private async Task ProcessMessageAsync(ExecutionEvent message)
{
var trades = new List <TradeEntity>();
foreach (var order in message.Orders)
{
var orderEntity = _mapper.Map <OrderEntity>(order);
if (order.Trades == null)
{
continue;
}
foreach (var trade in order.Trades)
{
var tradeEntity = _mapper.Map <TradeEntity>(trade);
tradeEntity.AssetPairId = orderEntity.AssetPairId;
tradeEntity.OrderId = orderEntity.Id;
tradeEntity.PartitionKey = orderEntity.WalletId;
tradeEntity.WalletId = orderEntity.WalletId;
trades.Add(tradeEntity);
}
}
var tradesByWallet = trades.GroupBy(x => x.WalletId);
var tasks = new List <Task>();
foreach (var walletTrades in tradesByWallet)
{
var tradeUpdate = new TradeUpdate();
tradeUpdate.Trades.AddRange(_mapper.Map <List <Lykke.HftApi.ApiContract.Trade> >(walletTrades.ToList()));
tasks.Add(_tradeStream.WriteToStreamAsync(tradeUpdate, walletTrades.Key));
}
await Task.WhenAll(tasks);
}
/// <summary>
/// Deserialize JSON and raise <see cref="UserDataEventArgs"/> event.
/// </summary>
/// <param name="json"></param>
/// <param name="token"></param>
/// <param name="callback"></param>
/// <returns></returns>
protected override void DeserializeJsonAndRaiseEvent(string json, CancellationToken token, Action <UserDataEventArgs> callback = null)
{
Throw.IfNullOrWhiteSpace(json, nameof(json));
Logger?.LogDebug($"{nameof(UserDataWebSocketClient)}: \"{json}\"");
try
{
var jObject = JObject.Parse(json);
var eventType = jObject["e"].Value <string>();
var eventTime = jObject["E"].Value <long>();
// ReSharper disable once ConvertIfStatementToSwitchStatement
if (eventType == "outboundAccountInfo")
{
var commissions = new AccountCommissions(
jObject["m"].Value <int>(), // maker
jObject["t"].Value <int>(), // taker
jObject["b"].Value <int>(), // buyer
jObject["s"].Value <int>()); // seller
var status = new AccountStatus(
jObject["T"].Value <bool>(), // can trade
jObject["W"].Value <bool>(), // can withdraw
jObject["D"].Value <bool>()); // can deposit
var balances = jObject["B"]
.Select(entry => new AccountBalance(
entry["a"].Value <string>(), // asset
entry["f"].Value <decimal>(), // free amount
entry["l"].Value <decimal>())) // locked amount
.ToList();
var eventArgs = new AccountUpdateEventArgs(eventTime, token, new AccountInfo(User, commissions, status, jObject["u"].Value <long>(), balances));
try
{
callback?.Invoke(eventArgs);
AccountUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(UserDataWebSocketClient)}: Unhandled account update event handler exception.");
}
}
}
else if (eventType == "executionReport")
{
var order = new Order(User);
FillOrder(order, jObject);
var executionType = ConvertOrderExecutionType(jObject["x"].Value <string>());
var rejectedReason = ConvertOrderRejectedReason(jObject["r"].Value <string>());
var newClientOrderId = jObject["c"].Value <string>();
if (executionType == OrderExecutionType.Trade) // trade update event.
{
var trade = new AccountTrade(
jObject["s"].Value <string>(), // symbol
jObject["t"].Value <long>(), // ID
jObject["i"].Value <long>(), // order ID
jObject["L"].Value <decimal>(), // price (price of last filled trade)
jObject["z"].Value <decimal>(), // quantity (accumulated quantity of filled trades)
jObject["n"].Value <decimal>(), // commission
jObject["N"].Value <string>(), // commission asset
jObject["T"].Value <long>(), // timestamp
order.Side == OrderSide.Buy, // is buyer
jObject["m"].Value <bool>(), // is buyer maker
jObject["M"].Value <bool>()); // is best price
var quantityOfLastFilledTrade = jObject["l"].Value <decimal>();
var eventArgs = new AccountTradeUpdateEventArgs(eventTime, token, order, rejectedReason, newClientOrderId, trade, quantityOfLastFilledTrade);
try
{
callback?.Invoke(eventArgs);
TradeUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(UserDataWebSocketClient)}: Unhandled trade update event handler exception.");
}
}
}
else // order update event.
