTypeContract>(),
OpenOrderVolume = position.OpenOrderVolume,
OpenOrderExpectedPrice = position.ExpectedOpenPrice,
CloseTradeId = dealOrder.Id,
CloseOrderType = dealOrder.OrderType.ToType <OrderTypeContract>(),
CloseOrderVolume = dealOrder.Volume,
CloseOrderExpectedPrice = dealOrder.Price,
OpenPrice = position.OpenPrice,
OpenFxPrice = position.OpenFxPrice,
ClosePrice = dealOrder.ExecutionPrice.Value,
CloseFxPrice = dealOrder.FxRate,
Fpl = fpl,
PnlOfTheLastDay = balanceDelta,
AdditionalInfo = dealOrder.AdditionalInfo,
Originator = dealOrder.Originator.ToType <OriginatorTypeContract>()
};
var account = _accountsCacheService.Get(position.AccountId);
_cqrsSender.PublishEvent(new PositionClosedEvent(account.Id, account.ClientId,
deal.DealId, position.AssetPairId, balanceDelta));
_accountUpdateService.FreezeUnconfirmedMargin(position.AccountId, deal.DealId, balanceDelta)
.GetAwaiter().GetResult(); //todo consider making this async or pass to broker
}
var positionContract = _convertService.Convert <Position, PositionContract>(position,
o => o.ConfigureMap(MemberList.Destination).ForMember(x => x.TotalPnL, c => c.Ignore()));
positionContract.TotalPnL = position.GetFpl();
var historyEvent = new PositionHistoryEvent
{
PositionSnapshot = positionContract,
Deal = deal,
EventType = historyType,
Timestamp = _dateService.Now(),
ActivitiesMetadata = metadata?.ToJson(),
OrderAdditionalInfo = orderAdditionalInfo,
};
_rabbitMqNotifyService.PositionHistory(historyEvent);
}
