public Task <List <string> > GetAllAccountIdsFiltered([FromBody] ActiveAccountsRequest request)
{
if (request.IsAndClauseApplied != null &&
(request.ActiveOrderAssetPairIds == null || request.ActivePositionAssetPairIds == null))
{
throw new ArgumentException("isAndClauseApplied might be set only if both filters are set",
nameof(request.IsAndClauseApplied));
}
List <string> accountIdsByOrders = null;
if (request.ActiveOrderAssetPairIds != null)
{
accountIdsByOrders = _orderReader.GetPending()
.Where(x => request.ActiveOrderAssetPairIds.Count == 0 ||
request.ActiveOrderAssetPairIds.Contains(x.AssetPairId))
.Select(x => x.AccountId)
.Distinct()
.ToList();
}
List <string> accountIdsByPositions = null;
if (request.ActivePositionAssetPairIds != null)
{
accountIdsByPositions = _orderReader.GetPositions()
.Where(x => request.ActivePositionAssetPairIds.Count == 0 ||
request.ActivePositionAssetPairIds.Contains(x.AssetPairId))
.Select(x => x.AccountId)
.Distinct()
.ToList();
}
if (accountIdsByOrders == null && accountIdsByPositions != null)
{
return(Task.FromResult(accountIdsByPositions.OrderBy(x => x).ToList()));
}
if (accountIdsByOrders != null && accountIdsByPositions == null)
{
return(Task.FromResult(accountIdsByOrders.OrderBy(x => x).ToList()));
}
if (accountIdsByOrders == null && accountIdsByPositions == null)
{
return(Task.FromResult(_accountsCacheService.GetAll().Select(x => x.Id).OrderBy(x => x).ToList()));
}
if (request.IsAndClauseApplied ?? false)
{
return(Task.FromResult(accountIdsByOrders.Intersect(accountIdsByPositions)
.OrderBy(x => x).ToList()));
}
return(Task.FromResult(accountIdsByOrders.Concat(accountIdsByPositions)
.Distinct().OrderBy(x => x).ToList()));
}
private decimal GetNetPositionCloseVolume(ICollection <string> positionIds, string accountId)
{
var netPositionVolume = _orderReader.GetPositions()
.Where(x => positionIds.Contains(x.Id) &&
(string.IsNullOrEmpty(accountId) || x.AccountId == accountId))
.Sum(x => x.Volume);
return(-netPositionVolume);
}
/// <inheritdoc/>
public async Task <SnapshotValidationResult> ValidateCurrentStateAsync()
{
await _log.WriteInfoAsync(nameof(SnapshotValidationService), nameof(ValidateCurrentStateAsync),
$"Snapshot validation started: {DateTime.UtcNow}");
var currentOrders = _orderCache.GetAllOrders();
var currentPositions = _orderCache.GetPositions();
var tradingEngineSnapshot = await _tradingEngineSnapshotsRepository.GetLastAsync();
await _log.WriteInfoAsync(nameof(SnapshotValidationService), nameof(ValidateCurrentStateAsync),
$"Last snapshot correlationId {tradingEngineSnapshot.CorrelationId}, tradingDay {tradingEngineSnapshot.TradingDay}, timestamp {tradingEngineSnapshot.Timestamp}");
var lastOrders = GetOrders(tradingEngineSnapshot);
var lastPositions = GetPositions(tradingEngineSnapshot);
var ordersHistory = await _ordersHistoryRepository.GetLastSnapshot(tradingEngineSnapshot.Timestamp);
var positionsHistory = await _positionsHistoryRepository.GetLastSnapshot(tradingEngineSnapshot.Timestamp);
var restoredOrders = RestoreOrdersCurrentStateFromHistory(lastOrders, ordersHistory);
var restoredPositions = RestorePositionsCurrentStateFromHistory(lastPositions, positionsHistory);
var ordersValidationResult = CompareOrders(currentOrders, restoredOrders);
var positionsValidationResult = ComparePositions(currentPositions, restoredPositions);
if (ordersValidationResult.IsValid)
{
await _log.WriteInfoAsync(nameof(SnapshotValidationService), nameof(ValidateCurrentStateAsync),
$"Orders validation result is valid");
}
else
{
await _log.WriteWarningAsync(nameof(SnapshotValidationService), nameof(ValidateCurrentStateAsync),
