Merge branch 'feature_LWDEV-7845-Bulk-orders' into dev

README.md

@@ -1,6 +1,6 @@
-# Lykke.Service.HftInternalService
+# Lykke.Service.Hft
 
-Lykke internal service for creation and management of high-frequency trading wallets and it's api-keys.
+Lykke service for high frequency trading.
 
 Nuget: https://www.nuget.org/packages/Lykke.Service.HFT.Client/
 
@@ -171,4 +171,30 @@ await client.CancelLimitOrder(orderId);
 
 // Cancel all open limit orders
 await client.CancelAll();
-```
+```
+
+#### Bulk limit orders
+```csharp
+var order = new PlaceBulkOrderModel
+{
+    AssetPairId = "BTCUSD",
+    CancelPreviousOrders = true,
+    Orders = Enumerable.Range(0,10).Select(x => new BulkOrderItemModel
+    {
+        OrderAction = OrderAction.Buy,
+        Price = 500 + x,
+        Volume = 0.001
+    })
+};
+
+var result = await client.PlaceBulkOrder(order).TryExecute();
+
+if (!result.Success) {
+    Console.WriteLine(result.Error);
+} else {
+    foreach(var status in result.Statuses) {
+        // Handle the specific order status
+        // Order progress can be retrieved by Id or cancelled by like regular limit orders
+    }
+}
+```

client/Lykke.Service.HFT.Client/IOrdersApi.cs

@@ -62,6 +62,17 @@ Task<Guid> PlaceLimitOrder(
             [Body] PlaceLimitOrderModel limitOrder,
             [Header("api-key")] string apiKey = null);
 
+        /// <summary>
+        /// Places a bulk limit order.
+        /// </summary>
+        /// <param name="bulkOrder">The bulk order data.</param>
+        /// <param name="apiKey">The API key header. Can also be send using a custom handler or the Lykke WithApiKey call on the client generator.</param>
+        /// <returns>the limit order ID</returns>
+        [Post("/api/Orders/bulk")]
+        Task<BulkOrderResponseModel> PlaceBulkOrder(
+            [Body] PlaceBulkOrderModel bulkOrder,
+            [Header("api-key")] string apiKey = null);
+
         /// <summary>
         /// Cancels the specific limit order.
         /// </summary>

client/Lykke.Service.HFT.Client/Lykke.Service.HFT.Client.csproj

@@ -1,7 +1,13 @@
 <Project Sdk="Microsoft.NET.Sdk">
+
   <PropertyGroup>
     <TargetFramework>netstandard2.0</TargetFramework>
     <Version>2.0.0</Version>
+    <GenerateDocumentationFile>true</GenerateDocumentationFile>
+    <LangVersion>latest</LangVersion>
+  </PropertyGroup>
+
+  <PropertyGroup>
     <Authors>Lykke</Authors>
     <Company>Lykke</Company>
     <Product>Lykke.Service.HFT</Product>
@@ -15,7 +21,6 @@
     <RepositoryUrl>https://github.com/LykkeCity/Lykke.Service.HFT.git</RepositoryUrl>
     <RepositoryType>git</RepositoryType>
     <PackageTags>lykke;hft;internal;refit;api-client</PackageTags>
-    <GenerateDocumentationFile>true</GenerateDocumentationFile>
   </PropertyGroup>
 
   <ItemGroup>
@@ -27,4 +32,5 @@
   <ItemGroup>
     <ProjectReference Include="..\..\src\Lykke.Service.HFT.Contracts\Lykke.Service.HFT.Contracts.csproj" />
   </ItemGroup>
+
 </Project>

client/Lykke.Service.HFT.Wamp.Client/Lykke.Service.HFT.Wamp.Client.csproj

@@ -1,16 +1,19 @@
 <Project Sdk="Microsoft.NET.Sdk">
+
   <PropertyGroup>
     <TargetFramework>netcoreapp2.1</TargetFramework>
-    <ApplicationIcon />
     <OutputType>Exe</OutputType>
-    <StartupObject />
     <Version>1.0.0</Version>
+    <LangVersion>latest</LangVersion>
   </PropertyGroup>
+
   <ItemGroup>
     <PackageReference Include="Lykke.Common" Version="7.0.1" />
     <PackageReference Include="Lykke.WampSharp.Default.Client" Version="1.0.2" />
   </ItemGroup>
+
   <ItemGroup>
     <ProjectReference Include="..\..\src\Lykke.Service.HFT.Contracts\Lykke.Service.HFT.Contracts.csproj" />
   </ItemGroup>
+
 </Project>

src/Lykke.Service.HFT.AzureRepositories/Lykke.Service.HFT.AzureRepositories.csproj

@@ -3,6 +3,7 @@
   <PropertyGroup>
     <TargetFramework>netcoreapp2.1</TargetFramework>
     <Version>1.0.0</Version>
+    <LangVersion>latest</LangVersion>
   </PropertyGroup>
 
   <ItemGroup>

src/Lykke.Service.HFT.Contracts/Lykke.Service.HFT.Contracts.csproj

@@ -4,6 +4,7 @@
     <TargetFramework>netstandard2.0</TargetFramework>
     <Version>1.0.0</Version>
     <GenerateDocumentationFile>true</GenerateDocumentationFile>
+    <LangVersion>latest</LangVersion>
   </PropertyGroup>
 
