internal static TransactionBookData ToTransactionBookData(XmlNode tranNode)
{
string tranCode = string.Empty;
Guid? orderBatchInstructionId;
TransactionBookData tranData = TransactionParser.ParseTransactionBookData(tranNode, out orderBatchInstructionId);
tranData.Id = Guid.Parse(tranNode.Attributes["ID"].Value);
tranData.Orders = new List <OrderBookData>();
var instrument = InstrumentManager.Default.Get(tranData.InstrumentId);
InstrumentCategory instrumentCategory = instrument.Category;
foreach (XmlNode orderNode in tranNode.ChildNodes)
{
if (orderNode.Name == "Order")
{
OrderBookData orderData = null;
if (instrumentCategory == InstrumentCategory.Forex)
{
orderData = OrderDataHelper.InitializeBookData(orderNode);
}
else
{
orderData = OrderDataHelper.InitalizePhysicalBookData(orderNode);
}
orderData.OrderBatchInstructionID = orderBatchInstructionId;
tranData.Orders.Add(orderData);
}
}
tranData.PlaceByRiskMonitor = true;
return(tranData);
}
public void ReadOrderBookFile(string fileName)
{
string allText = System.IO.File.ReadAllText(fileName);
int index = allText.IndexOf('{');
orderBookData = System.Text.Json.JsonSerializer.Deserialize <OrderBookData>(allText.Substring(index));
}
public static OrderBookDepth ParseOrderBookDepth(string data, int limit)
{
/*
* {
* "result": {
* "asks": [[8474.0, 2.5738], [8476.5, 2.6028]],
* "bids": [[8473.5, 1.1804], [8473.0, 73.913]]
* },
* "success": true
* }
*/
var token = ParserHelpers.Parse(data);
var errorRes = ParseErrors(token);
if (errorRes.ErrorAvaliable)
{
return(new OrderBookDepth(errorRes.Message, errorRes.Code));
}
token = token["result"];
var asks = new OrderBookData[limit];
var bids = new OrderBookData[limit];
var askToken = token["asks"];
var bidToken = token["bids"];
int counter = 0;
foreach (var ask in askToken)
{
var p = ParserHelpers.ParseDecimal(ask[0]);
var a = ParserHelpers.ParseDecimal(ask[1]);
asks[counter] = new OrderBookData(p, a);
counter++;
}
counter = 0;
foreach (var bid in bidToken)
{
var p = ParserHelpers.ParseDecimal(bid[0]);
var a = ParserHelpers.ParseDecimal(bid[1]);
bids[counter] = new OrderBookData(p, a);
counter++;
}
return(new OrderBookDepth(bids, asks));
}
private void OrderBookHandler(OrderBookData data)
{
if (!TrackedSymbol.Equals(data.Symbol))
{
return;
}
SpotPrice = data.MarkPrice;
LastTradePrice = data.LastTradePrice;
LastTradeQuantity = data.LastTradeQuantity;
Asks = new ConcurrentDictionary <decimal, decimal>(data.Asks);
Bids = new ConcurrentDictionary <decimal, decimal>(data.Bids);
LastFullUpdateTimestamp = DateTime.Now;
OrderBookUpdated?.Invoke(this);
}
protected override OrderBLL.Commands.AddOrderCommandBase CreateAddOrderCommand(OrderBLL.Factory.AddOrderCommandFactoryBase factory, Transaction tran, OrderBookData orderData, DateTime tradeDay)
{
return(factory.CreateBookOrder(tran, orderData, tradeDay));
}
