public void should_receive_limit_order_notification()
{
try
{
// arrange
var connected = Sut.Connect();
var @params = OrderPOSTRequestParams.CreateSimpleHidenLimit("XBTUSD", 3, _xbtAvgPrice - 500, OrderSide.Buy);
// act
IList <OrderDto> dtos = null;
var dataReceived = new ManualResetEvent(false);
Sut.OrderResponseReceived += (sender, args) =>
{
if (args.Response.Data.Any(b => b.Symbol == "XBTUSD") && args.Response.Action == BitmexActions.Insert)
{
dtos = args.Response.Data;
dataReceived.Set();
}
};
var subscription = new SubscriptionRequest(SubscriptionType.order);
Subscription = subscription;
Sut.Subscribe(subscription);
var result = _bitmexApiService.Execute(BitmexApiUrls.Order.PostOrder, @params).Result.Result;
result.Should().NotBeNull();
//result.OrdType.Should().Be("Limit");
result.OrdStatus.Should().Be("New");
result.OrderId.Should().NotBeNull();
Thread.Sleep(2000);
var received = dataReceived.WaitOne(TimeSpan.FromSeconds(20));
// assert
// no exception raised
connected.Should().BeTrue();
received.Should().BeTrue();
dtos.Should().NotBeNull();
dtos.Count().Should().BeGreaterThan(0);
dtos[0].OrdType.Should().Be("Limit");
dtos[0].OrdStatus.Should().Be("New");
dtos[0].OrderId.Should().Be(result.OrderId);
}
catch (BitmexWebSocketLimitReachedException)
{
Assert.Fail("connection limit reached");
}
}
public override void TestInitialize()
{
base.TestInitialize();
_bitmexApiService = Container.Resolve <IBitmexApiService>();
var paramCloseAfter = new OrderCancelAllAfterPOSTRequestParams
{
Timeout = int.MaxValue
};
_bitmexApiService.Execute(BitmexApiUrls.Order.PostOrderCancelAllAfter, paramCloseAfter).Wait();
_xbtAvgPrice = _bitmexApiService.Execute(BitmexApiUrls.OrderBook.GetOrderBookL2, new OrderBookL2GETRequestParams()
{
Symbol = "XBTUSD", Depth = 1
}).Result.First()
.Price;
}
public void should_receive_position_change_notification()
{
// arrange
var connected = Sut.Connect();
var @params = OrderPOSTRequestParams.CreateSimpleMarket("XBTUSD", 3, OrderSide.Buy);
// act
IList <PositionDto> dtos = null;
var dataReceived = new ManualResetEvent(false);
Sut.Subscribe(BitmexApiSubscriptionInfo <IEnumerable <PositionDto> > .Create(SubscriptionType.position, a =>
{
dtos = a.ToList();
dataReceived.Set();
}));
var result = _bitmexApiService.Execute(BitmexApiUrls.Order.PostOrder, @params).Result;
result.Should().NotBeNull();
result.OrdType.Should().Be("Market");
result.OrdStatus.Should().Be("Filled");
result.OrderId.Should().NotBeNull();
var received = dataReceived.WaitOne(TimeSpan.FromSeconds(20));
// assert
// no exception raised
connected.Should().BeTrue();
received.Should().BeTrue("data hasn't received");
dtos.Should().NotBeNull();
dtos.Count().Should().BeGreaterThan(0);
}
private async void FetchTradeBins(Object source, System.Timers.ElapsedEventArgs e)
{
Console.WriteLine("Fetching bins.");
Debug.WriteLine("Fetching bins.");
using (var context = new CollectorContext())
{
try
{
var latestBin = context.TradeBins.OrderByDescending(x => x.Timestamp).FirstOrDefault();
var @params = new TradeBucketedGETRequestParams
{
BinSize = "1m",
Symbol = "XBTUSD",
Count = 200,
Reverse = true
};
// act
var result = new List <TradeBucketedDto>();
try
{
result = _bitmexApiService.Execute(BitmexApiUrls.Trade.GetTradeBucketed, @params).Result;
}
catch (Exception exception)
{
Console.WriteLine(exception);
