public BidAsk SetState(IEnumerable <OrderBookNoSql> entity)
{
_data = entity.ToDictionary(e => e.Level.OrderId) ?? throw new ArgumentNullException(nameof(entity), "Cannot init manager with null data");
_ask = _data.Values.Where(e => e.Side == OrderSide.Sell).OrderBy(e => e.Level.Price).FirstOrDefault()?.Level;
_bid = _data.Values.Where(e => e.Side == OrderSide.Buy).OrderByDescending(e => e.Level.Price).FirstOrDefault()?.Level;
var bidAsk = new BidAsk
{
Id = Symbol,
LiquidityProvider = BrokerId,
Ask = _ask != null?Convert.ToDouble(_ask.Price) : 0,
Bid = _bid != null?Convert.ToDouble(_bid.Price) : 0,
DateTime = DateTime.UtcNow
};
return(bidAsk);
}
/// <summary>
/// Register order and notify about best price update
/// </summary>
public BidAsk RegisterOrderUpdate(List <OrderBookOrder> updates, Dictionary <string, OrderBookNoSql> updateList, Dictionary <string, OrderBookNoSql> deleteList)
{
var priceUpdated = false;
foreach (var order in updates.Where(e => e.IsActive))
{
var orderLevel = ConvertOrder(order);
if (!_data.TryGetValue(order.OrderId, out var entity))
{
entity = OrderBookNoSql.Create(order.BrokerId, order.Symbol, orderLevel, order.Side);
_data[order.OrderId] = entity;
}
entity.Level = orderLevel;
updateList[entity.Level.OrderId] = entity;
if (order.Side == OrderSide.Sell && (_ask == null || _ask?.Price > order.Price))
{
_ask = entity.Level;
priceUpdated = true;
}
if (order.Side == OrderSide.Buy && (_ask == null || _bid?.Price < order.Price))
{
_bid = entity.Level;
priceUpdated = true;
}
}
foreach (var order in updates.Where(e => !e.IsActive))
{
var orderId = order.OrderId;
var orderLevel = ConvertOrder(order);
if (!_data.TryGetValue(order.OrderId, out var entity))
{
entity = OrderBookNoSql.Create(order.BrokerId, order.Symbol, orderLevel, order.Side);
}
_data.Remove(orderId);
deleteList[orderId] = entity;
if (_ask?.OrderId == orderId)
{
_ask = null;
priceUpdated = true;
}
if (_bid?.OrderId == orderId)
{
_bid = null;
priceUpdated = true;
}
}
if (priceUpdated && _ask == null)
{
_ask = _data.Values.Where(e => e.Side == OrderSide.Sell).OrderBy(e => e.Level.Price).FirstOrDefault()?.Level;
}
if (priceUpdated && _bid == null)
{
_bid = _data.Values.Where(e => e.Side == OrderSide.Buy).OrderByDescending(e => e.Level.Price).FirstOrDefault()?.Level;
}
if (_ask != null && _bid != null && _ask.Price <= _bid.Price)
{
_logger.LogError("NEGATIVE SPREAD {symbol}; Ask: {ask}; Bid: {bid}", Symbol, _ask.Price, _bid.Price);
priceUpdated = false;
}
if (priceUpdated)
{
var updateTs = updates.Max(e => e.Timestamp);
var bidAsk = new BidAsk
{
Id = Symbol,
LiquidityProvider = BrokerId,
Ask = _ask != null?Convert.ToDouble(_ask.Price) : 0,
Bid = _bid != null?Convert.ToDouble(_bid.Price) : 0,
DateTime = updateTs
};
return(bidAsk);
}
return(null);
}