private async Task <OrderBook> CalculateDirectOrderBookAsync(Instrument instrument, DateTime iterationDateTime)
{
Quote[] quotes = _b2C2OrderBookService.GetQuotes(instrument.AssetPairId);
if (quotes == null || quotes.Length != 2)
{
_log.WarningWithDetails("No quotes for instrument", instrument.AssetPairId);
return(null);
}
Balance baseAssetBalance = null;
Balance quoteAssetBalance = null;
TimeSpan timeSinceLastTrade = TimeSpan.Zero;
if (instrument.AllowSmartMarkup)
{
AssetPairLink assetPairLink =
await _assetPairLinkService.GetByInternalAssetPairIdAsync(instrument.AssetPairId);
if (assetPairLink != null && !assetPairLink.IsEmpty())
{
baseAssetBalance =
await _balanceService.GetByAssetIdAsync(ExchangeNames.B2C2, assetPairLink.ExternalBaseAssetId);
quoteAssetBalance =
await _balanceService.GetByAssetIdAsync(ExchangeNames.B2C2, assetPairLink.ExternalQuoteAssetId);
timeSinceLastTrade =
DateTime.UtcNow - _tradeService.GetLastInternalTradeTime(instrument.AssetPairId);
}
else
{
_log.WarningWithDetails("The asset pair link does not configured", new { instrument.AssetPairId });
}
}
AssetPair assetPair = await _assetsServiceWithCache.TryGetAssetPairAsync(instrument.AssetPairId);
Asset baseAsset = await _assetsServiceWithCache.TryGetAssetAsync(assetPair.BaseAssetId);
MarketMakerSettings marketMakerSettings = await _marketMakerSettingsService.GetAsync();
decimal globalMarkup = marketMakerSettings.LimitOrderPriceMarkup;
decimal noQuotesMarkup = await _noFreshQuotesStopLossService.GetNoFreshQuotesMarkup(assetPair.Id);
decimal pnLStopLossMarkup = await _pnLStopLossEngineService.GetTotalMarkupByAssetPairIdAsync(assetPair.Id);
decimal fiatEquityStopLossMarkup = await _fiatEquityStopLossService.GetFiatEquityMarkup(assetPair.Id);
_log.InfoWithDetails("Arguments for Calculator.CalculateLimitOrders(...).", new
{
instrument.AssetPairId,
quotes,
levels = instrument.Levels.ToArray(),
baseAmountBalance = baseAssetBalance?.Amount ?? 0,
quoteAmountBalance = quoteAssetBalance?.Amount ?? 0,
timeSinceLastTradeTotalSeconds = (int)timeSinceLastTrade.TotalSeconds,
instrumentHalfLifePeriod = instrument.HalfLifePeriod,
instrumentAllowSmartMarkup = instrument.AllowSmartMarkup,
marketMakerSettingsLimitOrderPriceMarkup = globalMarkup,
pnLStopLossMarkup,
fiatEquityStopLossMarkup,
noQuotesMarkup,
assetPairAccuracy = assetPair.Accuracy,
baseAssetAccuracy = baseAsset.Accuracy,
instrument
});
OrderBookUpdateReport orderBookUpdateReport = null;
if (_isOrderBooksUpdateReportEnabled)
{
orderBookUpdateReport = new OrderBookUpdateReport(iterationDateTime);
orderBookUpdateReport.AssetPair = instrument.AssetPairId;
orderBookUpdateReport.FirstQuoteAsk = quotes[0].Ask;
orderBookUpdateReport.FirstQuoteBid = quotes[0].Bid;
orderBookUpdateReport.SecondQuoteAsk = quotes[1].Ask;
orderBookUpdateReport.SecondQuoteBid = quotes[1].Bid;
orderBookUpdateReport.QuoteDateTime = quotes[0].Time;
orderBookUpdateReport.GlobalMarkup = globalMarkup;
orderBookUpdateReport.NoFreshQuoteMarkup = noQuotesMarkup;
orderBookUpdateReport.PnLStopLossMarkup = pnLStopLossMarkup;
orderBookUpdateReport.FiatEquityMarkup = fiatEquityStopLossMarkup;
}
IReadOnlyCollection <LimitOrder> limitOrders = Calculator.CalculateLimitOrders(
quotes[0],
quotes[1],
instrument.Levels.ToArray(),
baseAssetBalance?.Amount ?? 0,
quoteAssetBalance?.Amount ?? 0,
(int)timeSinceLastTrade.TotalSeconds,
instrument.HalfLifePeriod,