$"Orders validation result is NOT valid. Extra: {ordersValidationResult.Extra.Count}, missed: {ordersValidationResult.Missed.Count}, inconsistent: {ordersValidationResult.Inconsistent.Count}");
}
if (positionsValidationResult.IsValid)
{
await _log.WriteInfoAsync(nameof(SnapshotValidationService), nameof(ValidateCurrentStateAsync),
$"Positions validation result is valid");
}
else
{
await _log.WriteWarningAsync(nameof(SnapshotValidationService), nameof(ValidateCurrentStateAsync),
$"Positions validation result is NOT valid. Extra: {positionsValidationResult.Extra.Count}, missed: {positionsValidationResult.Missed.Count}, inconsistent: {positionsValidationResult.Inconsistent.Count}");
}
return(new SnapshotValidationResult
{
Orders = ordersValidationResult,
Positions = positionsValidationResult,
PreviousSnapshotCorrelationId = tradingEngineSnapshot.CorrelationId
});
}
public async Task <string> MakeTradingDataSnapshot(DateTime tradingDay, string correlationId)
{
if (!_scheduleSettingsCacheService.TryGetPlatformCurrentDisabledInterval(out var disabledInterval))
{
throw new Exception(
"Trading should be stopped for whole platform in order to make trading data snapshot.");
}
if (disabledInterval.Start.AddDays(-1) > tradingDay.Date || disabledInterval.End < tradingDay.Date)
{
throw new Exception(
$"{nameof(tradingDay)}'s Date component must be from current disabled interval's Start -1d to End: [{disabledInterval.Start.AddDays(-1)}, {disabledInterval.End}].");
}
await _semaphoreSlim.WaitAsync();
try
{
var orders = _orderReader.GetAllOrders();
var positions = _orderReader.GetPositions();
var accountStats = _accountsCacheService.GetAll();
var bestFxPrices = _fxRateCacheService.GetAllQuotes();
var bestPrices = _quoteCacheService.GetAllQuotes();
await _tradingEngineSnapshotsRepository.Add(tradingDay,
correlationId,
_dateService.Now(),
orders.Select(x => x.ConvertToContract(_orderReader)).ToJson(),
positions.Select(x => x.ConvertToContract(_orderReader)).ToJson(),
accountStats.Select(x => x.ConvertToContract()).ToJson(),
bestFxPrices.ToDictionary(q => q.Key, q => q.Value.ConvertToContract()).ToJson(),
bestPrices.ToDictionary(q => q.Key, q => q.Value.ConvertToContract()).ToJson());
return($@"Trading data snapshot was written to the storage.
Orders: {orders.Length}, positions: {positions.Length}, accounts: {accountStats.Count},
best FX prices: {bestFxPrices.Count}, best trading prices: {bestPrices.Count}.");
}
finally
{
_semaphoreSlim.Release();
}
}
private async Task Handle(BlockAccountsForDeletionCommand command, IEventPublisher publisher)
{
var executionInfo = await _operationExecutionInfoRepository.GetOrAddAsync(
operationName : OperationName,
operationId : command.OperationId,
factory : () => new OperationExecutionInfo <DeleteAccountsOperationData>(
operationName: OperationName,
id: command.OperationId,
lastModified: _dateService.Now(),
data: new DeleteAccountsOperationData
{
State = OperationState.Initiated
}
));
//todo think how to remove state saving from commands handler here and for Withdrawal
if (executionInfo.Data.SwitchState(OperationState.Initiated, OperationState.Started))
{
var failedAccounts = new Dictionary <string, string>();
foreach (var accountId in command.AccountIds)
{
MarginTradingAccount account = null;
try
{
account = _accountsCacheService.Get(accountId);
}
catch (Exception exception)
{
failedAccounts.Add(accountId, exception.Message);
continue;
}
var positionsCount = _orderReader.GetPositions().Count(x => x.AccountId == accountId);
if (positionsCount != 0)
{
failedAccounts.Add(accountId, $"Account contain {positionsCount} open positions which must be closed before account deletion.");
continue;
}
