private ExchangeQuality SwitchPrimaryExchange(string assetPairId, [CanBeNull] ExchangeQuality oldPrimary,
ImmutableDictionary <string, ExchangeQuality> exchangeQualities,
Func <ExchangeQuality, string> alertMessage)
{
var newPrimary = ChooseBackupExchange(assetPairId, exchangeQualities);
if (newPrimary.ExchangeName == oldPrimary?.ExchangeName)
{
Trace.Write(TraceLevelGroupEnum.WarnTrace, assetPairId,
$"Current exchange {oldPrimary.ExchangeName} is bad, but switch failed",
new { Event = "ExchangeSwitchFailed", Reason = "No valid hedgable exchanges", oldPrimary.ExchangeName });
return(oldPrimary);
}
_primaryExchanges[assetPairId] = newPrimary.ExchangeName;
_alertService.AlertPrimaryExchangeSwitched(
new PrimaryExchangeSwitchedMessage
{
AssetPairId = assetPairId,
AllExchangesStates = exchangeQualities.Values.Select(Convert).ToImmutableArray(),
NewPrimaryExchange = Convert(newPrimary),
});
_alertService.AlertRiskOfficer(assetPairId, alertMessage(newPrimary), EventTypeEnum.PrimaryExchangeChanged);
return(newPrimary);
}
private ExtPriceStatusModel Convert(string assetPairId, string exchangeName, ExchangeQuality exchangeQuality, bool isPrimary, BestPrices bestPrice)
{
var model = _convertService.Convert <ExchangeQuality, ExtPriceStatusModel>(exchangeQuality,
o => o.ConfigureMap(MemberList.Source));
model.AssetPairId = assetPairId;
model.ExchangeName = exchangeName;
model.IsPrimary = isPrimary;
model.ErrorState = model.ErrorState ?? "NoOrderbook";
model.BestPrices = _convertService.Convert <BestPrices, BestPricesModel>(bestPrice);
return(model);
}
private void LogCycle(ExternalOrderbook orderbook, [CanBeNull] Orderbook resultingOrderbook, Stopwatch watch,
ExchangeQuality primaryExchangeQuality, [CanBeNull] string problem)
{
var elapsedMilliseconds = watch.ElapsedMilliseconds;
if (elapsedMilliseconds > 20)
{
_telemetryService.PublishEventMetrics(nameof(GenerateOrderbookService) + '.' + nameof(OnNewOrderbook),
null,
new Dictionary <string, double> {
{ "ProcessingTime", elapsedMilliseconds }
},
new Dictionary <string, string>
{
{ "AssetPairId", orderbook.AssetPairId },
{ "Exchange", orderbook.ExchangeName },
{ "IsPrimary", (orderbook.ExchangeName == primaryExchangeQuality.ExchangeName).ToString() },
{ "IsSkip", (resultingOrderbook == null).ToString() },
});
}
var bestPrices = _bestPricesService.Calc(orderbook);
var resultingBestPrices = resultingOrderbook == null ? null : _bestPricesService.Calc(resultingOrderbook);
var action = resultingOrderbook == null ? "Skipped" : "Processed";
Trace.Write(TraceLevelGroupEnum.Trace, orderbook.AssetPairId,
$"{action} from {orderbook.ExchangeName}, " +
$"primary: {primaryExchangeQuality}, time: {elapsedMilliseconds} ms",
new
{
Event = "ExternalOrderbook" + action,
Reason = problem,
orderbook.ExchangeName,
PrimaryExchange = primaryExchangeQuality,
ElapsedMilliseconds = elapsedMilliseconds,
IsSkip = resultingOrderbook == null,
bestPrices.BestBid,
bestPrices.BestAsk,
ResultingBestBid = resultingBestPrices?.BestBid,
ResultingBestAsk = resultingBestPrices?.BestAsk,
BidsDepth = orderbook.Bids.Length,
AsksDepth = orderbook.Asks.Length,
ResultingsBidsDepth = resultingOrderbook?.Bids.Length,
ResultingsAsksDepth = resultingOrderbook?.Asks.Length,
});
}
private ExchangeQualityMessage Convert(ExchangeQuality quality)
{
return(_convertService.Convert <ExchangeQuality, ExchangeQualityMessage>(quality));
}