}
foreach (var bin in result)
{
if (latestBin == null || bin.Timestamp.LocalDateTime > latestBin.Timestamp)
{
await context.TradeBins.AddAsync(new TradeBin()
{
Symbol = bin.Symbol,
Timestamp = bin.Timestamp.UtcDateTime,
Open = bin.Open.Value,
High = bin.High.Value,
Low = bin.Low.Value,
Close = bin.Close.Value,
Trades = bin.Trades,
Volume = bin.Volume.Value,
ForeignNotional = bin.ForeignNotional,
HomeNotional = bin.HomeNotional
});
}
}
await context.SaveChangesAsync();
}
catch (Exception exception)
{
Console.WriteLine(exception);
}
}
}
public override void TestInitialize()
{
base.TestInitialize();
_bitmexApiService = Container.Resolve <IBitmexApiService>();
var paramCloseAfter = new OrderCancelAllAfterPOSTRequestParams
{
Timeout = int.MaxValue
};
_bitmexApiService.Execute(BitmexApiUrls.Order.PostOrderCancelAllAfter, paramCloseAfter).Wait();
}
private async Task <string> Trade(TradeInfo tradeInfo)
{
await PrepareForMarketShift(tradeInfo);
var orderDto = await ExecuteMarketOrder(tradeInfo);
Logger.Info($"Market {tradeInfo.EntryOrder} {tradeInfo.Quantity} at {orderDto.Price}, status {orderDto.OrdStatus}");
var openPositions = await _bitmexApiService.Execute(BitmexApiUrls.Position.GetPosition, new PositionGETRequestParams { Count = 10 });
var currentPosition = openPositions.FirstOrDefault(o => o.Symbol == tradeInfo.Symbol && o.IsOpen);
decimal stopLossPrice;
if (currentPosition != null)
{
var diff = orderDto.Price.GetValueOrDefault() - currentPosition.LiquidationPrice.GetValueOrDefault();
var lossLimit = diff * 0.8M * (-1);
stopLossPrice = RoundPrice(orderDto.Price.GetValueOrDefault() + lossLimit, 0, tradeInfo.DecimalCount);
var limitPrice = RoundPrice(orderDto.Price.GetValueOrDefault() + (lossLimit / 4), 0, tradeInfo.DecimalCount);
var limitDto = await ExecuteLimitOrder(tradeInfo, limitPrice);
Logger.Info($"Limit {tradeInfo.EntryOrder} {tradeInfo.Quantity} at {limitDto.Price}, status {limitDto.OrdStatus}");
}
else
{
stopLossPrice = RoundPrice(orderDto.Price.GetValueOrDefault(), tradeInfo.StopLossPercentage, tradeInfo.DecimalCount);
}
int takeProfitQuantity = (int)(tradeInfo.Quantity * 0.5M);
var(takeProfitPrice, takeProfitTrigger, takeProfitOrder) = await CreateTakeProfitOrders(orderDto.Price.GetValueOrDefault(), tradeInfo, (int)takeProfitQuantity, tradeInfo.TakeProfitPercentage);
await CreateTakeProfitOrders(orderDto.Price.GetValueOrDefault(), tradeInfo, (int)(RoundPrice(takeProfitQuantity, -25, tradeInfo.DecimalCount)), tradeInfo.TakeProfitPercentage / 2);
var stopLossTrigger = stopLossPrice + tradeInfo.TriggerDistanceUnits;
var stopLossOrder = await ExecuteStopLossOrder(tradeInfo.Symbol, tradeInfo.Quantity, stopLossPrice, stopLossTrigger, tradeInfo.ExitOrder.ToBitmexOrder());
Logger.Info($"Status for stop loss: {stopLossOrder.OrdStatus}");
var stringBuilder = new StringBuilder();
stringBuilder.AppendLine($"{tradeInfo.EntryOrder} {orderDto.OrderQty} {tradeInfo.Symbol}");
stringBuilder.AppendLine($"Entry price: {orderDto.Price}, {orderDto.OrdStatus}");
stringBuilder.AppendLine($"Take profit price: {takeProfitPrice}, {takeProfitOrder.OrdStatus}");
stringBuilder.AppendLine($"Take profit trigger: {takeProfitTrigger}");
stringBuilder.AppendLine($"Stop loss price: {stopLossPrice}, {stopLossOrder.OrdStatus}");
stringBuilder.AppendLine($"Stop loss trigger: {stopLossTrigger}");
