public override PriceDto GenerateNextQuote(PriceDto previousPrice)
{
var pow = (decimal)Math.Pow(10, CurrencyPair.RatePrecision);
var movement = 5 / pow;
decimal newMid;
if (_isIncreasing)
{
newMid = previousPrice.Mid + movement;
if (newMid > _max)
_isIncreasing = false;
}
else
{
newMid = previousPrice.Mid - movement;
if (newMid < _min)
_isIncreasing = true;
}
return new PriceDto
{
Symbol = previousPrice.Symbol,
QuoteId = previousPrice.QuoteId + 1,
ValueDate = DateTime.UtcNow.AddDays(2).Date,
Mid = newMid,
Ask = newMid + 5 / pow,
Bid = newMid - 5 / pow,
CreationTimestamp = Stopwatch.GetTimestamp()
};
}
public IPrice Create(PriceDto priceDto, ICurrencyPair currencyPair)
{
var bid = new ExecutablePrice(Direction.SELL, priceDto.Bid, _executionRepository);
var ask = new ExecutablePrice(Direction.BUY, priceDto.Ask, _executionRepository);
var price = new Price(bid, ask, priceDto.SpotDate, currencyPair, priceDto.CreationTimestamp);
_priceLatencyRecorder.OnReceived(price);
return price;
}
public void OnPrice(PriceDto priceDto)
{
_eventLoopScheduler.Schedule(() =>
{
_priceCache[priceDto.Symbol] = priceDto;
var currencyPairTracker = GetTrackerFor(priceDto.Symbol);
currencyPairTracker.OnPrice(_priceCache, false);
});
}
private void PopulateLastValueCache()
{
foreach (var currencyPairInfo in _currencyPairRepository.GetAllCurrencyPairs())
{
var mid = _currencyPairRepository.GetSampleRate(currencyPairInfo.CurrencyPair.Symbol);
var initialQuote = new PriceDto
{
Symbol = currencyPairInfo.CurrencyPair.Symbol,
Mid = mid
};
_priceLastValueCache.StoreLastValue(currencyPairInfo.GenerateNextQuote(initialQuote));
}
}
public override PriceDto GenerateNextQuote(PriceDto previousPrice)
{
var pow = (decimal)Math.Pow(10, CurrencyPair.RatePrecision);
var newMid = previousPrice.Mid + _random.Next(-5, 5) / pow;
return new PriceDto
{
Symbol = previousPrice.Symbol,
QuoteId = previousPrice.QuoteId + 1,
ValueDate = DateTime.UtcNow.AddDays(2).Date,
Mid = newMid,
Ask = newMid + 5 / pow,
Bid = newMid - 5 / pow,
CreationTimestamp = Stopwatch.GetTimestamp()
};
}
public async Task Publish(PriceDto price)
{
var context = _contextHolder.PricingHubClient;
if (context == null) return;
_totalUpdatesPublished++;
var groupName = string.Format(PricingHub.PriceStreamGroupPattern, price.Symbol);
try
{
await context.Group(groupName).OnNewPrice(price);
if (Log.IsDebugEnabled)
{
Log.DebugFormat("Published price to group {0}: {1}", groupName, price);
}
}
catch (Exception e)
{
Log.Error(string.Format("An error occured while publishing price to group {0}: {1}", groupName, price), e);
}
}
public override PriceDto GenerateNextQuote(PriceDto previousPrice)
{
var pow = (decimal)Math.Pow(10, CurrencyPair.RatePrecision);
var newMid = previousPrice.Mid + Random.Next(-5, 5) / pow;
// check that the new mid does not drift too far from sampleRate (3%)
if (Math.Abs(newMid - SampleRate)/SampleRate > .03m)
{
newMid = SampleRate;
}
return new PriceDto
{
Symbol = previousPrice.Symbol,
SpotDate = DateTime.UtcNow.AddDays(2).Date,
Mid = newMid,
Ask = newMid + _halfSpread / pow,
Bid = newMid - _halfSpread / pow,
CreationTimestamp = Stopwatch.GetTimestamp()
};
}
public void StoreLastValue(PriceDto price)
{
_lastValueCache.AddOrUpdate(price.Symbol, _ => price, (s, p) => price);
}
public abstract PriceDto GenerateNextQuote(PriceDto lastPrice);