{
var eventArgs = new OrderUpdateEventArgs(eventTime, token, order, executionType, rejectedReason, newClientOrderId);
try
{
callback?.Invoke(eventArgs);
OrderUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(UserDataWebSocketClient)}: Unhandled order update event handler exception.");
}
}
}
}
else
{
Logger?.LogWarning($"{nameof(UserDataWebSocketClient)}.{nameof(DeserializeJsonAndRaiseEvent)}: Unexpected event type ({eventType}) - \"{json}\"");
}
}
catch (OperationCanceledException) { }
catch (Exception e)
{
if (!token.IsCancellationRequested)
{
Logger?.LogError(e, $"{nameof(UserDataWebSocketClient)}.{nameof(DeserializeJsonAndRaiseEvent)}");
}
}
}
protected override void HandleMessage(IEnumerable <Action <UserDataEventArgs> > callbacks, string stream, string json)
{
if (!Users.ContainsKey(stream))
{
Logger?.LogError($"{nameof(UserDataClient)}.{nameof(HandleMessage)}: Unknown listen key (\"{stream}\"). [thread: {Thread.CurrentThread.ManagedThreadId}]");
return; // ignore.
}
var user = Users[stream];
try
{
var jObject = JObject.Parse(json);
var eventType = jObject["e"].Value <string>();
var eventTime = jObject["E"].Value <long>().ToDateTime();
// ReSharper disable once ConvertIfStatementToSwitchStatement
if (eventType == "outboundAccountInfo")
{
var commissions = new AccountCommissions(
jObject["m"].Value <int>(), // maker
jObject["t"].Value <int>(), // taker
jObject["b"].Value <int>(), // buyer
jObject["s"].Value <int>()); // seller
var status = new AccountStatus(
jObject["T"].Value <bool>(), // can trade
jObject["W"].Value <bool>(), // can withdraw
jObject["D"].Value <bool>()); // can deposit
var balances = jObject["B"]
.Select(entry => new AccountBalance(
entry["a"].Value <string>(), // asset
entry["f"].Value <decimal>(), // free amount
entry["l"].Value <decimal>())) // locked amount
.ToList();
var eventArgs = new AccountUpdateEventArgs(eventTime, new AccountInfo(user, commissions, status, jObject["u"].Value <long>().ToDateTime(), balances));
try
{
// ReSharper disable once InconsistentlySynchronizedField
if (_accountUpdateSubscribers.TryGetValue(stream, out var subscribers))
{
foreach (var subcriber in subscribers)
{
subcriber(eventArgs);
}
}
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
AccountUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { /* ignore */ }
catch (Exception e)
{
Logger?.LogWarning(e, $"{nameof(UserDataClient)}.{nameof(HandleMessage)}: Unhandled account update event handler exception.");
}
}
else if (eventType == "executionReport")
{
var order = new Order(user);
FillOrder(order, jObject);
var executionType = ConvertOrderExecutionType(jObject["x"].Value <string>());
var rejectedReason = jObject["r"].Value <string>();
var newClientOrderId = jObject["c"].Value <string>();
if (executionType == OrderExecutionType.Trade) // trade update event.
