private void UpdateClientStockOneDir(Direction dir,
int precision, CCmdStockChange cmdSockChange)
{
lock (_outStock)
{
for (int j = 0; j < _store[precision][dir].Count; j++)
{
try
{
_outStock[dir][precision][j].Price = _store[precision][dir][j].Price;
_outStock[dir][precision][j].Volume = CUtilConv.GetIntVolume(_store[precision][dir][j].Amount, _decimalVolume);
}
catch (Exception exc)
{
_client.Error("CbfxStockStor.UpdateClientStockOneDir", exc);
}
}
for (int i = _store[precision][dir].Count;
i < _outStock.Count - _store[precision][dir].Count; i++)
{
_outStock[dir][precision][i].Price = 0;
_outStock[dir][precision][i].Volume = 0;
}
_outStock.InpCmdStockChange[dir][precision] = cmdSockChange;
_outStock.UpdateBidAsk();
_client.UpdateClientStockOneDir(_instrument, dir, precision, _outStock);
}
}
public void UpdateOrInsert(int prec, decimal price, decimal amount,
ref CCmdStockChange cmd, ref Direction dir)
{
dir = (amount > 0) ? Direction.Down : Direction.Up;
decimal amountAbs = Math.Abs(amount);
cmd.Volume = CUtilConv.GetIntVolume(amountAbs, _decimalVolume);
for (int i = 0; i < _store[prec][dir].Count; i++)
{
if (_store[prec][dir][i].Price == price)
{
_store[prec][dir][i].Amount = amountAbs;
Log(prec, String.Format("{0} price={1} amount={2}", "==> update", price, amountAbs));
//2018-06-27 perfomance
// PrintStock(prec);
cmd.Code = EnmStockChngCodes._04_Update;
return;
}
}
//cmd.Code = dir
Log(prec, String.Format("{0} price={1} amount={2}", "==> add", price, amountAbs));
_store[prec][dir].Add(new CBfxStockRec {
Price = price, Amount = Math.Abs(amountAbs)
});
Sort(prec, dir);
cmd.Code = EnmStockChngCodes._02_Add;
//2018-06-27 perfomance
//PrintStock(prec);
/* CBfxStockRec rec = this[dir].Find(el => el.Price == price);
* if (rec == null)
* {
* Log(String.Format("{0} price={1} amount={2}", "==> add", price, amount));
* this[dir].Add(new CBfxStockRec { Price = price, Amount = Math.Abs(amount) });
* Sort(dir);
* }
* else
* {
* Log(String.Format("{0} price={1} amount={2}", "==> update", price, amount));
*
* rec.Amount = Math.Abs(amount);
* }
*/
}
public void TestGetRoundTo()
{
Assert.AreEqual(CUtilConv.GetRoundTo(0.1m), 1);
Assert.AreEqual(CUtilConv.GetRoundTo(0.2m), 1);
Assert.AreEqual(CUtilConv.GetRoundTo(0.02m), 2);
Assert.AreEqual(CUtilConv.GetRoundTo(0.002m), 3);
Assert.AreEqual(CUtilConv.GetRoundTo(0.08m), 2);
Assert.AreEqual(CUtilConv.GetRoundTo(0.02m), 2);
Assert.AreEqual(CUtilConv.GetRoundTo(0.6m), 1);
Assert.AreEqual(CUtilConv.GetRoundTo(190m), 0);
Assert.AreEqual(CUtilConv.GetRoundTo(0.04m), 2);
Assert.AreEqual(CUtilConv.GetRoundTo(0.06m), 2);
Assert.AreEqual(CUtilConv.GetRoundTo(14m), 0);
Assert.AreEqual(CUtilConv.GetRoundTo(6m), 0);
Assert.AreEqual(CUtilConv.GetRoundTo(2m), 0);
Assert.AreEqual(CUtilConv.GetRoundTo(8m), 0);
Assert.AreEqual(CUtilConv.GetRoundTo(1m), 0);
Assert.AreEqual(CUtilConv.GetRoundTo(0.4m), 1);
Assert.AreEqual(CUtilConv.GetRoundTo(300), 0);
}
private void UpdateClientStockBothDir(int precision, CCmdStockChange cmdSockChange)
{
lock (_outStock)
{
foreach (Direction dir in Enum.GetValues(typeof(Direction)))
{
for (int j = 0; j < _store[precision][dir].Count; j++)
