public async Task PerformArbitrageCheck(IStockModel stock, CancellationToken cancellationToken)
{
if (stock.LastUpdateUSA == null || Math.Abs(stock.LastUpdate.Subtract(stock.LastUpdateUSA.Value).TotalMinutes) > 1)
{
return;
}
if (_arbitrageEvents.ContainsKey(stock.Ticker) &&
_arbitrageEvents[stock.Ticker] is ArbitrageEventData arbitrageEvent &&
(arbitrageEvent.EventTime.Elapsed().TotalMinutes < 1 ||
(arbitrageEvent.BestAskSpb == stock.BestAskSpb && arbitrageEvent.BestBidSpb == stock.BestBidSpb)))
{
return;
}
var message = new StringBuilder();
decimal diff;
string line;
var quote = DataManager.QuoteDatas[stock.Ticker];
OrderbookModel spbOrders = null;
bool bLong = false, bShort = false;
if (stock.USBidRUAskDiff > 0.01m)
{
bLong = true;
spbOrders = spbOrders ?? StocksManager.OrderbookInfoSpb[stock.Ticker];
diff = stock.BidUSA - stock.BestAskSpb;
message.AppendLine($"*{stock.Ticker}* - {stock.Name}");
message.AppendLine($"✅ *{stock.USBidRUAskDiff.FormatPercent()}* ({diff.FormatPrice(stock.Currency)})");
message.AppendLine($"SPB *B {spbOrders.Bids[0][0]}* ({spbOrders.Bids[0][1]}) *A {spbOrders.Asks[0][0]}* ({spbOrders.Asks[0][1]})");
message.AppendLine($"USA *B {quote.Bid}* ({quote.BidSize}) *A {quote.Ask}* ({quote.AskSize})");
line =
$"SPB ASK *{stock.BestAskSpb.FormatPrice(stock.Currency)}* USA BID *{stock.BidUSA.FormatPrice(stock.Currency)}* Diff {diff.FormatPrice(stock.Currency)} ({stock.USBidRUAskDiff.FormatPercent()})";
MainModel.AddMessage(MessageKind.ArbitrageLong, stock.Ticker, DateTime.Now, diff, quote.BidSize, line);
}
if (stock.RUBidUSAskDiff > 0.01m)
{
bShort = true;
spbOrders = spbOrders ?? StocksManager.OrderbookInfoSpb[stock.Ticker];
diff = stock.BestBidSpb - stock.AskUSA;
message.AppendLine($"*{stock.Ticker}* - {stock.Name}");
message.AppendLine($"⛔️ *{stock.RUBidUSAskDiff.FormatPercent()}* ({diff.FormatPrice(stock.Currency)})");
message.AppendLine($"SPB *B {spbOrders.Bids[0][0]}* ({spbOrders.Bids[0][1]}) *A {spbOrders.Asks[0][0]}* ({spbOrders.Asks[0][1]})");
message.AppendLine($"USA *B {quote.Bid}* ({quote.BidSize}) *A {quote.Ask}* ({quote.AskSize})");
line =
$"USA ASK *{stock.AskUSA.FormatPrice(stock.Currency)}* SPB BID *{stock.BestBidSpb.FormatPrice(stock.Currency)}* Diff {diff.FormatPrice(stock.Currency)} ({stock.RUBidUSAskDiff.FormatPercent()})";
if (stock.CanBeShorted)
{
MainModel.AddMessage(MessageKind.ArbitrageShort, stock.Ticker, DateTime.Now, diff, quote.AskSize, line);
}
}
if (message.Length > 0)
{
_arbitrageEvents[stock.Ticker] = new ArbitrageEventData()
{
EventTime = DateTime.Now,
Ticker = stock.Ticker,
BestBidSpb = stock.BestBidSpb,
BestAskSpb = stock.BestAskSpb
};
message.AppendLine("`");
int i = 0;
foreach (var spbOrdersBid in spbOrders.Bids)
{
message.Append($"\tSPB BID {spbOrdersBid[0].ToString().PadLeft(2).PadRight(6)} Size {spbOrdersBid[1].ToString().PadLeft(2).PadRight(5)}");
if (i < spbOrders.Asks.Count)
{
var ask = spbOrders.Asks[i++];
message.Append($" Ask {ask[0].ToString().PadRight(6)} Size {ask[1]}");
}
message.AppendLine();
}
message.Append("`");
var text = message.ToString();
if (_chatIdLong != 0 && bLong)
{
StocksManager.Telegram.PostMessage(new TelegramMessage(stock.Ticker, text, _chatIdLong)
{
AddTickerImage = false,
MessageMode = ParseMode.MarkdownV2
});
}
if (_chatIdShort != 0 && bShort && stock.CanBeShorted)
{
StocksManager.Telegram.PostMessage(new TelegramMessage(stock.Ticker, text, _chatIdShort)
{
AddTickerImage = false,
MessageMode = ParseMode.MarkdownV2
});
}
}
}
public async Task PerformQuotePercentChangeCheck(IStockModel stock)
{
if (stock.Price == 0 || stock.MinuteCandles.Count == 0)
{
return;
}
var lastCandleTime = stock.MinuteCandles.Max(c => c.Value.Time);
