Lt 4571 add quote cache inspector

src/MarginTrading.Backend.Core/Extensions/InstrumentBidAskPairExtensions.cs

@@ -0,0 +1,23 @@
+namespace MarginTrading.Backend.Core.Extensions
+{
+ public static class InstrumentBidAskPairExtensions
+ {
+ /// <summary>
+ /// Calculates a hash for the bid/ask pair, which is used only to determine
+ /// if the quote has already been warned about being stale. Probably, the
+ /// implementation entirely correct only for the stale usage scenario.
+ /// </summary>
+ /// <param name="bidAskPair"></param>
+ /// <returns></returns>
+ public static int GetStaleHash(this InstrumentBidAskPair bidAskPair)
+ {
+ unchecked
+ {
+ int hash = 23;
+ hash = hash * 31 + (bidAskPair?.Instrument.GetHashCode() ?? 0);
+ hash = hash * 31 + (bidAskPair?.Date.GetHashCode() ?? 0);
+ return hash;
+ }
+ }
+ }
+}

src/MarginTrading.Backend.Core/Settings/MarginTradingSettings.cs

@@ -122,5 +122,8 @@ public class MarginTradingSettings
 
  [Optional]
  public bool LogBlockedMarginCalculation { get; set; }
+
+ [Optional]
+ public MonitoringSettings Monitoring { get; set; }
  }
 }

src/MarginTrading.Backend.Core/Settings/MonitoringSettings.cs

@@ -0,0 +1,13 @@
+// Copyright (c) 2019 Lykke Corp.
+// See the LICENSE file in the project root for more information.
+
+using Lykke.SettingsReader.Attributes;
+
+namespace MarginTrading.Backend.Core.Settings
+{
+ public class MonitoringSettings
+ {
+ [Optional]
+ public QuotesMonitoringSettings Quotes { get; set; } 
+ }
+}

src/MarginTrading.Backend.Core/Settings/QuotesMonitoringSettings.cs

@@ -0,0 +1,13 @@
+// Copyright (c) 2019 Lykke Corp.
+// See the LICENSE file in the project root for more information.
+
+using System;
+
+namespace MarginTrading.Backend.Core.Settings
+{
+ public class QuotesMonitoringSettings
+ {
+ public bool IsEnabled { get; set; }
+ public TimeSpan ConsiderQuoteStalePeriod { get; set; }
+ }
+}

src/MarginTrading.Backend.Services/MarginTrading.Backend.Services.csproj

@@ -50,8 +50,7 @@
  <PackageReference Include="System.Reactive.Linq" Version="4.4.1" />
  </ItemGroup>
  <ItemGroup>
- <AssemblyAttribute Include="System.Runtime.CompilerServices.InternalsVisibleToAttribute">
- <_Parameter1>MarginTradingTests</_Parameter1>
- </AssemblyAttribute>
+ <InternalsVisibleTo Include="DynamicProxyGenAssembly2, PublicKey=0024000004800000940000000602000000240000525341310004000001000100c547cac37abd99c8db225ef2f6c8a3602f3b3606cc9891605d02baa56104f4cfc0734aa39b93bf7852f7d9266654753cc297e7d2edfe0bac1cdcf9f717241550e0a7b191195b7667bb4f64bcb8e2121380fd1d9d46ad2d92d2d15605093924cceaf74c4861eff62abf69b9291ed0a340e113be11e6a7d3113e92484cf7045cc7" />
+ <InternalsVisibleTo Include="MarginTradingTests" />
  </ItemGroup>
 </Project>

src/MarginTrading.Backend.Services/Modules/ServicesModule.cs

@@ -33,14 +33,26 @@ namespace MarginTrading.Backend.Services.Modules
 {
  public class ServicesModule : Module
  {
+ private readonly MarginTradingSettings _settings;
+
+ public ServicesModule(MarginTradingSettings settings)
+ {
+ _settings = settings;
+ }
+
  protected override void Load(ContainerBuilder builder)
  {
  builder.RegisterType<QuoteCacheService>()
  .AsSelf()
  .As<IQuoteCacheService>()
  .As<IEventConsumer<BestPriceChangeEventArgs>>()
  .SingleInstance();
-
+
+ if (_settings.Monitoring?.Quotes?.IsEnabled ?? false)
+ {
+ builder.RegisterDecorator<QuoteCacheInspector, IQuoteCacheService>();
+ }
+
  builder.RegisterType<FxRateCacheService>() 
  .AsSelf()
  .As<IFxRateCacheService>()