{
var trade = new AccountTrade(
jObject["s"].Value <string>(), // symbol
jObject["t"].Value <long>(), // ID
jObject["i"].Value <long>(), // order ID
jObject["L"].Value <decimal>(), // price (price of last filled trade)
jObject["z"].Value <decimal>(), // quantity (accumulated quantity of filled trades)
jObject["n"].Value <decimal>(), // commission
jObject["N"].Value <string>(), // commission asset
jObject["T"].Value <long>()
.ToDateTime(), // time
order.Side == OrderSide.Buy, // is buyer
jObject["m"].Value <bool>(), // is buyer maker
jObject["M"].Value <bool>()); // is best price
var quantityOfLastFilledTrade = jObject["l"].Value <decimal>();
var eventArgs = new AccountTradeUpdateEventArgs(eventTime, order, rejectedReason, newClientOrderId, trade, quantityOfLastFilledTrade);
try
{
// ReSharper disable once InconsistentlySynchronizedField
if (_accountTradeUpdateSubscribers.TryGetValue(stream, out var subscribers))
{
foreach (var subcriber in subscribers)
{
subcriber(eventArgs);
}
}
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
TradeUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { /* ignore */ }
catch (Exception e)
{
Logger?.LogWarning(e, $"{nameof(UserDataClient)}.{nameof(HandleMessage)}: Unhandled trade update event handler exception.");
}
}
else // order update event.
{
var eventArgs = new OrderUpdateEventArgs(eventTime, order, executionType, rejectedReason, newClientOrderId);
try
{
// ReSharper disable once InconsistentlySynchronizedField
if (_orderUpdateSubscribers.TryGetValue(stream, out var subscribers))
{
foreach (var subcriber in subscribers)
{
subcriber(eventArgs);
}
}
if (callbacks != null)
{
foreach (var callback in callbacks)
{
callback(eventArgs);
}
}
OrderUpdate?.Invoke(this, eventArgs);
}
catch (OperationCanceledException) { /* ignore */ }
catch (Exception e)
{
Logger?.LogWarning(e, $"{nameof(UserDataClient)}.{nameof(HandleMessage)}: Unhandled order update event handler exception.");
}
}
}
else
{
Logger?.LogWarning($"{nameof(UserDataClient)}.{nameof(HandleMessage)}: Unexpected event type ({eventType}).");
}
}
catch (OperationCanceledException) { /* ignore */ }
catch (Exception e)
{
Logger?.LogError(e, $"{nameof(UserDataClient)}.{nameof(HandleMessage)}");
}
}
private static void addToUpdatersList(
TradeUpdate[] updaters,
MamaFieldDescriptor fieldDesc,
TradeUpdate updater)
{
if (fieldDesc == null) return;
int fieldId = fieldDesc.getFid();
if (fieldId <= mMaxFid)
{
updaters[fieldId] = updater;
}
}
private static TradeUpdate[] createUpdaters()
{
mMaxFid = MamdaTradeFields.getMaxFid();
TradeUpdate[] updaters = new TradeUpdate[mMaxFid + 1];
addToUpdatersList(updaters, MamdaTradeFields.SYMBOL, new MamdaTradeSymbol());
addToUpdatersList(updaters, MamdaTradeFields.ISSUE_SYMBOL, new MamdaTradeIssueSymbol());
addToUpdatersList(updaters, MamdaTradeFields.PART_ID, new TradeLastPartId());
addToUpdatersList(updaters, MamdaTradeFields.TRADE_ID, new TradeId());
addToUpdatersList(updaters, MamdaTradeFields.ORIG_TRADE_ID, new OrigTradeId());
addToUpdatersList(updaters, MamdaTradeFields.CORR_TRADE_ID, new CorrTradeId());