   <ItemGroup>

src/Lykke.Service.HFT.Contracts/Orders/BulkOrderItemModel.cs

@@ -0,0 +1,35 @@
+using System.ComponentModel.DataAnnotations;
+using JetBrains.Annotations;
+
+namespace Lykke.Service.HFT.Contracts.Orders
+{
+    /// <summary>
+    /// Order model for bulk limit orders.
+    /// </summary>
+    [PublicAPI]
+    public class BulkOrderItemModel
+    {
+        /// <summary>
+        /// The order action, buy or sell.
+        /// </summary>
+        [Required]
+        public OrderAction OrderAction { get; set; }
+
+        /// <summary>
+        /// The volume of the order.
+        /// </summary>
+        [Required]
+        public double Volume { get; set; }
+
+        /// <summary>
+        /// The price of the order.
+        /// </summary>
+        [Required]
+        public double Price { get; set; }
+
+        /// <summary>
+        /// [Optional] The old order identifier that needs to be replaced with this order.
+        /// </summary>
+        public string OldId { get; set; }
+    }
+}

src/Lykke.Service.HFT.Contracts/Orders/BulkOrderItemStatusModel.cs

@@ -0,0 +1,32 @@
+using System;
+using JetBrains.Annotations;
+
+namespace Lykke.Service.HFT.Contracts.Orders
+{
+    /// <summary>
+    /// Response status model for a specific order in a bulk order.
+    /// </summary>
+    [PublicAPI]
+    public class BulkOrderItemStatusModel
+    {
+        /// <summary>
+        /// The id under which this order was registered. Needed for cancel or status updates.
+        /// </summary>
+        public Guid Id { get; set; }
+
+        /// <summary>
+        /// The possible error that occured when placing this order.
+        /// </summary>
+        public ErrorCodeType? Error { get; set; }
+
+        /// <summary>
+        /// The volume of this order.
+        /// </summary>
+        public double Volume { get; set; }
+
+        /// <summary>
+        /// The price of this order.
+        /// </summary>
+        public double Price { get; set; }
+    }
+}

src/Lykke.Service.HFT.Contracts/Orders/BulkOrderResponseModel.cs

@@ -0,0 +1,27 @@
+using System.Collections.Generic;
+using JetBrains.Annotations;
+
+namespace Lykke.Service.HFT.Contracts.Orders
+{
+    /// <summary>
+    /// Response model for placing new bulk orders.
+    /// </summary>
+    [PublicAPI]
+    public class BulkOrderResponseModel
+    {
+        /// <summary>
+        /// The asset pair of this bulk order.
+        /// </summary>
+        public string AssetPairId { get; set; }
+
+        /// <summary>
+        /// The possible error that occured when processing this bulk order. Check individual statusses for the status per order.
+        /// </summary>
+        public ErrorCodeType? Error { get; set; }
+
+        /// <summary>
+        /// The bulk order item statuses.
+        /// </summary>
+        public IReadOnlyList<BulkOrderItemStatusModel> Statuses { get; set; }
+    }
+}

src/Lykke.Service.HFT.Contracts/Orders/CancelMode.cs

@@ -0,0 +1,31 @@
+using JetBrains.Annotations;
+
+namespace Lykke.Service.HFT.Contracts.Orders
+{
+    /// <summary>
+    /// CancelMode behavior for bulk orders.
+    /// </summary>
+    [PublicAPI]
+    public enum CancelMode
+    {
+        /// <summary>
+        /// Cancel previous orders as defined in the given parameter.
+        /// </summary>
+        NotEmptySide = 0,
+
+        /// <summary>
+        /// Cancel all previous buy- and sell-orders (even if there are no incoming orders)
+        /// </summary>
+        BothSides = 1,
+
+        /// <summary>
+        /// Cancel only previous sell-orders(even if there are no incoming sell-orders)
+        /// </summary>
+        SellSide = 2,
+
+        /// <summary>
+        /// Cancel only previous buy-orders(even if there are no incoming buy-orders)
+        /// </summary>
+        BuySide = 3,
+    }
+}

src/Lykke.Service.HFT.Contracts/Orders/PlaceBulkOrderModel.cs

@@ -0,0 +1,34 @@
+using System.Collections.Generic;
+using System.ComponentModel.DataAnnotations;
+using JetBrains.Annotations;
+
+namespace Lykke.Service.HFT.Contracts.Orders
+{
+    /// <summary>
+    /// Request model for placing bulk limit orders.
+    /// </summary>
+    [PublicAPI]
+    public class PlaceBulkOrderModel
+    {
+        /// <summary>
+        /// The asset pair you want to buy or sell.
+        /// </summary>
+        [Required]
+        public string AssetPairId { get; set; }
+
+        /// <summary>
+        /// Cancel the previous orders of this asset pair.
+        /// </summary>
+        public bool CancelPreviousOrders { get; set; }
+
+        /// <summary>
+        /// [Optional] The cancel mode behavior for cancelling previous orders.
+        /// </summary>
+        public CancelMode? CancelMode { get; set; }
+
+        /// <summary>
+        /// The orders you want to place.
+        /// </summary>
+        public IEnumerable<BulkOrderItemModel> Orders { get; set; }
+    }
+}

