// Notes:
// - A TradeCompleted is a completed single trade that is part of an OrderCompleted
// - TradeCompleted doesn't really need 'pair' and 'tt' because they are duplicates
// of fields in the containing OrderCompleted. However, they allow convenient conversion
// to CoinIn/CoinOut etc.
public TradeCompleted(long order_id, long trade_id, TradePair pair, ETradeType tt, Unit <decimal> amount_in, Unit <decimal> amount_out, Unit <decimal> commission, Coin commission_coin, DateTimeOffset created, DateTimeOffset updated)
{
// Check units
if (amount_in <= 0m._(tt.CoinIn(pair)))
{
throw new Exception("Invalid 'in' amount");
}
if (amount_out <= 0m._(tt.CoinOut(pair)))
{
throw new Exception("Invalid 'out' amount");
}
if (commission < 0m._(commission_coin))
{
throw new Exception("Negative commission");
}
if (created < Misc.CryptoCurrencyEpoch)
{
throw new Exception("Invalid creation time");
}
OrderId = order_id;
TradeId = trade_id;
Pair = pair;
TradeType = tt;
AmountIn = amount_in;
AmountOut = amount_out;
Commission = commission;
CommissionCoin = commission_coin;
Created = created;
Updated = updated;
}
/// <summary>Return the unit type for a trade of this type on 'pair'</summary>
public static string RateUnits(this ETradeType tt, TradePair pair)
{
return
(tt == ETradeType.B2Q ? pair.RateUnits :
tt == ETradeType.Q2B ? pair.RateUnitsInv :
throw new Exception("Unknown trade type"));
}
public OrderResult(TradePair pair, long order_id, bool filled, IEnumerable <Fill> trades)
{
Pair = pair;
OrderId = order_id;
Trades = trades?.ToList() ?? new List <Fill>();
Filled = filled;
}
/// <summary>Enumerate all candle data and time frames provided by this exchange</summary>
protected override IEnumerable <PairAndTF> EnumAvailableCandleDataInternal(TradePair pair)
{
if (pair != null)
{
var cp = new CurrencyPair(pair.Base, pair.Quote);
if (!Pairs.ContainsKey(pair.UniqueKey))
{
yield break;
}
foreach (var mp in Enum <EMarketPeriod> .Values)
{
yield return(new PairAndTF(pair, ToTimeFrame(mp)));
}
}
else
{
foreach (var p in Pairs)
{
foreach (var mp in Enum <EMarketPeriod> .Values)
{
yield return(new PairAndTF(p, ToTimeFrame(mp)));
}
}
}
}
/// <summary>Return the 'out' coin for a trade on 'pair' in this trade direction</summary>
public static Coin CoinOut(this ETradeType tt, TradePair pair)
{
return
(tt == ETradeType.B2Q ? pair.Quote :
tt == ETradeType.Q2B ? pair.Base :
throw new Exception("Unknown trade type"));
}
// Notes:
// - A 'Trade' is a description of a trade that *could* be placed. It is different
// to an 'Order' which is live on an exchange, waiting to be filled.
// - AmountIn * Price does not have to equal AmountOut, because 'Trade' is used
// with the order book to calculate the best price for trading a given amount.
// The price will represent the best price that covers all of the amount, not
// the spot price.
// - Don't implicitly change amounts/prices based on order type for the same reason.
// Instead, allow any values to be set and use validate to check they're correct.
// The 'EditTradeUI' should be used to modify properties and ensure correct behaviour
// w.r.t to order type.
// Rounding issues:
// - Quantisation doesn't help, that just makes the discrepancies larger.
// - Instead, maintain separate values for amount in and amount out. These imply the
// price and allow control over which side of the trade gets rounded.
/// <summary>Create a trade on 'pair' to convert 'amount_in' of 'coin_in' to 'amount_out'</summary>
public Trade(Fund fund, TradePair pair, EOrderType order_type, ETradeType trade_type, Unit <decimal> amount_in, Unit <decimal> amount_out, Unit <decimal>?price_q2b = null, string creator = null)
{
// Check trade amounts and units
if (amount_in < 0m._(trade_type.CoinIn(pair)))
{
throw new Exception("Invalid trade 'in' amount");
}
if (amount_out < 0m._(trade_type.CoinOut(pair)))
{
throw new Exception("Invalid trade 'out' amount");
}
if (amount_out != 0 && amount_in != 0 && trade_type.PriceQ2B(amount_out / amount_in) < 0m._(pair.RateUnits))
{
throw new Exception("Invalid trade price");
}
CreatorName = creator ?? string.Empty;
Fund = fund;
Pair = pair;
OrderType = order_type;
TradeType = trade_type;
AmountIn = amount_in;
AmountOut = amount_out;
PriceQ2B =
price_q2b != null ? price_q2b.Value :
amount_out != 0 && amount_in != 0 ? TradeType.PriceQ2B(amount_out / amount_in) :
SpotPriceQ2B;
}
// Notes:
// - An OrderCompleted is a completed (or partially completed) Order consisting
// of one or more 'TradeCompleted's that where made to complete the order.
