private IObservable <TickPrice> GetCrossTicks(
IObservable <TickPrice> lykkeTickPrices,
OrderbookGenerationSettings settings)
{
var direct = $"{settings.BaseFiat}{settings.ExpectedFiat}";
var reverse = $"{settings.ExpectedFiat}{settings.BaseFiat}";
return
(Observable.Merge(
lykkeTickPrices
.Where(x => string.Equals(x.Asset, direct, StringComparison.InvariantCultureIgnoreCase)),
lykkeTickPrices
.Where(x => string.Equals(x.Asset, reverse, StringComparison.InvariantCultureIgnoreCase))
.Select(x => Reverse(x, direct))));
}
private IObservable <OrderBook> GetSyntheticOrderBooks(
IObservable <TickPrice> lykkeTickPrices,
IObservable <OrderBook> bitstampOrderbooks,
OrderbookGenerationSettings orderbookGeneration)
{
var crossTicks = GetCrossTicks(lykkeTickPrices, orderbookGeneration);
var sourceBooks = bitstampOrderbooks.Where(x =>
string.Equals(
x.Asset,
$"{orderbookGeneration.Crypto}{orderbookGeneration.BaseFiat}",
StringComparison.InvariantCultureIgnoreCase));
return(Observable.CombineLatest(
crossTicks,
sourceBooks,
(t, b) => CreateSyntheticOrderBook(
t,
b,
$"{orderbookGeneration.Crypto}{orderbookGeneration.ExpectedFiat}",
GetSyntheticSourceName($"{orderbookGeneration.Crypto}{orderbookGeneration.BaseFiat}"),
orderbookGeneration.Decimals)));
}