{
try
{
_outStock[dir][precision][j].Price = _store[precision][dir][j].Price;
_outStock[dir][precision][j].Volume = CUtilConv.GetIntVolume(_store[precision][dir][j].Amount, _decimalVolume);
}
catch (Exception exc)
{
_client.Error("CbfxStockStor.UpdateClientStockBothDir", exc);
}
}
}
_outStock.InpCmdStockChange[Direction.Up][precision] = cmdSockChange;
_outStock.InpCmdStockChange[Direction.Down][precision] = cmdSockChange;
}
_outStock.UpdateBidAsk();
_client.UpdateCleintStockBothDir(_instrument, precision, _outStock);
}
public void TestPriceDecimals()
{
//BTC
Assert.AreEqual(1, CUtilConv.GetPriceDecimals(8894.9m));
//AIDUSD
Assert.AreEqual(5, CUtilConv.GetPriceDecimals(0.3204m));
}
private void DrawClusterPriceBarBg(/*double price, int amount*/ CCluster clusterData, double y, DateTime dtInterval, double actualWidthClusterGrid)
{
GenClusterBrushPen(clusterData, dtInterval);
//calculate width of cluster bar
long dealsAmountFullBar = CUtilConv.GetIntVolume(Math.Max(_dealsAmountFullBar, 1), _decimalVolume);//zero devide protect
_volumeRectWidth = (((double)clusterData.AmountTotal) / ((double)dealsAmountFullBar)) * actualWidthClusterGrid;
//draw cluster bar with proportional width
//DrawRectangle(_brushCluster, _penCluster, new Rect(0.0, y, _volumeRectWidth, (double)_stirngHeight));
_drwCntxtClustersBg.DrawRectangle(_brushCluster, _penCluster, new Rect(0.0, y, _volumeRectWidth, (double)_stirngHeight));
// FormattedText(text, _cultureInfoDefault, FlowDirection.LeftToRight, _typeFaceDefault, _fontSizeScaled, brush);
//2018-02-21
string stAmount = CTerminalUtil.GetAmount(clusterData.AmountTotal, _decimalVolume);
//print cluster amount
//DrawText(_FrmTxtCurrClustAmount, new Point(0.0, y));
//KAA 2017-03-01 changed to Glyph
//2018-05-01 changed to fontsizeScaled
GlyphRun gr = _glyphGenBg.GetGlyph(0, y + _fontSizeScaled,
_fontSizeScaled,
" " + /*clusterData.AmountTotal.ToString()*/ stAmount);
_drwCntxtClustersBg.DrawGlyphRun(_brushFontBg, gr);
}
public override int GetGUITradeSystemVolume(string instrument, string inpVolume)
{
decimal decVol = Convert.ToDecimal(inpVolume);
int decVolume = GetDecimalVolume(instrument);
int intVolume = (int)CUtilConv.GetIntVolume(decVol, decVolume);
return(intVolume);
}
public void TestStepPrice()
{
Assert.AreEqual(1, CUtilConv.GetMinStep(0));
//BTC
Assert.AreEqual(0.1, CUtilConv.GetMinStep(1));
//AIDUSD
Assert.AreEqual(0.00001, CUtilConv.GetMinStep(5));
}
private void ProcessTradeExecute(string inpInstrWithPrefix, JArray jarrTe)
{
string instrument = CBfxUtils.RemoveFirstT(inpInstrWithPrefix);
int decimalVolume = GetDecimalVolume(instrument);
long lngMilis = (long)jarrTe[1];
decimal dcmlAmountRaw = (decimal)jarrTe[2];
decimal dcmlAmount = Math.Abs(dcmlAmountRaw);
decimal dcmlPrice = (decimal)jarrTe[3];
long amount = CUtilConv.GetIntVolume(dcmlAmount, decimalVolume);
//2018-02-22
//Amount is too small. Not possible to understand how it
//could be. Was seen on LTC. For now just ignore these trades
if (amount == 0)
{
return;
}
DateTime dt = CUtilTime.DateTimeFromUnixTimestampMillis(lngMilis);
CRawDeal rd = new CRawDeal {
Amount = amount,
Price = dcmlPrice,
Moment = dt
