/// <summary>
/// Creates a point-in-time snapshot of the current order book data.
/// </summary>
/// <returns>Returns a new <see cref="OrderbookSnapshot"/> instance.</returns>
public OrderbookSnapshot GetSnapshot()
{
var snapshot = new OrderbookSnapshot(StockId, _timestamper.Now, AskTrades.Values.Sum(x => x.RemainingQuantity), BidTrades.Values.Sum(x => x.RemainingQuantity),
AsksByPrice.ToList(), BidsByPrice.ToList());
return(snapshot);
}
/// <summary>
/// Recreate a matching engine from a saved <see cref="OrderbookSnapshot"/>.
/// </summary>
/// <param name="snapshot">The order book snapshot.</param>
/// <param name="log">Optional. An Akka.NET logger.</param>
/// <param name="timestamper">Optional. The time stamping service implementation. Defaults to <see cref="CurrentUtcTimestamper"/> when <c>null</c>.</param>
/// <returns>A new matching engine.</returns>
public static MatchingEngine FromSnapshot(OrderbookSnapshot snapshot, ILoggingAdapter log = null, ITimestamper timestamper = null)
{
return(new MatchingEngine(snapshot.StockId, new Dictionary <string, Order>(),
new Dictionary <string, Order>(), log, timestamper));
// MongoDb serialization CANNOT handle this object for reasons unknown
//return new MatchingEngine(snapshot.StockId, snapshot.Bids?.ToDictionary(x => x.OrderId, y=> y) ?? new Dictionary<string, Order>(),
// snapshot.Asks?.ToDictionary(x => x.OrderId, y => y) ?? new Dictionary<string, Order>(), log, timestamper);
}
public void ShouldRecreateFromNullOrderbookSnapshot()
{
var snapshot = new OrderbookSnapshot(TickerSymbol, DateTimeOffset.Now, 0.0d, 0.0d, null, null);
var engine = MatchingEngine.FromSnapshot(snapshot);
var ask = new Ask(TickerSymbol, "foo", 12.0m, 5.0, DateTimeOffset.Now);
// bid is lower than ask - no trades
var bid = new Bid(TickerSymbol, "bar", 11.0m, 4.0, DateTimeOffset.Now);
// verify that engine still works normally
var bidEvents = engine.WithBid(bid);
var askEvents = engine.WithAsk(ask);
askEvents.Should().BeEmpty();
bidEvents.Should().BeEmpty();
engine.AskTrades.Count.Should().Be(1);
engine.BidTrades.Count.Should().Be(1);
}
internal static Msgs.OrderbookSnapshot ToProto(OrderbookSnapshot o)
{
var obs = new Msgs.OrderbookSnapshot()
{
AskQuantity = o.AskQuantity,
BidQuantity = o.BidQuantity,
StockId = o.StockId,
TimeIssued = o.Timestamp.ToUnixTimeMilliseconds()
};
if (o.Asks.Count > 0)
{
obs.Asks.AddRange(o.Asks.Select(x => ToProto(x)));
}
if (o.Bids.Count > 0)
{
obs.Bids.AddRange(o.Bids.Select(x => ToProto(x)));
}
return(obs);
}
/// <summary>
/// Recreate a matching engine from a saved <see cref="OrderbookSnapshot"/>.
/// </summary>
/// <param name="snapshot">The order book snapshot.</param>
/// <param name="log">Optional. An Akka.NET logger.</param>
/// <param name="timestamper">Optional. The time stamping service implementation. Defaults to <see cref="CurrentUtcTimestamper"/> when <c>null</c>.</param>
/// <returns>A new matching engine.</returns>
public static MatchingEngine FromSnapshot(OrderbookSnapshot snapshot, ILoggingAdapter log = null, ITimestamper timestamper = null)
{
return(new MatchingEngine(snapshot.StockId, snapshot.Bids.ToDictionary(x => x.OrderId, y => y),
snapshot.Asks.ToDictionary(x => x.OrderId, y => y), log, timestamper));
}