public async Task Getting_enabled_pair_returns_enabled_pair()
{
// Arrange
_assetsServiceMock
.Setup(s => s.TryGetAssetPairAsync(It.Is <string>(a => a == "EURUSD"), It.IsAny <CancellationToken>()))
.ReturnsAsync((string a, CancellationToken t) => new AssetPair {
Id = a, IsDisabled = false
});
// Act
var pair = await _manager.TryGetEnabledPairAsync("EURUSD");
// Assert
Assert.IsNotNull(pair);
Assert.AreEqual("EURUSD", pair.Id);
}
public LongTaskLaunchResult Filtrate(ICandlesFiltrationRequest request, bool analyzeOnly)
{
// We should not run filtration multiple times before the first attempt ends.
if (Health != null && Health.State == CandlesFiltrationState.InProgress)
{
return(LongTaskLaunchResult.AlreadyInProgress);
}
// And also we should check if the specified asset pair is enabled.
var storedAssetPair = _assetPairsManager.TryGetEnabledPairAsync(request.AssetPairId).GetAwaiter().GetResult();
if (storedAssetPair == null || !_candlesHistoryRepository.CanStoreAssetPair(request.AssetPairId))
{
return(LongTaskLaunchResult.AssetPairNotSupported);
}
var epsilon = Math.Pow(10, -storedAssetPair.Accuracy);
_log.Info(nameof(Filtrate), $"Starting candles with extreme price filtration for {request.AssetPairId}...");
Health = new CandlesFiltrationHealthReport(request.AssetPairId, request.LimitLow, request.LimitHigh, analyzeOnly);
var priceTypeTasks = new List <Task>();
if (request.PriceType.HasValue)
{
priceTypeTasks.Add(
DoFiltrateAsync(request.AssetPairId, request.LimitLow, request.LimitHigh, request.PriceType.Value, epsilon,
analyzeOnly));
}
else
{
foreach (var priceType in Constants.StoredPriceTypes)
{
priceTypeTasks.Add(
DoFiltrateAsync(request.AssetPairId, request.LimitLow, request.LimitHigh, priceType, epsilon,
analyzeOnly));
}
}
Task.WhenAll(priceTypeTasks.ToArray()).ContinueWith(t =>
{
Health.State = CandlesFiltrationState.Finished;
if (analyzeOnly)
{
_log.Info(nameof(Filtrate),
$"Filtration for {request.AssetPairId} finished: analyze only. Total amount of candles to delete: {Health.DeletedCandlesCount.Values.Sum()}, " +
$"total amount of candles to replace: {Health.ReplacedCandlesCount.Values.Sum()}. Errors count: {Health.Errors.Count}.");
}
else
{
_log.Info(nameof(Filtrate),
$"Filtration for {request.AssetPairId} finished. Total amount of deleted Sec candles: {Health.DeletedCandlesCount.Values.Sum()}, " +
$"total amount of replaced bigger candles: {Health.ReplacedCandlesCount.Values.Sum()}. Errors count: {Health.Errors.Count}.");
}
});
return(LongTaskLaunchResult.Started);
}
public bool Migrate(DateTime?removeByDate, string[] assetPairIds)
{
if (!MigrationEnabled)
{
return(false);
}
// We should not run migration multiple times before the first attempt ends.
if (!_tradesMigrationHealthService.CanStartMigration)
{
return(false);
}
// First of all, we will check if we can store the requested asset pairs. Additionally, let's
// generate asset search tokens for using it in TradesSqlHistoryRepository (which has no access
// to AssetPairsManager).
var assetSearchTokens = new List <(string AssetPairId, string SearchToken, string ReverseSearchToken)>();
foreach (var assetPairId in assetPairIds)
{
var storedAssetPair = _assetPairsManager.TryGetEnabledPairAsync(assetPairId).GetAwaiter().GetResult();
if (storedAssetPair == null)
{
_log.WriteInfoAsync(nameof(TradesMigrationManager), nameof(Migrate),
$"Trades migration: Asset pair {assetPairId} is not currently enabled. Skipping.").GetAwaiter().GetResult();
continue;
}
assetSearchTokens.Add((
AssetPairId: assetPairId,
SearchToken: storedAssetPair.BaseAssetId + storedAssetPair.QuotingAssetId,
ReverseSearchToken: storedAssetPair.QuotingAssetId + storedAssetPair.BaseAssetId));
}
// Creating a blank health report
_tradesMigrationHealthService.Prepare(_sqlQueryBatchSize, removeByDate);
// If there is nothing to migrate, just return "success".
if (!assetSearchTokens.Any())
{
_tradesMigrationHealthService.State = TradesMigrationState.Finished;
_log.WriteInfoAsync(nameof(TradesMigrationManager), nameof(Migrate),
$"Trades migration: None of the requested asset pairs can be stored. Migration canceled.").GetAwaiter().GetResult();
return(true);
}
// 1. We do not parallel the migration of different asset pairs consciously.
// 2. If we have no upper date-time limit for migration, we migrate everything.
// 3. We do not await while the migration process is finished for it may take a lot of time. Immediately return to a caller code instead.