};
if (dcmlAmountRaw > 0)
{
rd.Id_ord_buy = 1;
}
else
{
rd.Id_ord_sell = 1;
}
_client.UpdateDeal(instrument, rd);
/* DateTime dtCurr = DateTime.Now;
* double ddt = (dtCurr - dt).TotalSeconds;
*
* if (ddt != 00)
* Thread.Sleep(0);
*
*/
}
public void TestGetDecimalVolume()
{
//BTCUSD
Assert.AreEqual(0.002m, CUtilConv.GetDecimalVolume(2, 3));
//LTCUSD
Assert.AreEqual(0.08m, CUtilConv.GetDecimalVolume(8, 2));
//ETCUSD
Assert.AreEqual(0.6m, CUtilConv.GetDecimalVolume(6, 1));
//RRTUSD
Assert.AreEqual(190m, CUtilConv.GetDecimalVolume(190, 0));
}
public void TestGetIntVolume()
{
//BTC
//8432,4 0,01|8433,9 0,04404|8437 0,003|8438,6 0,1|8440,5 1|8440,7 1|8440,9 0,65399871|8441 9,11|8443 0,3|8443,
Assert.AreEqual(760, CUtilConv.GetIntVolume(0.76016001m, 3));
Assert.AreEqual(10, CUtilConv.GetIntVolume(0.01m, 3));
Assert.AreEqual(44, CUtilConv.GetIntVolume(0.044m, 3));
Assert.AreEqual(100, CUtilConv.GetIntVolume(0.1m, 3));
Assert.AreEqual(654, CUtilConv.GetIntVolume(0.65399871m, 3));
//TRXUSD 3546,8412
Assert.AreEqual(3547, CUtilConv.GetIntVolume(3546.8412m, 0));
//LTUSD 158,25 0,5853136|158,37 15|158,38 16,5|
Assert.AreEqual(59, CUtilConv.GetIntVolume(0.5853136m, 2));
Assert.AreEqual(1500, CUtilConv.GetIntVolume(15m, 2));
Assert.AreEqual(1650, CUtilConv.GetIntVolume(16.5m, 2));
}
private void ProcessSymbolDetails()
{
Log("GetSymbolDetails start");
ResponseSymbolDetails[] resp = _bfxRestConnectorV1.GetSymbolDetails();
Log("GetSymbolDetails end");
//--- initial fill of DB (on very first start only)
if (_bfxNeedInitInstruments)
{
for (int i = 0; i < resp.Count(); i++)
{
string instrument = resp[i].pair;
string instrUpper = instrument.ToUpper();
//for now intrested only in Xusd pairs
if (instrument.Contains("usd"))
{
DBCommunicator.TransactAddInstrument(instrUpper, CodesStockExch._04_CryptoBitfinex);
}
}
return;
}
//--- end of initial DB fill
foreach (var dbIsntr in Instruments)
{
for (int i = 0; i < resp.Count(); i++)
{
decimal decMinOrdSize = Convert.ToDecimal(resp[i].minimum_order_size);
if (resp[i].pair == dbIsntr.instrument.ToLower() && decMinOrdSize != dbIsntr.minimum_order_size)
{
dbIsntr.minimum_order_size = decMinOrdSize;
int oldDecimalVolume = dbIsntr.DecimalVolume;
dbIsntr.DecimalVolume = CUtilConv.GetRoundTo(dbIsntr.minimum_order_size);
DBCommunicator.UpdateCryptoInstrumentData(resp[i].pair,
CodesStockExch._04_CryptoBitfinex,
decMinOrdSize,
dbIsntr.DecimalVolume);
Log(String.Format("Update minimum_order_size={0} {1}", dbIsntr.minimum_order_size, dbIsntr.instrument));
if (oldDecimalVolume != dbIsntr.DecimalVolume)
{
_bfxWebSockConnector.UpdateDecimalVolume(dbIsntr.instrument, dbIsntr.DecimalVolume);
Log(String.Format("Update DecimalVolume {0} {1}", dbIsntr.DecimalVolume, dbIsntr.instrument));
}
}
}
}
if (_tradeHistStor == null)
{
_tradeHistStor = new CTradeHistStor(Instruments.GetInstruments(), DBCommunicator);
}
}
private void UpdatePriceDecimalsAndMinStep(CSharedStocks sourceStock)
{
int maxCalcedPriceDecimals = 0;
int numEl = 0;
bool bChanged = false;
Dictionary <int, int> _dictAmount = new Dictionary <int, int>();
// Specific algorithm for PriceDecimals and min step calculation.
