public DatabaseGenerator(
VersionControl versionControl,
EventHistoryService eventHistoryService,
TradingRepository tradingRepository,
AccountRepository accountRepository,
TradeEventProcessor tradeEventProcessor,
ILogger <DatabaseGenerator> logger)
{
_versionControl = versionControl;
_eventHistoryService = eventHistoryService;
_tradingRepository = tradingRepository;
_accountRepository = accountRepository;
_tradeEventProcessor = tradeEventProcessor;
_logger = logger;
}
private (List <MatchOrderEventEntry>, decimal) PlanMatchOrdersLocked(
string user, string accountId, string instrument, OrderSide orderSide, decimal?limitPriceValue,
decimal quantityRemaining, long lockedEventVersionNumber, string requestId,
Func <string, Exception> reportInvalidMessage)
{
var plannedEvents = new List <MatchOrderEventEntry>();
var baseCurrency = instrument.Split("_")[0];
var quoteCurrency = instrument.Split("_")[1];
// Start the process of matching relevant offers
var matchingOffers = orderSide == OrderSide.Buy
? TradingOrderService.MatchSellers(limitPriceValue, instrument).Result
: TradingOrderService.MatchBuyers(limitPriceValue, instrument).Result;
matchingOffers.MoveNext();
var matchingOfferBatch = matchingOffers.Current.ToList();
while (quantityRemaining > 0 && matchingOfferBatch.Count > 0)
{
_logger.LogInformation(
$"Request {requestId} matched a batch of {matchingOfferBatch.Count} {(orderSide == OrderSide.Buy ? "buyers" : "sellers")}");
foreach (var other in matchingOfferBatch)
{
var otherRemaining = other.Qty - other.FilledQty;
decimal matchedQuantity;
if (otherRemaining >= quantityRemaining)
{
// Entire command order remainder is consumed by the seller offer
matchedQuantity = quantityRemaining;
_logger.LogInformation(
$"New {instrument} {(orderSide == OrderSide.Buy ? "buy" : "sell")} limit order planning entirely matched order id {other.Id}");
}
else
{
// Fraction of order will remain, but the seller offer will be consumed
matchedQuantity = otherRemaining;
_logger.LogInformation(
$"New {instrument} {(orderSide == OrderSide.Buy ? "buy" : "sell")} limit order planning partially matched order id {other.Id}");
}
quantityRemaining -= matchedQuantity;
var matchEvent = new MatchOrderEventEntry
{
VersionNumber = lockedEventVersionNumber,
ActionUser = user,
ActionAccountId = accountId,
TargetOrderOnVersionNumber = other.CreatedOnVersionId,
TargetUser = other.User,
TargetAccountId = other.AccountId,
Instrument = instrument,
Qty = matchedQuantity,
ActionSide = orderSide,
Price = other.LimitPrice,
ActionOrderQtyRemaining = quantityRemaining,
TargetOrderQtyRemaining = other.Qty - other.FilledQty - matchedQuantity,
};
// Calculating new balances for double-check purposes
var(actionBaseMod, actionQuoteMod, targetBaseMod, targetQuoteMod) =
TradeEventProcessor.MatchOrderBalanceModifications(matchEvent);
try
{
matchEvent.ActionBaseNewBalance =
UserService.GetBalanceAndReservedBalance(
matchEvent.ActionUser, matchEvent.ActionAccountId, baseCurrency
).Item1 + actionBaseMod;
matchEvent.ActionQuoteNewBalance =
UserService.GetBalanceAndReservedBalance(
matchEvent.ActionUser, matchEvent.ActionAccountId, quoteCurrency
).Item1 + actionQuoteMod;
matchEvent.TargetBaseNewBalance =
UserService.GetBalanceAndReservedBalance(
matchEvent.TargetUser, matchEvent.TargetAccountId, baseCurrency
).Item1 + targetBaseMod;
matchEvent.TargetQuoteNewBalance =
UserService.GetBalanceAndReservedBalance(
matchEvent.TargetUser, matchEvent.TargetAccountId, quoteCurrency
).Item1 + targetQuoteMod;
}
catch (Exception e)
{
// This can happen if a user didn't generate his balances yet, so it's not a fatal error
throw reportInvalidMessage(
$"There was a problem with your coin balances. {e.GetType().Name}: {e.Message}");
}
plannedEvents.Add(matchEvent);
if (quantityRemaining == 0)
{
break;
}
}
if (quantityRemaining == 0)
{
break;
}
// Keep the iteration going in order to find further matching orders as long as remaining qty > 0
if (!matchingOffers.MoveNext())
{
break;
}
matchingOfferBatch = matchingOffers.Current.ToList();
}
return(plannedEvents, quantityRemaining);
}
