More accurate TIF filtering based on snapshot timestamp instead of cu…

…rrent time. (#80)

* More accurate TIF filtering based on snapshot timestamp instead of current time.

* Fixed tests and bumped version

SharedBuildProperties.props

@@ -2,7 +2,7 @@
  xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
  <PropertyGroup>
  <Product>Solnet.Mango</Product>
- <Version>6.0.3.3</Version>
+ <Version>6.0.3.4</Version>
  <Copyright>Copyright 2021 &#169; blockmountain</Copyright>
  <Authors>blockmountain</Authors>
  <PublisherName>blockmountain</PublisherName>

Solnet.Mango.Test/MangoClientTest.cs

@@ -582,7 +582,7 @@ public void GetOrderBookSideWithExpired()
  Assert.IsTrue(obs.ParsedResult.Metadata.IsInitialized);
  Assert.AreEqual(DataType.Bids, obs.ParsedResult.Metadata.DataType);
  var bids = obs.ParsedResult.GetOrders();
- Assert.AreEqual(11, bids.Count); // there's 11 orders without expiry
+ Assert.AreEqual(14, bids.Count); // there's 14 orders without expiry
  var bidsWithExpired = obs.ParsedResult.GetOrders(true);
  Assert.AreEqual(16, bidsWithExpired.Count); // there's 16 orders total including expired
  }

Solnet.Mango/Models/Matching/LeafNode.cs

@@ -170,14 +170,13 @@ internal static class ExtraLayout
  /// <remarks>
  /// This is checked by the order's <see cref="TimeInForce"/> value.
  /// If it is equal to<see cref="byte.MinValue"/> the order never expires,
- /// otherwise the order expires after <see cref="Timestamp"/> plus <see cref="byte.MaxValue"/> seconds.</remarks>
+ /// otherwise the order expires at <see cref="Timestamp"/> plus <see cref="byte.MaxValue"/> seconds.</remarks>
  /// </summary>
  /// <returns>true if it is valid, otherwise false.</returns>
- public bool IsValid()
+ public bool IsValid(ulong timestamp)
  {
  var expiry = Timestamp + TimeInForce;
- var now = (ulong) DateTime.UtcNow.Subtract(new DateTime(1970, 1, 1)).TotalSeconds;
- return TimeInForce == 0 || now <= expiry;
+ return TimeInForce == 0 || timestamp < expiry;
  }
 
  /// <summary>

Solnet.Mango/Models/Matching/OrderBookSide.cs

@@ -106,35 +106,33 @@ internal static class Layout
  /// <returns>A list of open orders on the book side.</returns>
  public List<OpenOrder> GetOrders(bool includeExpired = false)
  {
- bool isBids = Metadata.DataType == DataType.Bids;
-
  _orders = new List<OpenOrder>();
 
- foreach (var node in Nodes)
+ var leafNodes = Nodes.Where(n => n is LeafNode).Cast<LeafNode>().ToList();
+ ulong timestamp = leafNodes.Select(n => n.Timestamp).Max();
+
+ foreach (LeafNode leafNode in leafNodes)
  {
- if (node is LeafNode leafNode)
+ var valid = leafNode.IsValid(timestamp);
+ if (valid || includeExpired)
  {
- var valid = leafNode.IsValid();
- if (valid || includeExpired)
+ _orders.Add(new OpenOrder
  {
- _orders.Add(new OpenOrder
- {
- RawPrice = leafNode.Price,
- RawQuantity = leafNode.Quantity,
- ClientOrderId = leafNode.ClientOrderId,
- Owner = leafNode.Owner,
- OrderIndex = leafNode.OwnerSlot,
- OrderId = new BigInteger(leafNode.Key),
- Timestamp = leafNode.Timestamp,
- ExpiryTimestamp = leafNode.TimeInForce != 0 ? leafNode.Timestamp + leafNode.TimeInForce : ulong.MaxValue,
- TimeInForce = leafNode.TimeInForce,
- OrderType = leafNode.OrderType,
- });
- }
+ RawPrice = leafNode.Price,
+ RawQuantity = leafNode.Quantity,
+ ClientOrderId = leafNode.ClientOrderId,
+ Owner = leafNode.Owner,
+ OrderIndex = leafNode.OwnerSlot,
+ OrderId = new BigInteger(leafNode.Key),
+ Timestamp = leafNode.Timestamp,
+ ExpiryTimestamp = leafNode.TimeInForce != 0 ? leafNode.Timestamp + leafNode.TimeInForce : ulong.MaxValue,
+ TimeInForce = leafNode.TimeInForce,
+ OrderType = leafNode.OrderType,
+ });
  }
  }
 
- if (!isBids)
+ if (Metadata.DataType != DataType.Bids)
  {
  _orders.Sort(Comparer<OpenOrder>.Create((order, order1) => order.RawPrice.CompareTo(order1.RawPrice)));
  }