void OnPriceFeed(InstrumentPrice info)
{
if (Program.ShowFeed)
{
Console.WriteLine($"UTC[{DateTime.UtcNow.ToDateTimeString()}] | BidDate[{info.Date.ToDateTimeString()}] | {info.Instrument} {info.Bid}/{info.Ask}");
}
}
public static List <InstrumentPrice> Prices(String S)
{
var instruments = S.Split(';', '|');
var n = instruments.Count();
var p = 0;
var Name = "";
var AskPrice = "";
var BidPrice = "";
var tradeInstruments = new List <InstrumentPrice>();
foreach (var i in instruments)
{
n--;
if (p == 0)
{
Name = i;
p++;
}
else if (p == 1)
{
AskPrice = i;
p++;
}
else
{
BidPrice = i;
var tradeInstrument = new InstrumentPrice(Name, AskPrice, BidPrice);
tradeInstruments.Add(tradeInstrument);
p = 0;
}
}
return(tradeInstruments);
}
private void OnMessageReceived(InstrumentPrice bestBidAsk)
{
IBoxSize assetCfg = null;
// Lock Asset Configuration
lock (AssetConfigurationLock)
{
assetCfg = _assetConfiguration.FirstOrDefault(a => a.AssetPair == bestBidAsk.Instrument);
}
if (assetCfg == null)
{
return;
}
// If asset configured to save history, add it to history
if (assetCfg.SaveHistory)
{
_history?.AddToAssetHistory(new BestBidAsk()
{
Asset = bestBidAsk.Instrument,
BestAsk = bestBidAsk.Ask,
BestBid = bestBidAsk.Bid,
Source = bestBidAsk.Source,
Timestamp = bestBidAsk.Date,
ReceiveDate = DateTime.UtcNow
});
}
// If asset allowed in game, raise event
if (assetCfg.GameAllowed)
{
MessageReceived?.Invoke(this, (InstrumentPrice)bestBidAsk.ClonePrice());
}
}
private Task ProcessBestBidAsk(BestBidAsk bestBidAsk)
{
// If Price is zero/null publish exception to support slack channel
// and discard entry
if (bestBidAsk.BestAsk == null || bestBidAsk.BestAsk <= 0 ||
bestBidAsk.BestBid == null || bestBidAsk.BestBid <= 0)
{
//log
//LogWarning("ProcessBestBidAsk", string.Format("Received BestBidAsk with price zero [0], BestBidAsk discarded. {0}", bestBidAsk));
// Discard it
return(Task.FromResult(0));
}
InstrumentPrice assetbid = new InstrumentPrice()
{
Instrument = bestBidAsk.Asset,
Source = bestBidAsk.Source,
Ask = bestBidAsk.BestAsk.Value,
Bid = bestBidAsk.BestBid.Value,
Date = bestBidAsk.Timestamp,
ReceiveDate = DateTime.UtcNow
};
OnMessageReceived(assetbid);
return(Task.FromResult(0));
}
private List <InstrumentPrice> ReadFromFile(string filePath)
{
List <InstrumentPrice> dataList = new List <InstrumentPrice>();
var fileStream = new StreamReader(filePath);
string line;
fileStream.ReadLine(); // Skip first line
InstrumentPrice instrumentPrice;
decimal price;
DateTime date;
while ((line = fileStream.ReadLine()) != null)
{
var properties = line.Split(',');
if (Decimal.TryParse(properties[4], out price))
{
if (DateTime.TryParseExact(properties[3], _format,
CultureInfo.InvariantCulture,
DateTimeStyles.None,
out date))
{
try
{
instrumentPrice = new InstrumentPrice(properties[0], properties[1], properties[2], date, TimeSlot.DateTimeToTimeSlot(date), price);
dataList.Add(instrumentPrice);
}
catch (Exception e)
{
_logger.LogInformation(e, "");
continue;
}
}
else
{
_logger.LogInformation($"Error parsing Date - {properties[3]}");
}
}
else
{
_logger.LogInformation($"Error parsing Price - {properties[4]}");
}
}
return(dataList);
}
public void UpdateDataSource(AggregatedPriceChangeNotification value)
{
AggregatedPriceChangeNotification tmpValue = value;
InstrumentPrice instrumentPrice = InstrumentPrices.FirstOrDefault(x => x.InstrumentName == value.LatestUpdate.Instrument);
if (instrumentPrice == null)
{
InstrumentPrices.Add(new InstrumentPrice
{
AveragePrice = value.AveragePrice,
InstrumentName = value.LatestUpdate.Instrument,
Price = value.LatestUpdate.Price,
RecentPriceChanges = new ObservableCollection <InstrumentPriceHistory>(value.RecentPriceChanges.Where(x => x != null).Select(x => new InstrumentPriceHistory
{
InstrumentName = x.Instrument, Price = x.Price
}
)),