return(stringBuilder.ToString());
}
public async Task <string> GoLong(MarketInfo marketInfo)
{
await _bitmexApiService.Execute(BitmexApiUrls.Order.PostOrder, OrderPOSTRequestParams.ClosePositionByMarket(marketInfo.Market));
await SetLeverage(marketInfo.Market, marketInfo.Leverage);
var buyPrice = await GetCurrentPrice(marketInfo.Market);
var orderDto = await _bitmexApiService.Execute(BitmexApiUrls.Order.PostOrder,
OrderPOSTRequestParams.CreateSimpleLimit(marketInfo.Market, marketInfo.Quantity, buyPrice, OrderSide.Buy));
var stopPrice = Math.Round((decimal)orderDto.Price * 1.005M, 0);
//await _bitmexApiService.Execute(BitmexApiUrls.Order.PostOrder, OrderPOSTRequestParams.CreateSimpleHidenLimit(marketInfo.Market, marketInfo.Quantity, buyPrice - 50, OrderSide.Buy));
await _bitmexApiService.Execute(BitmexApiUrls.Order.PostOrder, OrderPOSTRequestParams.CreateSimpleHidenLimit(marketInfo.Market, marketInfo.Quantity, stopPrice, OrderSide.Sell));
return($"Bought {orderDto.OrderQty} {marketInfo.Market} at {orderDto.Price}, stop order set to {stopPrice}");
}
private void btn1_Click(object sender, EventArgs e)
{
LabelOnOff.Text = (LabelOnOff.Text == "OFF") ? "ON" : "OFF";
var posOrderParamsA = OrderPOSTRequestParams.CreateMarketStopOrder("XBTUSD", 150, 8000, OrderSide.Buy);
bitmexApiServiceA = BitmexApiService.CreateDefaultApi(_bitmexAuthorizationA);
bitmexApiServiceA.Execute(BitmexApiUrls.Order.PostOrder, posOrderParamsA).ContinueWith(ProcessPostOrderResult);
var posOrderParamsB = OrderPOSTRequestParams.CreateMarketStopOrder("XBTUSD", 150, 6500, OrderSide.Sell);
bitmexApiServiceB = BitmexApiService.CreateDefaultApi(_bitmexAuthorizationB);
bitmexApiServiceB.Execute(BitmexApiUrls.Order.PostOrder, posOrderParamsB).ContinueWith(ProcessPostOrderResult);
}
private static async Task PlayWithBitmex()
{
try
{
const string market = "XBTUSD";
var bitmexAuthorization = new BitmexAuthorization();
bitmexAuthorization.BitmexEnvironment = BitmexEnvironment.Test;
bitmexAuthorization.Key = "wcZtcAiFMff8kLWaSLl8U877";
bitmexAuthorization.Secret = "uOtP5-0sEtiis5d1_Qv1-LW8FLsV3qW9Qsmsf_OWBXVzw-c3";
_bitmexApiService = BitmexApiService.CreateDefaultApi(bitmexAuthorization);
await _bitmexApiService.Execute(BitmexApiUrls.Order.DeleteOrderAll, new OrderAllDELETERequestParams
{
Symbol = "BCHU18"
});
var bitcoinOrderBook = await _bitmexApiService.Execute(BitmexApiUrls.OrderBook.GetOrderBookL2,
new OrderBookL2GETRequestParams { Depth = 1, Symbol = market });
var currentPrice = Math.Round((bitcoinOrderBook[0].Price + bitcoinOrderBook[1].Price) / 2);
var stopSellOrder = await _bitmexApiService.Execute(BitmexApiUrls.Order.PostOrder, OrderPOSTRequestParams.CreateLimitStopOrder(market, 1500, 6500, 6467, OrderSide.Buy));
var positions = await _bitmexApiService.Execute(BitmexApiUrls.Position.GetPosition, new PositionGETRequestParams { Count = 50 });
var positionLeveragePostRequestParams = new PositionLeveragePOSTRequestParams();
positionLeveragePostRequestParams.Leverage = 50;
positionLeveragePostRequestParams.Symbol = market;
/*var positionDto = await bitmexApiService.Execute(BitmexApiUrls.Position.PostPositionLeverage,
* positionLeveragePostRequestParams);*/
foreach (var position in positions)
{
await _bitmexApiService.Execute(BitmexApiUrls.Order.PostOrder, OrderPOSTRequestParams.ClosePositionByMarket(market));
