public async Task <RiskExposureReport> GetAsync()
{
IReadOnlyCollection <AssetInvestment> investments = _investmentService.GetAll();
IReadOnlyCollection <IndexSettings> indicesSettings = await _indexSettingsService.GetAllAsync();
IReadOnlyCollection <IndexPrice> indexPrices = await _indexPriceService.GetAllAsync();
IReadOnlyCollection <Token> tokens = await _tokenService.GetAllAsync();
IReadOnlyCollection <AssetHedgeSettings> assetHedgeSettings = await _assetHedgeSettingsService.GetAllAsync();
IReadOnlyCollection <Position> positions = await _positionService.GetAllAsync();
IReadOnlyCollection <string> assets = indexPrices
.SelectMany(o => o.Weights?.Select(e => e.AssetId) ?? new string[0])
.Distinct()
.ToArray();
decimal totalRemainingAmount = investments.Sum(o => o.RemainingAmount);
return(new RiskExposureReport
{
// If remaining amount is negative position in usd should be displayed as positive.
UsdCash = -totalRemainingAmount,
Indices = GetIndexReports(indicesSettings, indexPrices, tokens),
Tokens = GetTokensDelta(indicesSettings, indexPrices, tokens),
Assets = GetAssetsDelta(assets, assetHedgeSettings, positions)
});
}
public async Task UpdateLimitOrdersAsync()
{
IReadOnlyCollection <string> assets = await GetAssetsAsync();
await CancelLimitOrdersAsync(assets);
if (!await ValidateIndexPricesAsync())
{
return;
}
IReadOnlyCollection <Token> tokens = await _tokenService.GetAllAsync();
IReadOnlyCollection <Position> positions = await GetCurrentPositionsAsync();
IReadOnlyCollection <IndexPrice> indexPrices = await _indexPriceService.GetAllAsync();
IReadOnlyCollection <IndexSettings> indicesSettings = await _indexSettingsService.GetAllAsync();
IReadOnlyDictionary <string, Quote> assetPrices = await GetAssetPricesAsync(assets);
IReadOnlyCollection <AssetInvestment> assetInvestments =
InvestmentCalculator.Calculate(assets, indicesSettings, tokens, indexPrices, positions, assetPrices);
_log.InfoWithDetails("Investments calculated", assetInvestments);
IReadOnlyCollection <HedgeLimitOrder> hedgeLimitOrders = await CreateLimitOrdersAsync(assetInvestments);
await ValidateHedgeLimitOrdersAsync(hedgeLimitOrders);
_log.InfoWithDetails("Hedge limit orders calculated", hedgeLimitOrders);
_investmentService.Update(assetInvestments);
await ApplyLimitOrdersAsync(assets, hedgeLimitOrders);
}
public async Task <IReadOnlyCollection <IndexPriceModel> > GetAllAsync()
{
IReadOnlyCollection <IndexPrice> indexStates = await _indexPriceService.GetAllAsync();
return(Mapper.Map <IndexPriceModel[]>(indexStates));
}