var candle = stock.MinuteCandles.Last(c => c.Value.Time == lastCandleTime).Value;
if (Math.Abs(stock.DayChange) > Settings.MinDayPriceChange && Settings.MinDayPriceChange > 0 &&
(stock.LastAboveThresholdDate == null ||
stock.LastAboveThresholdDate.Value.Date < stock.LastUpdate.Date))
{
stock.LastAboveThresholdDate = stock.LastUpdate;
if (!await EnsureHistoryLoaded(stock))
{
return;
}
var volPerc = stock.DayVolume / stock.AvgDayVolumePerMonth;
if (volPerc > Settings.MinVolumeDeviationFromDailyAverage && Settings.MinVolumeDeviationFromDailyAverage > 0)
{
string chatId = Settings.TgChatId;
if (stock.Currency.Equals("RUB", StringComparison.InvariantCultureIgnoreCase) ||
stock.Ticker == "TCS")
{
chatId = Settings.TgChatIdRu;
}
if (IsSendToTelegramEnabled && long.TryParse(chatId, out var lChatId) && lChatId != 0)
{
StocksManager.Telegram.PostMessage(stock.GetDayChangeInfoText(), stock.Ticker, lChatId);
}
MainModel.AddMessage(
MessageKind.DayChange,
stock.Ticker,
DateTime.Now,
stock.DayChange,
stock.DayVolume,
$"{stock.Ticker}: {stock.DayChange.Arrow(true)} {stock.DayChange:P2} с начала дня ({stock.TodayOpenF} → {stock.PriceF})"
);
}
}
var change = stock.GetLastXMinChange(
Settings.NumOfMinToCheck,
Settings.NumOfMinToCheckVol,
Settings.MinXMinutesPriceChange,
Settings.MinXMinutesVolChange);
if (!change.volumeTrigger && Settings.MinXMinutesPriceChange > 0 && Math.Abs(change.change) > Settings.MinXMinutesPriceChange &&
(stock.LastAboveThresholdCandleTime == null || stock.LastAboveThresholdCandleTime < candle.Time.AddMinutes(-change.minutes)))
{
stock.LastAboveThresholdCandleTime = candle.Time;
if (!await EnsureHistoryLoaded(stock))
{
return;
}
var changeInfo = stock.GetMinutesChangeInfo(change.change, change.minutes, change.candles);
string chatId = Settings.TgChatId;
if (stock.Currency.Equals("RUB", StringComparison.InvariantCultureIgnoreCase) ||
stock.Ticker == "TCS")
{
chatId = Settings.TgChatIdRu;
}
if (IsSendToTelegramEnabled && long.TryParse(chatId, out var lChatId) && lChatId != 0)
{
if (changeInfo.volPercent >= Settings.MinVolumeDeviationFromDailyAverage)
{
StocksManager.Telegram.PostMessage(changeInfo.message, stock.Ticker, lChatId);
}
}
int lastIdx = change.candles.Length - 1;
MainModel.AddMessage(
MessageKind.MinutesChanges,
stock.Ticker,
DateTime.Now,
stock.DayChange,
candle.Volume,
$"{stock.Ticker}: {change.change:P2} за {change.minutes} мин. ({change.candles[lastIdx].Open.FormatPrice(stock.Currency),2} → {change.candles[0].Close.FormatPrice(stock.Currency),-2}) "
);
}
if (change.volumeTrigger && Settings.MinXMinutesVolChange > 0 &&
change.volChange > Settings.MinXMinutesVolChange && (stock.LastAboveVolThresholdCandleTime == null ||
stock.LastAboveVolThresholdCandleTime < candle.Time.AddMinutes(-change.minutes)))
{
stock.LastAboveVolThresholdCandleTime = candle.Time;
if (!await EnsureHistoryLoaded(stock))
{
return;
}
var changeInfo = stock.GetMinutesVolumeChangeInfo(change.change, change.minutes, change.candles);
string chatId = Settings.TgChatId;
if (stock.Currency.Equals("RUB", StringComparison.InvariantCultureIgnoreCase) ||
stock.Ticker == "TCS")
{
chatId = Settings.TgChatIdRu;
}
if (IsSendToTelegramEnabled && long.TryParse(chatId, out var lChatId) && lChatId != 0)
{
if (changeInfo.volPercent >= Settings.MinVolumeDeviationFromDailyAverage)
{
StocksManager.Telegram.PostMessage(changeInfo.message, stock.Ticker, lChatId);
}
}
int lastIdx = change.candles.Length - 1;
MainModel.AddMessage(
MessageKind.VolumeChange,
stock.Ticker,
DateTime.Now,
stock.DayChange,
candle.Volume,
$"{stock.Ticker}: VOL {change.volChange:P2} за {change.minutes} мин. ({change.candles[lastIdx].Open.FormatPrice(stock.Currency),2} → {change.candles[0].Close.FormatPrice(stock.Currency),-2}) "
);
}
}