addToUpdatersList(updaters, MamdaTradeFields.SRC_TIME, new TradeSrcTime());
addToUpdatersList(updaters, MamdaTradeFields.ACTIVITY_TIME, new TradeActivityTime());
addToUpdatersList(updaters, MamdaTradeFields.LINE_TIME, new TradeLineTime());
addToUpdatersList(updaters, MamdaTradeFields.SEND_TIME, new TradeSendTime());
addToUpdatersList(updaters, MamdaTradeFields.PUB_ID, new TradePubId());
addToUpdatersList(updaters, MamdaTradeFields.TRADE_PRICE, new TradeLastPrice());
addToUpdatersList(updaters, MamdaTradeFields.TRADE_SIZE, new TradeLastVolume());
addToUpdatersList(updaters, MamdaTradeFields.TRADE_TIME, new TradeLastTime());
addToUpdatersList(updaters, MamdaTradeFields.TRADE_DATE, new TradeTradeDate());
addToUpdatersList(updaters, MamdaTradeFields.TRADE_DIRECTION, new TradeDirection());
addToUpdatersList(updaters, MamdaTradeFields.AGGRESSOR_SIDE, new AggressorSide());
addToUpdatersList(updaters, MamdaTradeFields.TRADE_SIDE, new TradeSide());
addToUpdatersList(updaters, MamdaTradeFields.NET_CHANGE, new TradeNetChange());
addToUpdatersList(updaters, MamdaTradeFields.PCT_CHANGE, new TradePctChange());
addToUpdatersList(updaters, MamdaTradeFields.TOTAL_VOLUME, new TradeAccVolume());
addToUpdatersList(updaters, MamdaTradeFields.OFF_EXCHANGE_TOTAL_VOLUME, new TradeOffExAccVolume());
addToUpdatersList(updaters, MamdaTradeFields.ON_EXCHANGE_TOTAL_VOLUME, new TradeOnExAccVolume());
addToUpdatersList(updaters, MamdaTradeFields.HIGH_PRICE, new TradeHighPrice());
addToUpdatersList(updaters, MamdaTradeFields.LOW_PRICE, new TradeLowPrice());
addToUpdatersList(updaters, MamdaTradeFields.OPEN_PRICE, new TradeOpenPrice());
addToUpdatersList(updaters, MamdaTradeFields.CLOSE_PRICE, new TradeClosePrice());
addToUpdatersList(updaters, MamdaTradeFields.PREV_CLOSE_PRICE, new TradePrevClosePrice());
addToUpdatersList(updaters, MamdaTradeFields.TRADE_SEQNUM, new TradeEventSeqNum());
addToUpdatersList(updaters, MamdaTradeFields.SHORT_SALE_CIRCUIT_BREAKER, new MamdaShortSaleCircuitBreaker());
addToUpdatersList(updaters, MamdaTradeFields.ORIG_SHORT_SALE_CIRCUIT_BREAKER, new MamdaOrigShortSaleCircuitBreaker());
addToUpdatersList(updaters, MamdaTradeFields.CORR_SHORT_SALE_CIRCUIT_BREAKER, new MamdaCorrShortSaleCircuitBreaker());
addToUpdatersList(updaters, MamdaTradeFields.TRADE_QUALIFIER, new TradeQualStr());
addToUpdatersList(updaters, MamdaTradeFields.SALE_CONDITION, new TradeQualNativeStr());
addToUpdatersList(updaters, MamdaTradeFields.TRADE_PART_ID, new TradeLastPartId());
addToUpdatersList(updaters, MamdaTradeFields.TOTAL_VALUE, new TradeTotalValue());
addToUpdatersList(updaters, MamdaTradeFields.OFF_EXCHANGE_TOTAL_VALUE, new TradeOffExTotalValue());
addToUpdatersList(updaters, MamdaTradeFields.ON_EXCHANGE_TOTAL_VALUE, new TradeOnExTotalValue());
addToUpdatersList(updaters, MamdaTradeFields.VWAP, new TradeVWap());
addToUpdatersList(updaters, MamdaTradeFields.OFF_EXCHANGE_VWAP, new TradeOffExVWap());
addToUpdatersList(updaters, MamdaTradeFields.ON_EXCHANGE_VWAP, new TradeOnExVWap());