}
var positionDto = await _bitmexApiService.Execute(BitmexApiUrls.Position.PostPositionLeverage, positionLeveragePostRequestParams);
var initialOrder = await CreateLimitOrder(market, 1500, currentPrice, OrderSide.Sell);
var round = Math.Round((decimal)initialOrder.Price * 0.9M, 0);
var stopOrder = await _bitmexApiService.Execute(BitmexApiUrls.Order.PostOrder, OrderPOSTRequestParams.CreateSimpleHidenLimit(market, 1500, round, OrderSide.Buy));
var stopLoss = await CreateLimitOrder(market, 1500, currentPrice + 40, OrderSide.Sell);
}
catch (Exception e)
{
Console.WriteLine(e);
}
}
public void should_receive_position_change_notification()
{
try
{
// arrange
var connected = Sut.Connect();
var @params = OrderPOSTRequestParams.CreateSimpleMarket("XBTUSD", 3, OrderSide.Buy);
IList <PositionDto> dtos = null;
var dataReceived = new ManualResetEvent(false);
Sut.PositionResponseReceived += (sender, args) =>
{
dtos = args.Response.Data;
dataReceived.Set();
};
var subscription = new SubscriptionRequest(SubscriptionType.position);
Subscription = subscription;
// act
Sut.Subscribe(subscription);
var result = _bitmexApiService.Execute(BitmexApiUrls.Order.PostOrder, @params).Result.Result;
result.Should().NotBeNull();
result.OrdType.Should().Be("Market");
result.OrdStatus.Should().Be("Filled");
result.OrderId.Should().NotBeNull();
var received = dataReceived.WaitOne(TimeSpan.FromSeconds(20));
// assert
// no exception raised
connected.Should().BeTrue();
received.Should().BeTrue("data hasn't received");
dtos.Should().NotBeNull();
dtos.Count().Should().BeGreaterThan(0);
}
catch (BitmexWebSocketLimitReachedException)
{
Assert.Fail("connection limit reached");
}
}
public void should_subscribe_on_executions()
{
try
{
// arrange
var connected = Sut.Connect();
IEnumerable <ExecutionDto> dtos = null;
var dataReceived = new ManualResetEvent(false);
Sut.ExecutionResponseReceived += (sender, args) =>
{
if (args.Response.Data.Any())
{
dtos = args.Response.Data;
dataReceived.Set();
}
};
var subscription = new SubscriptionRequest(SubscriptionType.execution);
Subscription = subscription;
// act
Sut.Subscribe(subscription);
_bitmexApiService.Execute(BitmexApiUrls.Order.PostOrder,
OrderPOSTRequestParams.CreateSimpleMarket("XBTUSD", 10, OrderSide.Buy)).Wait();
var received = dataReceived.WaitOne(TimeSpan.FromSeconds(30));
// assert
// no exception raised
connected.Should().BeTrue();
received.Should().BeTrue();
dtos.Should().NotBeNull();
dtos.Count().Should().BeGreaterThan(0);
}
catch (BitmexWebSocketLimitReachedException)
{
Assert.Fail("connection limit reached");
}
}
private static async Task <OrderDto> ExecuteOrder(string market, int quantity, decimal price, OrderSide orderSide)
{
return(await _bitmexApiService.Execute(BitmexApiUrls.Order.PostOrder,
OrderPOSTRequestParams.CreateSimpleLimit(market, quantity, price, orderSide)));
}
private async void Sell()
{
var posOrderParams = OrderPOSTRequestParams.CreateSimpleMarket("XBTUSD", Size, OrderSide.Sell);
await _bitmexApiService.Execute(BitmexApiUrls.Order.PostOrder, posOrderParams).ContinueWith(ProcessPostOrderResult);
}
async Task <OrderDto> Buy(string symbol, int quantity, decimal price)
{
var cmd = OrderPOSTRequestParams.CreateSimpleLimit(symbol, quantity, price, OrderSide.Buy);
return(await _bitmexSvc.Execute(BitmexApiUrls.Order.PostOrder, cmd));
}