public OrderCompleted(long order_id, Fund fund, TradePair pair, ETradeType tt)
{
OrderId = order_id;
Fund = fund;
TradeType = tt;
Pair = pair;
Trades = new TradeCompletedCollection(this);
}
public PairNames(TradePair pair)
{
if (pair == null)
{
throw new ArgumentNullException(nameof(pair));
}
Base = pair.Base.Symbol;
Quote = pair.Quote.Symbol;
}
/// <summary>Return the chart data for a given pair, over a given time range</summary>
protected override Task <List <Candle> > CandleDataInternal(TradePair pair, ETimeFrame timeframe, UnixSec time_beg, UnixSec time_end, CancellationToken?cancel) // Worker thread context
{
// Get the chart data
var cp = new CurrencyPair(pair.Base, pair.Quote);
var data = Api.CandleData[cp, ToMarketPeriod(timeframe), time_beg, time_end, cancel];
//var data = await Api.GetChartData(cp, ToMarketPeriod(timeframe), time_beg, time_end, cancel);
// Convert it to candles
var candles = data.Select(x => new Candle(x.Time.Ticks, x.Open, x.High, x.Low, x.Close, x.Median, x.Volume)).ToList();
return(Task.FromResult(candles));
}
/// <summary>Cancel an open trade</summary>
protected async override Task <bool> CancelOrderInternal(TradePair pair, long order_id, CancellationToken cancel)
{
try
{
// Cancel the trade
return(await Api.CancelTrade(new CurrencyPair(pair.Base, pair.Quote), order_id));
}
catch (Exception ex)
{
throw new Exception($"Poloniex: Cancel trade (id={order_id}) failed. {ex.Message}", ex);
}
}
///// <summary>Return the order book for 'pair' to a depth of 'count'</summary>
//protected async override Task<MarketDepth> MarketDepthInternal(TradePair pair, int depth) // Worker thread context
//{
// var cp = new CurrencyPair(pair.Base, pair.Quote);
// var orders = await Api.GetOrderBook(cp, depth, cancel: Shutdown.Token);
// // Update the depth of market data
// var market_depth = new MarketDepth(pair.Base, pair.Quote);
// var buys = orders.BuyOffers.Select(x => new Offer(x.Price._(pair.RateUnits), x.AmountBase._(pair.Base))).ToArray();
// var sells = orders.SellOffers.Select(x => new Offer(x.Price._(pair.RateUnits), x.AmountBase._(pair.Base))).ToArray();
// market_depth.UpdateOrderBooks(buys, sells);
// return market_depth;
//}
/// <summary>Return the chart data for a given pair, over a given time range</summary>
protected async override Task <List <Candle> > CandleDataInternal(TradePair pair, ETimeFrame timeframe, UnixSec time_beg, UnixSec time_end, CancellationToken?cancel) // Worker thread context
{
var cp = new CurrencyPair(pair.Base, pair.Quote);
// Get the chart data
var data = await Api.GetChartData(cp, ToMarketPeriod(timeframe), time_beg, time_end, cancel);
// Convert it to candles (yes, Polo gets the base/quote backwards for 'Volume')
var candles = data.Select(x => new Candle(x.Time.Ticks, x.Open, x.High, x.Low, x.Close, x.WeightedAverage, x.VolumeQuote)).ToList();
return(candles);
}
// Notes:
// - An Order is a request to buy/sell that has been sent to an exchange and
// should exist somewhere in their order book. When an Order is filled it
// becomes a 'OrderCompleted'
public Order(long order_id, Fund fund, TradePair pair, EOrderType ot, ETradeType tt, Unit <decimal> amount_in, Unit <decimal> amount_out, Unit <decimal> remaining_in, DateTimeOffset created, DateTimeOffset updated)
: base(fund, pair, ot, tt, amount_in, amount_out)
{
if (created < Misc.CryptoCurrencyEpoch)
{
throw new Exception("Invalid creation time");
}
OrderId = order_id;
UniqueKey = Guid.NewGuid();
RemainingIn = remaining_in;
Created = created;
Updated = updated;
}
/// <summary>Cancel an existing position</summary>
public bool CancelOrderInternal(TradePair pair, long order_id)
{
// Doesn't exist?