src/Lykke.Service.HFT.Core/Lykke.Service.HFT.Core.csproj

@@ -2,9 +2,8 @@
 
   <PropertyGroup>
     <TargetFramework>netcoreapp2.1</TargetFramework>
-    <AssemblyName>Lykke.Service.HFT.Core</AssemblyName>
-    <RootNamespace>Lykke.Service.HFT.Core</RootNamespace>
     <Version>1.0.0</Version>
+    <LangVersion>latest</LangVersion>
   </PropertyGroup>
 
   <ItemGroup>

src/Lykke.Service.HFT.Core/Services/IMatchingEngineAdapter.cs

@@ -1,17 +1,19 @@
 using System;
+using System.Collections.Generic;
 using System.Threading.Tasks;
 using Lykke.Service.Assets.Client.Models;
-using OrderAction = Lykke.Service.HFT.Contracts.Orders.OrderAction;
 using Lykke.Service.HFT.Contracts;
+using Lykke.Service.HFT.Contracts.Orders;
+using OrderAction = Lykke.Service.HFT.Contracts.Orders.OrderAction;
 
 namespace Lykke.Service.HFT.Core.Services
 {
     public interface IMatchingEngineAdapter
     {
         Task<ResponseModel> CancelLimitOrderAsync(Guid limitOrderId);
         Task<ResponseModel> CancelAllAsync(string clientId, AssetPair pair, bool? isBuy);
-        Task<ResponseModel<double>> HandleMarketOrderAsync(string clientId, AssetPair assetPair, OrderAction orderAction, double volume, bool straight, double? reservedLimitVolume = default(double?));
+        Task<ResponseModel<double>> HandleMarketOrderAsync(string clientId, AssetPair assetPair, OrderAction orderAction, double volume, bool straight, double? reservedLimitVolume = default);
         Task<ResponseModel<Guid>> PlaceLimitOrderAsync(string clientId, AssetPair assetPair, OrderAction orderAction, double volume, double price, bool cancelPreviousOrders = false);
-
+        Task<ResponseModel<BulkOrderResponseModel>> PlaceBulkLimitOrderAsync(string clientId, AssetPair assetPair, IEnumerable<BulkOrderItemModel> items, bool cancelPrevious = false, CancelMode? cancelMode = default);
     }
 }

src/Lykke.Service.HFT.MongoRepositories/Lykke.Service.HFT.MongoRepositories.csproj

@@ -2,9 +2,8 @@
 
   <PropertyGroup>
     <TargetFramework>netcoreapp2.1</TargetFramework>
-  <AssemblyName>Lykke.Service.HFT.MongoRepositories</AssemblyName>
-  <RootNamespace>Lykke.Service.HFT.MongoRepositories</RootNamespace>
-  <Version>1.0.0</Version>
+    <Version>1.0.0</Version>
+    <LangVersion>latest</LangVersion>
   </PropertyGroup>
 
   <ItemGroup>

src/Lykke.Service.HFT.Services/Lykke.Service.HFT.Services.csproj

@@ -2,9 +2,8 @@
 
   <PropertyGroup>
     <TargetFramework>netcoreapp2.1</TargetFramework>
-    <AssemblyName>Lykke.Service.HFT.Services</AssemblyName>
-    <RootNamespace>Lykke.Service.HFT.Services</RootNamespace>
     <Version>1.0.0</Version>
+    <LangVersion>latest</LangVersion>
   </PropertyGroup>
 
   <ItemGroup>

src/Lykke.Service.HFT.Services/Mapper.cs

@@ -1,5 +1,6 @@
 using System;
 using Lykke.Service.HFT.Contracts.Orders;
+using MeCancelMode = Lykke.MatchingEngine.Connector.Models.Api.CancelMode;
 using MeOrderAction = Lykke.MatchingEngine.Connector.Models.Common.OrderAction;
 
 namespace Lykke.Service.HFT.Services
@@ -18,10 +19,27 @@ public static MeOrderAction ToMeOrderAction(this OrderAction action)
                     orderAction = MeOrderAction.Sell;
                     break;
                 default:
-                    throw new InvalidOperationException("Unknown order action");
+                    throw new ArgumentException($"Unknown order action: {action}");
             }
 
             return orderAction;
         }
+
+        public static MeCancelMode ToMeCancelModel(this CancelMode cancelMode)
+        {
+            switch (cancelMode)
+            {
+                case CancelMode.NotEmptySide:
+                    return MeCancelMode.NotEmptySide;
+                case CancelMode.BothSides:
+                    return MeCancelMode.BothSides;
+                case CancelMode.SellSide:
+                    return MeCancelMode.SellSide;
+                case CancelMode.BuySide:
+                    return MeCancelMode.BuySide;
+                default:
+                    throw new ArgumentException($"Unknown cancel model: {cancelMode}");
+            }
+        }
     }
 }