private async Task HandleGenerationCycleAsync(string assetPair)
{
var lastCalculationTime = DateTime.UtcNow;
var instrument = await _instrumentsAccessService.GetByAssetPairIdAsync(assetPair);
var nextPack = await TryToCalculateNext(instrument.AssetPair, instrument.Volume, lastCalculationTime);
var defaultSettings = await _settingsService.GetDefaultSettingsAsync();
var lastPriceLifetime = instrument.PriceLifetime ?? defaultSettings.PriceLifetime;
var recalculationThreshold = instrument.RecalculationInterval ?? defaultSettings.RecalculationInterval;
while (_tokenSources[instrument.AssetPair] != null &&
!_tokenSources[instrument.AssetPair].IsCancellationRequested)
{
try
{
instrument = await _instrumentsAccessService.GetByAssetPairIdAsync(assetPair);
defaultSettings = await _settingsService.GetDefaultSettingsAsync();
var priceLifetime = instrument.PriceLifetime ?? defaultSettings.PriceLifetime;
lastPriceLifetime = priceLifetime;
TryToPublish(instrument.AssetPair, nextPack);
await Task.Delay(
Min(priceLifetime - recalculationThreshold,
lastCalculationTime + priceLifetime - DateTime.UtcNow),
_tokenSources[instrument.AssetPair].Token);
recalculationThreshold = instrument.RecalculationInterval ?? defaultSettings.RecalculationInterval;
nextPack = await TryToCalculateNext(instrument.AssetPair, instrument.Volume,
lastCalculationTime + lastPriceLifetime);
await Task.Delay(
Max(lastCalculationTime + priceLifetime - DateTime.UtcNow, TimeSpan.Zero),
_tokenSources[instrument.AssetPair].Token);
lastCalculationTime += priceLifetime;
}
catch (TaskCanceledException)
{
}
catch (Exception e)
{
_log.Error(e, e.Message, instrument.AssetPair);
}
}
}
public async Task <Price> CreateAsync(string assetPair, OrderType type, decimal quotingVolume, DateTime validFrom)
{
var instrument = await _instrumentsAccessService.GetByAssetPairIdAsync(assetPair);
if (instrument == null || instrument.State != InstrumentState.Active)
{
throw new FailedOperationException($"No active instrument {assetPair} was found.");
}
var orderBook = _orderBookService.GetByAssetPairId(instrument.Exchange, assetPair);
if (type == OrderType.None)
{
throw new FailedOperationException($"Invalid order type {OrderType.None}");
}
var pair = await _assetsService.TryGetAssetPairAsync(assetPair);
if (pair == null)
{
throw new FailedOperationException($"Pair {assetPair} not found.");
}
var baseAsset = await _assetsService.TryGetAssetAsync(pair.BaseAssetId);
var quotingAsset = await _assetsService.TryGetAssetAsync(pair.QuotingAssetId);
if (baseAsset == null)
{
throw new FailedOperationException($"Base asset {pair.BaseAssetId} not found.");
}
if (quotingAsset == null)
{
throw new FailedOperationException($"Quoting asset {pair.QuotingAssetId} not found.");
}
var orders = type == OrderType.Buy
? orderBook.SellLimitOrders.OrderBy(x => x.Price).ToList()
: orderBook.BuyLimitOrders.OrderByDescending(x => x.Price).ToList();
if (!orders.Any() || orders.Sum(x => x.Volume * x.Price) < quotingVolume)
{
throw new FailedOperationException("Not enough liquidity.");
}
var defaultSettings = await _settingsService.GetDefaultSettingsAsync();
var markupCoefficient = instrument.Markup ?? defaultSettings.Markup;
var midPrice = orderBook.GetMidPrice();
if (!midPrice.HasValue)
{
throw new FailedOperationException("Not enough liquidity.");
}
var markupAbsolute = midPrice.Value * markupCoefficient;
var volumes = new List <decimal>();
var remainingVolume = quotingVolume;
for (var i = 0; i < orders.Count; i++)
{
var orderVolumeInUsd = orders[i].Volume * orders[i].Price;
if (remainingVolume == 0m || remainingVolume <= (decimal)pair.MinVolume)
{
break;
}
if (orderVolumeInUsd <= remainingVolume)
{
volumes.Add(orders[i].Volume);
