private async Task HandleOrderBook(OrderBook orderBook)
{
var instrument = Instruments.SingleOrDefault(x =>
string.Compare(x.Name, orderBook.AssetPair, StringComparison.InvariantCultureIgnoreCase) == 0);
if (instrument != null)
{
if (orderBook.Prices.Any())
{
decimal bestBid = 0;
decimal bestAsk = 0;
if (orderBook.IsBuy)
{
_lastBids[instrument.Name] = bestBid = orderBook.Prices.Select(x => x.Price).OrderByDescending(x => x).First();
bestAsk = _lastAsks[instrument.Name];
}
else
{
_lastAsks[instrument.Name] = bestAsk = orderBook.Prices.Select(x => x.Price).OrderBy(x => x).First();
bestBid = _lastBids[instrument.Name];
}
if (bestBid > 0 && bestAsk > 0)
{
var tickPrice = new TickPrice(instrument, orderBook.Timestamp, bestAsk, bestBid);
await _tickPriceHandler.Handle(tickPrice);
}
}
}
}
private async Task HandleOrderBook(OrderBook orderBook)
{
var instrument = Instruments.FirstOrDefault(x => string.Compare(x.Name, orderBook.AssetPair, StringComparison.InvariantCultureIgnoreCase) == 0);
if (instrument == null && Config.UseSupportedCurrencySymbolsAsFilter == false)
{
instrument = new Instrument(Name, orderBook.AssetPair);
}
if (instrument != null)
{
if (orderBook.Prices.Any())
{
decimal bestBid = 0;
decimal bestAsk = 0;
if (orderBook.IsBuy)
{
_lastBids[instrument.Name] = bestBid = orderBook.Prices.Select(x => x.Price).OrderByDescending(x => x).First();
bestAsk = _lastAsks.ContainsKey(instrument.Name) ? _lastAsks[instrument.Name] : 0;
}
else
{
_lastAsks[instrument.Name] = bestAsk = orderBook.Prices.Select(x => x.Price).OrderBy(x => x).First();
bestBid = _lastBids.ContainsKey(instrument.Name) ? _lastBids[instrument.Name] : 0;
}
if (bestBid > 0 && bestAsk > 0)
{
var tickPrice = new TickPrice(instrument, orderBook.Timestamp, bestAsk, bestBid);
await _tickPriceHandler.Handle(tickPrice);
await _orderBookHandler.Handle(orderBook);
}
}
}
}
