public BitfinexExecutionHarvester(IBitfinexWebSocketSubscriber socketSubscriber, BitfinexModelConverter bitfinexModelConverter, IHandler <ExecutionReport> handler, ILog log)
{
_socketSubscriber = socketSubscriber;
_bitfinexModelConverter = bitfinexModelConverter;
_handler = handler;
_log = log;
}
private ExecutionReport OrderToTrade(Order order)
{
var id = order.Id;
var execTime = order.Timestamp;
var execPrice = order.Price;
var execVolume = order.ExecutedAmount;
var tradeType = BitfinexModelConverter.ConvertTradeType(order.Side);
var status = ConvertExecutionStatus(order);
var instr = _modelConverter.ExchangeSymbolToLykkeInstrument(order.Symbol);
return(new ExecutionReport(instr, execTime, execPrice, execVolume, tradeType, id, status)
{
ExecType = ExecType.Trade,
Success = true,
FailureType = OrderStatusUpdateFailureType.None
});
}
private async Task HandleResponse(OrderBookUpdateResponse response)
{
var orderBookItem = BitfinexModelConverter.ToOrderBookItem(response);
var pair = _channels[response.ChannelId].Pair;
response.Pair = pair;
if (response.Price == 0)
{
await HandleOrdersEventsAsync(response.Pair,
OrderBookEventType.Delete, new[] { orderBookItem });
}
else
{
await HandleOrdersEventsAsync(response.Pair,
OrderBookEventType.Add, new[] { orderBookItem });
}
}
public BitfinexExchange(BitfinexExchangeConfiguration configuration,
TranslatedSignalsRepository translatedSignalsRepository,
BitfinexOrderBooksHarvester orderBooksHarvester,
BitfinexExecutionHarvester executionHarvester, ILog log)
: base(Name, configuration, translatedSignalsRepository, log)
{
_modelConverter = new BitfinexModelConverter(configuration);
_orderBooksHarvester = orderBooksHarvester;
_executionHarvester = executionHarvester;
var credenitals = new BitfinexServiceClientCredentials(configuration.ApiKey, configuration.ApiSecret);
_exchangeApi = new BitfinexApi(credenitals)
{
BaseUri = new Uri(configuration.EndpointUrl)
};
orderBooksHarvester.MaxOrderBookRate = configuration.MaxOrderBookRate;
}