if (!m_ord.TryGetValue(order_id, out var order))
{
return(false);
}
// Remove 'pos'
m_ord.Remove(order_id);
// Remove any hold on the balance for this trade
var bal = m_bal[order.CoinIn];
bal.Holds.Remove(order_id);
return(true);
}
/// <summary>Cancel an open trade</summary>
protected async override Task <bool> CancelOrderInternal(TradePair pair, long order_id, CancellationToken cancel)
{
try
{
// Convert a CoinFlip order id to a Bittrex UUID
var uuid = m_order_id_lookup[order_id];
// Cancel the trade
var result = await Api.CancelTrade(new CurrencyPair(pair.Base, pair.Quote), uuid);
return(result.Id == uuid);
}
catch (Exception ex)
{
throw new Exception($"Bittrex: Cancel trade (id={order_id}) failed. {ex.Message}", ex);
}
}
/// <summary>Check this order against the limits given in 'pair'</summary>
public Exception Validate(TradePair pair)
{
if (PriceQ2B <= 0m)
{
return(new Exception($"Offer price ({PriceQ2B.ToString(6)}) is <= 0"));
}
if (!pair.AmountRangeBase.Contains(AmountBase))
{
return(new Exception($"Offer amount ({AmountBase.ToString(6)}) is not within the valid range: [{pair.AmountRangeBase.Beg},{pair.AmountRangeBase.End}]"));
}
if (!pair.AmountRangeQuote.Contains(AmountQuote))
{
return(new Exception($"Offer amount ({AmountQuote.ToString(6)}) is not within the valid range: [{pair.AmountRangeQuote.Beg},{pair.AmountRangeQuote.End}]"));
}
return(null);
}
/// <summary>Generate simulated market depth for 'pair', using 'latest' as the reference for the current spot price</summary>
private MarketDepth GenerateMarketDepth(TradePair pair, Candle latest, ETimeFrame time_frame)
{
// Notes:
// - This is an expensive call when back testing is running so minimise allocation, resizing, and sorting.
// - Do all calculations using double's for speed.
// Get the market data for 'pair'.
// Market data is maintained independently to the pair's market data instance because the
// rest of the application expects the market data to periodically overwrite the pair's order books.
var md = m_depth[pair];
// Get the Q2B (bid) spot price from the candle close. (This is the minimum of the Q2B offers)
// The B2Q spot price is Q2B - spread, which will be the maximum of the B2Q offers
var spread = latest.Close * m_spread_frac;
var best_q2b = latest.Close;
var best_b2q = latest.Close - spread;
var base_value = (double)(decimal)pair.Base.Value;
md.Q2B.Offers.Resize(m_orders_per_book);
md.B2Q.Offers.Resize(m_orders_per_book);
// Generate offers with a normal distribution about 'best'
var range = 0.2 * 0.5 * (best_q2b + best_b2q);
for (var i = 0; i != m_orders_per_book; ++i)
{
var p = range * Math_.Sqr((double)i / m_orders_per_book);
md.Q2B.Offers[i] = new Offer(((decimal)(best_q2b + p))._(pair.RateUnits), RandomAmountBase()._(pair.Base));
md.B2Q.Offers[i] = new Offer(((decimal)(best_b2q - p))._(pair.RateUnits), RandomAmountBase()._(pair.Base));
}
return(md);
decimal RandomAmountBase()
{
// Generate an amount to trade in the application common currency (probably USD).
// Then convert that to base currency using the 'live' value.
var common_value = Math.Abs(m_rng.Double(m_order_value_range.Beg, m_order_value_range.End));
var amount_base = (decimal)Math_.Div(common_value, base_value, common_value);
return(amount_base);
}
}
/// <summary>Update this exchange's set of trading pairs</summary>
protected override Task UpdatePairsInternal(HashSet <string> coins) // Worker thread context
{
Model.DataUpdates.Add(() =>
{
// Create cross-exchange pairs for each coin of interest
foreach (var cd in SettingsData.Settings.Coins.Where(x => x.CreateCrossExchangePairs))
{
var sym = cd.Symbol;
// Find the exchanges that have this coin
var exchanges = Exchanges.Where(x => x.Coins.ContainsKey(sym)).ToArray();
// Create trading pairs between the same currencies on different exchanges
for (int j = 0; j < exchanges.Length - 1; ++j)
{
for (int i = j + 1; i < exchanges.Length; ++i)
{
// Check whether the pair already exists
var exch0 = exchanges[j];
var exch1 = exchanges[i];
var pair = Pairs[sym, exch0, exch1];
if (pair != null)
{
continue;
}
// If not, add it
pair = new TradePair(exch0.Coins[sym], exch1.Coins[sym], this);
Pairs.Add(pair);
// Add the coins
Coins.Add(pair.Base.SymbolWithExchange, pair.Base);
Coins.Add(pair.Quote.SymbolWithExchange, pair.Quote);
}
}
}
});
return(Task.CompletedTask);
}
// Notes:
// - PriceData represents a single pair and TimeFrame on an exchange.