src/MarginTrading.Backend.Services/Quotes/QuoteCacheInspector.cs

@@ -0,0 +1,118 @@
+// Copyright (c) 2019 Lykke Corp.
+// See the LICENSE file in the project root for more information.
+
+using System;
+using System.Collections.Concurrent;
+using System.Collections.Generic;
+using MarginTrading.Backend.Core;
+using MarginTrading.Backend.Core.Extensions;
+using MarginTrading.Backend.Core.Quotes;
+using MarginTrading.Backend.Core.Settings;
+using MarginTrading.Common.Services;
+using Microsoft.Extensions.Logging;
+
+namespace MarginTrading.Backend.Services.Quotes
+{
+ /// <summary>
+ /// Inspects the quotes returned from the cache.
+ /// Logs a warning if the quote is not up to date (Is older than 5 seconds).
+ /// </summary>
+ internal sealed class QuoteCacheInspector : IQuoteCacheService
+ {
+ private readonly IQuoteCacheService _decoratee;
+ private readonly IDateService _dateService;
+ private readonly ILogger<QuoteCacheInspector> _logger;
+ private readonly TimeSpan _quoteStalePeriod;
+ private readonly ConcurrentDictionary<int, byte> _warnedQuotes = new ConcurrentDictionary<int, byte>();
+
+ public QuoteCacheInspector(IQuoteCacheService decoratee,
+ IDateService dateService,
+ ILogger<QuoteCacheInspector> logger,
+ MarginTradingSettings settings)
+ {
+ _decoratee = decoratee;
+ _dateService = dateService;
+ _logger = logger;
+ _quoteStalePeriod = settings.Monitoring?.Quotes?.ConsiderQuoteStalePeriod ?? TimeSpan.FromSeconds(5);
+
+ _logger.LogInformation("Quote Cache Inspector is activated with stale period {stalePeriod}",
+ _quoteStalePeriod);
+ }
+
+ public InstrumentBidAskPair GetQuote(string instrument)
+ {
+ var quote = _decoratee.GetQuote(instrument);
+
+ try
+ {
+ if (CanWarn(quote))
+ WarnOnStaleQuote(quote);
+ }
+ catch (Exception e)
+ {
+ _logger.LogError(e, "Failed to inspect quote for {instrument}", instrument);
+ }
+
+ return quote;
+ }
+
+ public Dictionary<string, InstrumentBidAskPair> GetAllQuotes()
+ {
+ return _decoratee.GetAllQuotes();
+ }
+
+ public bool TryGetQuoteById(string instrument, out InstrumentBidAskPair result)
+ {
+ var success = _decoratee.TryGetQuoteById(instrument, out var quote);
+
+ try
+ {
+ if (CanWarn(quote))
+ WarnOnStaleQuote(quote);
+ }
+ catch (Exception e)
+ {
+ _logger.LogError(e, "Failed to inspect quote for {instrument}", instrument);
+ }
+
+ result = quote;
+ return success;
+ }
+
+ public RemoveQuoteError RemoveQuote(string assetPairId)
+ {
+ return _decoratee.RemoveQuote(assetPairId);
+ }
+
+ public void WarnOnStaleQuote(InstrumentBidAskPair quote)
+ {
+ if (quote == null)
+ return;
+
+ _logger.LogWarning("Quote for {instrument} is stale. Quote date: {quoteDate}, now: {now}",
+ quote.Instrument, quote.Date, _dateService.Now());
+
+ _warnedQuotes.TryAdd(quote.GetStaleHash(), 0);
+ }
+
+ public bool CanWarn(InstrumentBidAskPair quote)
+ {
+ if (quote == null)
+ return false;
+
+ var current = _dateService.Now();
+ if (IsQuoteStale(quote.Date, current, _quoteStalePeriod))
+ {
+ var hash = quote.GetStaleHash();
+ return !_warnedQuotes.ContainsKey(hash); 
+ }
+
+ return false;
+ }
+
+ public static bool IsQuoteStale(DateTime quoteDateTime, DateTime now, TimeSpan stalePeriod)
+ {
+ return now.Subtract(quoteDateTime) > stalePeriod;
+ }
+ }
+}