var orders = _orderReader.GetPending().Where(x => x.AccountId == accountId).ToList();
if (orders.Any())
{
var(failedToCloseOrderId, failReason) = ((string)null, (string)null);
foreach (var order in orders)
{
try
{
_tradingEngine.CancelPendingOrder(order.Id, order.AdditionalInfo, command.OperationId,
$"{nameof(DeleteAccountsCommandsHandler)}: force close all orders.",
OrderCancellationReason.AccountInactivated);
}
catch (Exception exception)
{
failedToCloseOrderId = order.Id;
failReason = exception.Message;
break;
}
}
if (failedToCloseOrderId != null)
{
failedAccounts.Add(accountId, $"Failed to close order [{failedToCloseOrderId}]: {failReason}.");
continue;
}
}
if (account.AccountFpl.WithdrawalFrozenMarginData.Any())
{
await _log.WriteErrorAsync(nameof(DeleteAccountsCommandsHandler),
nameof(BlockAccountsForDeletionCommand), account.ToJson(),
new Exception("While deleting an account it contained some frozen withdrawal data. Account is deleted."));
}
if (account.AccountFpl.UnconfirmedMarginData.Any())
{
await _log.WriteErrorAsync(nameof(DeleteAccountsCommandsHandler),
nameof(BlockAccountsForDeletionCommand), account.ToJson(),
new Exception("While deleting an account it contained some unconfirmed margin data. Account is deleted."));
}
if (account.Balance != 0)
{
await _log.WriteErrorAsync(nameof(DeleteAccountsCommandsHandler),
nameof(BlockAccountsForDeletionCommand), account.ToJson(),
new Exception("While deleting an account it's balance on side of TradingCore was non zero. Account is deleted."));
}
if (!await UpdateAccount(account, true,
r => failedAccounts.Add(accountId, r), command.Timestamp))
{
continue;
}
}
publisher.PublishEvent(new AccountsBlockedForDeletionEvent(
operationId: command.OperationId,
eventTimestamp: _dateService.Now(),
failedAccountIds: failedAccounts
));
_chaosKitty.Meow($"{nameof(BlockAccountsForDeletionCommand)}: " +
"Save_OperationExecutionInfo: " +
$"{command.OperationId}");
await _operationExecutionInfoRepository.Save(executionInfo);
}
}
private async Task Handle(StartSpecialLiquidationInternalCommand command, IEventPublisher publisher)
{
if (!_marginTradingSettings.SpecialLiquidation.Enabled)
{
publisher.PublishEvent(new SpecialLiquidationFailedEvent
{
OperationId = command.OperationId,
CreationTime = _dateService.Now(),
Reason = "Special liquidation is disabled in settings",
});
return;
}
//validate the list of positions contain only the same instrument
var positions = _orderReader.GetPositions().Where(x => command.PositionIds.Contains(x.Id)).ToList();
if (!string.IsNullOrEmpty(command.AccountId))
{
if (_accountsCacheService.TryGet(command.AccountId) == null)
{
publisher.PublishEvent(new SpecialLiquidationFailedEvent
{
OperationId = command.OperationId,
CreationTime = _dateService.Now(),
Reason = $"Account {command.AccountId} does not exist",
});
return;
}
positions = positions.Where(x => x.AccountId == command.AccountId).ToList();
}
if (positions.Select(x => x.AssetPairId).Distinct().Count() > 1)
{
publisher.PublishEvent(new SpecialLiquidationFailedEvent
{
OperationId = command.OperationId,
CreationTime = _dateService.Now(),
Reason = "The list of positions is of different instruments",
});
return;
}
if (!positions.Any())
{
publisher.PublishEvent(new SpecialLiquidationFailedEvent
{
OperationId = command.OperationId,
CreationTime = _dateService.Now(),
Reason = "No positions to liquidate",
});
return;
}
if (!TryGetExchangeNameFromPositions(positions, out var externalProviderId))
{
publisher.PublishEvent(new SpecialLiquidationFailedEvent
{
OperationId = command.OperationId,
CreationTime = _dateService.Now(),
Reason = "All requested positions must be open on the same external exchange",