//
//
// 2018-06-21 Algo changed. Do count all amounts of decimals
// and save to dictionary. Use amount of decimals wich has more elements.
// Perform analyze only for elements that are near spread,
// for this purpose using "window" which determines an area near spread.
//
// If current value change - do trigger update of client
//
lock (sourceStock.Lck)
{
foreach (Direction dir in Enum.GetValues(typeof(Direction)))
{
int i = 0;
int windowSize = 50;
//2018-06-22 temprorary only for precision 0
foreach (var el in sourceStock[dir][0])
{
if (el.Price == 0)
{
continue;
}
if (i > windowSize)
{
break;
}
int calcedPriceDecimals = CUtilConv.GetPriceDecimals(el.Price);
if (_dictAmount.ContainsKey(calcedPriceDecimals))
{
_dictAmount[calcedPriceDecimals]++;
}
else
{
_dictAmount[calcedPriceDecimals] = 1;
}
numEl++;
if (calcedPriceDecimals > maxCalcedPriceDecimals)
{
maxCalcedPriceDecimals = calcedPriceDecimals;
}
i++;
}
}
}
//nothing to do - get out
if (numEl == 0)
{
return;
}
int maxDecimalsAmount = 0;
int decimalsPriceUse = 0;
foreach (var kvp in _dictAmount)
{
if (kvp.Value > maxDecimalsAmount)
{
maxDecimalsAmount = kvp.Value;
decimalsPriceUse = kvp.Key;
}
}
// if (Instrument == "IOTUSD")
// bDbgFirst = true;
if (decimalsPriceUse != _currentPriceDecimals)
{
Log(String.Format("Changed pirce decimals {0} --> {1}",
_currentPriceDecimals, decimalsPriceUse));
_currentPriceDecimals = decimalsPriceUse;
//2018-04-05 temporary disabled
//2018-04-23 enabled after change to 4 decimals
_clientStockConvCrypto.UpdatePriceDecimals(Instrument, _currentPriceDecimals);
bChanged = true;
}
decimal calcedMinStep = CUtil.GetDecimalMult(_currentPriceDecimals);
if (calcedMinStep != _currentMinStep)
{
Log(String.Format("Changed min_steps {0} --> {1}",
_currentMinStep, calcedMinStep));
_currentMinStep = calcedMinStep;
//2018-04-05 temporary disabled
//2018-04-23 enabled after change to 4 decimals
_clientStockConvCrypto.UpdateCurrentMinSteps(Instrument, _currentMinStep);
bChanged = true;
}
// Thread.Sleep(30000);
if (bChanged)
{
_clientStockConvCrypto.TriggerUpdateInstrumentParams(Instrument);
}
//for (int i=0; i<sourceStock[TradingLib.Enums.Direction.
//CBfxUtils.GetPriceDecimals(
sourceStock.LstStockConf = new List <CStockConf>();
int dcmlCurr = _currentPriceDecimals;
var lst = _client.GetPricePrecisions();
int count = lst.Count;
for (int i = 0; i < count; i++)
{
// if (Instrument == "IOTUSD")
// bDbgFirst = true;
decimal currMinStep = CUtil.GetDecimalMultUnlim(dcmlCurr);
CStockConf stockConf = new CStockConf()
{
PrecissionNum = i,
DecimalsPrice = Math.Max(dcmlCurr, 0),
MinStep = currMinStep
};
sourceStock.LstStockConf.Add(stockConf);
dcmlCurr--;
}
}