// - Handles adding new data to the DB.
// - Serves data from the DB to the Instruments.
// - Use an 'Instrument' to view these data
public PriceData(TradePair pair, ETimeFrame time_frame, CancellationToken shutdown)
{
try
{
Pair = pair;
TimeFrame = time_frame;
DataAvailable = pair.CandleDataAvailable.Contains(time_frame);
UpdatePollRate = TimeSpan.FromMilliseconds(SettingsData.Settings.PriceDataUpdatePeriodMS);
MainShutdownToken = shutdown;
// Set up the ref count
m_ref = new List <object>();
// Load the database of historic price data
var db_filepath = DBFilePath(pair.Exchange.Name, pair.Name);
DB = new SQLiteConnection($"Data Source={db_filepath};Version=3;journal mode=Memory;synchronous=Off");
// Ensure a table exists for the time frame
if (DataAvailable)
{
DB.Execute(
$"create table if not exists {TimeFrame} (\n" +
$" [{nameof(Candle.Timestamp)}] integer unique primary key,\n" +
$" [{nameof(Candle.Open)}] real not null,\n" +
$" [{nameof(Candle.High)}] real not null,\n" +
$" [{nameof(Candle.Low)}] real not null,\n" +
$" [{nameof(Candle.Close)}] real not null,\n" +
$" [{nameof(Candle.Median)}] real not null,\n" +
$" [{nameof(Candle.Volume)}] real not null\n" +
$")");
}
}
catch
{
Dispose();
throw;
}
}
/// <summary>Cancel an open trade</summary>
protected override async Task <bool> CancelOrderInternal(TradePair pair, long order_id, CancellationToken cancel)
{
try
{
var cp = new CurrencyPair(pair.Base, pair.Quote);
// Look up the Binance ClientOrderId for 'order_id'
var cid = Api.UserData.Orders[cp].FirstOrDefault(x => x.OrderId == order_id)?.ClientOrderId;
if (cid == null)
{
throw new Exception($"Could not find an order with this order id ({order_id})");
}
// Cancel the order
var res = await Api.CancelTrade(cp, cid, cancel);
return(res.Status == EOrderStatus.CANCELED);
}
catch (Exception ex)
{
throw new Exception($"Binance: Cancel trade failed. {ex.Message}\nOrder Id: {order_id } Pair: {pair.Name}", ex);
}
}
/// <summary>Attempt to make a trade on 'pair' for the given 'price' and base 'amount'</summary>
private void TryFillOrder(TradePair pair, Fund fund, long order_id, ETradeType tt, EOrderType ot, Unit <decimal> amount_in, Unit <decimal> amount_out, Unit <decimal> remaining_in, out Order ord, out OrderCompleted his)
{
// The order can be filled immediately, filled partially, or not filled and remain as an 'Order'.
// Also, exchanges use the base currency as the amount to fill, so for Q2B trades it's possible
// that 'amount_in' is less than the trade asked for.
var market = m_depth[pair];
// Consume orders
var price_q2b = tt.PriceQ2B(amount_out / amount_in);
var amount_base = tt.AmountBase(price_q2b, amount_in: remaining_in);
var filled = market.Consume(pair, tt, ot, price_q2b, amount_base, out var remaining_base);
// The order is partially or completely filled...
