public Task ProcessNewExternalOrderbookAsync(ExternalExchangeOrderbookMessage orderbook)
{
if (string.IsNullOrEmpty(orderbook.AssetPairId) || string.IsNullOrEmpty(orderbook.ExchangeName))
{
return(Task.CompletedTask);
}
var settings = _settingsService.TryGetAssetPair(orderbook.ExchangeName, orderbook.AssetPairId);
if (settings == null || (orderbook.Bids?.Count ?? 0) == 0 || (orderbook.Asks?.Count ?? 0) == 0)
{
return(Task.CompletedTask);
}
orderbook.Bids.RemoveAll(e => e == null || e.Price <= 0 || e.Volume == 0);
orderbook.Asks.RemoveAll(e => e == null || e.Price <= 0 || e.Volume == 0);
orderbook.Bids.Sort((a, b) => - a.Price.CompareTo(b.Price));
orderbook.Asks.Sort((a, b) => a.Price.CompareTo(b.Price));
var now = _system.UtcNow;
var externalOrderbook = new ExternalExchangeOrderbookMessage
{
AssetPairId = settings.ResultingAssetPairId,
ExchangeName = orderbook.ExchangeName,
Timestamp = now,
Bids = GetOrderbookPositions(orderbook.Bids, settings.Markups.BidMultiplier),
Asks = GetOrderbookPositions(orderbook.Asks, settings.Markups.AskMultiplier)
};
_watchdogService.OnOrderbookArrived(orderbook.ExchangeName, orderbook.AssetPairId, now);
WriteStats(orderbook, externalOrderbook, now);
return(_messageProducer.ProduceAsync(externalOrderbook));
}