});
return;
}
var assetPairId = positions.First().AssetPairId;
if (_assetPairsCache.GetAssetPairById(assetPairId).IsDiscontinued)
{
publisher.PublishEvent(new SpecialLiquidationFailedEvent
{
OperationId = command.OperationId,
CreationTime = _dateService.Now(),
Reason = $"Asset pair {assetPairId} is discontinued",
});
return;
}
var executionInfo = await _operationExecutionInfoRepository.GetOrAddAsync(
operationName : SpecialLiquidationSaga.OperationName,
operationId : command.OperationId,
factory : () => new OperationExecutionInfo <SpecialLiquidationOperationData>(
operationName: SpecialLiquidationSaga.OperationName,
id: command.OperationId,
lastModified: _dateService.Now(),
data: new SpecialLiquidationOperationData
{
State = SpecialLiquidationOperationState.Initiated,
Instrument = assetPairId,
PositionIds = positions.Select(x => x.Id).ToList(),
ExternalProviderId = externalProviderId,
AccountId = command.AccountId,
CausationOperationId = command.CausationOperationId,
AdditionalInfo = command.AdditionalInfo,
OriginatorType = command.OriginatorType
}
));
if (executionInfo.Data.SwitchState(SpecialLiquidationOperationState.Initiated, SpecialLiquidationOperationState.Started))
{
publisher.PublishEvent(new SpecialLiquidationStartedInternalEvent
{
OperationId = command.OperationId,
CreationTime = _dateService.Now(),
Instrument = positions.FirstOrDefault()?.AssetPairId,
});
_chaosKitty.Meow(command.OperationId);
await _operationExecutionInfoRepository.Save(executionInfo);
}
}
public async Task Handle(ProductChangedEvent @event)
{
switch (@event.ChangeType)
{
case ChangeType.Creation:
case ChangeType.Edition:
if ([email protected])
{
_log.WriteInfo(nameof(ProductChangedProjection),
nameof(Handle),
$"ProductChangedEvent received for productId: {@event.NewValue.ProductId}, but it was ignored because it has not been started yet.");
return;
}
break;
case ChangeType.Deletion:
if ([email protected])
{
_log.WriteInfo(nameof(ProductChangedProjection),
nameof(Handle),
$"ProductChangedEvent received for productId: {@event.OldValue.ProductId}, but it was ignored because it has not been started yet.");
return;
}
break;
default:
throw new ArgumentOutOfRangeException();
}
if (@event.ChangeType == ChangeType.Deletion)
{
CloseAllOrders();
ValidatePositions(@event.OldValue.ProductId);
_assetPairsCache.Remove(@event.OldValue.ProductId);
}
else
{
if (@event.NewValue.IsDiscontinued)
{
CloseAllOrders();
RemoveQuoteFromCache();
}
await _tradingInstrumentsManager.UpdateTradingInstrumentsCacheAsync();
var isAdded = _assetPairsCache.AddOrUpdate(AssetPair.CreateFromProduct(@event.NewValue,
_mtSettings.DefaultLegalEntitySettings.DefaultLegalEntity));
if (@event.NewValue.TradingCurrency != AssetPairConstants.BaseCurrencyId)
{
_assetPairsCache.AddOrUpdate(AssetPair.CreateFromCurrency(@event.NewValue.TradingCurrency,
_mtSettings.DefaultLegalEntitySettings.DefaultLegalEntity));
}
//only for product
if (isAdded)
{
await _scheduleSettingsCacheService.UpdateScheduleSettingsAsync();
}
if (@event.ChangeType == ChangeType.Edition &&
@event.OldValue.IsTradingDisabled != @event.NewValue.IsTradingDisabled)
{
await HandleTradingDisabled(@event.NewValue, @event.Username);
}
}
void RemoveQuoteFromCache()
{
var result = _quoteCache.RemoveQuote(@event.OldValue.ProductId);
if (result != RemoveQuoteErrorCode.None)
{
_log.WriteWarning(nameof(ProductChangedProjection), nameof(RemoveQuoteFromCache), result.Message);
}
}
void CloseAllOrders()
{
try
{
foreach (var order in _orderReader.GetPending()
.Where(x => x.AssetPairId == @event.OldValue.ProductId))
{
_tradingEngine.CancelPendingOrder(order.Id, null,