Debug.Assert(Misc.EqlAmount(amount_base, filled.Sum(x => x.AmountBase) + remaining_base));
ord = remaining_base != 0 ? new Order(order_id, fund, pair, ot, tt, amount_in, amount_out, tt.AmountIn(remaining_base, price_q2b), Model.UtcNow, Model.UtcNow) : null;
his = remaining_base != amount_base ? new OrderCompleted(order_id, fund, pair, tt) : null;
// Add 'TradeCompleted' entries for each order book offer that was filled
foreach (var fill in filled)
{
his.Trades.AddOrUpdate(new TradeCompleted(his.OrderId, ++m_history_id, pair, tt, fill.AmountIn(tt), fill.AmountOut(tt), Exchange.Fee * fill.AmountOut(tt), tt.CoinOut(pair), Model.UtcNow, Model.UtcNow));
}
}
/// <summary>Return the price data for 'pair' and 'time_frame'</summary>
public PriceData this[TradePair pair, ETimeFrame time_frame]
{
get
{
if (pair == null)
{
throw new ArgumentNullException(nameof(pair));
}
if (time_frame == ETimeFrame.None)
{
throw new Exception("TimeFrame is None. No price data available");
}
if (!pair.Exchange.Enabled)
{
throw new Exception("Requesting a trading pair on an inactive exchange");
}
// Get the TimeFrame to PriceData map for the given pair
var tf_map = Pairs.TryGetValue(pair, out var tf) ? tf : Pairs.Add2(pair, new TFMap());
// Get the price data for the given time frame
return(tf_map.TryGetValue(time_frame, out var pd) ? pd : tf_map.Add2(time_frame, new PriceData(pair, time_frame, Shutdown)));
}
}
/// <summary>Get the indicators associated with 'pair'</summary>
public IReadOnlyList <IIndicator> this[TradePair pair]
{
get => Indicators.TryGetValue(pair.Name, out var indy) ? indy : (IReadOnlyList <IIndicator>) new IIndicator[0];
public OrderResult(TradePair pair, long order_id, bool filled)
: this(pair, order_id, filled, null)
{
}
public OrderResult(TradePair pair, bool filled)
: this(pair, 0, filled)
{
}
/// <summary>
/// Consume offers up to 'price_q2b' or 'amount_base' (based on order type).
/// 'pair' is the trade pair that this market depth data is associated with.
/// Returns the offers that were consumed. 'amount_remaining' is what remains unfilled</summary>
public IList <Offer> Consume(TradePair pair, ETradeType tt, EOrderType ot, Unit <decimal> price_q2b, Unit <decimal> amount_base, out Unit <decimal> remaining_base)
{
// Notes:
// - 'remaining_base' should only be non zero if the order book is empty
// - Handling 'dust' amounts:
// If the amount to fill almost matches an offer, where the difference is an amount too small to trade,
// the offer amount is adjusted to exactly match. The small difference is absorbed by the exchange.
// - This function cannot use 'amount_in' + 'amount_out' parameters because the price to consume up to
// is not necessarity 'amount_out/amount_in'. 'amount_in' may be the partial remaining amount of a trade.
var order_book = this[tt];
remaining_base = amount_base;
// Stop orders become market orders when the price reaches the stop level
if (ot == EOrderType.Stop)
{
if (order_book.Count != 0 && tt.Sign() * price_q2b.CompareTo(order_book[0].PriceQ2B) <= 0)
{
ot = EOrderType.Market;
}
else
{
return(new List <Offer>());
}
}
var count = 0;
var offers = order_book.Offers;
foreach (var offer in offers)
{
// Price is too high/low to fill 'offer', stop.
if (ot != EOrderType.Market && tt.Sign() * price_q2b.CompareTo(offer.PriceQ2B) < 0)
{
break;
}
var rem = remaining_base - offer.AmountBase;
// The remaining amount is large enough to consider the next offer
if (rem < pair.AmountRangeBase.Beg || rem * offer.PriceQ2B < pair.AmountRangeQuote.Beg)
{
break;
}
remaining_base = rem;
++count;
}
// Remove the orders that have been filled
var consumed = offers.GetRange(0, count);
offers.RemoveRange(0, count);
// Remove any remaining amount from the top remaining offer (if the price is right)
if (remaining_base != 0 && offers.Count != 0 && (ot == EOrderType.Market || tt.Sign() * price_q2b.CompareTo(offers[0].PriceQ2B) >= 0))
{
var offer = offers[0];
var rem = offer.AmountBase - remaining_base;
if (pair.AmountRangeBase.Contains(rem) && pair.AmountRangeQuote.Contains(rem * offer.PriceQ2B))
{
offers[0] = new Offer(offers[0].PriceQ2B, rem);
}
else
{
offers.RemoveAt(0);
}
consumed.Add(new Offer(offer.PriceQ2B, remaining_base));
remaining_base -= remaining_base;
}
return(consumed);
}
/// <summary>Return the market depth info for 'pair'</summary>
public MarketDepth MarketDepthInternal(TradePair pair, int depth)
{
return(m_depth[pair]);
}
/// <summary>Cancel an open trade</summary>
protected override Task <bool> CancelOrderInternal(TradePair pair, long order_id, CancellationToken cancel)
{
throw new Exception("Cannot cancel trades on the CrossExchange");
}