src/MarginTrading.Backend.Services/Services/OrderValidator.cs

@@ -436,13 +436,6 @@ private void ValidateBaseOrderPrice(Order order, decimal? orderPrice)
  throw new OrderRejectionException(OrderRejectReason.NoLiquidity, "Quote not found");
  }
 
- //TODO: implement in MTC-155 
-// if (_assetDayOffService.ArePendingOrdersDisabled(order.AssetPairId))
-// {
-// throw new ValidateOrderException(OrderRejectReason.NoLiquidity,
-// "Trades for instrument are not available");
-// }
-
  if (order.OrderType == OrderType.Limit)
  {
  if (order.Direction == OrderDirection.Buy && quote.Ask <= orderPrice)

src/MarginTrading.Backend.Services/Workflow/SpecialLiquidation/SpecialLiquidationSaga.cs

@@ -2,7 +2,6 @@
 // See the LICENSE file in the project root for more information.
 
 using System;
-using System.Collections.Generic;
 using System.Linq;
 using System.Threading.Tasks;
 using Common.Log;
@@ -455,16 +454,6 @@ await InternalRetryPriceRequest(e.CreationTime, sender, executionInfo,
  }
  }
 
- private decimal GetActualNetPositionCloseVolume(ICollection<string> positionIds, string accountId)
- {
- var netPositionVolume = _ordersCache.GetPositions()
- .Where(x => positionIds.Contains(x.Id)
- && (string.IsNullOrEmpty(accountId) || x.AccountId == accountId))
- .Sum(x => x.Volume);
-
- return -netPositionVolume;
- }
-
  private void RequestPrice(ICommandSender sender, IOperationExecutionInfo<SpecialLiquidationOperationData> 
  executionInfo)
  {

src/MarginTrading.Backend/Startup.cs

@@ -223,7 +223,7 @@ private static void RegisterModules(
  builder.RegisterModule(new EventModule());
  builder.RegisterModule(new CacheModule());
  builder.RegisterModule(new ManagersModule());
- builder.RegisterModule(new ServicesModule());
+ builder.RegisterModule(new ServicesModule(settings.CurrentValue));
  builder.RegisterModule(new BackendServicesModule(
  mtSettings.CurrentValue,
  settings.CurrentValue,

tests/MarginTradingTests/BaseTests.cs

@@ -32,6 +32,7 @@
 using MarginTrading.Backend.Services.AssetPairs;
 using MarginTrading.Backend.Services.Quotes;
 using MarginTradingTests.Modules;
+using Microsoft.Extensions.Logging;
 using Moq;
 
 namespace MarginTradingTests
@@ -83,6 +84,9 @@ private void RegisterDependenciesCore(bool mockEvents = false)
  OvernightMargin = overnightMarginSettings
  };
 
+ // register mocks of loggers
+ builder.RegisterInstance(Mock.Of<ILogger<QuoteCacheInspector>>());
+
  builder.RegisterInstance(marginSettings).SingleInstance();
  builder.RegisterInstance(PositionHistoryEvents).As<List<PositionHistoryEvent>>().SingleInstance();
  builder.RegisterInstance(overnightMarginSettings).SingleInstance();
@@ -123,7 +127,7 @@ private void RegisterDependenciesCore(bool mockEvents = false)
  }
 
  builder.RegisterModule(new CacheModule());
- builder.RegisterModule(new ServicesModule());
+ builder.RegisterModule(new ServicesModule(marginSettings));
  builder.RegisterModule(new ManagersModule());
 
  builder.RegisterType<EventChannel<AccountBalanceChangedEventArgs>>()