addToUpdatersList(updaters, MamdaTradeFields.STD_DEV, new TradeStdDev());
addToUpdatersList(updaters, MamdaTradeFields.STD_DEV_SUM, new TradeStdDevSum());
addToUpdatersList(updaters, MamdaTradeFields.STD_DEV_SUM_SQUARES, new TradeStdDevSumSquares());
addToUpdatersList(updaters, MamdaTradeFields.ORDER_ID, new TradeOrderId());
addToUpdatersList(updaters, MamdaTradeFields.SETTLE_PRICE, new TradeSettlePrice());
addToUpdatersList(updaters, MamdaTradeFields.SETTLE_DATE, new TradeSettleDate());
addToUpdatersList(updaters, MamdaTradeFields.SELLERS_SALE_DAYS, new TradeSellerSalesDays());
addToUpdatersList(updaters, MamdaTradeFields.STOP_STOCK_IND, new TradeStopStockInd());
addToUpdatersList(updaters, MamdaTradeFields.TRADE_EXEC_VENUE, new TradeExecVenue());
addToUpdatersList(updaters, MamdaTradeFields.OFF_EXCHANGE_TRADE_PRICE, new OffExTradePrice());
addToUpdatersList(updaters, MamdaTradeFields.ON_EXCHANGE_TRADE_PRICE, new OnExTradePrice());
addToUpdatersList(updaters, MamdaTradeFields.IS_IRREGULAR, new TradeIsIrregular());
addToUpdatersList(updaters, MamdaTradeFields.ORIG_PART_ID, new TradeOrigPartId());
addToUpdatersList(updaters, MamdaTradeFields.ORIG_PRICE, new TradeOrigPrice());
addToUpdatersList(updaters, MamdaTradeFields.ORIG_SIZE, new TradeOrigVolume());
addToUpdatersList(updaters, MamdaTradeFields.ORIG_SEQNUM, new TradeOrigSeqNum());
addToUpdatersList(updaters, MamdaTradeFields.ORIG_TRADE_QUALIFIER, new TradeOrigQualStr());
addToUpdatersList(updaters, MamdaTradeFields.ORIG_SALE_CONDITION, new TradeOrigQualNativeStr());
addToUpdatersList(updaters, MamdaTradeFields.ORIG_SELLERS_SALE_DAYS, new TradeOrigSellersSaleDays());
addToUpdatersList(updaters, MamdaTradeFields.ORIG_STOP_STOCK_IND, new TradeOrigStopStockInd());
addToUpdatersList(updaters, MamdaTradeFields.CORR_PART_ID, new TradeCorrPartId());
addToUpdatersList(updaters, MamdaTradeFields.CORR_PRICE, new TradeCorrPrice());
addToUpdatersList(updaters, MamdaTradeFields.CORR_SIZE, new TradeCorrVolume());
addToUpdatersList(updaters, MamdaTradeFields.CORR_TRADE_QUALIFIER, new TradeCorrQualStr());
addToUpdatersList(updaters, MamdaTradeFields.CORR_SALE_CONDITION, new TradeCorrQualNativeStr());
addToUpdatersList(updaters, MamdaTradeFields.CORR_SELLERS_SALE_DAYS, new TradeCorrSellersSaleDays());
addToUpdatersList(updaters, MamdaTradeFields.CORR_STOP_STOCK_IND, new TradeCorrStopStockInd());
addToUpdatersList(updaters, MamdaTradeFields.CORR_TIME, new TradeCorrTime());
addToUpdatersList(updaters, MamdaTradeFields.CANCEL_TIME, new TradeCancelTime());
addToUpdatersList(updaters, MamdaTradeFields.TRADE_COUNT, new TradeCount());
addToUpdatersList(updaters, MamdaTradeFields.CONFLATE_COUNT, new TradeConflateCount());
addToUpdatersList(updaters, MamdaTradeFields.TRADE_UNITS, new TradeUnits());
addToUpdatersList(updaters, MamdaTradeFields.HIGH_SEQNUM, new TradeHighSeqNum());
addToUpdatersList(updaters, MamdaTradeFields.LOW_SEQNUM, new TradeLowSeqNum());
addToUpdatersList(updaters, MamdaTradeFields.LAST_SEQNUM, new TradeLastSeqNum());
