public async Task HandleQuote(OrderBook orderBook)
{
if (_requiredExchanges.All(x => x != orderBook.Source))
{
return;
}
var bestPriceQuote = ConvertToBestPriceQuote(orderBook);
if (string.IsNullOrEmpty(bestPriceQuote?.ExchangeName) || string.IsNullOrEmpty(bestPriceQuote.Instrument) ||
bestPriceQuote.Bid == 0 || bestPriceQuote.Ask == 0)
{
await _log.WriteWarningAsync("QuoteService", "HandleQuote",
"Incoming quote is incorrect: " + (bestPriceQuote?.ToString() ?? "null"));
return;
}
_quoteCache.Set(new ExchangeInstrumentQuote
{
ExchangeName = bestPriceQuote.ExchangeName,
Instrument = bestPriceQuote.Instrument,
Base = "",
Quote = "",
Bid = bestPriceQuote.Bid,
Ask = bestPriceQuote.Ask
});
}
public async Task HandleQuote(OrderBook orderBook)
{
var bestPriceQuote = ConvertToBestPriceQuote(orderBook);
if (string.IsNullOrEmpty(bestPriceQuote?.ExchangeName) ||
string.IsNullOrEmpty(bestPriceQuote.Instrument) ||
bestPriceQuote.Bid == 0 || bestPriceQuote.Ask == 0)
{
await _log.WriteWarningAsync("QuoteService", "HandleQuote",
"Incoming quote is incorrect: " + (bestPriceQuote?.ToString() ?? "null"));
return;
}
_quoteCache.Set(new ExchangeInstrumentQuote
{
ExchangeName = bestPriceQuote.ExchangeName,
Instrument = bestPriceQuote.Instrument,
Base = "",
Quote = "",
Bid = bestPriceQuote.Bid,
Ask = bestPriceQuote.Ask
});
var swappedInstrument = SwapInstrument(bestPriceQuote.Instrument);
if (bestPriceQuote.ExchangeName == "bitmex" && swappedInstrument != null && swappedInstrument == "USDBTC")
{
_quoteCache.Set(new ExchangeInstrumentQuote
{
ExchangeName = bestPriceQuote.ExchangeName,
Instrument = swappedInstrument,
Base = "",
Quote = "",
Bid = bestPriceQuote.Bid,
Ask = bestPriceQuote.Ask
});
}
}