null, OrderCancellationReason.InstrumentInvalidated);
}
}
catch (Exception exception)
{
_log.WriteError(nameof(ProductChangedProjection), nameof(CloseAllOrders), exception);
throw;
}
}
void ValidatePositions(string assetPairId)
{
var positions = _orderReader.GetPositions(assetPairId);
if (positions.Any())
{
_log.WriteFatalError(nameof(ProductChangedProjection), nameof(ValidatePositions),
new Exception(
$"{positions.Length} positions are opened for [{assetPairId}], first: [{positions.First().Id}]."));
}
}
}
public async Task Handle(AssetPairChangedEvent @event)
{
//deduplication is not required, it's ok if an object is updated multiple times
if (@event.AssetPair?.Id == null)
{
await _log.WriteWarningAsync(nameof(AssetPairProjection), nameof(Handle),
"AssetPairChangedEvent contained no asset pair id");
return;
}
if (IsDelete(@event))
{
CloseAllOrders();
ValidatePositions(@event.AssetPair.Id);
_assetPairsCache.Remove(@event.AssetPair.Id);
}
else
{
if (@event.AssetPair.IsDiscontinued)
{
CloseAllOrders();
}
_assetPairsCache.AddOrUpdate(new AssetPair(
id: @event.AssetPair.Id,
name: @event.AssetPair.Name,
baseAssetId: @event.AssetPair.BaseAssetId,
quoteAssetId: @event.AssetPair.QuoteAssetId,
accuracy: @event.AssetPair.Accuracy,
legalEntity: @event.AssetPair.LegalEntity,
basePairId: @event.AssetPair.BasePairId,
matchingEngineMode: @event.AssetPair.MatchingEngineMode.ToType <MatchingEngineMode>(),
stpMultiplierMarkupBid: @event.AssetPair.StpMultiplierMarkupBid,
stpMultiplierMarkupAsk: @event.AssetPair.StpMultiplierMarkupAsk,
isSuspended: @event.AssetPair.IsSuspended,
isFrozen: @event.AssetPair.IsFrozen,
isDiscontinued: @event.AssetPair.IsDiscontinued
));
}
await _scheduleSettingsCacheService.UpdateSettingsAsync();
void CloseAllOrders()
{
try
{
foreach (var order in _orderReader.GetPending().Where(x => x.AssetPairId == @event.AssetPair.Id))
{
_tradingEngine.CancelPendingOrder(order.Id, null, @event.OperationId,
null, OrderCancellationReason.InstrumentInvalidated);
}
}
catch (Exception exception)
{
_log.WriteError(nameof(AssetPairProjection), nameof(CloseAllOrders), exception);
throw;
}
}
void ValidatePositions(string assetPairId)
{
var positions = _orderReader.GetPositions(assetPairId);
if (positions.Any())
{
_log.WriteFatalError(nameof(AssetPairProjection), nameof(ValidatePositions),
new Exception($"{positions.Length} positions are opened for [{assetPairId}], first: [{positions.First().Id}]."));
}
}
}
/// <inheritdoc />
public async Task <string> MakeTradingDataSnapshot(DateTime tradingDay, string correlationId, SnapshotStatus status = SnapshotStatus.Final)
{
if (!_scheduleSettingsCacheService.TryGetPlatformCurrentDisabledInterval(out var disabledInterval))
{
//TODO: remove later (if everything will work and we will never go to this branch)
_scheduleSettingsCacheService.MarketsCacheWarmUp();
if (!_scheduleSettingsCacheService.TryGetPlatformCurrentDisabledInterval(out disabledInterval))
{
throw new Exception(
$"Trading should be stopped for whole platform in order to make trading data snapshot. Current schedule: {_scheduleSettingsCacheService.GetPlatformTradingSchedule()?.ToJson()}");
}
}
if (disabledInterval.Start.AddDays(-1) > tradingDay.Date || disabledInterval.End < tradingDay.Date)
{
throw new Exception(
$"{nameof(tradingDay)}'s Date component must be from current disabled interval's Start -1d to End: [{disabledInterval.Start.AddDays(-1)}, {disabledInterval.End}].");
}
if (Lock.CurrentCount == 0)
{
throw new InvalidOperationException("Trading data snapshot creation is already in progress");
}
// We must be sure all messages have been processed by history brokers before starting current state validation.
