private async Task ProcessOrderBookAsync(OrderBookMessage orderBookMessage)
{
var validationErrors = ValidateOrderBook(orderBookMessage);
if (validationErrors.Any())
{
var message = string.Join("\r\n", validationErrors);
var context = new
{
orderBookMessage.AssetPair,
orderBookMessage.IsBuy,
orderBookMessage.Timestamp
};
_log.Warning(nameof(ProcessOrderBookAsync), message, context: context.ToJson());
return;
}
// It is too frequent case to log it
var prices = orderBookMessage.Prices.Where(p => p.Price > 0).ToArray();
if (!prices.Any())
{
return;
}
await _quotesManager.ProcessOrderBookAsync(
orderBookMessage.AssetPair,
orderBookMessage.IsBuy,
orderBookMessage.Timestamp,
prices.Select(vp => vp.Price));
}
public override BookInfo GetOrderBook(string pair, string type = "both")
{
string[] p = pair.Split("-".ToCharArray());
string a = p[1] + "_" + p[0];
string[] args = { a, type };
OrderBookMessage mt = new OrderBookMessage(Constants.GetOrderBookUrl, args);
mt.Initialize();
return(mt.Data);
}
private static ICollection <string> ValidateOrderBook(OrderBookMessage orderBookMessage)
{
var errors = new List <string>();
if (orderBookMessage == null)
{
errors.Add("Argument 'Order' is null.");
}
else
{
if (string.IsNullOrWhiteSpace(orderBookMessage.AssetPair))
{
errors.Add("'AssetPair' is empty");
}
if ((orderBookMessage.Timestamp == DateTime.MinValue || orderBookMessage.Timestamp == DateTime.MaxValue))
{
errors.Add($"Invalid 'Timestamp' range: '{ (object)orderBookMessage.Timestamp}'");
}
if (orderBookMessage.Timestamp.Kind != DateTimeKind.Utc)
{
errors.Add($"Invalid 'Timestamp' Kind (UTC is required): '{ (object)orderBookMessage.Timestamp}'");
}
if (orderBookMessage.Prices == null)
{
errors.Add("Invalid 'Prices': null");
}
else if (orderBookMessage.Prices.All(p => p.Price < 0) && orderBookMessage.Prices.Any())
{
var prices = orderBookMessage.Prices.Limit(10).Select(p => p.Price.ToString(CultureInfo.InvariantCulture));
errors.Add($"All prices is negative. Top 10: [{string.Join(", ", prices)}]");
}
}
return(errors);
}
/// <summary>
/// Constructor.
/// </summary>
/// <see cref="Message"/>
/// <param name="message">Source message.</param>
public OrderBookData(Message message)
{
Symbol = SymbolsContainer.GetSymbol(message.MarketId);
OrderBookMessage orderBookMessage = message.OrderBookMsg.Clone();
MarketId = message.MarketId;
MarkPrice = DWConverter.FromProtoDecimal(orderBookMessage.MarkPrice);
LastTradePrice = DWConverter.FromProtoDecimal(orderBookMessage.LastTradePrice);
Asks = new Dictionary <decimal, decimal>();
Bids = new Dictionary <decimal, decimal>();
foreach (OrderBookEntryMessage ask in orderBookMessage.Asks)
{
decimal price = DWConverter.FromProtoDecimal(ask.Price);
decimal quantity = DWConverter.FromProtoDecimal(ask.Quantity);
Asks.Add(price, quantity);
}
foreach (OrderBookEntryMessage bid in orderBookMessage.Bids)
{
decimal price = DWConverter.FromProtoDecimal(bid.Price);
decimal quantity = DWConverter.FromProtoDecimal(bid.Quantity);
Bids.Add(price, quantity);
}
LastTradeQuantity = DWConverter.FromProtoDecimal(orderBookMessage.LastTradeQuantity);
}