instrument.AllowSmartMarkup,
globalMarkup,
pnLStopLossMarkup,
fiatEquityStopLossMarkup,
noQuotesMarkup,
assetPair.Accuracy,
baseAsset.Accuracy,
orderBookUpdateReport);
await ValidateQuoteTimeoutAsync(limitOrders, quotes[0]);
await ValidateQuoteTimeoutAsync(limitOrders, quotes[1]);
ValidateMinVolume(limitOrders, (decimal)assetPair.MinVolume);
await ValidatePriceAsync(limitOrders);
await ValidateBalanceAsync(limitOrders, assetPair);
WriteInfoLog(instrument.AssetPairId, quotes, timeSinceLastTrade, limitOrders,
"Direct limit orders calculated");
if (orderBookUpdateReport != null)
{
await _orderBooksUpdatesReportPublisher.PublishAsync(orderBookUpdateReport);
}
return(new OrderBook
{
AssetPairId = instrument.AssetPairId,
Time = DateTime.UtcNow,
LimitOrders = limitOrders,
IsDirect = true
});
}
private async Task <OrderBook> CalculateDirectOrderBookAsync(Instrument instrument)
{
Quote[] quotes = _b2C2OrderBookService.GetQuotes(instrument.AssetPairId);
if (quotes == null || quotes.Length != 2)
{
_log.WarningWithDetails("No quotes for instrument", instrument.AssetPairId);
return(null);
}
Balance baseAssetBalance = null;
Balance quoteAssetBalance = null;
TimeSpan timeSinceLastTrade = TimeSpan.Zero;
if (instrument.AllowSmartMarkup)
{
AssetPairLink assetPairLink =
await _assetPairLinkService.GetByInternalAssetPairIdAsync(instrument.AssetPairId);
if (assetPairLink != null && !assetPairLink.IsEmpty())
{
baseAssetBalance =
await _balanceService.GetByAssetIdAsync(ExchangeNames.B2C2, assetPairLink.ExternalBaseAssetId);
quoteAssetBalance =
await _balanceService.GetByAssetIdAsync(ExchangeNames.B2C2, assetPairLink.ExternalQuoteAssetId);
timeSinceLastTrade =
DateTime.UtcNow - _tradeService.GetLastInternalTradeTime(instrument.AssetPairId);
}
else
{
_log.WarningWithDetails("The asset pair link does not configured", new { instrument.AssetPairId });
}
}
AssetPair assetPair = await _assetsServiceWithCache.TryGetAssetPairAsync(instrument.AssetPairId);
Asset baseAsset = await _assetsServiceWithCache.TryGetAssetAsync(assetPair.BaseAssetId);
MarketMakerSettings marketMakerSettings = await _marketMakerSettingsService.GetAsync();
decimal pnLStopLossMarkup = await _pnLStopLossEngineService.GetTotalMarkupByAssetPairIdAsync(assetPair.Id);
decimal fiatEquityStopLossMarkup = await _fiatEquityStopLossService.GetFiatEquityMarkup(assetPair.Id);
decimal stopLossMarkup = await _noFreshQuotesStopLossService.GetNoFreshQuotesMarkup(assetPair.Id);
IReadOnlyCollection <LimitOrder> limitOrders = Calculator.CalculateLimitOrders(
quotes[0],
quotes[1],
instrument.Levels.ToArray(),
baseAssetBalance?.Amount ?? 0,
quoteAssetBalance?.Amount ?? 0,
(int)timeSinceLastTrade.TotalSeconds,
instrument.HalfLifePeriod,
instrument.AllowSmartMarkup,
marketMakerSettings.LimitOrderPriceMarkup,
pnLStopLossMarkup,
fiatEquityStopLossMarkup,
stopLossMarkup,
assetPair.Accuracy,
baseAsset.Accuracy);
await ValidateQuoteTimeoutAsync(limitOrders, quotes[0]);
await ValidateQuoteTimeoutAsync(limitOrders, quotes[1]);
ValidateMinVolume(limitOrders, (decimal)assetPair.MinVolume);
await ValidatePriceAsync(limitOrders);
await ValidateBalanceAsync(limitOrders, assetPair);
WriteInfoLog(instrument.AssetPairId, quotes, timeSinceLastTrade, limitOrders,
"Direct limit orders calculated");
return(new OrderBook
{
AssetPairId = instrument.AssetPairId,
Time = DateTime.UtcNow,
LimitOrders = limitOrders,
IsDirect = true
});
}