remainingVolume -= orderVolumeInUsd;
}
else
{
volumes.Add(remainingVolume / orders[i].Price);
break;
}
}
var volumeBase = Math.Round(volumes.Sum(), baseAsset.Accuracy);
var originalPrice = (quotingVolume / volumes.Sum()).TruncateDecimalPlaces(pair.Accuracy, type == OrderType.Buy);
var overallPrice =
(originalPrice + markupAbsolute * (type == OrderType.Buy ? 1m : -1m))
.TruncateDecimalPlaces(pair.Accuracy, type == OrderType.Buy);
var validTo = validFrom + (instrument.PriceLifetime ?? defaultSettings.PriceLifetime);
var allowedOverlap = instrument.OverlapTime ?? defaultSettings.OverlapTime;
var price = new Price
{
Id = Guid.NewGuid().ToString(),
Value = overallPrice,
AssetPair = assetPair,
Exchange = instrument.Exchange,
BaseVolume = volumeBase,
QuotingVolume = quotingVolume,
Markup = markupCoefficient,
OriginalPrice = originalPrice,
Type = type,
ValidFrom = validFrom,
ValidTo = validTo,
AllowedOverlap = allowedOverlap
};
await _pricesRepository.InsertAsync(price);
await UpdateIfLatestAsync(price);
return(price);
}
public Task <Instrument> GetByAssetPairIdAsync(string assetPair)
{
return(_instrumentsAccessService.GetByAssetPairIdAsync(assetPair));
}
public async Task <Order> CreateAsync(string walletId, string priceId, decimal quotingVolume)
{
var price = await _pricesService.GetAsync(priceId);
if (price == null)
{
throw new EntityNotFoundException();
}
var instrument = await _instrumentsAccessService.GetByAssetPairIdAsync(price.AssetPair);
if (instrument.State != InstrumentState.Active)
{
throw new FailedOperationException($"Instrument {instrument.AssetPair} isn't active.");
}
var defaultSettings = await _settingsService.GetDefaultSettingsAsync();
if (DateTime.UtcNow > price.ValidTo + (instrument.OverlapTime ?? defaultSettings.OverlapTime))
{
throw new FailedOperationException("Given price too old.");
}
if (quotingVolume > price.QuotingVolume)
{
throw new FailedOperationException("Requested volume higher than initial.");
}
var pair = await _assetsService.TryGetAssetPairAsync(price.AssetPair);
var baseAsset = await _assetsService.TryGetAssetAsync(pair.BaseAssetId);
var baseVolume = quotingVolume == price.QuotingVolume
? price.BaseVolume
: (quotingVolume / price.Value).TruncateDecimalPlaces(baseAsset.Accuracy, price.Type == OrderType.Sell);
var order = new Order
{
Id = Guid.NewGuid().ToString(),
WalletId = walletId,
Type = price.Type,
AssetPair = price.AssetPair,
QuotingVolume = quotingVolume,
BaseVolume = baseVolume,
PriceId = priceId,
CreatedTime = DateTime.UtcNow,
Status = OrderStatus.New,
ReserveTransferId = Guid.NewGuid().ToString(),
SettlementTransferId = Guid.NewGuid().ToString()
};
await _ordersRepository.InsertAsync(order);
_log.Info("Order was created.", order);
try
{
await _internalTransfersService.TransferAsync(
order.ReserveTransferId,
walletId,
await _settingsService.GetWalletIdAsync(),
order.Type == OrderType.Buy
?pair.QuotingAssetId
: pair.BaseAssetId,
order.Type == OrderType.Buy
?quotingVolume
: baseVolume);
}
catch (MeNotEnoughFundsException)
{
var rejectReason = "Client doesn't have enough funds.";
await PersistWithStatusAsync(order, OrderStatus.Cancelled, rejectReason);
throw new FailedOperationException(rejectReason);
}
catch (MeOperationException e)
{
var rejectReason = "ME call failed.";
await PersistWithStatusAsync(order, OrderStatus.Cancelled, rejectReason);
_log.Warning(rejectReason, priceId, e);
throw new FailedOperationException(rejectReason);
}
catch (FailedOperationException e)
{
var rejectReason = "ME call failed.";
await PersistWithStatusAsync(order, OrderStatus.Cancelled, rejectReason);
_log.Warning(rejectReason, priceId, e);
throw;
}
await PersistWithStatusAsync(order, OrderStatus.Reserved);
return(order);
}
