private Task ProcessMessageAsync(OrderBookSnapshotEvent message)
{
try
{
var brokerId = message.OrderBook.BrokerId;
var symbol = message.OrderBook.Asset;
var timestamp = message.OrderBook.Timestamp.ToDateTime();
var limitOrders = message.OrderBook.Levels
.Select(level => new LimitOrder
{
Id = Guid.Parse(level.OrderId),
Price = decimal.Parse(level.Price),
Volume = Math.Abs(decimal.Parse(level.Volume)),
WalletId = level.WalletId,
Type = message.OrderBook.IsBuy
? LimitOrderType.Buy
: LimitOrderType.Sell
})
.ToList();
_orderBooksHandler.Handle(brokerId, symbol, message.OrderBook.IsBuy, timestamp, limitOrders);
_logger.LogInformation("Received an Order Book. {@OrderBook}", message);
}
catch (Exception exception)
{
_logger.LogError(exception, "An error occurred during processing order book. {@Message}", message);
}
return(Task.CompletedTask);
}
private async Task ProcessMessageAsync(OrderBookSnapshotEvent message)
{
if (message.OrderBook.IsBuy && _priceType == PriceType.Ask)
{
return;
}
if (!message.OrderBook.IsBuy && _priceType == PriceType.Bid)
{
return;
}
if (!message.OrderBook.Levels.Any())
{
return;
}
try
{
string priceValue;
if (_priceType == PriceType.Ask)
{
priceValue = message.OrderBook.Levels
.OrderBy(level => level.Price)
.First()
.Price;
}
else if (_priceType == PriceType.Bid)
{
priceValue = message.OrderBook.Levels
.OrderByDescending(level => level.Price)
.First()
.Price;
}
else
{
return;
}
var assetPairId = message.OrderBook.Asset;
var time = message.OrderBook.Timestamp.ToDateTime();
var price = decimal.Parse(priceValue);
await _pricesHandler.HandleAsync(assetPairId, time, (double)price);
}
catch (Exception exception)
{
_logger.LogError(exception, "An error occurred during processing order book. {@Message}",
message);
}
}
