private bool CheckZeroQuote(ExternalOrderBook orderbook, bool isEodOrderbook)
{
// TODO: the code below supposes we have only one quote in orderbook
var hasZeroVolume = orderbook.Asks[0].Volume == 0 || orderbook.Bids[0].Volume == 0;
var hasZeroPrice = orderbook.Asks[0].Price == 0 || orderbook.Bids[0].Price == 0;
var isOrderbookValid = !hasZeroVolume && !hasZeroPrice;
var assetPair = _assetPairsCache.GetAssetPairByIdOrDefault(orderbook.AssetPairId);
if (assetPair == null)
{
return(isOrderbookValid);
}
//EOD quotes should not change asset pair state
if (isEodOrderbook)
{
return(isOrderbookValid);
}
if (!isOrderbookValid)
{
// suspend instrument in case of zero volumes only
if (!assetPair.IsSuspended && hasZeroVolume)
{
assetPair.IsSuspended = true;//todo apply changes to trading engine
_cqrsSender.SendCommandToSettingsService(new ChangeProductSuspendedStatusCommand()
{
ProductId = assetPair.Id,
OperationId = _identityGenerator.GenerateGuid(),
Timestamp = _dateService.Now(),
IsSuspended = true,
});
_log.Info($"Suspending instrument {assetPair.Id}", context: orderbook.ToContextData()?.ToJson());
}
}
else
{
if (assetPair.IsSuspended)
{
assetPair.IsSuspended = false;//todo apply changes to trading engine
_cqrsSender.SendCommandToSettingsService(new ChangeProductSuspendedStatusCommand
{
ProductId = assetPair.Id,
OperationId = _identityGenerator.GenerateGuid(),
Timestamp = _dateService.Now(),
IsSuspended = false,
});
_log.Info($"Un-suspending instrument {assetPair.Id}", context: orderbook.ToContextData()?.ToJson());
}
}
return(isOrderbookValid);
}
private bool CheckZeroQuote(ExternalOrderBook orderbook)
{
var isOrderbookValid = orderbook.Asks[0].Volume != 0 && orderbook.Bids[0].Volume != 0;
var assetPair = _assetPairsCache.GetAssetPairByIdOrDefault(orderbook.AssetPairId);
if (assetPair == null)
{
return(isOrderbookValid);
}
if (!isOrderbookValid)
{
if (!assetPair.IsSuspended)
{
assetPair.IsSuspended = true;//todo apply changes to trading engine
_cqrsSender.SendCommandToSettingsService(new SuspendAssetPairCommand
{
AssetPairId = assetPair.Id,
OperationId = _identityGenerator.GenerateGuid(),
});
}
}
else
{
if (assetPair.IsSuspended)
{
assetPair.IsSuspended = false;//todo apply changes to trading engine
_cqrsSender.SendCommandToSettingsService(new UnsuspendAssetPairCommand
{
AssetPairId = assetPair.Id,
OperationId = _identityGenerator.GenerateGuid(),
});
}
}
return(isOrderbookValid);
}