// If one or more queues contain not delivered messages the snapshot can not be created.
_queueValidationService.ThrowExceptionIfQueuesNotEmpty(true);
// Before starting snapshot creation the current state should be validated.
var validationResult = await _snapshotValidationService.ValidateCurrentStateAsync();
if (!validationResult.IsValid)
{
var ex = new InvalidOperationException(
$"The trading data snapshot might be corrupted. The current state of orders and positions is incorrect. Check the dbo.BlobData table for more info: container {LykkeConstants.MtCoreSnapshotBlobContainer}, correlationId {correlationId}");
await _log.WriteFatalErrorAsync(nameof(SnapshotService),
nameof(MakeTradingDataSnapshot),
validationResult.ToJson(),
ex);
await _blobRepository.WriteAsync(LykkeConstants.MtCoreSnapshotBlobContainer, correlationId, validationResult);
}
else
{
await _log.WriteInfoAsync(nameof(SnapshotService), nameof(MakeTradingDataSnapshot),
"The current state of orders and positions is correct.");
}
await Lock.WaitAsync();
try
{
var orders = _orderReader.GetAllOrders();
var ordersJson = orders.Select(o => o.ConvertToSnapshotContract(_orderReader, status)).ToJson();
await _log.WriteInfoAsync(nameof(SnapshotService), nameof(MakeTradingDataSnapshot),
$"Preparing data... {orders.Length} orders prepared.");
var positions = _orderReader.GetPositions();
var positionsJson = positions.Select(p => p.ConvertToSnapshotContract(_orderReader, status)).ToJson();
await _log.WriteInfoAsync(nameof(SnapshotService), nameof(MakeTradingDataSnapshot),
$"Preparing data... {positions.Length} positions prepared.");
var accountStats = _accountsCacheService.GetAll();
var accountsJson = accountStats.Select(a => a.ConvertToSnapshotContract(status)).ToJson();
await _log.WriteInfoAsync(nameof(SnapshotService), nameof(MakeTradingDataSnapshot),
$"Preparing data... {accountStats.Count} accounts prepared.");
var bestFxPrices = _fxRateCacheService.GetAllQuotes();
var bestFxPricesData = bestFxPrices.ToDictionary(q => q.Key, q => q.Value.ConvertToContract()).ToJson();
await _log.WriteInfoAsync(nameof(SnapshotService), nameof(MakeTradingDataSnapshot),
$"Preparing data... {bestFxPrices.Count} best FX prices prepared.");
var bestPrices = _quoteCacheService.GetAllQuotes();
var bestPricesData = bestPrices.ToDictionary(q => q.Key, q => q.Value.ConvertToContract()).ToJson();
await _log.WriteInfoAsync(nameof(SnapshotService), nameof(MakeTradingDataSnapshot),
$"Preparing data... {bestPrices.Count} best trading prices prepared.");
var msg = $"TradingDay: {tradingDay:yyyy-MM-dd}, Orders: {orders.Length}, positions: {positions.Length}, accounts: {accountStats.Count}, best FX prices: {bestFxPrices.Count}, best trading prices: {bestPrices.Count}.";
await _log.WriteInfoAsync(nameof(SnapshotService), nameof(MakeTradingDataSnapshot),
$"Starting to write trading data snapshot. {msg}");
var snapshot = new TradingEngineSnapshot(
tradingDay,
correlationId,
_dateService.Now(),
ordersJson: ordersJson,
positionsJson: positionsJson,
accountsJson: accountsJson,
bestFxPricesJson: bestFxPricesData,
bestTradingPricesJson: bestPricesData,
status: status);
await _tradingEngineSnapshotsRepository.AddAsync(snapshot);
await _log.WriteInfoAsync(nameof(SnapshotService), nameof(MakeTradingDataSnapshot),
$"Trading data snapshot was written to the storage. {msg}");
return($"Trading data snapshot was written to the storage. {msg}");
}
finally
{
Lock.Release();
}
}