addToUpdatersList(updaters, MamdaTradeFields.TOTAL_VOLUME_SEQNUM, new TradeTotalVolumeSeqNum());
addToUpdatersList(updaters, MamdaTradeFields.CURRENCY_CODE, new TradeCurrencyCode());
addToUpdatersList(updaters, MamdaTradeFields.BLOCK_COUNT, new TradeBlockCount());
addToUpdatersList(updaters, MamdaTradeFields.BLOCK_VOLUME, new TradeBlockVolume());
addToUpdatersList(updaters, MamdaTradeFields.PREV_CLOSE_DATE, new TradePrevCloseDate());
addToUpdatersList(updaters, MamdaTradeFields.ADJ_PREV_CLOSE, new TradeAdjPrevClose());
addToUpdatersList(updaters, MamdaTradeFields.IRREG_PRICE, new TradeIrregPrice());
addToUpdatersList(updaters, MamdaTradeFields.IRREG_SIZE, new TradeIrregVolume());
addToUpdatersList(updaters, MamdaTradeFields.IRREG_PART_ID, new TradeIrregPartId());
addToUpdatersList(updaters, MamdaTradeFields.IRREG_TIME, new TradeIrregTime());
addToUpdatersList(updaters, MamdaTradeFields.UPDATE_AS_TRADE, new TradeUpdateAsTrade());
return updaters;
}
private static void MarketDataSource_TradeUpdateEvent(TradeUpdate tradeUpdate)
{
Console.WriteLine("Client Id " + tradeUpdate.ClientId + " Product Type " + tradeUpdate.Product + " Order Type " + tradeUpdate.OrderType + " Trade Price " + tradeUpdate.TradePrice + " Traded Qty " + tradeUpdate.TradeQuantity + " Filled Qty " + tradeUpdate.FilledQty);
}
public void Start()
{
_pricesReader.SubscribeToChanges(prices =>
{
foreach (var price in prices)
{
_priceStraem.WriteToStream(_mapper.Map <PriceUpdate>(price));
}
});
_tickerReader.SubscribeToChanges(tickers =>
{
foreach (var ticker in tickers)
{
_tickerStream.WriteToStream(_mapper.Map <TickerUpdate>(ticker));
}
});
_orderbookReader.SubscribeToChanges(orderbooks =>
{
foreach (var orderbook in orderbooks)
{
var item = _mapper.Map <Orderbook>(orderbook);
item.Asks.AddRange(_mapper.Map <List <Orderbook.Types.PriceVolume> >(orderbook.Asks));
item.Bids.AddRange(_mapper.Map <List <Orderbook.Types.PriceVolume> >(orderbook.Bids));
_orderbookStream.WriteToStream(item, orderbook.AssetPairId);
}
});
_balanceReader.SubscribeToChanges(balances =>
{
var balancesByWallet = balances.GroupBy(x => x.WalletId);
foreach (var walletBalanes in balancesByWallet)
{
var balanceUpdate = new BalanceUpdate();
balanceUpdate.Balances.AddRange(_mapper.Map <List <Balance> >(walletBalanes.ToList()));
_balanceStream.WriteToStream(balanceUpdate, walletBalanes.Key);
}
});
_orderReader.SubscribeToChanges(ordersEntities =>
{
var ordersByWallet = ordersEntities.GroupBy(x => x.WalletId);
foreach (var walletOrders in ordersByWallet)
{
var orderUpdate = new OrderUpdate();
orderUpdate.Orders.AddRange(_mapper.Map <List <Order> >(walletOrders.ToList()));
_orderStream.WriteToStream(orderUpdate, walletOrders.Key);
}
});
_tradeReader.SubscribeToChanges(tradeEntities =>
{
var tradesByWallet = tradeEntities.GroupBy(x => x.WalletId);
foreach (var walletTrades in tradesByWallet)
{
var tradeUpdate = new TradeUpdate();
tradeUpdate.Trades.AddRange(_mapper.Map <List <Trade> >(walletTrades.ToList()));
_tradeStream.WriteToStream(tradeUpdate, walletTrades.Key);
}
});
Console.WriteLine("Stream services started.");
}
