Table of Contents

Instrument Lookup

When creating your own adapter for working with an exchange, you need to implement the instrument lookup method. This method is called when sending a SecurityLookupMessage message and returns information about instruments through SecurityMessage messages.

Implementing the SecurityLookupAsync Method

The SecurityLookupAsync method usually performs the following actions:

  1. Retrieves the list of supported instrument types from the incoming message.
  2. Requests the list of instruments from the exchange via API.
  3. For each received instrument, creates a SecurityMessage message, filling it with instrument data.
  4. Checks if the instrument matches the search criteria.
  5. Sends the created SecurityMessage message via the SendOutMessage method.
  6. After processing all instruments, sends a message about the completion of the search.

Below is an example of the implementation of the SecurityLookupAsync method based on the adapter for the Coinbase exchange. When creating your own adapter, you need to adapt this code to the API of the exchange being used.

public override async ValueTask SecurityLookupAsync(SecurityLookupMessage lookupMsg, CancellationToken cancellationToken)
{
    // Get the list of instrument types to find
    var secTypes = lookupMsg.GetSecurityTypes();
    
    // Determine the maximum number of instruments to search for
    var left = lookupMsg.Count ?? long.MaxValue;

    // Iterate over the instrument types supported by the exchange
    foreach (var type in new[] { "SPOT", "FUTURE" })
    {
        // Request the list of instruments from the exchange
        var products = await _restClient.GetProducts(type, cancellationToken);

        foreach (var product in products)
        {
            // Create the instrument identifier
            var secId = product.ProductId.ToStockSharp();

            // Create a message with instrument information
            var secMsg = new SecurityMessage
            {
                SecurityType = product.ProductType.ToSecurityType(),
                SecurityId = secId,
                Name = product.DisplayName,
                PriceStep = product.QuoteIncrement?.ToDecimal(),
                VolumeStep = product.BaseIncrement?.ToDecimal(),
                MinVolume = product.BaseMinSize?.ToDecimal(),
                MaxVolume = product.BaseMaxSize?.ToDecimal(),
                ExpiryDate = product.FutureProductDetails?.ContractExpiry,
                Multiplier = product.FutureProductDetails?.ContractSize?.ToDecimal(),

                // It is necessary to fill in the subscription identifier
                // so that the external code can understand which subscription the data was received for
                OriginalTransactionId = lookupMsg.TransactionId,
            }
            .TryFillUnderlyingId(product.BaseCurrencyId.ToUpperInvariant());

            // Check if the instrument matches the search criteria
            if (!secMsg.IsMatch(lookupMsg, secTypes))
                continue;

            // Send a message with instrument information
            SendOutMessage(secMsg);

            // Decrease the counter of remaining instruments
            if (--left <= 0)
                break;
        }

        if (left <= 0)
            break;
    }

    // Send a message about the completion of the search
    SendSubscriptionResult(lookupMsg);
}

This method allows you to retrieve information about the instruments available on the exchange, including their main characteristics such as instrument type, minimum volume, price step, etc.

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