private async Task InitializeOrderBooksAsync()
{
foreach (var assetIdAssetPair in _lykkeAssetIdsAssetPairs)
{
CacheProviderOrderBook providerOrderBook = null;
try
{
providerOrderBook = await _orderBookProviderClient.GetOrderBookAsync(assetIdAssetPair.Key);
}
catch (Exception)
{
// Some order books can't be found by asset pair id
}
if (providerOrderBook == null)
{
continue;
}
var orderBook = Convert(providerOrderBook);
AddOrderBookFromCacheProvider(orderBook);
}
var lykkeOrderBooksCount = _allOrderBooks.Values.Count(x => x.Source.Equals(LykkeExchangeName, StringComparison.InvariantCultureIgnoreCase));
_log.Info($"Initialized {lykkeOrderBooksCount} of {_lykkeAssetIdsAssetPairs.Count} order books.");
}
private OrderBook Convert(CacheProviderOrderBook orderBook)
{
var bids = new List <VolumePrice>();
var asks = new List <VolumePrice>();
foreach (var limitOrder in orderBook.Prices)
{
// Filter out negative or zero prices and zero volumes
if (limitOrder.Price <= 0 || (decimal)limitOrder.Volume == 0)
{
continue;
}
if (limitOrder.Volume > 0)
{
bids.Add(new VolumePrice((decimal)limitOrder.Price, (decimal)limitOrder.Volume));
}
else
{
asks.Add(new VolumePrice((decimal)limitOrder.Price, Math.Abs((decimal)limitOrder.Volume)));
}
}
var assetPair = _lykkeAssetIdsAssetPairs[orderBook.AssetPair];
var result = new OrderBook(LykkeExchangeName, assetPair, bids, asks, orderBook.Timestamp);
return(result);
}
private async Task InitializeOrderBooks()
{
var assetPairs = _assetPairs.Values.ToList();
foreach (var assetPair in assetPairs)
{
CacheProviderOrderBook providerOrderBook = null;
try
{
providerOrderBook = await _orderBookProviderClient.GetOrderBookAsync(assetPair.Id);
}
catch (Exception)
{
// Some order books can't be found by asset pair id
}
if (providerOrderBook == null)
{
continue;
}
var orderBook = Convert(providerOrderBook);
AddOrderBookFromCacheProvider(orderBook);
}
int lykkeOrderBooksCount;
lock (_sync)
{
lykkeOrderBooksCount = _lykkeOrderBooks.Count;
}
_log.Info($"Initialized {lykkeOrderBooksCount} of {assetPairs.Count} order books.");
}