PriceChangeStatus = value.PriceChangeStatus,
AveragePriceChangeStatus = value.AveragePriceChangeStatus
});
}
else
{
instrumentPrice.AveragePrice = value.AveragePrice;
instrumentPrice.InstrumentName = value.LatestUpdate.Instrument;
instrumentPrice.Price = value.LatestUpdate.Price;
instrumentPrice.RecentPriceChanges =
new ObservableCollection <InstrumentPriceHistory>(
value
.RecentPriceChanges
.Where(x => x != null)
.Select(x => new InstrumentPriceHistory {
InstrumentName = x.Instrument, Price = x.Price
}
));
instrumentPrice.PriceChangeStatus = value.PriceChangeStatus;
instrumentPrice.AveragePriceChangeStatus = value.AveragePriceChangeStatus;
}
}
public static List <InstrumentPrice> Trades(string S)
{
var SArray = S.ToArray();
var Commas = 0;
var LastComma = 0;
var Instruments = new List <InstrumentPrice>();
var LastPipe = 0;
var NameS = "";
var PriceS = "";
var SizeS = "";
StringBuilder Name = new StringBuilder();
StringBuilder Price = new StringBuilder();
StringBuilder Size = new StringBuilder();
for (var i = 0; i < SArray.Length; i++)
{
if (Commas == 0)
{
if (SArray[i] == ',')
{
for (var n = i - 1; n >= LastComma; n--)
{
var p = 0;
Name.Insert(p, SArray[n]);
var namess = SArray[n];
p++;
}
NameS = Name.ToString();
NameS = ReverseString(NameS);
Commas++;
LastComma = i;
}
}
else if (Commas == 1)
{
if (SArray[i] == ',')
{
for (var n = i - 1; n > LastComma; n--)
{
var p = 0;
Price.Insert(p, SArray[n]);
p++;
}
PriceS = Name.ToString();
PriceS = ReverseString(PriceS);
Commas++;
LastComma = i;
}
else
{
}
}
else if (Commas == 2)
{
if (SArray[i] == '|')
{
for (var n = i - 1; n > LastComma; n--)
{
var p = 0;
Size.Insert(p, SArray[n]);
p++;
}
SizeS = Name.ToString();
SizeS = ReverseString(SizeS);
Commas = 0;
LastPipe = i;
var Instrument = new InstrumentPrice(NameS, PriceS, SizeS);
Instruments.Add(Instrument);
}
}
}
return(Instruments);
}
private Task ProcessAssetQuote(AssetQuote assetQuote)
{
// If Price is zero publish exception to support slack channel
if (assetQuote.Price <= 0)
{
//LogWarning("ProcessAssetQuote", string.Format("Received AssetQuote with price zero [0], AssetQuote discarded. {0}", assetQuote));
return(Task.FromResult(0));
}
// Get Asset from cache
InstrumentPrice assetbid = (from a in _assetCache
where a.Instrument == assetQuote.AssetPair
select a).FirstOrDefault();
if (assetbid == null)
{
// AssetPair is not in cache
// Add AssetQuote to cache
assetbid = new InstrumentPrice()
{
Instrument = assetQuote.AssetPair,
Source = "AssetQuote",
Date = assetQuote.Timestamp,
Ask = assetQuote.IsBuy == Statics.ASK ? assetQuote.Price : 0,
Bid = assetQuote.IsBuy == Statics.ASK ? 0 : assetQuote.Price,
ReceiveDate = DateTime.UtcNow
};
_assetCache.Add(assetbid);
}
else
{
// AssetPair is in cache
// Update Bid Quote
if (assetQuote.IsBuy == Statics.ASK)
{
assetbid.Ask = assetQuote.Price;
}
else
{
assetbid.Bid = assetQuote.Price;
}
}
// Only publish if bid and ask prices have changed since last publish
bool publish = false;
if (!_lastPrices.ContainsKey(assetbid.Instrument))
{
// Asset not in history, add it and set publish = true
_lastPrices.Add(assetQuote.AssetPair, (InstrumentPrice)assetbid.ClonePrice());
publish = true;
}
else
{
if (_lastPrices[assetbid.Instrument].Ask > 0 &&
_lastPrices[assetbid.Instrument].Bid > 0 &&
(_lastPrices[assetbid.Instrument].Ask == assetbid.Ask || _lastPrices[assetbid.Instrument].Bid == assetbid.Bid))
{
// One price (Ask or Bid) has not changed. do not publish it
// Must only be published when both Ask Bid prices have changed
publish = false;
}
else
{
// Both prices have changed publish it and assign this new bid to history
publish = true;
_lastPrices[assetbid.Instrument] = (InstrumentPrice)assetbid.ClonePrice();
}
}
if (assetbid.Ask <= 0 || assetbid.Bid <= 0)
{
publish = false;
}
if (publish)
{
OnMessageReceived(assetbid);
}
return(Task.FromResult(0));
}