_tradesMigrationService.MigrateTradesCandlesAsync(removeByDate, assetSearchTokens);
return(true);
}
public async Task <LongTaskLaunchResult> RunFixMidPricesAsync(string assetPairId, bool analyzeOnly)
{
// We should not run filtration multiple times before the first attempt ends.
if (Health != null && Health.State == CandlesFiltrationState.InProgress)
{
return(LongTaskLaunchResult.AlreadyInProgress);
}
// And also we should check if the specified asset pair is enabled.
var storedAssetPair = await _assetPairsManager.TryGetEnabledPairAsync(assetPairId);
if (storedAssetPair == null || !_candlesHistoryRepository.CanStoreAssetPair(assetPairId))
{
return(LongTaskLaunchResult.AssetPairNotSupported);
}
_log.Info($"Starting mid candles price fix for {assetPairId}...");
Health = new MidPricesFixHealthReport(assetPairId, analyzeOnly);
#pragma warning disable 4014
Task.Run(async() =>
#pragma warning restore 4014
{
await FixMidPricesAsync(assetPairId, storedAssetPair.Accuracy, analyzeOnly);
Health.State = CandlesFiltrationState.Finished;
if (analyzeOnly)
{
_log.Info($"Mid candle prices fix for {assetPairId} finished: analyze only. Total amount of corrupted candles: {Health.CorruptedCandlesCount}, " +
$" errors count: {Health.Errors.Count}.");
}
else
{
_log.Info($"Mid candle prices fix for {assetPairId} finished. Total amount of corrupted candles: {Health.CorruptedCandlesCount}, " +
$"errors count: {Health.Errors.Count}.");
}
});
return(LongTaskLaunchResult.Started);
}
private async Task ProcessLimitTradesAsync(LimitOrdersMessage message)
{
if (message.Orders == null || !message.Orders.Any())
{
return;
}
var limitOrderIds = message.Orders
.Select(o => o.Order.Id)
.ToHashSet();
foreach (var orderMessage in message.Orders)
{
if (orderMessage.Trades == null)
{
continue;
}
var assetPair = await _assetPairsManager.TryGetEnabledPairAsync(orderMessage.Order.AssetPairId);
foreach (var tradeMessage in orderMessage.Trades.OrderBy(t => t.Timestamp).ThenBy(t => t.Index))
{
// If both orders of the trade are limit, then both of them should be contained in the single message,
// this is by design.
var isOppositeOrderIsLimit = limitOrderIds.Contains(tradeMessage.OppositeOrderId);
// If opposite order is market order, then unconditionally takes the given limit order.
// But if both of orders are limit orders, we should take only one of them.
if (isOppositeOrderIsLimit)
{
var isBuyOrder = orderMessage.Order.Volume > 0;
// Takes trade only for the sell limit orders
if (isBuyOrder)
{
continue;
}
}
// Volumes in the asset pair base and quoting assets
double baseVolume;
double quotingVolume;
if (tradeMessage.Asset == assetPair.BaseAssetId)
{
baseVolume = tradeMessage.Volume;
quotingVolume = tradeMessage.OppositeVolume;
}
else
{
baseVolume = tradeMessage.OppositeVolume;
quotingVolume = tradeMessage.Volume;
}
// Just discarding trades with negative prices and\or volumes. It's better to do it here instead of
// at the first line of foreach 'case we have some additional trade selection logic in the begining.
// ReSharper disable once InvertIf
if (tradeMessage.Price > 0 && baseVolume > 0 && quotingVolume > 0)
{
var trade = new Trade(
orderMessage.Order.AssetPairId,
tradeMessage.Timestamp,
baseVolume,
quotingVolume,
tradeMessage.Price
);
await _candlesManager.ProcessTradeAsync(trade);
}
else
{
await _log.WriteWarningAsync(nameof(ProcessLimitTradesAsync), tradeMessage.ToJson(), "Got a Spot trade with non-positive price or volume value.");
}
}
}
}
public async Task ProcessMtQuoteAsync(MtQuoteDto mtQuote)
{
if (mtQuote == null)
{
throw new ArgumentNullException(nameof(mtQuote));
}
var assetPair = await _assetPairsManager.TryGetEnabledPairAsync(mtQuote.AssetPair?.Trim());
if (assetPair == null)
{
return;
}
var changedUpdates = new ConcurrentBag <CandleUpdateResult>();
var midPriceQuote = _midPriceQuoteGenerator.TryGenerate(
mtQuote.AssetPair,
mtQuote.Ask,
mtQuote.Bid,
mtQuote.Timestamp,
assetPair.Accuracy);
try
{
// Updates all intervals in parallel
var processingTasks = _intervals
.Select(timeInterval => Task.Factory.StartNew(() =>
{
ProcessQuoteInterval(
mtQuote.AssetPair,
mtQuote.Timestamp,
mtQuote.Ask,
false,
timeInterval,
midPriceQuote,
changedUpdates);
}))
.Concat(_intervals
.Select(timeInterval => Task.Factory.StartNew(() =>
{
ProcessQuoteInterval(
mtQuote.AssetPair,
mtQuote.Timestamp,
mtQuote.Bid,
true,
timeInterval,
null,
changedUpdates);
})));
await Task.WhenAll(processingTasks);
// Publishes updated candles
if (!changedUpdates.IsEmpty)
{
var publisher = await _candlesPublisherProvider.GetForAssetPair(assetPair.Id);
await publisher.PublishAsync(changedUpdates);
}
}
catch (Exception)
{
// Failed to publish one or several candles, so processing should be cancelled
foreach (var updateResult in changedUpdates)
{
_candlesGenerator.Undo(updateResult);
}
throw;
}
}