private void ListenForPricesAndTrades()
{
using (LogContext.PushProperty("InstanceId", InstanceId))
{
Log.Information("Subscribing to prices topic...");
_subscriptions.Add(_broker.SubscribeToTopic <SpotPriceDto>("prices")
.Subscribe(p => _service.OnPrice(p)));
Log.Information("Subscribed to prices topic");
Log.Information("Subscribing to trades...");
_subscriptions.Add(_tradeCache.GetTrades()
.SelectMany(t => t.Trades)
.Where(t => t.Status == TradeStatusDto.Done)
.Subscribe(t => _service.OnTrade(t)));
_subscriptions.Add(_tradeCache.GetTrades()
.SkipWhile(t => t.IsStale)
.Where(t => t.IsStale && t.IsStateOfTheWorld && t.Trades.Count == 0)
.Subscribe(t => _service.OnReset()));
Log.Information("Subscribed to trades");
}
}
public void TradeCache_AddTrades_Resize()
{
// Arrange
int incrementalSize = 5;
var tradeCache = new TradeCache <TestTradeCreator, TestTrade, TestTradeParameters>(incrementalSize);
var trade1 = new TestTrade {
Id = 1, Price = 0123m, Quantity = 1000m, Time = new DateTime(2000, 1, 1, 1, 0, 1)
};
var trade2 = new TestTrade {
Id = 2, Price = 0121m, Quantity = 500m, Time = new DateTime(2000, 1, 1, 1, 0, 2)
};
var trade3 = new TestTrade {
Id = 3, Price = 0124m, Quantity = 750m, Time = new DateTime(2000, 1, 1, 1, 0, 3)
};
var trade4 = new TestTrade {
Id = 4, Price = 0122m, Quantity = 2000m, Time = new DateTime(2000, 1, 1, 1, 0, 4)
};
var trade5 = new TestTrade {
Id = 5, Price = 0120m, Quantity = 1500m, Time = new DateTime(2000, 1, 1, 1, 0, 5)
};
var trade6 = new TestTrade {
Id = 6, Price = 0119m, Quantity = 2750m, Time = new DateTime(2000, 1, 1, 1, 0, 6)
};
// Act
tradeCache.Add(trade1);
tradeCache.Add(trade2);
tradeCache.Add(trade3);
tradeCache.Add(trade4);
tradeCache.Add(trade5);
tradeCache.Add(trade6);
var trades = tradeCache.GetTrades();
var lastTrade = tradeCache.GetLastTrade();
var lastTradesOver = tradeCache.GetLastTrades(10);
var lastTradesUnder = tradeCache.GetLastTrades(2);
// Assert
Assert.AreEqual(tradeCache.Position, 5);
Assert.AreEqual(tradeCache.CacheSize, 10);
Assert.AreEqual(tradeCache.TradeRange, 5);
Assert.AreEqual(trades.Length, 6);
Assert.AreEqual(lastTrade, trade6);
Assert.AreEqual(lastTradesOver.Length, 6);
Assert.AreEqual(lastTradesOver[0], trade1);
Assert.AreEqual(lastTradesOver[1], trade2);
Assert.AreEqual(lastTradesOver[2], trade3);
Assert.AreEqual(lastTradesOver[3], trade4);
Assert.AreEqual(lastTradesOver[4], trade5);
Assert.AreEqual(lastTradesOver[5], trade6);
Assert.AreEqual(lastTradesUnder.Length, 2);
Assert.AreEqual(lastTradesUnder[0], trade5);
Assert.AreEqual(lastTradesUnder[1], trade6);
}
public IDisposable Initialize(IObservable <IConnected <IBroker> > brokerStream, IObservable <IConnected <IEventStoreConnection> > eventStore)
{
_cache = new TradeCache(eventStore);
_service = new BlotterService(_cache.GetTrades());
var disposable = brokerStream.LaunchOrKill(broker => new BlotterServiceHost(_service, broker)).Subscribe();
_cleanup.Add(disposable);
return(disposable);
}
public IDisposable Initialize(IObservable<IConnected<IBroker>> brokerStream, IObservable<IConnected<IEventStoreConnection>> eventStore)
{
_cache = new TradeCache(eventStore);
_service = new BlotterService(_cache.GetTrades());
var disposable = brokerStream.LaunchOrKill(broker => new BlotterServiceHost(_service, broker)).Subscribe();
_cleanup.Add(disposable);
return disposable;
}
private void ListenForPricesAndTrades()
{
Log.Information("Subscribing to prices topic...");
_subscriptions.Add(_broker.SubscribeToTopic <SpotPriceDto>("prices")
.Subscribe(p => _service.OnPrice(p)));
Log.Information("Subscribed to prices topic");
Log.Information("Subscribing to trades...");
_subscriptions.Add(_tradeCache.GetTrades()
.SelectMany(t => t.Trades)
.Where(t => t.Status == TradeStatusDto.Done)
.Subscribe(t => _service.OnTrade(t)));
Log.Information("Subscribed to trades");
}
public void TradeCache_Initialise()
{
// Arrange
int incrementalSize = 5;
TradeCache <TestTradeCreator, TestTrade, TestTradeParameters> tradeCache;
// Act
tradeCache = new TradeCache <TestTradeCreator, TestTrade, TestTradeParameters>(incrementalSize);
// Assert
Assert.AreEqual(tradeCache.Position, -1);
Assert.AreEqual(tradeCache.TradeRange, 5);
Assert.AreEqual(tradeCache.CacheSize, incrementalSize);
Assert.IsNull(tradeCache.GetLastTrade());
Assert.IsNull(tradeCache.GetTrades());
Assert.IsNull(tradeCache.GetLastTrades(1));
Assert.IsNull(tradeCache.GetLastTrades(5));
}
public void TradeCache_AddTradeRange_NoResize()
{
// Arrange
int incrementalSize = 5;
var tradeCache = new TradeCache <TestTradeCreator, TestTrade, TestTradeParameters>(incrementalSize);
var trade1 = new TestTrade {
Id = 1, Price = 0123m, Quantity = 1000m, Time = new DateTime(2000, 1, 1, 1, 0, 1)
};
var trade2 = new TestTrade {
Id = 2, Price = 0121m, Quantity = 500m, Time = new DateTime(2000, 1, 1, 1, 0, 2)
};
var trade3 = new TestTrade {
Id = 3, Price = 0124m, Quantity = 750m, Time = new DateTime(2000, 1, 1, 1, 0, 3)
};
var tradeRange = new[] { trade1, trade2, trade3 };
// Act
tradeCache.AddRange(tradeRange);
var trades = tradeCache.GetTrades();
var lastTrade = tradeCache.GetLastTrade();
var lastTradesOver = tradeCache.GetLastTrades(4);
var lastTradesUnder = tradeCache.GetLastTrades(2);
// Assert
Assert.AreEqual(tradeCache.Position, 2);
Assert.AreEqual(tradeCache.CacheSize, 5);
Assert.AreEqual(tradeCache.TradeRange, 5);
Assert.AreEqual(trades.Length, 3);
Assert.AreEqual(lastTrade, trade3);
Assert.AreEqual(lastTradesOver.Length, 3);
Assert.AreEqual(lastTradesOver[0], trade1);
Assert.AreEqual(lastTradesOver[1], trade2);
Assert.AreEqual(lastTradesOver[2], trade3);
Assert.AreEqual(lastTradesUnder.Length, 2);
Assert.AreEqual(lastTradesUnder[0], trade2);
Assert.AreEqual(lastTradesUnder[1], trade3);
}