public IReadOnlyList <OrderBook> GetFilteredByWallets()
{
var allOrderBooks = GetAll();
var wallets = GetSettings().Wallets;
if (!wallets.Any())
{
return(allOrderBooks);
}
var result = new List <OrderBook>();
foreach (var orderBook in allOrderBooks)
{
var newBids = orderBook.Bids.Where(x => wallets.Keys.Contains(x.WalletId)).ToList();
var newAsks = orderBook.Asks.Where(x => wallets.Keys.Contains(x.WalletId)).ToList();
if (!newBids.Any() && !newAsks.Any())
{
continue;
}
var newOrderBook = new OrderBook(orderBook.Source, orderBook.AssetPair, newBids, newAsks, orderBook.Timestamp);
result.Add(newOrderBook);
}
return(result);
}
private static OrderBook Convert(CacheProviderOrderBook orderBook)
{
var bids = new List <LimitOrder>();
var asks = new List <LimitOrder>();
foreach (var limitOrder in orderBook.Prices)
{
// Filter out negative or zero prices and zero volumes
if (limitOrder.Price <= 0 || (decimal)limitOrder.Volume == 0)
{
continue;
}
if (limitOrder.Volume > 0)
{
bids.Add(new LimitOrder(limitOrder.Id, limitOrder.ClientId, (decimal)limitOrder.Price, (decimal)limitOrder.Volume));
}
else
{
asks.Add(new LimitOrder(limitOrder.Id, limitOrder.ClientId, (decimal)limitOrder.Price, Math.Abs((decimal)limitOrder.Volume)));
}
}
var result = new OrderBook(LykkeExchangeName, new AssetPair(orderBook.AssetPair), bids, asks, orderBook.Timestamp);
return(result);
}
private void AddOrderBookFromCacheProvider(OrderBook orderBook)
{
if (!_assetPairs.ContainsKey(orderBook.AssetPair.Id))
{
return;
}
orderBook.SetAssetPair(_assetPairs[orderBook.AssetPair.Id]);
lock (_sync)
{
if (!_dirtyLykkeOrderBooks.ContainsKey(orderBook.AssetPair.Id))
{
_dirtyLykkeOrderBooks.Add(orderBook.AssetPair.Id, orderBook);
}
else
{
// Update half only if it doesn't exist
var dirtyOrderBook = _dirtyLykkeOrderBooks[orderBook.AssetPair.Id];
var newBids = dirtyOrderBook.Bids ?? orderBook.Bids;
var newAsks = dirtyOrderBook.Asks ?? orderBook.Asks;
var newOrderBook = new OrderBook(orderBook.Source, orderBook.AssetPair, newBids, newAsks, orderBook.Timestamp);
_dirtyLykkeOrderBooks[orderBook.AssetPair.Id] = newOrderBook;
}
}
MoveFromDirtyToMain(orderBook.AssetPair.Id);
}
public Task HandleAsync(OrderBook orderBook)
{
if (!_assetPairs.ContainsKey(orderBook.AssetPair.Id))
{
return(Task.CompletedTask);
}
orderBook.SetAssetPair(_assetPairs[orderBook.AssetPair.Id]);
lock (_sync)
{
if (!_dirtyLykkeOrderBooks.ContainsKey(orderBook.AssetPair.Id))
{
_dirtyLykkeOrderBooks.Add(orderBook.AssetPair.Id, orderBook);
}
else
{
// Update half even if it already exists
var dirtyOrderBook = _dirtyLykkeOrderBooks[orderBook.AssetPair.Id];
var newBids = orderBook.Bids ?? dirtyOrderBook.Bids;
var newAsks = orderBook.Asks ?? dirtyOrderBook.Asks;
var newOrderBook = new OrderBook(orderBook.Source, orderBook.AssetPair, newBids, newAsks, orderBook.Timestamp);
_dirtyLykkeOrderBooks[orderBook.AssetPair.Id] = newOrderBook;
}
}
MoveFromDirtyToMain(orderBook.AssetPair.Id);
return(Task.CompletedTask);
}
private IReadOnlyList <string> GetMarketMakers(OrderBook orderBook)
{
var result = new List <string>();
var wallets = GetSettings().Wallets;
var walletIds = wallets.Keys;
if (!wallets.Any())
{
return(result);
}
var bidsWalletIds = orderBook.Bids.Select(x => x.WalletId).Intersect(walletIds);
var asksWalletIds = orderBook.Asks.Select(x => x.WalletId).Intersect(walletIds);
var allFoundWalletIds = bidsWalletIds.Union(asksWalletIds);
foreach (var walletId in allFoundWalletIds)
{
result.Add(wallets[walletId]);
}
return(result.Distinct().OrderBy(x => x).ToList());
}